Nuove considerazioni sulla fine del QE.

Cosenza (Italy), 17 Maggio 2011

Gli scenari che si prospettano da qui ad un mese, quando terminerà il programma di quantitative easing, non sono affatto chiari e, proprio in queste settimane, si ascoltano molte voci quasi sempre in disaccordo su ciò che ci attende.

Ieri, per esempio, è stato pubblicato il "NABE Outlook May 2011" (National Association of Business Economics), che prospetta un aumento dell'inflazione e del prezzo delle materie prime.

Summary: “NABE panelists revised their projections for economic growth in 2011 downward compared with their February projections,” said Richard Wobbekind, NABE president and associate dean, Leeds School of Business, University of Colorado. “Real GDP is expected to grow at a moderate pace of roughly 3 percent in the current year and only slightly faster in 2012. Factors supporting growth going forward include pent-up business and consumer demand, accommodative monetary policy, and growth in the rest of the world, especially Asia. The main factors restraining growth include high and rising commodity prices, uncertainty about future federal government economic policies, a tepid housing market, and financial headwinds. Panelists remain highly concerned about federal deficits and debt, and are increasingly concerned about rising commodity prices and inflation.”

Da parte mia ho già espresso un'opinione contraria: il prezzo delle materie prime è - a mio avviso - destinato a diminuire nel tempo in maniera durevole. La motivazione di ciò risiede nella proporzione tra prezzo dei futures e delle options attualmente scambiate sui mercati. Questo argomento, che solo una settimana fa sembrava un'idea bizzarra, sta rivelandosi ogni giorno pù vero e supportato da autorevoli commenti. Ecco quelli di giornata:

• CNBC 16/5 "Dennis Gartman: 'Smartest People' Getting Out of Commodities": "He's first points to plans by Glencore, the world’s largest commodity house, to raise as much as $11 billion in an IPO scheduled to price this week. In case you're not familiar with Glenncore, headquartered in Switzerland, the firm produces, sources, processes, refines, transports, stores, and finances commodities all around the world, according to its website. “Glencore could have gone public almost anytime and it has chosen to go public right now,” says Gartman. “I think one has to be very careful being bullish of commodities when Glencore is cashing out. These are among the smartest people in the world.” "If Glencore is getting out, one should be somewhat suspect," Gartman adds".
• CNBC 17/5 "Financial Repression Coming to America: El-Erian": "The co-CEO of the world’s largest bond fund has warned America that it faces a combination of higher inflation, austerity and financial repression over the coming years as policy makers grapple with the impact of the financial crisis and the subsequent policy response. [...] “Secular baseline portfolio positioning should minimize exposure to the negative impact of financial repression, hedge against higher inflation and currency depreciation and exploit the heightened differentiation in balance sheets and growth potentials,” El-Erian added".
• Reuters 17/5 "Euro off 7-week low but still seen wobbly": "In addition, a trader for a Japanese brokerage house cited talk of yen-selling by Japanese investment trusts. The Australian dollar dipped after the minutes of the Reserve Bank of Australia's May policy meeting offered few fresh clues on exactly when the central bank may next raise interest rates. A senior trader for a Japanese trust bank said global macro hedge funds were detected unloading long positions in the Australian dollar after the minutes were released, but added that the market impact was limited as the minutes were largely in line with expectations. [...] Based on regression analysis of the euro/dollar and IMM currency speculators' long positions in the currency pair since September, the euro could fall to $1.33 if all speculator long positions are unwound, said Makoto Noji, senior strategist at SMBC Nikko Securities. [...] Positioning data published by the U.S. Commodity Futures Trading Commission shows that currency speculators trimmed their net long position in the euro in the week to May 10 but still held relatively large bets on the euro. Their net long position in the euro stood at 61,447 contracts. While that was down from a four-year high of 99,516 hit the week before, it is still among the largest net long positions seen since late 2007".

Lo scenario che si delinea da questi articoli è  - a mio avviso - chiaro (e conferma la direzione da me indicata): gli investitori stanno vendendo le loro vecchie posizioni (old business), e stanno acquistando a termine le nuove posizioni (new business).

Se questa ipotesi è vera, si potrebbe assistere ad un innalzamento della curva dei rendimenti sulle brevi scadenze (shift), ma non necessariamente portare a maggiore inflazione!

AGGIORNAMENTI
Martedi 17 Maggio 2011: Ecco che cosa (probabilmente) vuol dire un innalzamento della curva dei rendimenti sulle brevi scadenze...un articolo assai illuminante del Prof. Gregory Mankiw (Harvard) apparso oggi sul suo blog "Google Plays the Yield Curve": Google ha emesso un bond del valore di 3 miliardi di Dollari, anche se ha liquidità disponibile per 37 miliardi di Dollari.
La notizia, apparentemente paradossale, ha una spiegazione economica assai razionale: considerate le circostanze, è assai conveniente indebitarsi a lunga scadenza.

Tuesday, May 17, 2011
Google Plays the Yield Curve 

Click on graphic to enlarge.

I was fascinated a story in today's Wall Street Journal. Apparently, Google is sitting on $37 billion in cash, but nonetheless decided to sell $3 billion worth of bonds. Why? To take advantage of low interest rates.

It is like reverse maturity transformation. The banking system borrows short and lends long. Google is borrowing long and lending short. (Or maybe I should call it reverse quantitative easing, as Google is also doing exactly the opposite of what the Fed has been doing.)

