ARM Update

June 4th, 2018

CMO activity was quite slow for most of the short week. The best activity remained in front sequentials. Modest coupon cuts and also full coupon sequentials off of 30yr 4% and 4.5% FNMA/FHLMC collateral continue to compare well to 15yr and 20yr pools, with similar cash flows and higher yields and spreads.

Bid wanted activity picked up as prices rallied early in the week, forcing spreads temporarily wider. Most of this was longer bid lists, many of which did not trade. There were, however, many one and two bond lists, mostly smaller blocks, that represented serious inquiries.

Some portfolio managers purchased short “money market” tranches. A few months ago, most of this paper featured well above market coupons and big premium prices. This is not the case for some recent offerings.




James Plunkett

Director of Investment Product Strategies

Vining Sparks

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