Sector Update

March 14, 2022



A few points to start your week


Individual Sector Updates – Click to Access

Agency Market | Agency MBS | Agency ARM | Agency CMO | Municipal Market | SBA Market | Interest Rate Products




Largest weekly movements in yields over the past ten years


Longer MBS spreads look wide by a variety of measures, even when including pandemic volatility


Today – Equities mixed, yields 7-13 bps higher, curve steeper, oil falls


Equities continued downward trend last week


Upcoming Webinars – (1 hour CPE available, registration opens 2 weeks prior to each webinar)

1/11: 1st Quarter Economic Outlook Webinar ( slides | webinar replay )

2/22 Bank: Positioning the Investment Portfolio for Performance ( slides | webinar replay )

2/24 Credit Union: Positioning the Investment Portfolio for Performance ( slides | webinar replay )

3/8 Bank: Balance Sheet Strategies in an Expected Tightening Cycle ( slides | webinar replay )

3/10 Credit Union: Balance Sheet Strategies in an Expected Tightening Cycle ( slides | webinar replay )

4/12 Bank: Interest Rate Swaps, Not Just for Hedging

4/14 Credit Union: Interest Rate Swaps, Not Just for Hedging

5/10 Bank: Balance Sheet Management and Your Loan Portfolio

5/12 Credit Union: Loan Participation Market Overview


Treasury yields solidly through pre-pandemic levels, Fed and inflation take center stage



Yield on 10-year 15-20 bps above pre-pandemic levels this morning, 5-year approaches 40 bps above


Yield on 3-year 40 bps above pre-pandemic levels this morning, 2-year 25 bps above


Curve Shape – 2s5s 4 bps wider last week, 30 bps flatter YTD through this morning


Curve Shape – 2s10s moves unchanged last week, 50 bps flatter YTD through this morning


Market moves put higher coupons at lower premiums or discounts



What We’re Reading


Market Today | Daily

Weekly Recap | Weekly, Friday

Monthly Review (February) | Monthly, 1st business day

Brokered Deposit Rate Indications | Weekly, Monday

Investment Alternatives Matrix | Weekly, Tuesday

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

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


WSJ: The Inflation Hits Just Keep Coming, Raising Stakes for the Fed

“Escalating sanctions by the West to punish Russia for its war against Ukraine are driving fears that an episode of increased inflation, already at its highest levels in 40 years, will become harder to wring out of the U.S. economy without a recession.”


Vining Sparks: Strategic Insight: HTM and Other Alternatives

The recent increase in interest rates and discussion of the Fed paring back its QE measures has caused many depository institutions to focus on their exposure to earnings and capital from rising interest rates. There are three primary areas where exposure to rising rates is most easily quantifiable: in net interest income simulations, in economic value of equity (EVE) simulations, and in projected price volatility for the investment portfolio. For institutions beginning to encounter exposure to higher rates, there are several strategic options available to reduce interest rate risk.


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