CMO Market Update

August 19, 2019

Treasury yields declined again last week, leaving CMO spreads 2 basis points wider. As shown in the Spread Snapshot from the overall commentary, CMO spreads are roughly 30 basis points wider YTD. Among sectors for which we monitor and record spreads, no other product has seen widening to this extent in 2019, suggesting CMOs present improved relative value.

Those interested in deeper analytics for CMOs and other product types should consider our Investment Alternatives Matrix, published weekly.

Here you can gain a general idea of what is available in the market place and find metrics beyond yields and nominal spreads. Next to the Security Description in the first column is a breakdown of Weighted Average Lives in -200, Base Case, and +200 scenarios. This can assist investors in assessing extension or contraction risk. 12- and 36-month Total Returns are available as well.

Travis Nauert, CFA

Analyst, Investment Strategies

Vining Sparks IBG, LP

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