Fondi ed ETF obbligazionari Db X-Trackers Ii Short Iboxx Sover Euroz

[Capirex85]

Bernanke Ready to Tighten When Recovery Sufficient (Update1)


By Craig Torres


Oct. 9 (Bloomberg) -- Federal Reserve Chairman Ben S. Bernanke said the central bank will be prepared to tighten monetary policy when the outlook for the economy “has improved sufficiently.”
“My colleagues at the Federal Reserve and I believe that accommodative policies will likely be warranted for an extended period,” Bernanke said at a Board of Governors conference yesterday in Washington, echoing language from last month’s meeting of the Federal Open Market Committee. “At some point, however, as economic recovery takes hold, we will need to tighten monetary policy to prevent the emergence of an inflation problem down the road.”
The Fed chairman didn’t enter into the debate among his colleagues on the FOMC over the pace or timing of a change in monetary policy. Fed Governor Kevin Warsh said Sept. 25 interest rates may need to rise “with greater force” than usual, while New York Fed President William Dudley said Oct. 5 the recovery’s pace “is not likely to be robust” and inflation risks are “on the downside.”
The FOMC reiterated its pledge last month to keep the benchmark lending rate at around zero “for an extended period” to boost a weak recovery that has yet to create jobs. The unemployment rate rose to 9.8 percent last month, the highest level since 1983. Bernanke didn’t discuss the outlook for the economy in his prepared remarks, which outlined the Fed’s response to the financial crisis.
‘More Pointed’
“He could not have been more pointed when reminding his worldwide audience that the low-rates promise is conditional,” said Christopher Rupkey, chief financial economist at Bank of Tokyo-Mitsubishi UFJ Ltd. in New York. “Money is free and easy right now, and the minute the job losses halt, you can bet the Fed will stop talking about exit strategies, including lifting the Fed funds rate, and start implementing them.”
Any move to tighten policy over the next year may run into opposition from the White House, which has said it doesn’t want to end fiscal or monetary stimulus quickly, the New York Times reported today, without citing anyone.
The Fed chairman, responding to an audience question about the effect of the $787 billion fiscal stimulus package on monetary policy, said he is assessing the impact of the spending on growth.
Capacity
“Looking at the amount of excess capacity in the economy, looking at the low rate of inflation, we believe that conditions will warrant policy accommodation for an extended period,” he said.
Bernanke’s comments come as a global recovery prompts officials around the world to debate the timing of exit strategies. Australia raised rates this week, the first Group of 20 nation to do so since the crisis intensified a year ago. Bank of Japan Governor Masaaki Shirakawa said Oct. 3 the need for the bank’s corporate bond purchase programs has eased.
In Europe, the Bank of England and the European Central Bank both kept rates unchanged yesterday and have signaled little willingness to immediately rein back emergency measures. China’s banking regulator, Liu Mingkang, said in Hong Kong today it’s “ far too early to talk about an exit.”
The U.S. currency strengthened to 89.29 yen as of 9:13 a.m. in Tokyo from 88.39 yen in New York yesterday, while it has dropped 0.6 percent this week. The dollar climbed to $1.4725 per euro from $1.4794, paring its decline on the week to 1 percent.
Stocks Gained
U.S. stocks gained as Alcoa Inc. started the earnings season with an unexpected profit and jobless claims decreased more than forecast. The Standard and Poor’s 500 Index rose 0.8 percent to 1,065.48. Yields on U.S. 10-year notes increased 8 basis points to 3.26 percent. A basis point is 0.01 percent.
The Fed staff is fine-tuning mechanisms designed to drain or neutralize excess cash in the banking system following a doubling of the central bank’s balance sheet. Those tools range from paying interest on bank reserves deposited at the Fed to reverse repurchase agreements, where the Fed pulls cash out of the financial system through a temporary sale of securities.
