MONITOR CMS/Tarn - XXI

[Jailbreak74]

Si prosegue da qui



http://www.finanzaonline.com/forum/s...1#post24571637

[Jailbreak74]

[zanzarame]

Ciao.

Leggevo sul vol XX del fix della ML2013: quale valore è stato fissato?

Grazie.

[Jailbreak74]

Originalmente inviato da zanzarame

Ciao.

Leggevo sul vol XX del fix della ML2013: quale valore è stato fissato?

Grazie.

intorno al 9.4%

esiste il 3d apposito, è quello che il cui titolo termina con 6.96%

[Jailbreak74]

04 Marzo 2010

7,504%

CMS 10-2 = 1,876%

La felicità è vera solo se condivisa.

[Jailbreak74]

05 Marzo 2010

7,356%

CMS 10-2 = 1,839%

La felicità è vera solo se condivisa.

[innocentiproject]

alludi a ML 13?

[macchia nera]

...intanto oggi il Council of Europe ha scambiato a 100

[maxinblack]

Ciao a tutti, e, la prima volta che posto in questo 3d, seguo prevalentemente le perpetuals, molte di loro hanno una struttura postcall tipo 4x10a-2a che le fa somigliare ai titoli di cui discutete,

Ho trovato su un forum olandese http://www.iex.nl/forum/forum.asp?forum=1977
un 3d su perpetual e steepeners

C'e' un commento in inglese che riporto integralmente, in cui si suggerisce di entrare adesso su perpetual e steepeners con la suddetta struttura 4x10a-2a ,o simile.

Elenca anche vari titoli sotto la pari familiari ai perpetualisti,

non essendo ferrato sull'argomento, ma avendo gia' alcune Perp, con post call 4x10a-2a
mi interesserebbe la vostra opinione a proposito specialmente sulle ipotesi del cpmmento, visto che seguite questo 3d da molto tempo e sicuramente piu' competenti del sottoscritto





questo l' articolo che vi posto:

Indeed in recent years we were confronted with an extremely low interest rate differential between 2 and 10 year swap rate, or with a very flat yield curve.

In the context of this article, there are the flat yield curve where the difference between 2 and 10 year rate is less than 0.25% is.

The recent developments in the credit market, influenced by the problems in the subprime crisis, the curve is somewhat inverted.

The real question is will this continue steepening, what lies at the root and how far can this trend continue.

Sometimes it is good to take a step back in time.

I also go and see how the 2 / 10 year yield curve has worn since 1970.

We see that there is a cyclical pattern in this plot development is to observe the following characteristics.

1 a cyclical movement in the 2.10 spread that lasts approximately 9 years, of which about 4.5 years and 4.5 years an upswing a seesaw. 
2 the average results in the cyclic period is about 270 basis points positive, and 100 bp. negative 
3 the period 1973-1995 was further extended by the unification of Germany. In that period, the maximum results 200 bp. positive and 200 bp. negative. 
4 The 2 year rate moves in a shorter cyclical movements roughly 9 years 
5 The cyclical movement in the 10-year is about 7.25 years. 
6 Since 1995, we see a rash becoming smaller. In this period we have a positive curve of 200 bp but not negative 
7 The most recent movement began in 2000 with a peak in 2004 and one end of the trend in 2007.

Since August 2006, the 2.10-year spread is smaller than 25 bp and a very short period even slightly negative. Recently the spread widened again to about 50 bp.
Also in the swap rates we see a similar pattern, because since December 2007 is the 2.10-year swap spread back 40 bps and higher.

What more can we expect?

In previous cycles, the steepening yield curve through the deployed through the short side of the curve, namely the change in the 2 year rate, which is also a pattern longer than the 10 year.

When central banks announce their monetary policy tightening will not go, so stop raising short rates, we see a decline in the 2 year rate.

This is currently applicable.

The European Central Bank, though still very vigilant. Gives its policy of rate increases put stop, now the refi rate is increased from 2 to 4%.

A first signal of change of policy by the ECB, and the shift to expansionary monetary policy, even by cutting interest rates, in my opinion should be expected by mid year.

This analysis shows that a cyclical pattern occurs in the difference between 2 and 10 year rate, driven by either structural or incidental factors. Similarly, it appears that for decades the interest rate difference, irrespective of the amount of the nominal interest rate, operates within certain limits, both positive and negative. We also know that a flat or inverted yield curve is not normal and certainly does not stand long, and after a certain time knows will return to normal.

I can not find arguments which I should infer that the pattern of the past 35 years will now change contrast, all indicators suggest that we are on the eve of a further normalization of the yield curve. The rate at which this occurs and the extent to which the curve further versteild is important.

