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

ksmith@viningsparks.com

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