lunedì 20 settembre 2010

I rischi delle obbligazioni: una lezione dalla storia

Continua la discussione sulle prospettive future delle obbligazioni: il Wall Street Journal oggi ripercorre tre decenni di storia americana per mostrare come anche le obbligazioni del Tesoro U.S.A. possano avere oscillazioni di prezzo tali da impedire agli investitori di dormire sonni tranquilli. Il mini rally delle azioni dalla fine di agosto ad oggi ha già prodotto un aumento dei tassi dei buoni decennali e trentennali, producendo perdite rispettivamente di oltre il 2% e del 7% a chi detiene questi titoli in portafoglio. Ma la storia è ricca di ammonimenti peggiori: basta dare un'occhiata a questa (divertente) visualizzazione che mostra come i buoni decennali del Tesoro U.S.A. abbiano perso anche il 10% in poco più di un anno!

Secondo il WSJ occorre un po' di cautela:

"In order to embrace buying Treasurys now you have to believe U.S. inflation is permanently impaired and growth will be dismal for an extended period," says Tad Rivelle, chief investment officer of fixed income at TCW. "Knock the underpinning from either and it's hard to justify Treasurys at these levels." (...)
Even in a benign scenario, a return to 4% yields in the 10-year is a possibility, according to William Larkin, portfolio manager for fixed income at Cabot Money Management Inc. in Salem, Mass. That would result in losses of 6.8% on 10-year bonds and more than 10% for the 30-year. "If data keep coming in positive, that would be reasonable in the next six months," Mr. Larkin says. "People forget that we weren't there that long ago."
On Friday, the 10-year yield stood at 2.746%.
Brian Rehling, the St. Louis-based chief fixed-income strategist at Wells Fargo Advisors, is looking for an even larger rise in yields over the next two years.
Mr. Rehling says the 10-year yield could rise to 4.5% in 24 months, generating an 8.2% loss from late August levels. The 30-year yield could jump to 5.3% in the same time, generating a loss of as much as 18.3%.
"As the economy recovers, people will be willing to take risks again," Mr. Rehling says. "That could drive rates higher."
The worst-case scenario: a spike that sends yields near double-digit levels.
It's not out of the realm of possibility, Mr. Rehling says. If the U.S. is to experience another rate shock, it's likely to result from worries about its ability to pay its debt. The dollar's role as a reserve currency makes such a shock unlikely but not impossible. But if the global economy recovers enough that investors decide to dump Treasurys in favor of riskier assets, yields could spike above 6%, Mr. Rehling says.
The damage? Investors in 10-year Treasurys would lose around 20% if yields rise to, say, 7% over the next two years. Thirty-year Treasurys would lose about 34% if the yield rises to 7.5%. 

Qui potete leggere un'analisi del mercato delle obbligazioni societarie, in particolare dei junk bonds e delle loro prospettive di medio termine. Intanto prosegue il dibattito sulla "bolla nelle obbligazioni": secondo alcuni non c'è una bolla ma la diminuzione dei rendimenti è solamente un effetto della legge della domanda e dell'offerta, unita alla lentezza della ripresa dell'economia U.S.A.:
investors competing for the limited supply of debt are driving bond yields down.
"It's more accurate to say that we're still disgorging the last credit bubble than that we're starting a new one," says Harvard economics professor Kenneth Rogoff, who has studied financial crises with Carmen Reinhart of the University of Maryland and notes that new credit bubbles don't typically form immediately in the aftermath of old ones.
Despite nearly two years of heavy borrowing by the federal government and nonfinancial corporations, the total amount of debt outstanding in the U.S. is still nearly $700 billion lower than it was at its peak in the first quarter of 2009, according to Federal Reserve data released Friday. Above, the Federal Reserve Building in Washington, D.C.

Il WSJ osserva come non si tratti di un fenomeno nuovo: 

While most analysts don't think the bond market is in a bubble, they are seeing a repeat of some of the behavior from the last run-up. "In 2001-2003, clients were desperate for yield and were willing to invest in stuff you could tell was risky because it promised a higher return," says George Feiger, CEO of Contango Capital Advisors. "You see the same pressure today."
That explains why companies have been able to issue $172 billion in new high-yield debt so far this year, already an annual record, according to data provider Dealogic. Junk-bond prices returned to par last week for the first time since 2007, after falling to less than 55 cents on the dollar at the height of the credit crisis, according to Martin Fridson, global credit strategist at BNP Paribas.
Yields on these bonds have tumbled from a 2008 high of nearly 20 percentage points over Treasurys to a spread of just 6.2 percentage points, according to Barclays Capital indexes. At the height of the previous credit frenzy, however, such spreads fell to just above two percentage points, and junk spreads are still nearly a full percentage point above their lows for the year, set in late April.
That suggests to bond bulls that the junk-bond rally could run further. Bond bears argue that junk bonds could suffer no matter what the economy does. If it weakens, defaults could increase. And if the economy strengthens, interest rates could rise and because spreads are so tight, junk bonds could see losses.
Investment-grade bonds are priced more richly. Yields are 1.8 percentage points above Treasurys, according to Barclays indexes, one percentage point wider than at the height of the previous credit bubble.

Nessun commento: