TheLondoner
Forumer storico
se a questo aggiungiamo la mole di debito da rifinanziare da parte degli emittenti IG proprio nel biennio 2012/14 ... si ha quasi una profezia Maya sui mercati obbligazionari per quegli anni....
Portafogli e Strategie (investimento) Dal Flight to Quality all'HY: nove mesi "after-Lehman", is debt back ? (vol. V) (2 lettori)
- Creatore Discussione Imark
- Data di Inizio
- Stato
se a questo aggiungiamo la mole di debito da rifinanziare da parte degli emittenti IG proprio nel biennio 2012/14 ... si ha quasi una profezia Maya sui mercati obbligazionari per quegli anni....
Imark
Forumer storico
CIAO MARK
scusa se ne approfitto sempre
come vedi AXA ?
ti allego i risultati aggiornati.
mi sembrano buoni
( ho alcune perpetual di axa )
grazie per l'attenzione
Ciao Ginestra: le perplessità del mercato sui titoli non senior unsecured delle compagnie assicurative nascono dalla concentrazione di asset finanziari (anche equity in quantità significative) nel loro patrimonio e dai dubbi circa il fatto che in una fase di delverage questi asset vadano incontro a sensibili riduzioni di valore, costringendo le stesse a farsi carico di perdite da svalutazione e mettendole in difficoltà analoghe alle banche rispetto ai livelli di patrimonializzazione imposti in ciascun paese dalle leggi nazionali.
Con il conseguente corredo di interventi statali, sospensione/cancellazione del pagamento di cedole sui perpetuals e UT1 ecc. ecc. Non entro nel dettaglio, basti dire che i timori erano per una vicenda che bissasse nel tempo quella delle banche.
Oggi questi timori sono un filo attenuti dal "rigonfiamento" del valore degli asset finanziari generato dai tassi a zero worldwide e dalle maximanovre di sostegno varate in USA, Cina, Giappone ecc.
Però il rischio resta, e l'approccio corretto per misurarlo sarebbe quello di verificare in quali asset sono investiti i principali gruppi assicurativi europei.
Come per le banche, la questione non è sempre di facile soluzione, visto che anche qui i rischi possono essere parcheggiati, per così dire, fuori bilancio...
Si va quindi a lume di naso, come per le banche...
Imark
Forumer storico
Correlazione diretta fra HY e equity, per cui i valori salgono e scendono contestualmente, o sganciamento, con l'HY in tenuta a fronte di storni sull'equity a segnare una fase di andamento a bassa volatilità del mercato dei bond speculativi ?
Il tema va ripreso alla luce di quanto visto in questi giorni.
Ebbene, la correlazione è ancora diretta: ieri c'è stato sui mercati professionali uno storno importante dei bond HY, dopo tanto salire, ma anche uno storno significativo nel mostrare il ritorno ad un meccanismo del tipo "flight to quality".
Voglio dire che a stornare pesantemente (con cali nell'ordine dei 4-5 punti pct) sono stati i bond degli emittenti più malconci e quelli non tendenzialmente "coperti" dalla provvista di liquidità effettuata nei mesi scorsi, mentre altri bond, quelli appunto relativamente più solidi, pur stornando anch'essi, hanno mostrato una tenuta decisamente maggiore.
E' il contrario di quanto visto nelle ultime due settimane, quando la "roba relativamente commestibile" dell'HY restava al palo, e l'immondizia faceva segnare rialzi a più punti percentuali.
Un segnale analogo lo avemmo nel febbraio- marzo 2007, poi seguito da un ripresa dei corsi che li riportò ai massimi ed oltre fino a giugno. L'estate che seguì credo non verrà dimenticata presto da chi era investito nel comparto per l'intensità e la successione dei cali
Non è vero che la storia si ripete, ma quello visto è un segnale non trascurabile che le nespole potrebbero essere mature per la raccolta: una eventuale ripresa dei corsi sarà momento utile per portare a casa i gain e ridurre l'esposizione al comparto per chi la ha accresciuta nei mesi scorsi.
Il tema va ripreso alla luce di quanto visto in questi giorni.
