Obbligazioni indicizzate inflazione BTPi - Titoli di Stato indicizzati all'inflazione
- Creatore Discussione Marcantonio Bragadin
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Alobar
So di non sapere...
In questi giorni mi gira per la testa...ma con tutti i soldi che stanno immettendo le banche centrali sul mercato tra qualche anno è possibile un'impennata dell'inflazione? Se si quali obbligazioni mindicizzate all'inflazione ritenete più interessanti?
Secondo me è una saggia riflessione...
Leggendo le pagine precedenti di questa discussione potrai certamente farti un'idea dei titoli su cui è preferibile investire!
vegar
Forumer storico
E|_f0
6 feet 2.25 inches
Perché?
(io ne capisco poco...quindi giusto per capire).
ma qui non si parla di Titoli di Stato Indicizzati all'Inflazione o sbaglio io ?
negusneg
New Member
TIPS Give Way to Inflation as Deflation-Adjusted Yields Decline
By Daniel Kruger
Dec. 21 (Bloomberg) -- The market for Treasury inflation protected securities is showing Federal Reserve Chairman Ben S. Bernanke won the battle with deflation, paving the way to start withdrawing cash pumped into the economy since 2007.
The gap between yields on Treasuries and so-called TIPS due in 10 years, a measure of the outlook for consumer prices, closed above 2.25 percentage points four days last week, the longest stretch since August 2008. That’s the low end of the range in the five years before Lehman Brothers Holdings Inc. collapsed, and shows traders expect inflation, not deflation in coming months, said Jay Moskowitz, head of TIPS trading at CRT Capital Group LLC in Stamford, Connecticut.
Bernanke has cited tame inflation expectations for keeping the target interest rate for overnight loans between banks at a record low range of zero to 0.25 percent and the unprecedented stimulus that prevented more bank failures during the worst financial crisis since the Great Depression. Now, TIPS show the improving economy may change sentiment and spark further losses in bonds. Yields on the benchmark 10-year Treasury note hit a four-month high of 3.62 percent last week.
“It could be an environment where we see 4 percent on 10- year yields, which we think is probably likely in the near term,” said Carl Lantz, an interest-rate strategist in New York at Credit Suisse Securities Group AG, one of the 18 primary dealers of U.S. government securities that trade with the Fed.
Rising Yields
The yield on the benchmark 3.375 percent note due November 2019 ended last week at 3.54 percent, as the price rose 2/32, or 63 cents per $1,000 face amount, to 98 21/32.
Treasuries are poised for their first down year in a decade, losing 2.43 percent after reinvested interest, according to Merrill Lynch & Co.’s U.S. Treasury Master index. They gained 14 percent on average in 2008 as the global recession deepened and investors bet on deflation, or a general decline in prices.
While prices fell, real yields, which takes into account inflation or deflation, widened to an average of 3.64 percent this year, the most since 1998, helping attract investors to the record $1.48 trillion in new cash raised by the government in the bond market in 2009.
TIPS returned 11.1 percent this year as measured by Merrill Lynch indexes, on speculation that the almost $12 trillion lent, spent or committed by the government and Fed to keep financial markets from collapsing would spark inflation.
‘Deflation Fighter’
“The TIPS breakevens moving higher is a sign Bernanke is gaining credibility as a deflation fighter,” said Robert Tipp, chief investment strategist for fixed income at Prudential Investment Management. The Newark, New Jersey-based firm oversees more than $200 billion in bonds.
The securities pay interest on a principal amount that rises or falls based on the consumer price index. Inflation- protected bonds due in 10 years yield 2.29 percentage points less than Treasuries. That gap, known as the break-even rate, has risen from 0.04 percent in November 2008. It averaged about 2.42 percentage points in the five year’s before Lehman went bankrupt.
“A lot of people are investing in the asset class viewing that with the amount of liquidity that the Fed has provided the market and the devaluation of the dollar that inflation’s inevitable somewhere down the road,” said Todd White, who oversees government debt trading at Minneapolis-based RiverSource Investments, which manages $93 billion of bonds. The breakeven rate could widen to 2.75 percentage points, he said.
