RBS苏皇银行北美利率研究报告.pdf

Please see the last page of this publication for important disclosures. September 10 2010 y l k e Buy Swap Spreads: e W Get cheap options on QE2 | and a rise in financial stress y g e US Treasury Outlook and Week AheadPg 2 t a Weak data and upcoming events (Bernanke speech Friday August r 27th , and the Non-Farm Payroll report September 3rd) will limit any t S meaningful correction from current levels. Our bias continues to be for a flatter curve. s e We also take a look back at the extraordinary period of US monetary t policy history between 1933-1951. The Fed constantly reminds the nay- a R sayers that they still have plenty of tools in their arsenal to support growth. This historical overview suggests that they are right. S U Feature: Buy Swap Spreads: Get cheap options on QE2 and a rise in financial stressPg 8 Given the strong link between net Treasury supply and swap spreads, we think swap spreads are currently too narrow. The Fed’s current program to reinvest mortgage paydowns into Treasuries is bullish for swap spreads and this has yet to be fully reflected in current levels.