Based on historical trends, I may presume to assume that this cycle, which recently deployed in the second half of 2011 will reach its peak, with an interest rate differential between 2 and 10 year interest rate of between 100 and 150 bp.

Certainly not for every investor, but for those who have patience and have a certain impact have speculative (and who does not exist at investor days), the so discredited Steepener bonds issued in the years 2004-2006, and mostly impaired to 70% and lower prices, will bring back some value.

If my vision is correct and the next few years the 2.10-year spread rose again to 125% over current rates seem promising for a repair, and an above average return possible.

More attractive are those loans over the next 2 years have a fixed coupon offer in 2010-11 and the spread 4 times the difference of 2 and 10 year interest be valued


You can think of:


For loans from prime borrowers stretching to 2015 KFW 1.5% annually in May in which the coupon is adjusted to 4 times (10-2 yrs) swaps. Rate now 86%


European INV. Bank 1.5% running until 2015, with annual coupon is adjusted in May 3 times (10-2yrs) swap interest rate now 85%


Europ.Inv Bank 5% running tor 2020, with effect from Feb.., 2008 the annual coupon is adjusted to 4 times (10-2yrs) interest rate swap now 79 


Rabobank 6% running until 2035. 2010 to receive a 6% coupon, from May 2010 to 2035 annual 5 times (10-2yrs) swap interest rate now 72%


For the more speculative investor:


BNP running 5% to 2020. Until June 2010 will receive a 6% coupon annually thereafter 
4 times (30-2yrs) swap rate, current rate 77%

Only a selection from a number of possibilities.

Note it needs to fit in your profile
,
Joop Bresser.

Bresser for his retirement was director fixed income at Delta Lloyd Asset. Today he is active as afviseur at many institutions and organizations.


Here is a list "real" Steepener a list and associated products. I have restricted myself to funds that are traded on Euronext Alex and last until at least 2030 or be perpetual.

Steepener:

6% cum pref non Alpha Group in 2005
Fund Code 15,187, Isincode DE000A0DX3M2;
Interest to 18/2/10 6%, then 4 * (10yr - 2yr CMS) with a minimum 3.25% and max 10%;
Noncumulative preferred, perpetual, callable 18/2/15;
Last Done 48.00 (on 25/9/09, so very illiquid!, Slightly more marketable in Frankfurt)

6% Deutsche Postbank Perp. II 2004
Fund Code 11,657, Isincode DE000A0DHUM0;
Interest 4 * (10yr - 2yr CMS) with a minimum 3.75% and max 10%;
Non-cumulative trust preferred securities, perpetual, callable from 23/12/09 (not done!);
Last Done 74.34

6% Dutch Waterschapsbank 05-35
Fund Code 15,378, Isincode XS0219499653;
Interest to 1/6/10 6%, then 4 * (10yr - 2yr CMS) with min max 2% and 9%;
Repayment on 1/6/35;
Last Done 83.01

6948 Dutch Waterschapsbank 05-35%
Fund Code 15,501, Isincode XS0225342970;
Interest 4 * (10yr - 2yr CMS) with min and max 1.5% 9%;
Callable from 15/8/15, 15/8/35 repayment;
Last Done 83.23

NIB Capital Bank 2005-2040 FX Rate
Fund Code 15,157, Isincode XS0210781828;
Interest 4 * (10yr - 2yr CMS) with a minimum 2.85% and 8.5% max;
Callable on 21/2/35, 21/2/40 repayment;
Last Done 47.10

5548% Rabo Ned Steepener 2005-35 (15181)
Fund Code 15,181, Isincode XS0211840391;
Interest 4 * (10yr - 2yr CMS) with min max 2% and 9%;
Callable from 23/2/10, 23/2/35 repayment;
Last Done 84.54

5548% Rabo Steepener Notes 2005-35 (15197)
Fund Code 15,197, XS0211174049;
Interest 4 * (10yr - 2yr CMS) with min and max 2.5% 9%;
Callable from 22/2/10, 22/2/35 repayment
Last Done 86.00

6% Rabobank 2005-35
Fund Code: 15328; Isincode XS0217518397;
Interest 6% to 9/5/10, then 4 * (10yr - 2yr CMS) with min max 2% and 9%;
Callable from 9/5/10, 9/5/35 repayment;
Last Done 83.50

6164% Rabobank Netherlands 2005-35
Fund Code 15263; Isincode XS0214155458
Interest 4 * (10yr - 2yr CMS) with min max 2% and 9%;
Repayment on 23/3/35;
Last Done 87.75

SNS Bank 6% 05-35
Fund Code 15171; Isincode: XS0209792166;
Interest 6% to 26/1/10, then 4 * (10yr - 2yr CMS) with a minimum 3% and up 10%;
Repayment on 26/1/35;
Last Done 72.50

Floaters with a spread rate depending
These products, unlike the "real" Steepener that in a steep yield curve can provide a very high rate, but a smaller spread in the rate to a lower (or no) interest could lead.

