CMO Market Update

March 23, 2020

Although it seems routine at this point, we saw wild moves in Treasury yields last week with some shorter maturities declining more 20 basis points. Despite this, fixed rate agency CMO spreads didn’t budge. Granted, they had already widened out significantly in recent weeks to multi-year highs. Interestingly enough, floating rate CMO spreads widened week-over-week and now offer approximately +50 basis points for 5-7 year bonds tied to 1-month LIBOR.

Customers signed up for Vining Sparks Client Access can keep track of weekly spread updates on the website under the “Market Data” section, as well as our Spread Snapshot found unded “Other Resources”. Those levels are updated as of the close of business on Fridays. For a midweek update on spreads and analytics, please consider our Investment Alternatives Matrix. For more information, please contact your Account Representative.

I’ve included a table below showing fixed rate CMO spreads that regular readers will find familiar. One update to disclose: previously, the table showed “ High| Low| Current ” spread levels going back to the beginning of 2019. Given recent volatility, the table has been updated to show 2020 year-to-date values.

Travis Nauert, CFA

Analyst, Investment Strategies

Vining Sparks IBG, LP

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