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 |
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