Bernanke said in the question-and-answer period the Fed could also conduct reverse repurchase agreements with Fannie Mae and Freddie Mac to soak up their excess cash balances.
Money Growth
U.S. central bankers boosted their balance sheet by $1.2 trillion after the collapse of Lehman Brothers Holdings Inc. in September 2008. The Fed has provided emergency credit to markets for commercial paper and asset-backed securities, expanded loans to banks and financed a $30 billion pool of high-risk securities to facilitate the merger of Bear Stearns Cos. with JPMorgan Chase & Co.
The Fed chairman said the bank reserves created through these operations haven’t created growth in broader measures of money. Still, he said Fed actions have improved liquidity and reduced lending spreads, two measures of success for a policy he calls “credit easing.”
“The unstinting provision of liquidity by the central bank is crucial for arresting a financial panic,” Bernanke said. “By backstopping these markets, the Federal Reserve has helped normalize credit flows for the benefit of the economy.”
To keep longer-term interest rates low, the Federal Open Market Committee is also conducting a $1.75 trillion purchase program of Treasury, housing agency and mortgage-backed securities.
Lower the Cost
“The principal goals of our recent security purchases are to lower the cost and improve the availability of credit for households and businesses,” Bernanke said. “The programs appear to be having their intended effect.”
The average rate on a 30-year fixed-rate mortgage fell to 4.87 percent, the lowest since May, Freddie Mac said yesterday. The Fed’s auctions of term loans to banks are also reducing pressures in the market for interbank loans.
The Fed won’t begin raising interest rates until the third quarter of 2010 as the recovery is likely to be too weak to lift employment and incomes, according to a September survey of 57 economists by Bloomberg News.
Richmond Fed President Jeffrey Lacker told reporters at a separate event in Washington yesterday that the risk the economy will slide back into recession “has diminished substantially” yet is “not entirely zero.”
Lacker also said Oct. 1 in a Bloomberg Radio interview that the growth and consumer spending outlook are “more fundamental” to the decision on when to tighten than “labor- market conditions.”
‘Extended Period’
Fed Governor Daniel Tarullo said yesterday in a speech in Phoenix that the strength of the U.S. recovery shouldn’t be exaggerated, while reiterating that rates are likely to remain low for “an extended period.”
“This turnaround is certainly welcome, but it should not be overstated,” Tarullo said. “Although we can expect positive growth to continue beyond the third quarter, economic activity remains relatively weak.”
The economy will expand at a 2.2 percent annual pace this quarter, the economists estimated. Housing markets have stabilized and manufacturing is picking up as companies re- stock lean inventories. Employers cut 263,000 jobs in September, pushing the unemployment rate up to 9.8 percent.
“The unemployment rate is much too high and it seems likely that the recovery will be less robust than desired,” New York Fed President William Dudley said Oct. 5. “This means that the economy has significant excess slack and implies that we face meaningful downside risks to inflation over the next year or two.”
Six Straight Months
Consumer prices have fallen for six straight months from year-earlier levels, the longest stretch of declines since a 12- month drop from September 1954 to August 1955, according to the Labor Department.
The core consumer-price index, which excludes food and energy, rose 1.4 percent in August from a year earlier, down from a 2.5 percent increase in September 2008.
“There is still downward pressure on core inflation and with the unemployment as weak as it is, there is a lot of room, as the Fed sees it, to maintain exceptionally low interest rates,” said Dan Greenhaus, chief economic strategist at Miller Tabak & Co. LLC.
-- With assistance from Gabi Thesing in Frankfurt. Editors: James Tyson, John Fraher