Ebbene, la correlazione è ancora diretta: ieri c'è stato sui mercati professionali uno storno importante dei bond HY, dopo tanto salire, ma anche uno storno significativo nel mostrare il ritorno ad un meccanismo del tipo "flight to quality".
Voglio dire che a stornare pesantemente (con cali nell'ordine dei 4-5 punti pct) sono stati i bond degli emittenti più malconci e quelli non tendenzialmente "coperti" dalla provvista di liquidità effettuata nei mesi scorsi, mentre altri bond, quelli appunto relativamente più solidi, pur stornando anch'essi, hanno mostrato una tenuta decisamente maggiore.
E' il contrario di quanto visto nelle ultime due settimane, quando la "roba relativamente commestibile" dell'HY restava al palo, e l'immondizia faceva segnare rialzi a più punti percentuali.
Un segnale analogo lo avemmo nel febbraio- marzo 2007, poi seguito da un ripresa dei corsi che li riportò ai massimi ed oltre fino a giugno. L'estate che seguì credo non verrà dimenticata presto da chi era investito nel comparto per l'intensità e la successione dei cali
Non è vero che la storia si ripete, ma quello visto è un segnale non trascurabile che le nespole potrebbero essere mature per la raccolta: una eventuale ripresa dei corsi sarà momento utile per portare a casa i gain e ridurre l'esposizione al comparto per chi la ha accresciuta nei mesi scorsi.
ginestra
Forumer attivo
Imark
Forumer storico
Il punto di vista, molto diverso dal mio, di alcune grandi banche forti nelle attività di investment banking, fra le quali Barclays e ING, sulla correlazione fra equity ed HY.
Se personalmente sostengo che il mancato sganciamento dei corsi stia ad significare una più accentuata volatilità in chiave prospettica di entrambe le asset class finanziarie, quando l'equity correggerà, ecco qui una chiave di lettura diversa.
La correlazione diretta fra equity ed HY è sempre fisiologica e il fatto che la salita dei bond HY abbia superato in valore percentuale quella dell'equity significa solo che c'è spazio per una importante crescita dell'equity nel biennio a venire.
Il messaggio di fondo: i bond HY sono ancora cheap (vedere il capitoletto "still cheap"), ma l'equity lo è molto di più... e bisogna sbrigarsi a salire sul treno, altrimenti si corre il rischio di restare a terra...
Junk Bond Rally Signals Stock Gains as Assets Diverge (Update3)
By Alexis Xydias
Oct. 26 (Bloomberg) -- The worst performance by U.S. stocks compared with junk bonds since at least 1986 is making investors even more bullish on equities.
While owning debt in the riskiest companies has paid about the same as the Standard & Poor’s 500 Index over the last 23 years, bonds are returning more than twice as much in 2009, according to data compiled by Merrill Lynch & Co. and Bloomberg. When high-yield credit beat the S&P 500 by 32 percentage points in the 12 months ending March 11, 2003, stock gains exceeded bonds by 19 percentage points for the rest of the year.
Barclays Plc and ING Groep NV are increasing share purchases on speculation that improving corporate earnings will prolong the rally in equities and shrink the gap again. Profits for S&P 500 companies are forecast to climb 53 percent over the next two years as the Federal Reserve holds interest rates close to zero to end the worst recession since the 1930s, according to analyst estimates compiled by Bloomberg.
“For the first time in a long while, equities appear inexpensive relative to corporate bonds,” said Kevin Gardiner, the London-based head of investment strategy at Barclays Wealth, which lowered its rating on fixed-income securities to “neutral” this month and recommended owning stocks. “Valuations and the likely news flow over the coming period will inspire people to take more risk.”
Fixed Income
Bonds rated below Baa3 by Moody’s Investors Service and BBB- at S&P are returning more after the worst recession in 70 years spurred purchases of securities that wouldn’t be erased in a bankruptcy. They rose faster than stocks as companies in the S&P 500 reported two years of declining earnings, the longest stretch since the Great Depression.
Merrill Lynch’s High Yield Master II Index has climbed 51 percent in 2009, extending an advance from last year that pushed returns to the highest level ever relative to the S&P 500, which has increased 22 percent, including dividends. That compares with average annual gains of 9.3 percent for equities and 8.4 percent for high-yield credit since 1986, when monthly data on Merrill’s index begins.
