Benchmarks for "Active" Fixed Income Funds
Download PdfARAM Research - Are Active Fixed Income Funds Active?
Download PdfT-Leaf Reading: Reading US Treasury Yields and Curves in the 21st century
T-Leaf ReadingReading the Bond Market - a new toolkit
Reading the Bond MarketDownload pdf
Interpreting Benchmark YieldsDownload pdf
Swaps RevisitedDownload the Full Document V1.02
PDF PrintoutHattori and Shin: The Broad Yen Carry Trade - Discussion Paper from the Institute for Monetary and Economic Studies of the BOJ - Oct 2007
PDF PrintoutUS Bond Market structure as of 2014. Includes data size and liquidity of Fixed Income sectors, and a detailed look into the liquidity of Non Agency RMBS
Overview of US Bond Markets - 2014* The Crisis Note commetaries were created when I was working as a saleman or sales-trader. They were written for the benefit of my investor clients, usually in the middle of the night, and most of them are the first and only drafts - timeliness was critical during the Crisis. There are likely to be errors in assumptions and data presented, and erroneous conclusions are possible, since nothing has been audited. They are sometimes not very polished or complete. They were usually delivered as a message or a link over Bloomberg.
The compliance and legal departments of my employers preferred that I disclaim and disallow my connection to them, as they often had economists and economics departments whose views contradicted mine. This is why the Crisis Notes were subsequently published in a personal blog, at shaeshah.blogspot.com.
As a result, it must be made clear that the views expressed within the Crisis Notes, and in commentaries since, are purely mine, and are not and were not the opinions of any of my employers.
The Disclaimer linked above also applies to all the Archived research and commentary on this page. Please do not make financial decisions based on any of these opinions without getting your own financial counsel.
Yen Carry Trade Papers
08/29/2007 - Rate Cuts Will Not Work
11/07/2007 - Zombies in Disneyland? And more pontification
12/13/2007 - Where's the Balance Sheet?
03/03/2008 - The Great Deleveraging is Only Just Starting - Unpublished/Incomplete
04/04/2008 - The Future Is Here
05/15/2008 - What's LIBOR Got to Do With It
06/10/2008 - Thoughts on FEB/ECB Jawboning
06/13/2008 - Inflation and Central Banking
09/08/2008 - FN/FRE Actions
10/04/2008 - We Will Never Live This Well Again
01/21/2009 - Excess Assets. Keynes, etc.
02/22/2009 - Understanding the US Economy - The Route of All Evil
08/15/2009 - This is NOT an Econonic Crisis; This is an Economics Crisis (work in progress)
10/11/2011 - Twist..ing in the Wind
10/11/2011 - Twist..ing in the Wind - continued
Archives: 1987 - 2000
1988: The TED Spread. A section from 'An Analytical Guide to Interest Rate Futures Spreads: The NOB, MOB and TED'. This describes the forces that determine the TED Spread - ie. LIBOR - in the Futures market. Merrill Lynch.
Download File11/19/1990 - Hedging Costs Can Drive MBS Relative Value. This article describes and creates the concept of 'Hedged Spreads' - what is now known as LIBOR OAS. Morgan Stanley.
Download File11/14/1991 - Understanding the TED Spread - Implications for Floating Rate Assets. This article describes the RTC-related T-Bill issuance that led to the tightening of the TED (and LIBOR/Swap) spreads, and makes predictions about future LIBOR spreads based on T-Bill supply. Morgan Stanley.
Download File11/12/1997 - T-Bill Issuance and LIBOR, a message to clients. This follows up on the 1991 RTC/T-bill LIBOR article, describing the reduction in T-bill issuance that has caused the 1997 widening of LIBOR, and describes the implications for fixed rate and floating rate assets. Amherst Securities.
Download File1994 - MBS Performance and Relative Value - Nomura MBS Strategies Group. This was our monthly report that we sent to clients, from when Mr. Shah was the Senior MBS Strategist for Nomura Securities. It incorporates one of the first uses of Breakeven spreads as a relative value measure.
Download File1994 - Nomura MBS Strategies Group publication list. Found hiding in an old resume from 1994, from when Mr. Shah was the Senior MBS Strategist for Nomura Securities. Unfortunately, no copies of most of the articles themselves can be found, although many of the analytical techniques and tools that Mr. Shah developed are still relevant, and can be recreated.
Download File1994, 1998 - Relo MBS Research from Nomura days and as a saleperson at Amherst Securities.
Download File6/1/93 - Nomura MBS Strategies article - Also found attached to an old resume - this strategy piece uses Agency (FNMA) financing costs to make recommendations about MBS passthroughs, extending the concept of identifying the marginal buyer (FNMA) and their hurdle rates to determine relative value.
Download FileMBS Strategy Business Plan
MBS Strategy Business Plan