 

[Capirex85]

Che qualcuno si sia accorto che i prezzi possono anche scendere oltre che salire?

Treasuries Head for Second Weekly Loss Before Production Report

By Matthew Brown and Theresa Barraclough

Oct. 16 (Bloomberg) -- Treasuries were little changed, headed for a second weekly decline, before a Federal Reserve report that economists predict will show industrial production climbed for a third consecutive month.
The yield on the 10-year note rose earlier to the highest level in more than three weeks. Google Inc. reported third- quarter profit yesterday that beat analysts’ estimates and oil climbed, boosting European shares and U.S. stock-index futures and sapping demand for the safety of fixed income.
“There’s a fragile economic recovery and investors have been assessing the cost of holding long positions, which can be prohibitively expensive if they don’t materialize in the short term,” said Andre de Silva, global deputy head of fixed-income strategy at HSBC Holdings Plc in London.
The yield on the 10-year note was at 3.47 percent as of 8:49 a.m. in London, according to BGCantor Market Data. The 3.625 percent security due August 2019 was at 101 9/32. Yields rose from 3.22 percent two weeks ago, and reached 3.48 percent today, the most since Sept. 23.
Ten-year yields will decline to 3 percent by year-end, de Silva said.
A Bloomberg survey of banks and securities companies projects 10-year rates will be at 3.48 percent by Dec. 31, with the most recent forecasts given the heaviest weightings.
‘Higher Profit’
Output at factories, mines and utilities climbed 0.2 percent in September following increases of 0.8 percent and 1 percent in August and July, respectively, according to the median forecast of economists surveyed by Bloomberg. The Fed will report the figures today in Washington.
The Dow Jones Stoxx 600 Index of European shares gained 0.7 percent, and futures on the Standard & Poor’s 500 Index added 0.4 percent. Sales at Google, excluding revenue passed on to partner sites, were $4.38 billion, compared with an analyst estimate of $4.25 billion. Oil traded in New York climbed for the seventh consecutive day, rising to $77.94 a barrel. Bank of America Corp. is due to report third-quarter earnings today.
The Fed Bank of New York’s general economic index soared to 34.6, the highest since mid-2004, from 18.9 in September, the bank said yesterday. The Fed Bank of Philadelphia’s general economic index was 11.5, versus a September reading of 14.1 that was the highest since June 2007.
“There is much to support those on the Fed who advise against waiting too long before tightening,” Adam Carr, senior economist in Sydney at ICAP Australia Ltd., a unit of the world’s largest broker of trades between banks, wrote in a report.
Recovery Optimism
The Fed will be prepared to tighten credit when the economic outlook “has improved sufficiently,” Fed Chairman Ben S. Bernanke said last week. Minutes of the Fed’s September meeting released Oct. 14 showed some policy makers raised their second-half economic projections based on improved housing markets, stabilizing consumer spending and a recovery in growth outside the U.S.
Futures on the Chicago Board of Trade show a 57 percent chance the Fed will boost its target rate for overnight lending between banks by April. The Fed cut its benchmark rate to a range of zero to 0.25 percent at the end of 2008.
Treasuries are “relatively cheap” compared with European and Japanese government debt, as 10-year yields are likely to fall to 3 percent, according to RBS Securities Inc.
Ten-year Treasuries have a yield premium of 0.17 percentage point over similar-dated German bunds and 2.15 points over Japanese debt, making the U.S. bonds attractive, said Brian Lancaster, head of asset-backed debt strategies at RBS.
Cost of Living
U.S. debt handed investors a return of 5.9 percent over the past year, according to Merrill Lynch & Co.’s Treasury Master Index. German bund holders received a 9.1 percent increase and Japanese government bonds delivered a 3.4 percent gain. Treasuries are down 0.7 percent this month, the indexes show.
International buying of U.S. financial assets quickened in August, economists said before the Treasury Department reports the figure today. Net purchases of long-term notes, bonds and stocks rose to $30 billion from $15.3 billion in July, a Bloomberg survey of economists showed.
The cost of living in the U.S. rose 0.2 percent in September, slowing from 0.4 percent in August, indicating the recovery from recession isn’t stoking inflation. The government report showed the cost of living is down 1.3 percent over the past 12 months.
Flattening Curve
“The longer-end of the curve looks more attractive than the shorter-end because there’s little concern of inflation,” said Kazuaki Oh’e, a bond salesman in Tokyo at Canadian Imperial Bank of Commerce, the nation’s fifth-biggest bank. “The yield curve is likely to flatten,” he said referring to when the gap in yields between shorter- and longer-maturity debt shrinks.
The so-called real yield, or what investors get from 10- year notes after inflation, was 4.76 percent, versus the five- year average of 1.42 percent.
Other yields indicate that the $11.6 trillion the Fed and the government have lent, spent or guaranteed to shore up the economy have made investors less sure that inflation will stay low than they were earlier in the year.
The difference between rates on 10-year notes and Treasury Inflation Protected Securities, or TIPS, which reflects the outlook among traders for consumer prices, widened to 2 percentage points from almost zero at the end of 2008.
The yield differential between two- and 10-year notes increased to 2.52 percentage points from 1.25 percentage points in December.

 

[Capirex85]

I tassi sui treasury a 2 anni, la parte della curva più sensibile alle variazioni sui FED funds, raggiungono il minimo dell'anno perchè la FED continua a segnalare al mercato che i tassi rimarranno a questi livelli ancora a lungo. Siamo vicinissimi al minimo di sempre, toccato a metà dicembre 2008.

La FED sta agendo con saggezza, perchè l'esperienza giapponese di fine anni '90 - inizio anni 2000 ha mostrato che il giappone è riuscito a sconfiggere la deflazione solo quando la BOJ è riuscita a convincere il mercato riguardo alla sua volontà di tenere i tassi bassissimi a lungo e di voler sconfiggere a ogni costo la deflazione.
Una politica monetaria non credibile non è in grado di influenzare le aspettative degli operatori e quindi perde gran parte della sua efficacia.

