CMO Market Update

October 9, 2018

A couple of interesting things are on the docket this week. First, with the recent and somewhat dramatic increase in benchmark yields, I have some structure highlights along with a comparable treasury and MBS to help give you a feel for where the market is at right now. By my estimation, it has been nearly a decade, ten-years, since portfolio managers have seen 3.50+ yields in intermediate term mortgage investments. Secondly, since last week was month/quarter end, the September Trade Summary is below for those wrapped up with other commitments last week.

September Trade Summary

Kevin A. Smith, CFA

Manager, Strategic Analytics

Vining-Sparks IBG LP

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