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

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