Però quello che è giusto per l'economia e per la popolazione americana può essere piuttosto pericoloso per gli investitori più naive. Prima o poi la riprera dell'economia americana si consoliderà e riapparirà lo spettro dell'inflazione... e la FED dovrà alzare in modo sensibile i tassi e drenare gradualmente l'enorme liquidità che ha immesso nel sistema per evitare la catastrofe economica (e anche da questo punto di vista tanto di cappello a Bernanke e al suo staff... hanno fatto un lavoro magistrale da metà 2007 ad oggi). Anche la necessità di cercare di scongiurare nuove bolle speculative prima o poi potrebbe spingere la FED a rialzare i tassi. Chi si ritroverà esposto sulla parte lunga della curva (10 - 30 y) scoprirà che anche con i vecchi cari titoli di stato a tasso fisso ci si può fare terribilmente male.

Anche un'altro fattore potrebbe mettere sotto pressione gli yield sui titoli di stato: a causa del forte aumento dell'indebitamento degli stati l'offerta sta aumentando sensibilmente. La domanda di asset risk free invece potrebbe diminuire se i mercati equity e HY continuano a salire e continua a aumentare l'appetito al rischio degli investitori.

Treasury Two-Year Notes Yields Drop to Lowest Level This Year

By Cordell Eddings

Nov. 19 (Bloomberg) -- Treasuries two-year yields dropped to the least this year as a lower-than-forecast increase in an index of leading economic indicators supported bets that the Federal Reserve will keep rates near zero for the foreseeable future.
Two-year note yields are close to the lowest on record as the Conference Board’s index of U.S. leading indicators rose 0.3 percent in October, below the median forecast for a 0.4 percent increase in a Bloomberg News survey. Federal Reserve Bank of St. Louis President James Bullard yesterday said experience indicates policy makers may not start to increase interest rates until early 2012.
“As long as the economy is stuck in a rut and there are not viable fixed-income alternatives, they will buy Treasuries,” said George Goncalves, chief fixed-income rates strategist at Cantor Fitzgerald LP, one of 18 primary dealers that trade directly with the Fed. “Year-end pressures and the need for yield is pushing investors out the curve.”
The two-year note yield fell seven basis points to 0.68 percent at 11:23 a.m. in New York, according to BGCantor Market Data. The 1 percent security due October 2011 rose 4/32, or $1.25 cents per $1,000 face amount, to 100 19/32. The yield touched 0.6729, the lowest since Dec. 19. They fell to an all- time low of 0.64 percent on Dec. 17.
The U.S. will auction $44 billion of two-year notes on Nov. 23, $42 billion of five-year debt on Nov. 24 and $32 billion of seven-year securities on Nov. 25. The $44 billion in two-year notes matches a record and the five- and seven-year amounts are both record.
Don’t Dismiss
Bullard will be a voting member of the Federal Open Market Committee next year.
“The fact that he introduced the idea should not be dismissed as the ranting of a madman,” according to a report by senior economist Tom Porcelli and interest-rate strategist Christian Cooper at RBC Capital Markets in New York. “Even the most bearish analysts weren’t talking about 2012 as a possibility. But the idea has just received credibility.” (mha... ndr) RBC is one of the 18 primary dealers that trade with the Fed.
Bullard’s comments followed a Nov. 16 speech by Fed Chairman Ben S. Bernanke in which he indicated that the central bank’s extended period of low borrowing costs may be even longer amid economic “headwinds.” The two-year note yield fell 4 basis points that day while the yield on the 10-year security dropped 9 basis points.
The Fed repeated its pledge at its Nov. 4 meeting to keep borrowing costs at a record low to support the economic revival.
Bill Gross, who runs the world’s biggest bond fund at Pacific Investment Management Co., said the “systemic risk” of new asset bubbles is rising with the Fed keeping interest rates at record lows.
‘Painful Level’
“The Fed is trying to reflate the U.S. economy,” Gross wrote in his December investment outlook posted on the company’s Web site today. “The process of reflation involves lowering short-term rates to such a painful level that investors are forced or enticed to term out their short-term cash into higher- risk bonds or stocks.”
U.S. marketable debt totaled $6.95 trillion in October, after climbing to a record $7.01 trillion in September.
The pace of U.S. economic growth, which was 3.5 percent in the third quarter, will slow to 3 percent in the fourth and to 2.65 percent in the first three months of 2010, according to Bloomberg surveys of banks and securities companies.
The Philadelphia Fed’s general economic index, a gauge of manufacturing in the Philadelphia region, rose to 16.7 in November, more than forecast, from 11.5 in October.
‘Lose Confidence’
Futures contracts on the Chicago Board of Trade show just a 9.4 percent chance the Fed will increase its target for overnight bank loans to 0.5 percent by March, down from 32.4 percent a month ago. Policy makers cut the target to a range of zero to 0.25 percent in December.
President Barack Obama said yesterday in an interview with Fox News in Beijing that the U.S. must get the federal deficit under control. If the government continues to pile up debt, “people could lose confidence in the U.S. economy in a way that could actually lead to a double-dip recession,” Obama said.
The difference between 2- and 10-year yields widened yesterday after a government report showed the cost of living rose more than forecast in October. The spread was little changed today at 2.63 percentage points, increasing from 2.43 percentage points a month ago.

