CMO Market Update

October 15, 2018

Last week, we took a look at recent yield levels with the somewhat dramatic increase in benchmark yields. I wrote “it has been nearly a decade, ten-years, since portfolio managers have seen 3.50+ yields in intermediate term mortgage investments.” Investors are still focused on the shorter-end of the spectrum in CMOs but we do see them hanging on duration in other sectors, namely Munis and I want to show what’s available in CMOs as potential complements. This week I took a different tack with the Structure Highlights. Usually, I pick and choose representative positions by collateral type, referenced in the “Name” row. This week though, we are going to take a look at CMOs ordered by WAL from what I consider short to long. As always, please let me know if you have any questions or would like to see something tailored specifically for you.

Kevin A. Smith, CFA

Manager, Strategic Analytics

Vining-Sparks IBG LP

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