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【出版时间及名称】：2009年11月全球衍生品市场研究报告
【作者】：
【文件格式】：PPT
【页数】：52
【目录或简介】：
Key Themes – The Battle Between U and V
U that feels like a V: We expect a U-shaped economic recovery in the US that is sustainable despite
continued weakness in the US labor markets. Uncertainty over healthcare reform could prolong the hiring
drought and raise the likelihood of a job tax credit. We expect the Fed to begin raising rates in Q3 2010, but to
take a pause in 2011. A supply-demand imbalance in Treasuries should push real yields higher in 2010 and
2011. (Dick Berner).
Equity view: We remain constructive and believe S&P 500 has a fair value of 1050 ($70 at 15x) on a
fundamental basis, but 1,200 is possible as the market can trade above fundamental valuation. We are calling
for 2009 EPS of $55 and 2010 of $70 (Gerard Minack/Jason Todd). Focused on mid-cycle plays including
Energy, Tech Hardware and Transportation.
Equity Derivatives view: There is a better than even chance volatility will decline (low 20% for longerdated,
20% or high teens for short-dated) as fundamentals turn and markets heal, but the risk / reward for
positioning that way is poor. Instead, we advocate selling longer-dated volatility (in the 30% range) and
hedging with near-dated options when short-dated volatility/VIX is in the 20% range. We like selling
correlation generally across market opportunities and focus much of our effort at the single-name and sector
level. Forward dividends remain attractive. Sector transition opportunities are key now.
Credit view: We remain constructive on credit globally, based mainly on continued healing in the market.
Lower Treasury yields today and the risk of higher yields going forward will push flows into high yield bonds
and synthetic forms of structured credit.
Credit Derivatives view: We prefer selling volatility and convexity and like mezzanine tranche risk, tranche
steepeners, distressed forms of legacy bespokes, and selling default correlation. Within HY and loans, we like
super senior hedges as OTM downside protection, and mezzanine longs.
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