CMO Market Update
November 13, 2018
Last week we saw investor activity in roughly the same portions we saw for the month of October including full coupon sequentials and VADMs. Of note last week, we saw investor activity in slight discount GNMA CMOs. All else equal, I think we would all agree a GNMA CMO is a good pick when offered at or close to the same risk/return profile of a FN/FH CMO. Below is a snapshot of what those positions looked like on the whole.
I’ve also included the October Trade Summary below again for those wrapped up with other commitments last week.
October Trade Summary
- Third month in a row purchases were almost exclusively fixed-rate
- Outright yield levels continue to look compelling
- 5yr Treasury yield held steady in October moving only 2bps from 2.96 to 2.98 and is 3.01 currently
Kevin A. Smith, CFA
Director Investment Product Strategies
Vining-Sparks IBG LP