als Sicherheit und natürlich nur vorübergehend :

Commercial Mortgage-Backed Securities – AAA
Mortgage Backed Securities (includes agency and private
label)
Collateralized Mortgage Obligations – AAA (includes agency
and private label)

Bear Stearns Analysis on Central Bank Actions This AM

BOTTOM LINE:  While this measure falls short of comprehensive reform of the Fed’s liquidity-providing mechanisms, it does represent two important advances in the current environment.  First, it provides a term lending facility at a market-determined rate for participants and collateral that were eligible for the discount window (in effect, a de-stigmatized market determined discount rate at or above the fed funds).  Second, it provides dollar liquidity to ECB and SNB counterparties who were not eligible to come to the discount window.  However, the measure does not provide for funding to non-bank financial institutions (unless eligible banks bid for terms funds on behalf of such entities.  Also, we are perplexed at the timing of the announcement since the Fed missed the opportunity of unveiling this facility alongside its FOMC statement, which subjected the rates and equity markets to tremendous volatility.  In effect, the rates market has unwound yesterday’s Treasury rally and widening in swap spreads.  It remains to be seen whether this welcome and creative step by the Fed will have further impact beyond this unwinding of yesterday’s moves in market prices.  We will be watching the impact on LIBOR and the funding markets next week as these liquidity injections take place.  However, perhaps the most important development here is the recognition by central banks of the size of the problem in the funding market and that coordinated actions are needed.  If these steps fail to have the desired effect, other steps can be expected.
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Bear Stearns

**  Global central banks announced today a series of temporary measures to address pressures in funding markets.

FEDERAL RESERVE

The Fed will establish a Term Auction Facility (TAF) that will auction term funds to depository institutions against the wide variety of collateral that can be used to secure loans at the discount window (for a list eligible collateral and haircuts, go to: http://www.frbdiscountwindow.org/discountmargins.pdf).  The details of the auction are as follows:

“Each TAF auction will be for a fixed amount, with the rate determined by the auction process (subject to a minimum bid rate).  The first TAF auction of $20 billion is scheduled for Monday, December 17, with settlement on Thursday, December 20; this auction will provide 28-day term funds, maturing Thursday, January 17, 2008.  The second auction of up to $20 billion is scheduled for Thursday, December 20, with settlement on Thursday, December 27; this auction will provide 35-day funds, maturing Thursday, January 31, 2008.  The third and fourth auctions will be held on January 14 and 28, with settlement on the following Thursdays.  The amounts of those auctions will be determined in January.  The Federal Reserve may conduct additional auctions in subsequent months, depending in part on evolving market conditions … The results of the first auction will be announced at 10 a.m. Eastern Time on December 19.”

Key points:

**  The TAF does not widen the list of counterparties which can participate in the auction relative to those that have access to the discount window.  The Fed notes “All depository institutions that are judged to be in generally sound financial condition by their local Reserve Bank and that are eligible to borrow under the primary credit discount window program will be eligible to participate in TAF auctions” (the emphasis is ours).

**  The minimum bid rate has the potential to be lower than the current 4¾% discount rate.  The minimum bid rate for the auctions will be established at the overnight indexed swap (OIS) rate corresponding to the maturity of the credit being auctioned.  Effectively, the OIS is the expected term funds rate.

The Fed has also established a temporary reciprocal currency swap lines with the ECB and the Swiss National Bank.  These arrangements will provide dollars in amounts of up to $20 billion and $4 billion to the ECB and the SNB, respectively, for use in their jurisdictions.  The FOMC approved these swap lines for a period of up to six months.  For further details:

http://www.federalreserve.gov/newsevents/press/monetary/20071212a.htm

EUROPEAN CENTRAL BANK

The ECB will conduct two U.S. dollar liquidity-providing operations of up to $20 billion with Eurosystem counterparties, in connection with the U.S. dollar Term Auction Facility, against ECB-eligible collateral for a maturity of 28 and 35 days.  The submission of bids will take place on December 17th and 20th for settlement on December 20th and 27th, respectively.  For further details:

http://www.ecb.int/press/pr/date/2007/html/pr071212.en.html

SWISS NATIONAL BANK

The Swiss National Bank will conduct a U.S. dollar liquidity-providing operation with SNB counterparties in the Swiss repo system for up to $4 billion against SNB-eligible collateral for a maturity of 28 days.  The submission of bids will take place on December 17th for settlement on December 20th, respectively.  Subject to evolving market conditions, the SNB may conduct additional US dollar auctions.  For further details:

http://www.snb.ch/en/mmr/reference/pre_20071212/source/pre_20071212.en.pdf

BANK OF ENGLAND

The Bank of England has already scheduled long-term repo open market operations for December 18th and January 15th.  In those operations reserves will be offered at 3, 6, 9 and 12-month maturities against the Bank’s published list of eligible collateral.  However, the total amount of reserves offered at the 3-month maturity will be expanded and the range of collateral accepted for funds advanced at this maturity will be widened.  The total size of reserves offered in the operations on 18 December and on 15 January will be raised from £2.85 billion to £11.35 billion, of which £10bn will be offered at the 3-month maturity.  The Bank will accept a wider range of high quality securities as collateral against funds advanced at the 3-month maturity.  For further details:

http://www.bankofengland.co.uk/publications/news/2007/158.htm

BOTTOM LINE:  While this measure falls short of comprehensive reform of the Fed’s liquidity-providing mechanisms, it does represent two important advances in the current environment.  First, it provides a term lending facility at a market-determined rate for participants and collateral that were eligible for the discount window (in effect, a de-stigmatized market determined discount rate at or above the fed funds).  Second, it provides dollar liquidity to ECB and SNB counterparties who were not eligible to come to the discount window.  However, the measure does not provide for funding to non-bank financial institutions (unless eligible banks bid for terms funds on behalf of such entities.  Also, we are perplexed at the timing of the announcement since the Fed missed the opportunity of unveiling this facility alongside its FOMC statement, which subjected the rates and equity markets to tremendous volatility.  In effect, the rates market has unwound yesterday’s Treasury rally and widening in swap spreads.  It remains to be seen whether this welcome and creative step by the Fed will have further impact beyond this unwinding of yesterday’s moves in market prices.  We will be watching the impact on LIBOR and the funding markets next week as these liquidity injections take place.  However, perhaps the most important development here is the recognition by central banks of the size of the problem in the funding market and that coordinated actions are needed.  If these steps fail to have the desired effect, other steps can be expected.

John Ryding (212-272-4221)

Conrad DeQuadros (212-272-4026)

Meghna Mittal (212-272-1961)