Conundrum Circa 2010

- Conundrum Circa 2010: "Long-term interest rates are implying almost perfect likelihood of significant balance sheet expansion by the Fed. A sell-off is likely if this view is not confirmed at Jackson Hole."
- Duration of Fed Purchases on Par: "Relative value of securities that the Federal Reserve targets appears to be of a second order concern."
- It is not too late to Hedge a Double Dip: "Buy 1y5y receiver 50bp/100bp spreads to hedge a modest one, 1y30y 75bp or 100bp low strike 50bp wide receiver spreads for a large double dip."
- The Year of Idiosyncratic MBS Prepays: "While ‘insta-refi’ fears linger, delinquent buyout fears taper. We consider government engineered refis a low probability event with undesirable side-effects. We continue to recommend MBS basis longs."
- Agency Debt: "With high negative convexity and tight yield spreads to bullets, investors should seek quality yields in the callable agency sector. 4nc1 and 5nc1 callable agencies provide a good balance between reduced negative convexity, reasonable OAS and yield."
- US Rate Strategy Model Portfolio: "The portfolio is up 1.2% month-to-date."


No comments:

Post a Comment