The S&P 500 slipped 1.2 percent to 1,066.95 today on concern lawmakers will phase out a tax credit for homebuyers.
“There was a flight up the capital structure that swelled the interest in high-yield bonds,” said Kevin Starke, a CRT Capital Group analyst in Stamford, Connecticut. “Why own the equity of a company, which is almost a guaranteed wipeout in most bankruptcies, when you could own the bonds and have a shot at a recovery and still have an equity-like return?”
Mean Reversion
The cost of insuring bonds with credit default swaps fell 62 percent since March 9 to the lowest level since May 2008, according to Markit Group Ltd. New York-based S&P lowered its 12-month default-rate prediction on Oct. 21 for U.S. high-yield corporate credit to 6.9 percent, from 14.3 percent in April.
Returns evened out in the third quarter, when signs the U.S. economy was rebounding pushed the S&P 500 up 15.6 percent with dividends, compared with 14.8 percent for junk bonds. The gain was the first time the S&P 500 beat the high-yield index since the third quarter of 2008, the data show.
Investors say equities may outpace debt as the economy recovers. Gross domestic product is projected to expand 2.4 percent in 2010, according to the average estimate of economists surveyed by Bloomberg, compared with a prediction of 1.8 percent in March. Consumer confidence, U.S. retail sales and industrial production all grew more than economists forecast in reports released last month.
‘Place to Be’
“Normally we had more 50-50 in stocks and bonds, and now we have two-thirds in stocks,” said Roland Schwab, a partner at Kraemer, Schwab & Co. in Zug, Switzerland, which oversees about $1.5 billion. “Stocks are definitely better valued now. In this situation, high-quality stocks are the place to be.”
Junk bonds beat shares by the most on record even with the S&P 500’s 62 percent return since March, according to data compiled by Bloomberg and Merrill Lynch. Before this year, the 23-year-old high-yield index had only once traded for more than half the price of the S&P 500 excluding dividends, in 1994.
The gauge rose to 645.96 at the end of September, or 61.1 percent of the S&P 500’s price of 1,057.08. When the same ratio reached a record low of 23.9 percent in March 2000, junk bonds beat equities for three years.
McMoRan Exploration Co.’s 11.875 percent notes due in 2014 have returned 0.69 percent in October following a 54 percent rally this year through September, according to Trace, the bond- price reporting system of the Financial Industry Regulatory Authority.
Gas Rally
Shares in the New Orleans-based oil and gas producer soared 22 percent this month, compared with a 23 percent decline in the previous nine months. The rally followed a 21 percent advance in natural gas in September, the biggest gain since at least 2003, according to data compiled by Bloomberg.
The 8.75 percent notes due in 2012 of St. Louis, Missouri- based retailer Brown Shoe Co. jumped 33 percent between January and the end of September, excluding reinvested interest, according to Merrill Lynch & Co. data, while its stock retreated 5.3 percent. Shares in the company, which beat analysts’ profit estimates for three quarters, have rallied 46 percent since Sept. 30, compared with a 0.8 percent advance in the bonds, the data show.
“From a pricing standpoint, junk bonds have absolutely run their course,” said Jason Brady, a managing director at Thornburg Investment Management in Santa Fe, New Mexico, which oversees $50 billion. Brady manages both stocks and bonds in the $3.8 billion Thornburg Income Builder Fund, which has beaten 98 percent of its competitors in the past five years.
Still Cheap
Peter Acciavatti, who runs the top-rated junk-bond research team at New York-based JPMorgan Chase & Co., said on Oct. 16 that high-yield debt is still cheap. Slowing job losses and an improving housing market will narrow yields relative to benchmark rates, he said. His team has been ranked first among its peers in Institutional Investor’s annual poll for the past seven years.
The Federal Reserve said Sept. 23 that it will slow its $1.45 trillion program of buying mortgage securities as an economic recovery takes hold. Chairman Ben S. Bernanke indicated for the first time since August 2008 that the economy is accelerating.
