mercoledì 27 ottobre 2010

Inflazione o deflazione? Questo è il dilemma! L'ultimo atto, con i rendimenti negativi delle obbligazioni indicizzate all'inflazione

La rincorsa dei rendimenti delle obbligazioni del Tesoro Usa indicizzate all'inflazione (TIPS, Treasury Inflation Protected Securities) è giunta al termine nelle ultime settimane. Da quando la Fed ha annunciato un probabile nuovo round di quantitative easing, aumentando così le aspettative di inflazione nel mercato e favorendo la caduta del dollaro, il total return dei TIPS ha finalmente superato quello delle obbligazioni governative non indicizzate di pari durata, come mostra la figura qui accanto tratta dal Wall Street Journal di un paio di giorni fa:

Inflation insurance in the form of TIPS, or Treasury Inflation Protected Securities, has returned about 10% this year, according to Barclays Capital indexes. At the same time, regular Treasurys, which thrive in times of deflation, are up nearly 9%. The performance is measured by combining price appreciation with yield payment.
In other words, you have been a winner this year whether you were betting on inflation or deflation.
One question for investors is whether Federal Reserve Chairman Ben Bernanke is about to bring this kumbaya moment to an end.
With the Fed preparing to pump more money into the financial system, the scales are starting to tip in favor of those betting on inflation. TIPS have outperformed Treasurys in the past two weeks, after lagging behind them for most of the summer.
The gap between yields on Treasurys and TIPS has widened sharply. This gap, often called the "breakeven" inflation rate, is used as a rough measure of market expectations of inflation.
Since late August—just before Mr. Bernanke's speech in Jackson Hole, Wyo., suggesting the Fed could embark on another round of quantitative easing to juice the economy—the 10-year breakeven rate has surged from 1.49% to roughly 2.10%, the highest in five months.
That suggests the Fed has already raised inflation expectations, simply by talking about the second round of quantitative easing, known in the market as QE2. The recent rally for gold and misery for the dollar also suggest inflation expectations are rising.
"We're not at a point where the market is getting particularly concerned about high inflation, it's just less concerned about deflation or even low inflation for a long period of time," said Mike Pond, Treasury and inflation-linked strategist at Barclays.
TIPS and Treasurys had benefited from hopes of another round of quantitative easing, which is expected to be announced at the Fed's policy meeting on Nov. 3.
Ten-year Treasury yields, which move in the opposite direction of price, fell this month to their lowest levels since the dark days of January 2009.
TIPS are at similarly historical levels: The Treasury Department is scheduled to sell $10 billion in new five-year TIPS on Monday, and the yield is likely to be the lowest since the government started selling them in 1997.
A low yield means demand is high for TIPS, which offer investors additional annual returns to make up for the rate of inflation. Regular Treasury bonds don't offer that protection, so they have higher yields to compensate. The gap, or breakeven, between the two yields implies what investors expect inflation to be.
On the surface, it looks like investors are making two bets at once, one on prices rising and the other on prices falling. But the Fed's influence is a driving and distorting force in both markets.

La previsione di una forte richiesta di TIPS nell'asta di lunedì si è puntualmente avverata. I bassi tassi di interesse si sono combinati con i timori di inflazione consentendo per la prima volta nella storia di questi prodotti finanziari al Tesoro U.S.A. la vendita di TIPS con un rendimento negativo. Se le aspettative di inflazione non si realizzeranno gli invetitori avranno pagato un tasso di interesse pur di poter prestare denaro al governo U.S.A.!
 Scrive il Wall Street Journal:

The Treasury sold $10 billion of five-year Treasury inflation protected securities, or TIPS, at an auction on Monday with a yield of negative 0.55%.
The big demand is a sign the Federal Reserve is gaining some traction in its efforts to kickstart the economy and nudge inflation higher. TIPS are designed to protect investors against inflation, offering a return that rises as the cost of goods increase. In times of inflation, they are more attractive than standard Treasury bonds, whose fixed income stream is worth less as other prices are rising.
"While the yield on many TIPS is negative, investors in these securities expect a positive return overall," Tony Crescenzi, portfolio manager at Pacific Investment Management Co. in Newport Beach, Calif.(...)
TIPS investors won't lose money as long as the economy avoids deflation for the next five years, because TIPS investors get extra money every year to keep up with the inflation rate. If inflation is high enough to offset the negative yield, investors will end up with a positive return.(...)
In the case of five-year TIPS, the negative yield suggests inflation expectations of about 1.70%—hardly runaway inflation, but better than deflation.
The Fed's policy-setting committee said at its most recent policy meeting that inflation was below its desired level.
Investors sought 2.84 times the amount on sale. Anything more than two times oversubscribed is considered a success. Indirect bidders—domestic and foreign institutions, including foreign central banks—took a hefty 39% of the notes. 