Fed Statement
The last time the difference was that wide was May 2006, when the Fed’s target rate was 5 percent.
After their meeting in Washington on Dec. 16, Fed policy makers said in a statement that keeping borrowing costs low is contingent on “low rates of resource utilization, subdued inflation trends, and stable inflation expectations.”
That day, the Labor Department said its consumer price index rose 0.4 percent in November, matching the second biggest gain of the past year. The day before, the government said wholesale prices surged 1.8 percent, more than twice the 0.8 percent median forecast of economists surveyed by Bloomberg.
With market functions improving, the central bank also said that most of its special liquidity facilities will expire on Feb. 1, including programs to backstop money-market mutual funds and commercial paper. The Fed said it’s working with other central banks to close temporary liquidity swap arrangements by then.
‘Unmoored’ Expectations
Prices of federal-funds futures contracts on the Chicago Board of Trade show a 42 percent chance policy makers will lift rates by mid-2010, up from 34 percent a month ago. The median estimate of 63 economists and strategists surveyed by Bloomberg is for 10-year yields to rise to 3.68 percent in the same period.
“What could get them to move is if inflation expectations become unmoored,” said Michael Pond, an interest-rate strategist in New York at Barclays Plc, the largest trader of U.S. inflation-linked debt and a primary dealer.
With the unemployment rate at 10 percent, TIPS breakeven rates may be overstating the potential for rising consumer prices, according to Ken Volpert, a money manager at Valley Forge, Pennsylvania-based Vanguard Group Inc.
“We’re going to have inflation that in the next year is below what’s implied in the breakevens,” said Volpert, who oversees $180 billion in taxable bonds.
Fed Forecast
The Fed’s long-term forecast for its preferred measure of inflation, the Commerce Department index tied to consumer spending and excluding food and fuel, is 1.8 percent to 2 percent. That gauge, which is typically lower than the CPI, was up 1.4 percent in the 12 months to October.
Deflation can menace an economy just as much as inflation because it discourages investment and spending. Japan’s economy has been in and out of recession since the mid-1990s, largely because of falling consumer prices.
San Ramon, California-based Chevron Corp., the second- largest U.S. energy producer, said Dec. 10 that it cut its 2010 capital plan by 5 percent. Capacity utilization, which measures the proportion of plants in use, was 71.3 percent last month, down from 80.5 percent at the start of 2008, the Fed said last week.
Other parts of the bond market are signaling that prices will increase. The Fed’s five-year/five-year forward breakeven rate rose to 3.13 percentage points last week from 2.04 percentage points a year ago. The rate plots forward rates measuring investor expectations for inflation in five years.
Pre-Crisis High
The gauge is approaching the pre-financial crisis high of 3.36 percent in May 2004, a month before the central bank began a series of 17-consecutive rate increases that brought its target to 5.25 percent in June 2006 from 1 percent.
What’s changed from last year is that commodities are on the rise. Oil fell as low as $32.40 a barrel a year ago as the economy contracted. It rebounded to as high as $82 in October, before ending last week at $74. Gold has risen 39 percent to a record $1,226.40 an ounce on Dec. 3.
“Over the course of the year we’ve pretty much moved back to the historical range in five-year/five-year,” said Credit Suisse’s Lantz. “We are testing the upper end of that range and I think that’s associated with concerns about the long-term inflation outlook, given the Fed’s very accommodative policy stance.”
To contact the reporter on this story: Daniel Kruger in New York at [email protected].
Last Updated: December 20, 2009 13:00 EST
By Daniel Kruger
Dec. 21 (Bloomberg) -- The market for Treasury inflation protected securities is showing Federal Reserve Chairman Ben S. Bernanke won the battle with deflation, paving the way to start withdrawing cash pumped into the economy since 2007.
The gap between yields on Treasuries and so-called TIPS due in 10 years, a measure of the outlook for consumer prices, closed above 2.25 percentage points four days last week, the longest stretch since August 2008. That’s the low end of the range in the five years before Lehman Brothers Holdings Inc. collapsed, and shows traders expect inflation, not deflation in coming months, said Jay Moskowitz, head of TIPS trading at CRT Capital Group LLC in Stamford, Connecticut.