Andrew Smithers
U.S stocks are about 40 percent overvalued and will decline once central banks pull back on securities purchases, economist Andrew Smithers said in an interview. Declines are also likely because banks will need to sell more shares, the president of research firm Smithers & Co. said.
Executives are shifting their focus to expansion after preserving cash for most of the year, a strategy that will profit shareholders more than bond investors, according to Edmund Ng, a strategist at Morgan Stanley in London. U.S. companies are emerging from the worst recession in seven decades with a record $1.5 trillion in cash after slashing more than 7 million jobs since December 2007.
More than 80 percent of S&P 500 companies that have reported third-quarter results have beaten analyst earnings estimates, exceeding the record pace of 72.3 percent for the period ended in June. Gross domestic product grew in the U.S. at a 3.2 percent annual rate last quarter after shrinking during the previous year, according to the median estimate of economists surveyed by Bloomberg.
“While nine months ago it was time to prefer credit over equities, we think now it is time to flip the trade around,” said Ng. “The rapid repricing of credit in 2009, and a shifting economic and earnings backdrop, suggest that a strong asset allocation argument for credit which existed at the start of the year has now largely vanished, or even reversed.”
Rising Profits
The S&P 500 has returned 2.2 percent in October including dividend payments, beating the 1.9 percent gain in Merrill Lynch’s high-yield index. The Dow Jones Industrial Average rose above 10,000 for the first time in a year after profits from JPMorgan Chase and Intel Corp. in Santa Clara, California, topped analyst estimates and the price of oil added 14 percent.
Profits in the S&P 500 will increase 67 percent this quarter, according to analysts polled by Bloomberg. S&P 500 earnings will increase 25 percent in 2010 and 22 percent in 2011, the analyst data shows.
ING Investment Management, which oversees $507 billion, has equal amounts in stocks and fixed income, with a preference for investment-grade debt over high-yield bonds. Equities may outperform as dividends rise with earnings and mergers and acquisitions gain pace, according to Patrick Moonen, the firm’s senior equity strategist in The Hague.
“Performance year-to-date started in the credit space and equities followed,” said Moonen. “But relative to credit, equities still have room to improve. Equities may be the better investment proposal.”
Se personalmente sostengo che il mancato sganciamento dei corsi stia ad significare una più accentuata volatilità in chiave prospettica di entrambe le asset class finanziarie, quando l'equity correggerà, ecco qui una chiave di lettura diversa.
La correlazione diretta fra equity ed HY è sempre fisiologica e il fatto che la salita dei bond HY abbia superato in valore percentuale quella dell'equity significa solo che c'è spazio per una importante crescita dell'equity nel biennio a venire.
Il messaggio di fondo: i bond HY sono ancora cheap (vedere il capitoletto "still cheap"), ma l'equity lo è molto di più... e bisogna sbrigarsi a salire sul treno, altrimenti si corre il rischio di restare a terra...
Junk Bond Rally Signals Stock Gains as Assets Diverge (Update3)
By Alexis Xydias
Oct. 26 (Bloomberg) -- The worst performance by U.S. stocks compared with junk bonds since at least 1986 is making investors even more bullish on equities.
While owning debt in the riskiest companies has paid about the same as the Standard & Poor’s 500 Index over the last 23 years, bonds are returning more than twice as much in 2009, according to data compiled by Merrill Lynch & Co. and Bloomberg. When high-yield credit beat the S&P 500 by 32 percentage points in the 12 months ending March 11, 2003, stock gains exceeded bonds by 19 percentage points for the rest of the year.
Barclays Plc and ING Groep NV are increasing share purchases on speculation that improving corporate earnings will prolong the rally in equities and shrink the gap again. Profits for S&P 500 companies are forecast to climb 53 percent over the next two years as the Federal Reserve holds interest rates close to zero to end the worst recession since the 1930s, according to analyst estimates compiled by Bloomberg.
“For the first time in a long while, equities appear inexpensive relative to corporate bonds,” said Kevin Gardiner, the London-based head of investment strategy at Barclays Wealth, which lowered its rating on fixed-income securities to “neutral” this month and recommended owning stocks. “Valuations and the likely news flow over the coming period will inspire people to take more risk.”
