Rendimenti trentennali al 2% ?

Se questo celebre strategist statunitense ha ragione conviene avere un po' di Treasury bonds trentennali in portafoglio...

Forbes: Let’s hit first long treasuries. The yield now on the 30-year bond is 3%?

Shilling: 3%.

Forbes: The ten-year, 1.6%, 1.8%? Pick a number. When we last talked it was 4.5% on the 30-year, which seemed low at the time and was almost 3% on the ten. How much more is there and how long can it last?

Shilling: I’m suggesting 2% on the long bond and 1% on the ten-year.

Forbes: Time frame?

Shilling: One of the great forecasters said, “You know, you either forecast what’s going to happen or when it’s going to happen, but not both.” I would say over the next year or so, and that’s assuming that this grand disconnect does get closed. If we go from 3% to 2% on the long bond that’s a total return, assuming it takes place over a year so you get a year’s worth of interest. That’s a total return of about 16% and it’s about 25% on a 30-year zero coupon bond. That’s pretty attractive, relative to what I think would happen in stocks, which would be on the negative side.

Il "great forecaster" citato da Shilling è Clive Granger.
Potete leggere il resto dell'intervista qui: Gary Shilling: Why You Should Sell Stocks And Buy Treasurys - Forbes

La crisi dell'eurozona ha aiutato la Germania a conservare la AAA

Come mai la Germania ha mantenuto un rating AAA e gli U.S.A. lo hanno perso?

La domanda non è accademica: le condizioni del debito sovrano dei due paesi sono confrontabili, benchè la traiettoria recente del debito sia stata meno virtuosa negli Stati Uniti.

Se si tiene conto però del peso che il debito pubblico complessivo (includendo le pensioni) ha relativamente al reddito disponibile, la situazione tedesca non è molto migliore di quella del Belgio e persino dell'Italia, e addirittura nettamente peggiore di Portogallo, Spagna e Grecia (si veda la tabella qui accanto, tratta da  http://workforall.net/CDS-Credit-default-Swaps.html), una situazione assolutamente diversa da quella degli U.S.A.

Ciononostante i mercati si fidano della Germania e ne amano le emissioni obbligazionarie al punto da prestare

 soldi per due anni senza chiedere nulla in cambio, nemmeno un pochino di interesse. Certo, la Germania deve attingere assai meno ai mercati per rifinanziare il proprio debito nel 2012-2013, con solo il 9-10% del GDP offerto sui mercati obbligazionari contro il 30% degli U.S.A. (che pure riescono ad approvigionarsi a tassi bassissimi, con buona pace di chi invoca i bond vigilantes per punire la dissennatezza finanziaria delle amministrazioni U.S.A. degli ultimi anni). 

Una possibile spiegazione è che la crisi dell'eurozona abbia provocato una fuga verso il Bund come bene rifugio, unico asset percepito come veramente risk-free tra quelli denominati in euro (o almeno come la migliore approssimazione di un asset risk-free disponibile sul mercato), segnalando quindi sul mercato obbligazionario un miglioramento del rating del debito sovrano tedesco proprio mentre sul mercato dei Credit Default Swaps si assisteva a un deterioramento del merito creditizio. E' questo fenomeno, leggibile sulla dinamica congiunta dei CDS e delle obbligazioni, che ha segnato il divorzio tra la Germania e gli USA e che ha reso possibile il downgrade del debito americano mentre quello tedesco ha mantenuto la AAA. Se vi ho incuriosito, e volete comprendere meglio il meccanismo della divergenza tra la dinamica del merito creditizio (implicito nelle quotazioni di mercato) degli USA e della Germania potete leggere questo articolo (in collaborazione con Niccolò Cottini e Aldo Nassigh) nel quale analizziamo la dinamica degli spread dei CDS e delle obbligazioni negli ultimi 5 anni e dal quale ho tratto le due figure riprodotte qui sotto. 

Nella prima si riassumono i movimenti di Germania, Stati Uniti e Francia in un piano i cui due assi coordinati misurano gli spread delle obbligazioni  quinquennali con il LIBOR (in ordinata) e quello del Credit Default Swap pure con scadenza quinquennale (in ascissa). La differenza del comportamento tra la Germania e gli altri due paesi durante la crisi dell'Eurozona è evidente: solo in questo caso l'aumento del CDS quinquennale si accompagna ad una vistosa riduzione dei tassi obbligazionari (ancora una volta guidato dall'affannosa corsa verso un investimento risk-free denominato in euro). Nella figura qui sotto ci concentriamo sul confronto tra USA e Germania, riportando 923 osservazioni giornaliere (dal settembre 2008 al marzo 2012): senza il calo dei tassi un downgrade della Germania sarebbe stato difficilmente evitabile.

