BMA/LIBOR mids


[Skip to the end]

Closing at the tights of the day.

One of the only ways to hedge higher tax rates.

BMA/LIBOR mids

Start Term Frequency Gross Net MBA Fwd Hedge Cost Floor Wgt Cap Wgt
5.00 5.00 12 98.74% 90.56% -8.18% 3.996% 60.5 -62.6
5.00 10.00 12 102.13% 92.92% 4.032% -9.21% 65.1 -70.5
2.00 8.00 12 96.91% 86.52% 3.653% -10.40% 58.1 -58.4
7.00 8.00 12 103.55% 93.98% 4.087% -9.57% 66.9 -73.8
5.00 15.00 12 103.83% 93.02% 3.957% -10.81% 67.3 -74.5
10.00 10.00 12 107.48% 93.70% 3.931% -13.78% 72.2 -83.0
15.00 15.00 12 110.80% 90.35% 3.686% -20.45% 76.6 -90.8
20.00 10.00 12 112.13% 88.71% 3.637% -23.42% 78.4 -93.9
15.00 5.00 12 108.82% 90.67% 3.764% -18.15% 74.0 -86.1

Using cap and floor hedge ratios from existing trades:

5.00 5.00 12 98.74% 92.94% 3.996% -5.79% 33.0 -13.0
10.00 10.00 12 107.48% 99.11% 3.931% -8.37% 38.0 -24.0
1.00 15.00 4 99.80% 88.40% 3.637% -11.40% 20.0 -15.0

**1×15 including 12% rate hedge

Feb-26-09 Change from Feb-25-09 Change from Feb-19-09 Change from Dec-31-08
3M 77.37500 -1.12500 -0.62500 -10.12500
6M 79.75000 -1.25000 -0.75000 -9.25000
1Y 83.62500 -1.25000 -0.50000 -6.87500
2Y 86.12500 -1.25000 -0.50000 -5.37500
3Y 88.25000 -1.25000 -0.50000 -4.25000
4Y 90.12500 -1.25000 -0.50000 -3.37500
5Y 91.50000 -1.25000 -0.50000 -2.75000
6Y 92.43750 -1.12500 -0.37500 -2.56250
7Y 93.37500 -1.00000 -0.25000 -2.37500
8Y 94.00000 -1.08330 -0.33330 -2.41670
9Y 94.62500 -1.16670 -0.41670 -2.45830
10Y 95.25000 -1.25000 -0.50000 -2.50000
12Y 96.75000 -1.25000 -0.50000 -2.25000
15Y 98.5000 -1.25000 -0.50000 -2.50000
20Y 100.37500 -1.25000 -0.37500 -3.37500
25Y 101.62500 -1.18750 -0.43750 -3.75000
30Y 102.87500 -1.12500 -0.50000 -4.12500
40Y 103.87500 -1.37500 -0.50000 -4.3750


[top]

This entry was posted in Credit and tagged , . Bookmark the permalink.

One Response to BMA/LIBOR mids

  1. Ed Rombach says:

    Warren – With 1-mo LIBOR @ 0.448% and the “AAA” BMA VRDN rate at 0.51%, what is the current hedge ratio for a 5yr BMA / 1-mo LIBOR swap?

    Are these swaps still viable for heding tax rate risk with 5yr “AAA” muni-rates 41bp higher than 5yr LIBOR swap rate? Or has the dislocation in the market made them dysfunctional?

    Thanks – Ed Rombach

    Reply

Leave a Reply

Your email address will not be published. Required fields are marked *

*

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>