CMO Market Update

October 29, 2018

Treasury yields have backed off recent highs declining week-over-week by 10bps+ between 2 and 10 year tenors. A couple weeks ago I commented that it had been nearly a decade since portfolio managers have seen 3.50+ yields in intermediate term mortgage investments. You will notice we are back on that cusp represented below in the Structure Highlights.

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. To that end, we look at CMOs ordered by WAL from low to high this week.

As always, please let me know if you have any questions or would like to see something tailored specifically for you. Next week, we have our September Trade Summary Analytics on tap.

Kevin A. Smith, CFA

Director Investment Product Strategies

Vining-Sparks IBG LP

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