Fixed Income
Bonds rated below Baa3 by Moody’s Investors Service and BBB- at S&P are returning more after the worst recession in 70 years spurred purchases of securities that wouldn’t be erased in a bankruptcy. They rose faster than stocks as companies in the S&P 500 reported two years of declining earnings, the longest stretch since the Great Depression.
Merrill Lynch’s High Yield Master II Index has climbed 51 percent in 2009, extending an advance from last year that pushed returns to the highest level ever relative to the S&P 500, which has increased 22 percent, including dividends. That compares with average annual gains of 9.3 percent for equities and 8.4 percent for high-yield credit since 1986, when monthly data on Merrill’s index begins.
The S&P 500 slipped 1.2 percent to 1,066.95 today on concern lawmakers will phase out a tax credit for homebuyers.
“There was a flight up the capital structure that swelled the interest in high-yield bonds,” said Kevin Starke, a CRT Capital Group analyst in Stamford, Connecticut. “Why own the equity of a company, which is almost a guaranteed wipeout in most bankruptcies, when you could own the bonds and have a shot at a recovery and still have an equity-like return?”
Mean Reversion
The cost of insuring bonds with credit default swaps fell 62 percent since March 9 to the lowest level since May 2008, according to Markit Group Ltd. New York-based S&P lowered its 12-month default-rate prediction on Oct. 21 for U.S. high-yield corporate credit to 6.9 percent, from 14.3 percent in April.
Returns evened out in the third quarter, when signs the U.S. economy was rebounding pushed the S&P 500 up 15.6 percent with dividends, compared with 14.8 percent for junk bonds. The gain was the first time the S&P 500 beat the high-yield index since the third quarter of 2008, the data show.
Investors say equities may outpace debt as the economy recovers. Gross domestic product is projected to expand 2.4 percent in 2010, according to the average estimate of economists surveyed by Bloomberg, compared with a prediction of 1.8 percent in March. Consumer confidence, U.S. retail sales and industrial production all grew more than economists forecast in reports released last month.
‘Place to Be’
“Normally we had more 50-50 in stocks and bonds, and now we have two-thirds in stocks,” said Roland Schwab, a partner at Kraemer, Schwab & Co. in Zug, Switzerland, which oversees about $1.5 billion. “Stocks are definitely better valued now. In this situation, high-quality stocks are the place to be.”
Junk bonds beat shares by the most on record even with the S&P 500’s 62 percent return since March, according to data compiled by Bloomberg and Merrill Lynch. Before this year, the 23-year-old high-yield index had only once traded for more than half the price of the S&P 500 excluding dividends, in 1994.
The gauge rose to 645.96 at the end of September, or 61.1 percent of the S&P 500’s price of 1,057.08. When the same ratio reached a record low of 23.9 percent in March 2000, junk bonds beat equities for three years.
McMoRan Exploration Co.’s 11.875 percent notes due in 2014 have returned 0.69 percent in October following a 54 percent rally this year through September, according to Trace, the bond- price reporting system of the Financial Industry Regulatory Authority.
Gas Rally
Shares in the New Orleans-based oil and gas producer soared 22 percent this month, compared with a 23 percent decline in the previous nine months. The rally followed a 21 percent advance in natural gas in September, the biggest gain since at least 2003, according to data compiled by Bloomberg.
The 8.75 percent notes due in 2012 of St. Louis, Missouri- based retailer Brown Shoe Co. jumped 33 percent between January and the end of September, excluding reinvested interest, according to Merrill Lynch & Co. data, while its stock retreated 5.3 percent. Shares in the company, which beat analysts’ profit estimates for three quarters, have rallied 46 percent since Sept. 30, compared with a 0.8 percent advance in the bonds, the data show.
“From a pricing standpoint, junk bonds have absolutely run their course,” said Jason Brady, a managing director at Thornburg Investment Management in Santa Fe, New Mexico, which oversees $50 billion. Brady manages both stocks and bonds in the $3.8 billion Thornburg Income Builder Fund, which has beaten 98 percent of its competitors in the past five years.
