BARCLAYS-SECURITIZED PRODUCTS WEEKLY-100312

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      【出版时间及名称】：BARCLAYS-SECURITIZED PRODUCTS WEEKLY-100312
      【作者】：barclays
      【文件格式】：pdf
      【页数】：49
      【目录或简介】：
Trends and issues 5
Agencies performed well this week, with the Gold 6.5s strongly outperforming lower
coupons. Foreclosure to REO rates picked up significantly this month, leading to
renewed concerns of a housing downturn. On CMBS, we shift back to neutral on the
basis after the rally in the past three months. We remain overweight on Credit card ABS
and neutral on autos.
Prepayment commentary: Massive slowdown in GNMA prepayments 20
GNMA voluntary prepayments have dropped substantially, likely due to tighter
underwriting standards for FHA’s streamlined refinancing program. We expect
prepayments to remain muted until delinquency pipelines build up again. However, total
prepayments are unlikely to reach 2009 levels, and we expect GNMA/FNMA speeds to
converge substantially.
Agency MBS: Synthetic IO Index (IOS) – An introduction 27
IOS, a series of synthetic total return swap indices referencing the interest component
of fixed-rate agency MBS pools, began trading on March 12. We review the trading and
cash flow mechanisms of IOS, examine the key differences between IOS and trust IOs,
and evaluate the effect of IOS on the overall IO market.
Agency MBS: Impact of this month’s large increase in prepayment speeds
on MBS Index returns 34
Buyouts of delinquent loans in February produced some large increases in prepayment
speeds. The Barclays Capital MBS Index methodology incorporates the current month’s
published speeds on the 16th business day each month, and we estimate that there will
be a -12bp total return impact on the MTD returns.
Residential Credit: Re-REMICs – Relative value opportunities 35
Re-REMICs provide one of the few available investment grade opportunities in nonagencies.
This sector has seen increased liquidity and a wider choice or risk/reward
profiles. In this piece, we discuss structural and valuation aspects of the three-tranche
Re-REMICs structure.
Convexity/credit portfolio 41
The convexity portfolio gained 11.57% this week, bringing overall returns to 45.0%. The
credit portfolio gained 40bp over the week, to finish with overall returns of 31.1%.

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