CMO Market Update
June 11, 2018
- The best activity remained in front sequentials. Most were full coupon or coupons cut by 0.5%.
- A significant portion of last week’s limited activity was in very short average life tranches, call it ~1.2 years on average.
- Par and near floaters saw more traction than usual last week, and it is realistic to expect investors will continue to diversify their variable holdings.
- Portfolio managers continued purchasing short “money market” tranches. A few months ago, most of this paper featured well above market coupons and big premium prices. This is not the case for some recent offerings.
Kevin A. Smith, CFA
Manager, Strategic Analytics
Vining-Sparks IBG LP