Lehman convertible analysts reschedule conference call on interest rates to noon Friday

Nashville, June 17 - The Lehman Brothers convertible analysts have rescheduled a conference call at noon ET on Friday for clients to discuss the team's special report on the impact of higher interest rates to the convertible market. The call was originally set for 1:30 p.m. ET Thursday.

In the report dated Wednesday, the analysts said that on a macro basis the convertible market is better insulated against interest rate hikes than one might expect. The analysts estimate the negative valuation impact on the overall convertible market to be 1.73% on a parallel 100 basis point shift in the Treasury curve.

"Broadly speaking, our analysis demonstrates that shorter maturity securities which fall under the equity sensitive and typical segments, are best positioned while longer maturity busted securities are the worst positioned," the analysts said in the report.

"Not surprisingly, floaters have a positive interest rate exposure, while preferreds as a group possess the greatest negative exposure."

In addition to looking at interest rate hike periods of the past and the performance of equity markets, credit spreads and volatility markets during those periods, the analysts also looked at the issue of call risk. They noted, too, that they used the premise of a Federal Funds rate hike to 2% by year-end versus the current 1%.

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