Sector Update

July 27, 2020

Treasury yields moved, again, in a mostly uneventful manner last week, with 10-year and shorter maturities unchanged to 4 bps lower. Longer maturities had a more eventful week as their yields declined by 8-10 bps. It really is anyone’s guess why this is happening, but lower inflation expectations coupled with a “lower for longer” outlook probably play into this. This grind to lower yields has 2-7 year maturities at/near record lows. In terms of interest rate volatility, it has certainly declined and continues to grind tighter. The MOVE index hit a high of 163.7 on March 9th and has steadily fallen to a 2020 low of 42.5.

So far this morning, U.S. stock indices are up 0.2 to 0.5 percent. The Treasury curve’s slope is 1 bp flatter from Friday’s close of 44 bps. From a yield perspective, Treasury bills are unchanged to 1 bp lower, 2- to 10-year maturities are unchanged to down 1 bp, and long bonds are down 1 bp. This week, again, eyes will be glued to corporate earnings announcements and a number of economic releases including consumer confidence, FOMC rate decision and presser on Wednesday, and readings of personal income and spending from June. I shouldn’t ignore the 2Q GDP initial estimate due out on Thursday, but everyone already knows it’s going to be awful (current estimate is -35%) and likely to set an unenviable record. For a frame of reference, the lowest print during the financial crisis was -8.4% in Q4 2008.

Spread Commentary – Mixed Results

(Click links below for more details)

What We’re Reading

Market Today | Daily

Weekly Recap | Weekly, Friday

Brokered Deposit Rate Indications | Weekly, Monday

Investment Alternatives Matrix | Weekly, Tuesday

MBS Prepay Commentary (July) | Monthly, 5th business day

SBA Prepay Commentary (July) | Monthly, 10th business day


Freddie Mac: Mortgage Rates Rise for the First Time in Weeks

“30-year fixed-rate mortgage averaged 3.01 percent with an average 0.8 point for the week ending July 23, 2020, up slightly from 2.98 percent. A year ago at this time, the 30-year FRM averaged 3.75 percent.”


WSJ: Jumbo Mortgage Rates Are No Longer the Cheapest

“The average rate on a 30-year jumbo mortgage was 3.77% in mid-July, more than 0.4 percentage point above the average rate on smaller, conforming loans, according to, a personal-finance website. From mid-2015 until this spring, jumbo rates had been consistently lower than or equal to the rates on conforming loans.”

Vining Sparks: Coronavirus Chartbooks

PDF/Mobile: Coronavirus Chartbook (PDF)

Regulatory Links

Federal Reserve: 7/17 FRB modifies MSLP to provide greater access to credit for nonprofit organizations

FDIC: 7/10 Consolidated Reports of Condition and Income for 2Q 2020 (FIL-69-2020)

FHFA: 7/9 FHFA Extends COVID-Related Loan Processing Flexibilities for FN/FH Through August

FDIC: 7/1 FFIEC Joint Statement on Managing the LIBOR Transition (FIL-68-2020)

Federal Reserve: 7/1 Minutes of the Federal Open Market Committee, June 9-10, 2020

FHFA: 6/29 FHFA Provides Tenant Protections

Federal Reserve: 6/25 Results of stress tests for 2020 and additional sensitivity analyses in light of coronavirus

Federal Reserve: 6/25 Agencies finalize amendments to swap margin rule

LIBOR Transition Links

ARRC 7/8: ARRC Releases a Tool to Help Firms Move Internal Systems and Processes away from LIBOR

ARRC 6/30: Further Details Regarding Its Recommendation of Spread Adjustments for Cash Products

ARRC 6/30: Recommended Fallback Language for Private Student Loans

ARRC 6/30: Updated Recommended Hardwired Fallback Language for Syndicated Loans

ARRC 6/5: ARRC Welcomes CFPB’s Updated Consumer Handbook and Proposed Rule Facilitating Transition Away from LIBOR

ARRC 5/28: ARRC Welcomes FNMA and FHLMC’s LIBOR Transition Playbook

ARRC 5/27: ARRC Announces Best Practices for Completing Transition From LIBOR

ARRC 4/17: ARRC Announces Its Key Objectives for 2020

ARRC: 4/8:  ARRC Announces Recommendation of a Spread Adjustment Methodology for Cash Products

ARRC: Link to all ARRC Announcements

ARRC: Link to all ARRC Publications

ARRC: Link to ARRC Fallback Contract Language

Fannie Mae: LIBOR Transition Webpage

Freddie Mac: LIBOR Transition Webpage


SBA: 7/6  SBA and Treasury Announce Release of Paycheck Protection Program Loan Data

SBA: 6/19 SBA and Treasury Announce Enhanced Transparency Regarding the PPP

SBA: 6/17 SBA and Treasury Announce New EZ and Revised Full Forgiveness Applications for the PPP

SBA: SBA PPP Webpage

PPP Lending Facility (PPPLF)

Federal Reserve 7/10: Update on Outstanding Lending Facilities (PDF)

Federal Reserve 7/10: PPPLF Transaction-specific Disclosures (Excel)

Federal Reserve: PPPLF Webpage (includes Term Sheet + FAQs)

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