UPenn, MIT and Caltech sono risk-free!

Dal WSJ di oggi:

The University of Pennsylvania can add another distinction to its rich history: the cheapest borrowing rate on a century bond for any nongovernment issuer. Last week, it sold $300 million of bonds yielding 4.674% and maturing in September 2112—a date that not only its trustees but even freshmen are unlikely to see.

The financial coup is appropriate for a school that has a who's who of Wall Street, including "junk"-bond king Michael Milken, among the alumni of its Wharton School. MIT and Caltech also issued century bonds recently, but these were priced at slightly higher yields.

Perhaps the cachet of an Ivy League and America's fourth-oldest university inspires more investor trust. If so, Britain's Universities of Oxford and Cambridge, no slouches themselves and at least three times as old as Penn, should consider selling bonds maturing in the 24th century.

Il mondo visto al di là dell'Oceano Atlantico: deflazione in arrivo?

Un bel modo di sottolineare la differenza di prospettiva tra USA e Eurozona nel giorno in cui la BCE alzerà i tassi: un importante gestore americano suggerisce di speculare a breve termine sui T-bond decennali per i quali prevede un ribasso dei tassi al 2-2,5% !!

Published with Blogger-droid v1.6.8

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.

Le obbligazioni blu e le obbligazioni rosse?

L'Economist appena uscito dedica uno degli articoli di apertura all'euro, ai suoi guai e alle sue prospettive future. L'ho trovato davvero ben fatto e vi raccomando di leggerlo. Tra le proposte dell'articolo c'è l'emissione di una serie di obbligazioni con la garanzia esplicita di tutti i paesi dell'eurozona, un'idea forse incoraggiata dalla buona accoglienza da parte delle agenzie di rating dell'European Financial Stability Facility (EFSF), l'organismo creato in primavera con una dotazione di quasi 700 miliardi di euro (di cui 250 promessi dal Fondo Monetario Internazionale) e incaricato di aiutare i paesi dell'eurozona nei guai con i mercati obbligazionari. Lunedì scorso le tre principali agenzie di rating (S&P, Moody's e Fitch) hanno dato il rating più alto (AAA) all'EFSF.

Ecco il passaggio dell'articolo dell'Economist nel quale si propongono gli eurobond (blu) in contrasto con le obbligazioni (rosse) con la garanzia dei singoli paesi:


Euro-zone countries could try to build their own version of the Treasury market through a common bond issue. Analysts at Bruegel have proposed such a scheme, which might also be used to impose fiscal discipline. Countries would be allowed to issue jointly guaranteed (“blue”) bonds but only up to a limit of 60% of their GDP. Additional “red” bonds would be backed only by the standing of the sovereign issuer. Blue bonds would be senior to red ones, which would be subject to an “orderly” restructuring in default.
Such a scheme would be tricky to implement swiftly. Most euro-zone countries’ debts are way above the 60% limit and rising each year (see chart 3). So withdrawing the implicit guarantee on the rest of their bonds would be likely to cause tremors in financial markets. In its favour, the Bruegel idea may be a way to set long-term limits on each country’s debt levels. The requirement to meet the terms of a blue bond issue is likely to be a more powerful disciplinary device than penalties from Brussels for missing a fiscal target.

Uno dei problemi principali di molti paesi dell'eurozona è una perdita di competitività che rende la politica di risanamento dei bilanci un'impresa quasi disperata. Secondo l'Economist:

Broadly, there are three ways for a country to restore competitiveness: devaluation (which reduces wages relative to those in other exporting countries), wage cuts or higher productivity. In the euro area, the first option is out. The other two rely on easing job-market rules so that pay matches workers’ efficiency more closely, and workers can move freely from dying industries and firms to growing ones. Governments also have to tackle the lack of competition in markets for goods and services, notably in non-tradables (eg, utilities), whose prices affect the costs of other firms, including exporters. A bigger push from Brussels to open services to greater cross-border competition might do far more good than more prescriptions about debts and deficits.
Adjustment by cutting wages is quite brutal, especially without the support of an expansionary fiscal policy. An alternative would be for competitive, trade-surplus countries, such as Germany and the Netherlands, to spend more: the combined deficits of the euro zone’s “periphery” are more or less offset by surpluses at the zone’s “core” (see chart 4). John Maynard Keynes believed that in a fixed exchange-rate system, the burden of adjustment to trade imbalances should fall equally on deficit and surplus countries. So he proposed that excess trade surpluses should be taxed (see article). A scheme such as this would not be easy to implement: it would be hard to gauge the point at which the saving surpluses of an ageing country like Germany become harmful. But such a proposal would at least put “creditor adjustment” on the agenda.

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.