 

[canarino]

Però quello che è giusto per l'economia e per la popolazione americana può essere piuttosto pericoloso per gli investitori più naive. Prima o poi la riprera dell'economia americana si consoliderà e riapparirà lo spettro dell'inflazione... e la FED dovrà alzare in modo sensibile i tassi e drenare gradualmente l'enorme liquidità che ha immesso nel sistema per evitare la catastrofe economica (e anche da questo punto di vista tanto di cappello a Bernanke e al suo staff... hanno fatto un lavoro magistrale da metà 2007 ad oggi).

con questo livello di disoccupazione e con i consumi che si reggono solo per una politica di stimoli che non ha precedenti, una inflazione degna di nota per me si vedrà solo fino 2010 / inizio 2011

Anche la necessità di cercare di scongiurare nuove bolle speculative prima o poi potrebbe spingere la FED a rialzare i tassi. Chi si ritroverà esposto sulla parte lunga della curva (10 - 30 y) scoprirà che anche con i vecchi cari titoli di stato a tasso fisso ci si può fare terribilmente male.

tendenzialmente sono d'accordo con te che quando l'inflazione spara con 10-30y ti puoi fare davvero male ma non è possibile che si verifichi uno scenario di curva inverita con la parte a breve che schizza verso l'alto mentre la parte a lunga regge?

 

[Capirex85]

con questo livello di disoccupazione e con i consumi che si reggono solo per una politica di stimoli che non ha precedenti, una inflazione degna di nota per me si vedrà solo fino 2010 / inizio 2011





tendenzialmente sono d'accordo con te che quando l'inflazione spara con 10-30y ti puoi fare davvero male ma non è possibile che si verifichi uno scenario di curva inverita con la parte a breve che schizza verso l'alto mentre la parte a lunga regge?

Ad occhio, anche se non mi piace fare previsioni sulle variabili macroeconomiche perchè penso sia uno spreco di tempo e di energie, penso anch'io che sia realistico pensare che la FED non comincierà ad alzare i tassi prima di fine 2010-2011. Anche se è giusto non sottovalutare l'estrema dinamicità dell'economia USA... che può passare da fasi di contrazione a fasi di forte crescita in poco tempo e che è caratterizzata da una forte elasticità dei prezzi.

Sto semplicemente prendendo posizione adesso perchè il mio approccio si base sul "pricing" ovvero compro/vendo quando vedo un disallineamento significativo tra la valutazione di uno strumento e la sua capacità di generare redditi nel lungo periodo, anzichè sul "timing". Inoltre il mercato si base sulle aspettative e tende a anticipare le evoluzioni nell'economia con qualche mese di anticipo... se si vuole batterlo bisogna agire prima che si consolidino determinate aspettative.

Curva invertita... facciamo i dovuti scongiuri... perchè vorrebbe dire che il mercato si aspetta un'altra recessione con conseguente nuova espansione monetaria.

Una forte riduzione dello spread tra tassi a lungo e a breve ci sarà quasi sicuramente... ma non perchè i tassi a lungo staranno fermi, piuttosto perchè i tassi a breve, essendo molto più sensibili alle manovre di politica monetaria, saliranno di più dei tassi a lungo. Ma un conto è la variazione del tasso di interesse su un obbligazione, un conto è la varianzione del prezzo. Un 1% di rendimento in più su un trentennale causa una riduzione del prezzo a doppia cifra, su un titolo a 1-2 y invece perdi l'1% o il 2%.

