CMO Market Update

September 4, 2018

As promised last week, below is a summation of CMO investor activity for the month of August. Investors continue to favor front cashflows with WALs between 3-5 years and extension to the 6-7 years if rates increase markedly. Compared to last month, it appears we have seen increased activity in VADMs which isn’t too surprising given previous commentary.

For the month of August, investors continued to favor fixed-rate CMOs, so much so that the percentage of trades representing floating-rate CMOs in August was 0%.

The average fixed-rate CMO Vining Sparks traded in August yielded 3.10% and had a WAL of 3.7.

As always, I like to hear from my readers. It’s great when you guys let me know what you find helpful (or not) and if you want to see something custom offline.


Kevin A. Smith, CFA

Manager, Strategic Analytics

Vining-Sparks IBG LP

The information included herein has been obtained from sources deemed reliable, but it is not in any way guaranteed, and it, together with any opinions expressed, is subject to change at any time. Any and all details offered in this publication are preliminary and are therefore subject to change at any time. This has been prepared for general information purposes only and does not consider the specific investment objectives, financial situation and particular needs of any individual or institution. This information is, by its very nature, incomplete and specifically lacks information critical to making final investment decisions. Investors should seek financial advice as to the appropriateness of investing in any securities or investment strategies mentioned or recommended. The accuracy of the financial projections is dependent on the occurrence of future events which cannot be assured; therefore, the actual results achieved during the projection period may vary from the projections. The firm may have positions, long or short, in any or all securities mentioned. Member FINRA/SIPC.
Copyright © 2021
This is a publication of Vining-Sparks IBG, L.P.
775 Ridge Lake Blvd., Memphis, TN 38120