CMO Market Update
September 17, 2018
This week we will focus on structure highlights so you can compare and contrast bonds similar to those we saw customer interest in last week. As usual (always?), we continue to see interest in front cashflow sequential structures (Highlights 1 and 2). Also, VADM structures remain very popular as they continue to look relatively valuable on a spread basis (Highlights 3 and 4). Lastly, if you missed the “August Trade Summary Analytics”, it is available here.
- Replaced the 5yr Treasury for a New 15yr 3.5 MBS for comparisons sake
- Highlight 4 is a great example of a VADM where an investor ok with the additional negative convexity profile can pick up nearly 20bps of yield over a similar, less negatively convex, VADM (Highlight 3)
9-18 (Tomorrow) Banks: Mortgage Market with a Focus on CMOs
9-20 (Thursday) Credit Unions: Mortgage Market with a Focus on CMOs
I appreciate when you guys email and let me know what you find more or less helpful. Also, I’m an email away if you want to see something custom offline, for example you have a grouping of bonds you would like to compare in the same format below.
Kevin A. Smith, CFA
Manager, Strategic Analytics
Vining-Sparks IBG LP