 

[Capirex85]

Irrational exuberance... oh yeah... un value investor non può chiedere di meglio

Stocks Plunge as Treasury Three-Month Bill Yields Turn Negative

By Elizabeth Stanton and Cordell Eddings

Nov. 19 (Bloomberg) -- U.S. stocks extended a global drop as concern grew that the rally has outpaced the prospects for economic growth. The yen and the dollar strengthened, oil tumbled and yields on Treasury three-month bills turned negative for the first time since financial markets froze last year.
The MSCI World Index of equities 23 developed countries dropped 1.7 percent at 4:31 p.m. in New York, its steepest loss this month. The Standard & Poor’s 500 Index fell 1.3 percent to 1,094.90 as Bank of America Corp. downgraded chipmakers, sending Intel Corp. and Texas Instruments Inc. down at least 3.4 percent. The yen climbed against all 16 of its most-traded counterparts and the Dollar Index rose as much as 0.5 percent. Aluminum and copper led declines in industrial metals.
Stocks slid amid speculation the eight-month, 68 percent rally that drove the valuation of the MSCI World Index to the most expensive level in seven years already reflects forecasts for a 25 percent rebound in corporate earnings next year. The Organization for Economic Cooperation and Development doubled its growth forecast for the leading developed economies next year to 1.9 percent in a report today, while saying that mounting debt burdens will keep the expansion in check.
“It makes perfect sense that the market’s going to take a little bit of a breather,” said Michael Mullaney, who manages $9 billion at Fiduciary Trust Co. in Boston. “Sentiment had gotten a little too bullish.”
Fall From Peak
The S&P 500 retreated from a 13-month high for a second day even as the Labor Department said the number of Americans filing claims for unemployment benefits held at a 10-month low and the Federal Reserve Bank of Philadelphia’s general economic index rose more than estimated. The Dow Jones Industrial Average lost 93.87 points, or 0.9 percent, to 10,332.44.
Rates turned negative on some bills maturing in January, according to Sarah Sobeck, a Treasury trader at primary dealer Jefferies & Co. The three-month bill rate was at 0.0051 percent, the least this year. Six-month bill rates dropped to the lowest since 1958. Treasury bills turned negative last December for the first time since the government began selling them in 1929 as investors scrambled to preserve principal and were willing to sacrifice returns in the months following the collapse of Lehman Brothers Holdings Inc.
Bill Gross, who runs the world’s biggest bond fund at Pacific Investment Management Co., said the “systemic risk” of new asset bubbles is rising with the Fed keeping interest rates at record lows.
‘Painful Level’
“The Fed is trying to reflate the U.S. economy,” Gross wrote in his December investment outlook posted on the Newport Beach, California-based company’s Web site today. “The process of reflation involves lowering short-term rates to such a painful level that investors are forced or enticed to term out their short-term cash into higher-risk bonds or stocks.”
The two-year note yield fell five basis points to 0.70 percent at 4:24 p.m. in New York, according to BGCantor Market Data. The 1 percent security due October 2011 rose 3/32, or 94 cents per $1,000 face amount, to 100 18/32. The yield touched 0.6759, the lowest since Dec. 19. It fell to an all-time low of 0.6044 percent on Dec. 17.
Today’s slide in the S&P 500 was the biggest since Oct. 30, when the benchmark for U.S. stocks dropped 2.8 percent.
Intel, the world’s largest maker of semiconductors, fell 4.1 percent and Texas Instruments, the second-biggest, dropped 3.4 percent. Dan Heyler, head of Asian semiconductor research at Merrill, said the supply of chips is growing faster than demand, putting earnings at risk. Intel and Texas Instruments were lowered to “neutral” from “buy” and the global chip industry was cut to “negative” from “positive.”
Chip Stocks, Alcoa
Semiconductor stocks in the S&P 500 lost 3.7 percent as a group, the largest tumble among 24 industry groups.
Alcoa Inc. declined 3.9 percent for the second-steepest drop in the Dow as aluminum, copper, lead, nickel and tin all retreated.
ConocoPhillips, the third-largest U.S. oil company, slipped 1.9 percent and Chevron Corp. lost 2 percent as crude fell for the first time in four days. Schlumberger Ltd., the world’s biggest oilfield-services provider, lost 3.3 percent. Crude for delivery next month tumbled 2.6 percent to $77.50 a barrel.
