CMO Market Update
July 30, 2018
As mentioned last week, below is a summation of investor activity for the month of July for the CMO desk.
Investors continue to favor front cashflows with WALs between 3-5 years and extension to the 6 to 7 years if rates increase markedly.
For the month of July, investors continued to favor fixed-rate CMOs and the percentage of floating CMOs purchased decreased from the previous month.
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.
The trade desk would like to see any positions you may be considering or evaluating for sale this week.
Kevin A. Smith, CFA
Manager, Strategic Analytics
Vining-Sparks IBG LP