Still Cheap
Peter Acciavatti, who runs the top-rated junk-bond research team at New York-based JPMorgan Chase & Co., said on Oct. 16 that high-yield debt is still cheap. Slowing job losses and an improving housing market will narrow yields relative to benchmark rates, he said. His team has been ranked first among its peers in Institutional Investor’s annual poll for the past seven years.
The Federal Reserve said Sept. 23 that it will slow its $1.45 trillion program of buying mortgage securities as an economic recovery takes hold. Chairman Ben S. Bernanke indicated for the first time since August 2008 that the economy is accelerating.
Andrew Smithers
U.S stocks are about 40 percent overvalued and will decline once central banks pull back on securities purchases, economist Andrew Smithers said in an interview. Declines are also likely because banks will need to sell more shares, the president of research firm Smithers & Co. said.
Executives are shifting their focus to expansion after preserving cash for most of the year, a strategy that will profit shareholders more than bond investors, according to Edmund Ng, a strategist at Morgan Stanley in London. U.S. companies are emerging from the worst recession in seven decades with a record $1.5 trillion in cash after slashing more than 7 million jobs since December 2007.
More than 80 percent of S&P 500 companies that have reported third-quarter results have beaten analyst earnings estimates, exceeding the record pace of 72.3 percent for the period ended in June. Gross domestic product grew in the U.S. at a 3.2 percent annual rate last quarter after shrinking during the previous year, according to the median estimate of economists surveyed by Bloomberg.
“While nine months ago it was time to prefer credit over equities, we think now it is time to flip the trade around,” said Ng. “The rapid repricing of credit in 2009, and a shifting economic and earnings backdrop, suggest that a strong asset allocation argument for credit which existed at the start of the year has now largely vanished, or even reversed.”
Rising Profits
The S&P 500 has returned 2.2 percent in October including dividend payments, beating the 1.9 percent gain in Merrill Lynch’s high-yield index. The Dow Jones Industrial Average rose above 10,000 for the first time in a year after profits from JPMorgan Chase and Intel Corp. in Santa Clara, California, topped analyst estimates and the price of oil added 14 percent.
Profits in the S&P 500 will increase 67 percent this quarter, according to analysts polled by Bloomberg. S&P 500 earnings will increase 25 percent in 2010 and 22 percent in 2011, the analyst data shows.
ING Investment Management, which oversees $507 billion, has equal amounts in stocks and fixed income, with a preference for investment-grade debt over high-yield bonds. Equities may outperform as dividends rise with earnings and mergers and acquisitions gain pace, according to Patrick Moonen, the firm’s senior equity strategist in The Hague.
“Performance year-to-date started in the credit space and equities followed,” said Moonen. “But relative to credit, equities still have room to improve. Equities may be the better investment proposal.”
ZYGMUNT
Forumer attivo
stanno cercando polli ai quali lasciare il cerino acceso in mano o sbaglio?
Imark
Forumer storico
Come sei malizioso: gli rovini tutta la vena poetica...
E poi, può darsi che alla fine abbiano ragione loro ... sul punto per cui la salita a livelli da bolla dell'HY sia segnale di imminente salita dell'equity probabilmente no ...
Però le condizioni di fondo sembrerebbero restare di favore per una tenuta dei corsi azionari nel medio periodo, seppure, secondo me, con una volatilità in risalita... alti e bassi... poi dipenderà dalla politica di gestione della liquidità delle banche centrali e da come si deciderà di drenare la liquidità immessa nel sistema...
ZYGMUNT
Forumer attivo
Io sono più pessimista.
Secondo me i rischi di un decennio in stile anni 70 ci sono tutti.
Mi risolleverebbe solo se Obama si decidesse a dar retta a Volcker,l'unico che ci potrebbe tirar fuori dalle secche, ma GS e soci hanno munizioni più che sufficienti ad oliare i meccanismi del Congresso per impedire che qualcuno possa metter loro i bastoni tra le ruote.
Imark
Forumer storico
Ci sono anche secondo me... però guardati un grafico degli indici azionari in quel decennio, e valuta invece cosa hanno dovuto affrontare gli obbligazionisti per non farsi bruciare il capitale, tanto nei primi quanto negli ultimi anni durante gli anni '70.
Ai primi è andata meglio che ai secondi...
- Stato