CMO Market Update
August 6, 2018
Investors, whether in CMOs or MBS, continue to favor front/short cashflows with WALs between 3-5 years and extension to the 6 to 7 years if rates increase markedly.
The average fixed-rate CMO Vining Sparks traded in July yielded 3.18% and had a WAL of 3.9.
The average floating-rate CMO Vining Sparks traded in July yielded 2.40% and had a WAL of 6.5.
Stronger secondary market bids, especially for shorter CMO structures, should continue to facilitate extension trades and other swaps.
Kevin A. Smith, CFA
Manager, Strategic Analytics
Vining-Sparks IBG LP