Barclays Securitized Products Weekly The pendulum swings推荐.pdfVIP

Securitization Research 24 May 2013 Securitized Products Weekly The pendulum swings Despite the wild moves in financial markets this week, there is little sign that the Views on a Page 2 global economic picture has suddenly changed. But what has changed, at least in Overview 3 investors’ minds, is the reaction function of the Fed and central bankers’ Convexity Portfolio 16 commitment to keeping rates low. Credit Portfolio 37 Agency MBS Too fast, too furious 6 Ajay Rajadhyaksha The mortgage basis underperformed sharply as rates sold off following perceived +1 212 412 7669 hawkish comments from Chairman Bernanke. The increasing uncertainty about ajay.rajadhyaksha@ tapering of asset purchases suggests the basis will remain volatile. As such, we recommend tempering the extent of any basis overweight. Prepayment commentary