CMO Market Update

July 27, 2020

Spread Movement

Spreads to Treasury yields for fixed-rate CMOs were unchanged last week. Month-over-month, spreads have tightened 7-8 basis points depending on maturity and structure. As shown in the chart below, we are approaching the bottom end of the 2020 range, and currently sit at levels last seen around late February, just before highs were reached in the midst of the pandemic and subsequent Fed purchasing of MBS.

Customers continue to be active in the Agency CMO space, among others. The trends have been steady as well. Below is a summation of what we’ve seen in recent weeks:

Investor and Product Trends

Travis Nauert, CFA

Analyst, Investment Strategies

Vining Sparks IBG, LP

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