Bernanke has cited tame inflation expectations for keeping the target interest rate for overnight loans between banks at a record low range of zero to 0.25 percent and the unprecedented stimulus that prevented more bank failures during the worst financial crisis since the Great Depression. Now, TIPS show the improving economy may change sentiment and spark further losses in bonds. Yields on the benchmark 10-year Treasury note hit a four-month high of 3.62 percent last week.
“It could be an environment where we see 4 percent on 10- year yields, which we think is probably likely in the near term,” said Carl Lantz, an interest-rate strategist in New York at Credit Suisse Securities Group AG, one of the 18 primary dealers of U.S. government securities that trade with the Fed.
Rising Yields
The yield on the benchmark 3.375 percent note due November 2019 ended last week at 3.54 percent, as the price rose 2/32, or 63 cents per $1,000 face amount, to 98 21/32.
Treasuries are poised for their first down year in a decade, losing 2.43 percent after reinvested interest, according to Merrill Lynch & Co.’s U.S. Treasury Master index. They gained 14 percent on average in 2008 as the global recession deepened and investors bet on deflation, or a general decline in prices.
While prices fell, real yields, which takes into account inflation or deflation, widened to an average of 3.64 percent this year, the most since 1998, helping attract investors to the record $1.48 trillion in new cash raised by the government in the bond market in 2009.
TIPS returned 11.1 percent this year as measured by Merrill Lynch indexes, on speculation that the almost $12 trillion lent, spent or committed by the government and Fed to keep financial markets from collapsing would spark inflation.
‘Deflation Fighter’
“The TIPS breakevens moving higher is a sign Bernanke is gaining credibility as a deflation fighter,” said Robert Tipp, chief investment strategist for fixed income at Prudential Investment Management. The Newark, New Jersey-based firm oversees more than $200 billion in bonds.
The securities pay interest on a principal amount that rises or falls based on the consumer price index. Inflation- protected bonds due in 10 years yield 2.29 percentage points less than Treasuries. That gap, known as the break-even rate, has risen from 0.04 percent in November 2008. It averaged about 2.42 percentage points in the five year’s before Lehman went bankrupt.
“A lot of people are investing in the asset class viewing that with the amount of liquidity that the Fed has provided the market and the devaluation of the dollar that inflation’s inevitable somewhere down the road,” said Todd White, who oversees government debt trading at Minneapolis-based RiverSource Investments, which manages $93 billion of bonds. The breakeven rate could widen to 2.75 percentage points, he said.
Fed Statement
The last time the difference was that wide was May 2006, when the Fed’s target rate was 5 percent.
After their meeting in Washington on Dec. 16, Fed policy makers said in a statement that keeping borrowing costs low is contingent on “low rates of resource utilization, subdued inflation trends, and stable inflation expectations.”
That day, the Labor Department said its consumer price index rose 0.4 percent in November, matching the second biggest gain of the past year. The day before, the government said wholesale prices surged 1.8 percent, more than twice the 0.8 percent median forecast of economists surveyed by Bloomberg.
With market functions improving, the central bank also said that most of its special liquidity facilities will expire on Feb. 1, including programs to backstop money-market mutual funds and commercial paper. The Fed said it’s working with other central banks to close temporary liquidity swap arrangements by then.
‘Unmoored’ Expectations
Prices of federal-funds futures contracts on the Chicago Board of Trade show a 42 percent chance policy makers will lift rates by mid-2010, up from 34 percent a month ago. The median estimate of 63 economists and strategists surveyed by Bloomberg is for 10-year yields to rise to 3.68 percent in the same period.
“What could get them to move is if inflation expectations become unmoored,” said Michael Pond, an interest-rate strategist in New York at Barclays Plc, the largest trader of U.S. inflation-linked debt and a primary dealer.
