CMO Market Update

February 11, 2019

Last week, we saw good activity in VADMs with average lives ranging from 4-6 years. Generally, investors look to VADMs to help manage extension risk and cashflow volatility if rates move upwards. As of late, investors are also making sure cashflows don’t shorten up too much if rates fall from current levels. Looking at Structure Highlights, we have arranged 5 VADMs from shortest to longest Weighted Average Life (WAL), in addition to a 15 year MBS for comparison.

If you missed last week’s CMO update, the January Trade Summary is included below as well.


Travis Nauert, CFA

Analyst, Investment Strategies

Vining Sparks IBG, LP

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