Energy producers in the S&P 500 fell 2.1 percent as a group, the biggest drop among its 10 industries. Technology shares, the largest group in the index, lost 1.6 percent and contributed the most to the decline.
‘Grossly Overvalued’
Bank shares slid after Meredith Whitney, the analyst who correctly predicted in 2007 that Citigroup Inc. would cut its dividend, said lenders “are still grossly overvalued” and reliant on government purchases of mortgage-backed securities.
JPMorgan Chase & Co., the second-largest U.S. bank, and Wells Fargo & Co., the fourth-biggest, each dropped 1.9 percent. The S&P 500 Financials Index slumped 2 percent.
Writedowns of mortgage-backed debt contributed to a combined $1.7 trillion of losses by financial companies globally since the beginning of 2007. Mortgage delinquencies have continued to rise as job losses render consumers unable to stay current on their debt payments.
One out of every six home loans insured by the Federal Housing Administration was late by at least one payment and 3.32 percent were in foreclosure in the third quarter, the highest for both since at least 1979, the Mortgage Bankers Association said today.
Europe’s Dow Jones Stoxx 600 Index fell 1.7 percent in the first three-day decline this month after Groupe Danone SA, the world’s largest yogurt maker, cut its forecast for annual sales growth. The company cited “profound” changes in consumer spending. Danone lost 4.4 percent in Paris.
Share Sales
Asian stocks declined, dragging the MSCI Asia Pacific Index down for a third day, as share-sale plans at Japanese companies raised concern the value of existing holdings will be reduced. Mitsubishi UFJ Financial Group Inc. sank 3.7 percent and Nomura Real Estate Residential Fund Inc. slumped 8.6 percent after filing to sell stock.
Sixty-five percent of companies in the MSCI World Index that reported earnings since Oct. 7 have beaten analysts’ estimates, Bloomberg data show, and 80 percent of S&P 500 companies have topped estimates. The two indexes have rallied since March 9 on signs government stimulus policies and record- low interest rates are helping to pull the global economy out of the recession.
Fewer ‘Buy’ Ratings
The MSCI Emerging Markets Index dropped the most in a week, losing 1.4 percent. Emerging-market analysts cut “buy” ratings on Brazil to 44.6 percent this month, the lowest since Bloomberg began tracking them in 1997, after a 139 percent surge in the benchmark Bovespa Index pushed equities to their priciest levels in six years. Brazil’s Bovespa Index lost 0.3 percent today.
The yen appreciated 0.6 percent against the euro and 0.3 percent against the dollar. The dollar advanced 0.3 percent to $1.4916 versus the euro as it strengthened against all 16 major counterparts except the yen.
“The yen and U.S. dollar have been supported by the continued upturn in risk-averse conditions,” Lee Hardman, a currency strategist at Bank of Tokyo-Mitsubishi UFJ Ltd. in London, wrote in a report. “Current conditions remain unfavorable for risk assets, leaving them vulnerable to a correction lower.”
The combined economy of the OECD’s 30 member countries will expand 1.9 percent next year and 2.5 percent in 2011, the Paris- based organization said. Output will contract 3.5 percent this year. The 2010 forecast compares with the 0.7 percent growth predicted by the OECD in June, when the major economies were just beginning to emerge from their worst recession in more than half a century.
Losing Confidence
President Barack Obama said in an interview with Fox News recorded in Beijing that the U.S. must get the federal deficit under control. If the government continues to pile up debt, “people could lose confidence in the U.S. economy in a way that could actually lead to a double-dip recession,” he said.
Sales of coupon-bearing Treasuries will increase to $2.38 trillion in the fiscal year that began Oct. 1, from $1.81 trillion in the prior 12 months, primary dealer Goldman Sachs Group Inc. said in a report on Oct. 20.
The U.S. will auction $44 billion of two-year notes on Nov. 23, $42 billion of five-year debt on Nov. 24 and $32 billion of seven-year securities on Nov. 25. The $44 billion in two-year notes matches a record and the five- and seven-year amounts are both records.

 

[canarino]

Ma un conto è la variazione del tasso di interesse su un obbligazione, un conto è la varianzione del prezzo. Un 1% di rendimento in più su un trentennale causa una riduzione del prezzo a doppia cifra, su un titolo a 1-2 y invece perdi l'1% o il 2%.

chiaro che l'effetto duration si sente

Curva invertita... facciamo i dovuti scongiuri... perchè vorrebbe dire che il mercato si aspetta un'altra recessione con conseguente nuova espansione monetaria.

