2010年3月英国利率策略报告

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【出版时间及名称】：2010年3月英国利率策略报告
        【作者】：摩根斯坦利
        【文件格式】：pdf
        【页数】：32
        【目录或简介】：
US Interest Rate Strategist
Game On for Carry Trades
The Fed reaffirms its commitment to keep rates low for
longer which bodes well for carry trades. We expect frontend
rates to stay low for longer. January TIC data continue
to show a decline in demand for spread products. Foreign
accounts were net sellers of $25 billion long-term corporate
bonds versus $38 billion for all of 2009. The decline in
demand for spread product might be the first step in a move
toward higher yields, in our view. Although the end of Fed
asset purchases, liquidity withdrawal and potential for
language change in subsequent FOMC meetings present
uncertainties, reaffirmation by the Fed to keep rates
exceptionally low is a positive for carry trades.
Trading themes for this week are:
The continued decline in short-dated volatility presents
investors with simple, cheap opportunities to position for
rates to move. Whereas previously, we recommended
cheapening options through more complex structures (e.g.,
payor spreads, contingent payors), we now believe that
volatility has fallen enough to make the payouts of outright
options attractive. Specifically, we suggest:
· Long 1m10y ATM payor
· Long 6m1y ATM receiver, OR Long 6m1y ATM
straddle
In Mortgages, we discuss Fannie Mae’s latest update on
their delinquent loan buyout operation and consider the
implications in higher coupon rolls.
In addition, we model incremental convexity hedging
needs of the mortgage market taking Fed holdings and
delinquencies into account, and find that convexity
hedging needs have come down considerably and that the
hedging needs profile has become much more
symmetrical than we previously estimated.
Finally, we analyze relative value opportunities in the
IO/PO market and find that current IO and PO prices are
at odds with our expectations of buyout speeds. Based on
our analysis of relative value in the market, we
recommend:
· Buying the FNS 400 Trust IO
· Buying the FNS 397 Trust PO

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