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【出版时间及名称】：2010年3月美国美国利率策略报告
【作者】：摩根斯坦利
【文件格式】：pdf
【页数】：37
【目录或简介】：
US Interest Rate Strategist
Et Tu, Data?
Beware, for the Ides of March are upon us. Economic
bears have taken solace in the fact that bond yields
have remained low. But we see it differently, as the
bond bulls may soon be betrayed by friendly
economic data. And even the bond market could
begin to signal the sustainability of economic recovery.
We expect yields to rise sharply and the curve to
steepen as a result.
A seasonal turn – most bearish for bonds: As we
leave winter and enter spring we will leave behind us
the worst quarter of growth with 1Q GDP at ~2% and
look forward to the best quarter of growth with 2Q
GDP expected to tip 4%. Further, bond market
seasonality measures indicate that the period from
late March to June has a distinct bias for rising yields.
This adds fodder to the positive economic
fundamental expectations that lie ahead.
􀂃 In Treasuries, we look at the extreme narrowing
of swap spreads over the past 2-3 weeks. We
discuss the factors driving this move and
conclude that the spread narrowing does not
represent a reduction in credit risk. Trades we
recommend include selling 10y spreads on a 5s-
10s-30s spreads butterfly or conditional FV
invoice spread wideners to take advantage of vol.
􀂃 In Vol, we look to current extremes to put on
inexpensive trades for higher rates and vol in the
short term. We suggest 1) 3m one-touch digital
option on 10y CMS struck at 4.50% for 27.5bp; 2)
long $100m 6m10y payor struck 1bp OTM, short
$425.8mm 6m2y payor struck ATMF; and 3) long
$100mm 3m10y straddles, short $100mm 1y10y
straddles.
􀂃 In MBS, we try to quantify how TBA deliverables
should change across the coming months.
These deliverable assumptions help identify fair
value for $ rolls. We recommend selling the
FNCL 6 Apr/May roll. We also introduce Markit
IOS index as a proposed total return swap index
on the IOs.
􀂃 In Agencies, this week we focus on political
environment for the GSEs.
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