一个固定收益研究报告例子FixedIncomeRelativeValueStrategy.pdfVIP

Fixed Income Research Fixed Income Relative-Value Strategy Roger Quick, CFA David Matheson Friday, April 25, 2008 Focus: Canada Yield Curve and the Bank of Canada Government bond markets have gone through some wild gyrations in the past few weeks, largely a func- tion of events in the US Treasury market. Investors there have reassessed their expectations for Fed easing, and safe-haven concerns have subsided, in the wake of central bank liquidity measures, financial companies successfully raising new capital, and increased corporate bond issuance. The dovish Bank of Canada state- ment and weak Canadian retail sales this past week were consequently overshadowed. The Bank of Canada was dovish, even if it also said that the timing of any further cuts would depend on the data. This is a central bank that targets inflation, and that believes inflation will remain below target until 2010. The Bank also recognizes the threat to the real economy from the effective decline in the supply of credit caused by the global financial crisis. The risks are therefore that the BoC cuts further. Notwithstand- ing the events of the past week in US Treasurys, this suggests that Canada 2-year yields near 3% are rea- sonable value. It also argues for at least a modest re-steepening of the curve over the months ahead. The chart shows the 2x10 spread in Canada during the current easing cycle, which began Dec 4, compared to the 2x10 slope during previous easing cycles. The current episode has so far been very consistent with the two major easing cycles in the past, 1995 and 2001, and with our forecast (e.g. Oct 2 and Dec 18 rec- ommendations). The curve has flattened from its peak near 115 bps in March. Though it has re-steepened slightly in recent weeks, to about 88 bps this week, it remains near the flatter end of what appears “typical” for this point in the cycle. If the BoC