Una forte riduzione dello spread tra tassi a lungo e a breve ci sarà quasi sicuramente... ma non perchè i tassi a lungo staranno fermi, piuttosto perchè i tassi a breve, essendo molto più sensibili alle manovre di politica monetaria, saliranno di più dei tassi a lungo. Ma un conto è la variazione del tasso di interesse su un obbligazione, un conto è la varianzione del prezzo. Un 1% di rendimento in più su un trentennale causa una riduzione del prezzo a doppia cifra, su un titolo a 1-2 y invece perdi l'1% o il 2%

però parlavo di curva invertita perchè se guardiamo l'ultimo rialzo tassi della FED da giugno 2004 a giugno 2006 in cui si portò il tasso di riferimento da 1% a 5.25%

la curva yield si è mossa così
giu04 giu06
3m 1.26 4.99
2y 2.70 5.21
10y 4.64 5.18
30y 5.33 5.22

facendo perno sul 10y le maturity >10y sono scese!

 

[Capirex85]

però parlavo di curva invertita perchè se guardiamo l'ultimo rialzo tassi della FED da giugno 2004 a giugno 2006 in cui si portò il tasso di riferimento da 1% a 5.25%

la curva yield si è mossa così
giu04 giu06
3m 1.26 4.99
2y 2.70 5.21
10y 4.64 5.18
30y 5.33 5.22

facendo perno sul 10y le maturity >10y sono scese!

Bhe, per quanto riguarda il decennale s'è mosso eccome, passando, nel ciclo precedente, da un minimo di circa 3,5% a un max di circa 5,5%:United States Government Bond Yield (10 Year Note). 200 basis point in più sono variazione significativa. Faccio solo notare che siamo a livello dei minimi del ciclo precedente. Faccio notare inoltre che solo 9 anni fa i tassi erano arrivati su livelli doppi rispetto ad oggi... con rendimenti oltre il 7%. Se il grafico andasse indietro negli anni '70-'80-'90 troveremmo tassi sul decennale ancora più elevati. Non ci vuole Warren Buffett per capire che i livelli attuali sono assulutamente anomali e non possono persistere in eterno

La stessa cosa si può dire per i titoli di stato tedeschi, al cui rendimento si agganciano tutti i titoli di stato dei paesi dell'area euro: Euro Area Government Bond Yield (10 Year German Bund).

Vuoi comprarti un bel trentennale sperando in un inversione di curva? Bene, allora sparati questo: http://finance.yahoo.com/echarts?s=^TYX.
Anche qua, siamo vicini ai minimi storici. Veniamo da quasi 30 anni di bull market, infatti gli yield da inizio anni '80 hanno continuato a scendere gradualmente fino ai livelli attuali. E' un pò come chi comprava azioni nel 1998-2000 dopo che lo S&P 500 era passato in 20 anni da 100 a 1500. E' un suicidio finanziario.

 

[canarino]

prima di parlare di suicidio finanziario bisognerebbe contestualizzare il campo in cui operi
Vai in un'assicurazione dove ci sono polizze con il minimo garantito al 4% e tu ti trovi il decennale BTP al 4.04%, Warren Buffet parlerebbe di suicidio?

Prendere in considerazione un eventuale scenario giapponese sarebbe così sbagliato?

 

[Capirex85]

prima di parlare di suicidio finanziario bisognerebbe contestualizzare il campo in cui operi
Vai in un'assicurazione dove ci sono polizze con il minimo garantito al 4% e tu ti trovi il decennale BTP al 4.04%, Warren Buffet parlerebbe di suicidio?

Prendere in considerazione un eventuale scenario giapponese sarebbe così sbagliato?

Spiegati meglio, intendi dire che l'assicurazione paga a un cliente il 4% e reinveste la somma ricevuta al 4,04%? In questo caso bisogna vedere se c'è un cliente così male informato da vincolarsi per il 4% quando può guadagnare senza troppi problemi il 4,04% sul mercato facendo buy e hold sul BTP decennale

Lo scenario giapponese io personalmente lo escludo, perchè culturarlmente e strutturalmente l'America secondo me è profondamente diversa dal Giappone. Inoltre la crisi è stata gestita in modo completamente diverso.

PS Buffett è con 2 t