With a fixed rate cap:
ABN AMRO Range Accrual Note
Fund Code 11,679, Isincode NL0000116796;
Interest to 17/3/10 6%, then 5.6% * (% of days (10yr - 2yr CMS)> 0);
Unsecured, unsubordinated, redemption on 16/3/35
Last Done 68.09

6.5% Merrill Lynch Note 07-37
Fund Code 81,774, Isincode XS0294239628;
Interest to 18/5/12 6.5%, after 6.5% * (% of days (10yr - 2yr CMS)> 0);
Callable from 18/5/12, 18/5/37 repayment;
Last Done 70.55

With CMS (+ any storage) as the upper limit:

7% Deutsche Bank Trust 1 End Cap 05-20
Fund Code 11,725, Isincode DE000A0E5JD4;
Interest to 27/6/10 7%, then 1.75% 10yr CMS with min and max 10 * (10y - 2Yr CMS);
Trust Preferred Securities, perpetual, callable from 27/6/15, 27/6/35 repayment;
Last Done 63.00

3643% European Invest. Bank 05-30
Fund Code 15511; Isincode XS0224480722
Interest 10yr CMS with max 7 * (10yr - 2yr CMS)
Callable from 17/8/09, 17/8/30 repayment;
Last Done 76.43

5266% JPMorgan (Princ Prot) 05-35
Fund Code 15,435, Isincode XS0221896110;
Interest 10yr CMS + 165 bp with a maximum of 8 * (10y - 2Yr CMS);
callable from 30/6/15, 27/6/35 repayment;
Last Done 60.20

0% JPMorgan 05-35
Fund Code 15,540, Isincode XS0228393731;
Interest (10yr CMS + 70 bp) *% days (10yr - 2yr CMS)> 0.25
Callable from 30/9/15, 30/9/35 repayment;
Last Done 58.75

4498% Comp JPMorgan 05-35 (FRN)
Fund Code 15,573, Isincode XS0232829415;
Interest 10yr CMS + 100 bp with a maximum of 9 * (10yr - 2yr CMS);
Callable from 4/11/15, 4/11/35 repayment;
Last Done 59.50

6% Dutch Waterschapsbank 05-45
Fund Code 15378; Isincode XS0219499653
Interest to 1/6/10 6%, then 10 yr CMS with min and max 1.5% * 6.5 (30 yr - 5 yr CMS);
Repayment on 30/6/45;
Last Done 72.01

[vbaioni]

Non sono riuscito a capire quando è stata fatta questa analisi, ma in generale è condivisibile.

Based on historical trends, I may presume to assume that this cycle, which recently deployed in the second half of 2011 will reach its peak, with an interest rate differential between 2 and 10 year interest rate of between 100 and 150 bp.


Solo che adesso il differenziale è di 185 bp! Siamo, da alcuni mesi, in un periodo statisticamente eccezionale se consideriamo quello che è accaduto nei 30 anni precedenti.
Può darsi che questo periodo si protragga ancora per qualche tempo, e che il ritorno alla normalità (sotto i 150bp) non avvenga prima che siano fissate le cedole per il 2011, ma ritengo impossibile che, prima o poi non accada. (La media che avevo calcolato sui 30 anni era di circa 75 bp).

Sicuro quindi che il differenziale calerà quindi l'attrattività, ed il prezzo di questo tipo di obbligazioni caleranno, ma altrettanto sicuro che queste obbligazioni adesso hanno un rendimento paragonabile solo alle reverse floater di ABN e Barclays

Fatto questo quadro generale, mi sembra che ci siano ancora delle differenze (inspiegabili) tra i rendimenti delle varie emissioni, prendo ad esempio i casi, ampiamente discussi in questi forum, della Merrill Linch 2013 che l'agosto scorso quotava sotto i 100 o la Consiglio d'europa che nello stesso periodo prezzava circa 85.
Adesso non riesco a capire, per esempio il prezzo della Repubblica austriaca, ma mi figuro che di casi del genere ce ne siano parecchi.
Dunque piuttosto che incrementare le quote di questi strumenti, mi focalizzo sulla scelta di quelli al momento più convenienti secondo i paremetri di rendimento - commerciabilità - solidità dell'emittente.