Bear Stearns: Across the Curve

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192205.pdf (311.21 KB)

2008-2-6 13:42:00 上传

Bear Stearns: Across the Curve

In Rates – Interest Rates: The Teleological View

Interest rates are on a journey, but have not yet reached the goal.

 

·      Economics – Recession Odds Increase But Inflation Risks Remain

We only hope that when inflation pressures become more manifest in the United States that the Federal Reserve reverses course and acts in a timely and decisive manner to contain these inflation pressures.

 

·      Treasuries/Agencies – Bad News for the Agency Basis

Credit and a supply and demand mismatch in January forced agency spreads wider.  That’s likely to stick around.

 

·      Interest Rate Swaps/Options/Futures

–    Time for the Bear Steepener?

To steepen further, the curve may need higher rates in the long end.

–    LIBOR Funding Issues Resurface

Funding concerns have been forcing 3m LIBOR tighter. We look at a March put tree to take advantage of this.

 

·      Agency MBS – MBS Advantage: Where to Go When PACs Are at a Premium

Front-end sequentials backed by 15-year 4.5% collateral offer stability for investors worried about the call risk of premium PACs.

·      ABS and Non-Agency MBS – If You Could Find It: Part II

Prime/jumbo MBS volume in 4Q07 was less than 10% of 1Q volume. Differences in the collateral mix do not appear to be as drastic as we observed in subprime. However, OCLTVs increased.

·      CMBS – Headlines or Reality?

We review recent headlines highlighting commercial real estate market dynamics and analyze BBB CMBS credit adjusted yields based on various cumulative loss scenarios.

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关键词：Stearns Across Cross curve Ross curve Across Bear Stearns