With the unemployment rate at 10 percent, TIPS breakeven rates may be overstating the potential for rising consumer prices, according to Ken Volpert, a money manager at Valley Forge, Pennsylvania-based Vanguard Group Inc.
“We’re going to have inflation that in the next year is below what’s implied in the breakevens,” said Volpert, who oversees $180 billion in taxable bonds.
Fed Forecast
The Fed’s long-term forecast for its preferred measure of inflation, the Commerce Department index tied to consumer spending and excluding food and fuel, is 1.8 percent to 2 percent. That gauge, which is typically lower than the CPI, was up 1.4 percent in the 12 months to October.
Deflation can menace an economy just as much as inflation because it discourages investment and spending. Japan’s economy has been in and out of recession since the mid-1990s, largely because of falling consumer prices.
San Ramon, California-based Chevron Corp., the second- largest U.S. energy producer, said Dec. 10 that it cut its 2010 capital plan by 5 percent. Capacity utilization, which measures the proportion of plants in use, was 71.3 percent last month, down from 80.5 percent at the start of 2008, the Fed said last week.
Other parts of the bond market are signaling that prices will increase. The Fed’s five-year/five-year forward breakeven rate rose to 3.13 percentage points last week from 2.04 percentage points a year ago. The rate plots forward rates measuring investor expectations for inflation in five years.
Pre-Crisis High
The gauge is approaching the pre-financial crisis high of 3.36 percent in May 2004, a month before the central bank began a series of 17-consecutive rate increases that brought its target to 5.25 percent in June 2006 from 1 percent.
What’s changed from last year is that commodities are on the rise. Oil fell as low as $32.40 a barrel a year ago as the economy contracted. It rebounded to as high as $82 in October, before ending last week at $74. Gold has risen 39 percent to a record $1,226.40 an ounce on Dec. 3.
“Over the course of the year we’ve pretty much moved back to the historical range in five-year/five-year,” said Credit Suisse’s Lantz. “We are testing the upper end of that range and I think that’s associated with concerns about the long-term inflation outlook, given the Fed’s very accommodative policy stance.”
To contact the reporter on this story: Daniel Kruger in New York at [email protected].
Last Updated: December 20, 2009 13:00 EST
vegar
Forumer storico
Secondo me è una saggia riflessione...
Però in questi giorni mi gira per la testa un altro pensiero
Visto che i debiti pubblici di quasi tutti i paesi industrializzati sono aumentati in maniera significativa, tutti questi paesi immetteranno sul mercato obbligazioni con tassi d'interesse alti. Quindi questo lago di soldi che c'è in circolazione potrebbe velocemente prosciugarsi andando a finanziare le nuove immissioni di obbligazioni.
In questo caso anche la curva dell'inflazione potrebbe risultare meno ripida
belindo
Guest
Scusate l'ignoranza, ma i CCT sono indicizzati al valore dei BOT del periodo, mentre i Btpi sono legati all'inflazione europea.
In questo periodo quali rendono meglio?
E per calcolare i rendimenti dei Btpi dove trovo la previsione dell'inflazione europea per i prossimi anni? oppure per il rendimento c'è bisogno di altri elementi ?
Grazie
In questo periodo quali rendono meglio?
E per calcolare i rendimenti dei Btpi dove trovo la previsione dell'inflazione europea per i prossimi anni? oppure per il rendimento c'è bisogno di altri elementi ?
Grazie
p_dinamite
Forumer attivo
attualmente rendono di + i btp-iScusate l'ignoranza, ma i CCT sono indicizzati al valore dei BOT del periodo, mentre i Btpi sono legati all'inflazione europea.
In questo periodo quali rendono meglio?
E per calcolare i rendimenti dei Btpi dove trovo la previsione dell'inflazione europea per i prossimi anni? oppure per il rendimento c'è bisogno di altri elementi ?
Grazie
interessanti i 2019 perchè hanno cdi basso e tutto sommato quotano sui 104.50
a loro svantaggio va la durations finanziaria molto + alta che li rende estremamente volatili
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Titoli di Stato Italia
Addio ai CCT, in arrivo CCTeu.
