CMO Market Update

July 2, 2018

Investors continue to favor short cashflow structures.

For the month of June, investors favored fixed-rate CMOs but there was still good activity in floating-rate CMOs.

The average fixed-rate CMO Vining Sparks traded in June yielded 2.94% and had a WAL of 5.2.

The average floating-rate CMO Vining Sparks traded in June yielded 2.35% and had a WAL of 4.8.

The flat yield curve continues to make intra-sector bond swaps harder than usual to make sense. Most CMO trades in June represented cash and bond paydowns being put to work. There also looked to be some oddlot clean up trades going on as well.

Kevin A. Smith, CFA

Manager, Strategic Analytics

Vining-Sparks IBG LP

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