Secondo il New York Times

Buyers “believe we have reached the bottom of the inflation cycle and the next move is higher, not lower,” said Kevin H. Giddis, the executive managing director and president for fixed-income capital markets at Morgan Keegan & Company.
A growing aversion to risk has produced all manner of investment oddities in the last two years. At the height of the financial crisis, for example, the yield on ordinary short-term Treasury bonds turned negative for a brief time as people flocked to safe investments.
Even now, big investors are buying gold at levels unseen in decades, to protect against fluctuations in the value of currencies. Small investors are fleeing the stock market in droves, favoring bonds and even cash over equities. Companies have managed to sell bonds that do not pay off for 50 or even 100 years.
The remarkable auction occurred as stock indexes on Wall Street edged higher, buoyed by recent strong corporate earnings and a month-to-month rise in housing sales.(...)
Economists point to the fall in the dollar as a sign of budding inflationary pressures. Another is the recent sharp rise in the price of some assets, including commodities like gold.

I rendimenti bassi delle obbligazioni del Tesoro U.S.A. e dei TIPS sono anche il risultato delle aspettative di un nuovo round di quantitative easing da parte della Fed, nella sua lotta per combattere l'inflazione. Gli investitori hanno anticipato le mosse della Fed, alzando i prezzi delle obbligazioni e dunque diminuendone i tassi di interesse. Se i rendimenti negativi dei TIPS riflettono l'ansietà degli investitori per una possibile ripresa dell'inflazione, allora la Fed può dichiararsi soddisfatta. Le aspettative di inflazione tendono a materializzarsi e possono agire da scudo contro il rischio di uno scenario di deflazione prolungata.

Secondo Jens Christensen, un economista della Federal Reserve Bank di San Francisco, è possibile utilizzare i prezzi di mercato dei TIPS e delle obbligazioni governative non indicizzate per stimare la probabilità di uno scenario di deflazione prolungata negli U.S.A. Il risultato è una probabilità inferiore al 5.3%, suggerendo che le preoccupazioni della Fed di uno scenario deflattivo siano eccessive.
Non tutti però sono d'accordo con questa conclusione e sulla possibilità di utilizzare il mercato dei TIPS per questo tipo di analisi: scrive un commentatore del WSJ che

The TIPS market has long been one of the ways policymakers, economists and market participants could get a handle on the outlook for inflation. That said, the use of TIPS to tell a broader story is a complicated task.
The rap against the TIPS market goes like this: It is a relatively new market sector, and it has less liquidity than other parts of the Treasury trading world. That means price movements can be signaling something other than a shift in investors’ inflation outlook. In the market’s favor, however, is the fact that it at least represents a real money bet on something — an investor can lose cash if they predicted the pricing outlook incorrectly. In any case, Christensen argued his model compensates for these factors.
Meanwhile, there are other ways to gauge the inflation outlook. Some look to surveys of consumer expectations as a guide into what is expected of the price outlook, such as the twice monthly University of Michigan survey of consumer sentiment.
Fed officials mix and match these gauges. This inexact pursuit is important because regardless of the balance between art and science, Fed officials agree expectations about future price movements matter a lot to the level of inflation today. If the public thinks inflation will rise, then actual measures of prices will likely begin to tip upward.
Because of this, central bankers consider expectations management important. And even as officials themselves have grown more worried about price pressures ebbing to uncomfortably low levels, if not falling, they see some reason to be confident things will turn out right. Bernanke, in a speech a little over a week ago, said “indicators of longer-term inflation expectations have generally been stable in the wake of the financial crisis,” suggesting a broader confidence deflation will not take hold.

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