Hier ein m.A. nach guter Wochenbericht zu den Bondmärkten

verfasst von nasdaq10000, 02.08.2003, 17:06

-->Fazit:

Kommt Big Allen und die Konjunkturdaten kühlen sich wieder etwas ab könnten wir nochmal gerettet werden. Der große Bondcrach steht wahrscheinlich noch nicht bevor. ABER es gab m.E. nach ein enormes Fehlentwicklung in den Aktienbewertungen. Der gefürchtete Bondmarktcrash kommt hier gerade Recht. Außerdem ist es gut, dass die corporate issuers wieder etwas an die kurze Leine genommen werden. Das war ja schon verbrecherisch was da im ersten Halbjahr an Emissionen abging...


Reuters
U.S. agency debt ends dismal week still vulnerable
Friday August 1, 3:49 pm ET
By Lynn Adler


(Updates with closing levels, adds analyst quotes)
NEW YORK, Aug 1 (Reuters) - Buying at deeply depressed
prices yanked U.S. agency debt up to recover much of Friday's
early sweeping losses, but many players were wary of
declaring the recent freefall over, agency strategists said.
Most agency yield spreads, battered in recent days from
mortgage hedging that pounded Treasuries and sharply widened
swap spreads, were wider by seven basis points or less late
Friday.
Spreads, whipsawed by key economic reports, spiked as
much as 14 basis points in the morning in the largest daily
move in several years, traders and strategists said.
"The volatility is not going to go away soon until we
stabilize in rates," said Ron D'Vari, fixed income research
director at State Street Research in Boston.
"We're going through some huge moves in the markets, and
the markets have as usual proven themselves not capable of
smoothly handling those moves," he said."We need some real
money support. You need the outsiders to come back in."
D'Vari said he is buying agencies and mortgages after the
plunge in those sectors and Treasuries that widened
intermediate agency spreads by more than 25 basis points in the
past two weeks.
Treasury 10-year note yields, which leaped as high as 4.59
percent early Friday after relatively healthy economic news,
rebounded to 4.41 percent late in the session. The catalyst for
the pop was a U.S. manufacturing report that was not as robust
as some market players had expected it would be.
The Institute for Supply Management's July manufacturing
index rose to 51.8 from 49.8 in June, in line with earlier
forecasts.
Swap spreads, a driving factor in the agency market's
recent dour performance, also gained ground after an initial
sharp widening.
Both agency and swap spreads remain considerably wider on
the week, however.
Mortgage holders were forced to dump debt like Treasuries,
agencies and swaps to hedge portfolios as interest rates sprint
higher. Traders worried that large portfolios would start
liquidating positions.
Agency and swap spreads are closely linked.
In a vicious cycle, hedge selling yanks rates higher,
further extending the life of mortgage portfolios
beyond expectations, triggering even more hedge selling.
"Every move that we get, whether to the upside or the
downside, is just so dramatic, and I think these definitely get
exacerbated by all of the hedging that goes on in relation to
the mortgage market," said Nancy Vanden Houten, analyst at
Stone & McCarthy Research Associates.
Mortgage debt is"an enormous market, and it creates a
situation where when rates rise, certain hedging activities
take place that cause rates to rise more and then more hedging
takes place," she said."It causes things to go in a vicious
cycle."
Treasury 10-year notes, a peg for mortgage rates, have
surged since digging out a fresh 45-year low of 3.07
percent in June.
"Everything happening now is swaps related, stemming from
extension fears in the mortgage market," said Rajiv Setia,
fixed-income strategist at Merrill Lynch & Co."The ferocity is
a function of how negatively convexed that market is... and
how it dominates."
In one example of the agency market's unraveling, Fannie
Mae five-year notes of August 2008, which were sold on July 23,
yielded about 61 basis points more than Treasuries.
That spread was 6.5 basis points higher on the day, but
well below the spread of 66 basis points earlier in the
morning. Still, the spread hurdled past the 36.5 basis points
at which Fannie Mae first sold the notes.
In early June, Fannie Mae five-year notes traded as tight
as 19 basis points, about one-third of the current spread.

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gesamter Thread:

• Hier ein m.A. nach guter Wochenbericht zu den Bondmärkten - nasdaq10000, 02.08.2003, 17:06
  • und hier die Blindgänger von der engl. FT - Titelstory der Druckausgabe! - kingsolomon, 02.08.2003, 19:18
    • Re: 'If we don´t have a depression caused by enormous debt defaults...' - - Elli -, 02.08.2003, 19:26
      • sorry, schlecht formatiert - kingsolomon, 02.08.2003, 19:41
    • Re: In diesem FT-Passus liegt der wahre Charme: - dottore, 03.08.2003, 13:52