Le transcript du T3-2013 est disponible, ainsi que le rapport trimestriel.
1) Ils reviennent à nouveau sur de la FNMA 15 ans, qui est redevenue d’après eux plus intéressante (après hedging) que la FNMA 30 ans :
L’explication est un peu technique sur les inconvénients du swap 7 ans (qui permet d’hedger la FNMA 30 ans) :
Kevin Grant a écrit :
Kevin Grant - Chief Executive Officer, President and Chairman-Board of Directors
Well, this is the problem with a 30-year market, is the curve is so steep, especially five years and out. What we really want to do is gain exposure to the seven year and 10 year part of the curve, because the 30-year mortgage has extended so much. They’re way out on that part of the curve and it’s expensive. There is two components to the expense, one is to carry. So you’ll strike a seven-year swap at 220, which is pretty rather expensive.
But the roll down, so when that seven-year swap becomes a six-year swap a year from now, the mark-to-market cost is going against you. So you could have an environment where over the next year rates go up, but your hedge because of the roll down actually goes against you. And there in lies kind of this hidden cost that most people don’t focus on, but obviously we focus on, because there is impact on the NAV of the business.
It’s costly on a carry basis to begin with, but that’s where really where the big cost is that roll down. By the way, that’s true about just the vanilla swap, it’s true of a cap, it’s true of a swaption, it’s true of anything that you’re going to strike out on that part of the curve.
Ici sur la différence d’exposition au risque de taux entre la FNMA 15 ans et 30 ans :
Kevin Grant a écrit :
The rate call question, this is really a very quantitative detailed question. And hopefully I won’t answer the question with too much jargon, but it’s going to take some jargon to do it. The 15-year product has a lot of key rate exposure to the belly of yield curve, the four year, five year part of the year curve. So that means that when you own a 15-year mortgage, you really need to use a hedging instrument that’s right there, right in the four year, five year part of the curve and that’s what we do.
The 30-year security has a lot of key rate exposure way longer out on the curve; seven, 10 and actually even little bit of 30-year exposure. And obviously what that means is that if you want to truly hedge the interest rate risk, you got to use those longer dated instruments.
So if you look at our asset breakdown, most of our anniversaries are hedges, most of our hedges are really focused on that four year, five year part of the curve. So to a very large extent we mitigate the curve exposure for that component, the rate exposure.
One other very important benefit of 15-year mortgages, because what I just described is this instantaneous interest rate shift risk, but this is a living, breathing company and it generates returns through time and through time you got to look at cash flows in a 15-year mortgage, because it’s fully amortizing, it has a lot more cash flow, a lot more scheduled principal every month. So that actually is a major beneficiary, because you’re just getting more cash every moth to reinvest in the current environment.
2) Ils aimeraient acheter plus d’hybrid (taux fixe puis variable) mais le marché est trop étroit
3) Aucun pb de REPO, les agencys RMBS continuent à être très appréciées justement parce qu’elles ont un collatéral
4) Ils pratiquent autant que faire se peut le rachat d’actions, spécialement quand le titre est autant décoté, mais sont conscients que leurs actionnaires comptent sur les dividendes et le dividende reste la priorité
5) Cette fois encore, la duration nette n’est pas communiquée, ils renvoient à la table des sensibilités fournie avec le rapport trimestriel, que voici :
La sensibilité, déjà élevée, a encore augmentée mais doit maintenant s’apprécier avec un levier à 6,5+1 = 7,5 contre 7,5+1 = 8,5 précédemment.
Une hausse de 25 points de base impactera à la baisse l’actif net de 5,6% ; une de 50 pts de 11,4%.
Une hausse de 25 points de base impactera à la hausse l’actif net de 5,2% ; une de 50 pts de 9,7%.
--
Je continue à penser que CYS est intéressant comme actif de décorrélation du portefeuille d’actions "classiques".
Membres
Hors ligne
2 
Hall of Fame 
