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Treasury Rates Update: October 5th, 2023

Commentary: 10.6.23 net new monthly jobs was robust. The next CPI will be released on 10.12.23. Next Fed meeting is 11.1.23


The 10-year at the beginning of the 3rd quarter was 4.05%, now it is 4.59%. As rates rise, values will decline. Firms that mark-to-market their portfolio, this is not going to be welcomed returns. Firms with historically valued assets will face issues if they need to liquidate (ex Silicon Valley Bank).

 

For the past 2 weeks, 10-year Treasury rates were up 23bp Past week: up 13bp.


Next Fed meeting 11.1.23

 

The red line is the most current rates while the green line is from one week ago.

Longer term rates rose relative to shorter term rates, as such the inverted yield curve is less steep.

For terms 5+ years, the Yield Curve is positive. One month rates were up slightly.


 

For the quarter ending September 29, 2023, the 10-year US Treasury rates have increased. As rates rise, the value of the underlying instrument decreases. For firms that reprice their portfolio at the end of the quarter, there are going to be unwelcome returns.


For firms that are holding longer-term instruments, the market value is likely to be less than the value they carry on their books. This is what got Silicon Valley Bank in trouble as depositor concerns expanded.

 

What is noted is the volatility of the 30- day US Treasuries has been diminished.




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