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
- At 96% of purchases, fixed-rate CMOs dominated investor attention.
- Outright yield levels are appealing
- 5yr Treasury yield was up 20bps over September from 2.74 to 2.94 and is 3.06 currently
Kevin A. Smith, CFA
Manager, Strategic Analytics
Vining-Sparks IBG LP