Does this make sense for Google? I have no idea, and I am ready to concede that those guys are a lot smarter (and financially successful) than I am. But there is reason to be skeptical.

The chart above shows the spread between the ten-year Treasury bond and the three-month Treasury bill. The yield spread is now high by historical standards. The empirical literature on the expectations theory of the term structure (in which I have sometimes played) suggests that this is a good time to borrow short and lend long--the opposite of what Google is doing.

Maybe this time is different, and past empirical regularities will not hold going forward. But ponder this question: If you had a friend with a paid-up house, would you suggest that he now take out a long-term mortgage in order to deposit the proceeds in a money-market fund? If not, does it make sense for Google to be doing much the same thing?

Al seguente link, invece, l'articolo del WSJ 17/5 "Cash-Rich Google Sells First Bonds", in cui si dice anche che molte altre aziende hanno già preso la stessa decisione di Google.

[...] Margie Patel, a senior portfolio manager at Wells Capital Management, said large technology companies are using debt offerings to "buy a very cheap, long-term insurance policy that gives them flexibility for whatever the economy throws at them, in case of acquisition opportunities, or if their cash flow changes down the road."
Until the Google deal, nearly $17 billion in debt had been issued in 17 deals in the tech sector so far this year, according to Thomson Reuters. Cisco Systems Inc., Dell Inc., and International Business Machines Corp. were among other debt issuers this year in deals ranging from $1 billion to $4 billion.

Martedi 17 Maggio 2011: Un'altra voce fuori dal coro; la segnalo a conferma delle mie tesi. CNBC 17/5 "Stocks Will Move Higher After Correction: Stock Pickers":

Despite the correction, markets still look good, according to father-son duo Harry Clark, founder, president and CEO of Clark Capital Management, and Sean Clark, CIO of Clark Capital Management.  “There’s nothing wrong here and [stocks] look very good in our opinion,” Harry Clark told CNBC.  However, Harry Clark said the correction has been keeping investors from jumping into the markets, with only 35 percent of the public invested, compared to the typical 55 percent.  In the meantime, Sean Clark said the market is currently in a “rotational correction”. “We’ve seen volume on down days be heavier than volume on up days,” he noted, “and that’s a concern. That means we have more correction to the downside left until the market establishes its base and, I think, the market eventually moves higher.” 

Segnalo ancora l'articolo CNBC "Stocks Hit 1-Month Low, Oil Off on Recovery Fears", in cui si parla di "riassestamento" dei fondamentali economici. E' la prima volta che leggo un giudizio di tale rilevanza!

"World stocks as measured by MSCI were down 0.6 percent, with the index earlier hitting its lowest level since mid-April. [...] There's a reassessment of the fundamentals, and there's a perception that the current price is too high," said Christophe Barret, oil analyst at Credit Agricole Corporate and Investment Bank. "With demand being affected by the high oil prices ... they have to correct."

Giovedi 19 Maggio 2011: Ecco altri tre emittenti famosi di obbligazioni negli ultimi 10 giorni, con alcune interessanti sorprese riguardanti il rapporto rischio/rendimento (vedi FAZ 19/5 "Große Anleihen für kleines Geld"):

Waren in jüngster Zeit Anleihemissionen größerer und etablierterer Emittenten durch hohe Mindestanlagesummen und Stückelungen zumeist institutionellen Investoren vorbehalten, so ändert sich das Bild zumindest in den vergangenen zehn Tagen. Gleich drei Emittenten bringen neue Anleihen in privatanlegerfreundlicher Stückelung von 1000 Euro auf den Markt. Legt man indes die Laufzeit als Zielgruppenkriterium zugrunde, so bleibt das Bild das gleiche: „Retail kauft nicht bei Laufzeiten über fünf Jahre“, heißt es im Banker-Deutsch, was so viel bedeutet, dass Privatanleger Anleihen mit Laufzeiten von mehr als 5 Jahren nicht gern ins Depot nehmen. Das Kriterium der fünfjährigen Laufzeit erfüllt mit Renault einmal mehr nur ein Autobauer. Dessen Anleihe im Volumen von 175 Millionen Euro ist mit einem Kupon von 4,75 Prozent ausgestattet. Ob das viel oder wenig ist, ist Ansichtssache. Denn Renault ist ein Grenzgänger. Während die Rating-Agentur Standard & Poor's (S&P) das Unternehmen mit „BBB-“ noch im Investment-Grad-Bereich einstuft, bestätigte der Wettbewerber Moody's erst im Februar abermals die Bonitätsnote von „Ba1“, mithin die beste im Bereich spekulativer Emissionen. [...] In einem ähnlichen Rating-Bereich bewegt sich der österreichische Baukonzern Strabag, der nur von S&P bewertet wird. Die Agentur stuft das Unternehmen ebenso wie Renault mit „BBB-“ noch als investmentwürdig ein. Strabag nutzt laut dem Vorstandsvorsitzenden Hans-Peter Haselsteiner das freundliche Umfeld für eine Emission im Volumen von 200 Millionen Euro. Schließlich wisse niemand, wann Griechenland zahlungsunfähig werde. Dabei hat der Strabag-Chef weniger das eigene Geschäft als den Kapitalmarkt im Auge. [...] Strabags neue siebenjährige Anleihe mit einem Kupon von 4,75 Prozent rentiert derzeit mit 4,845 Prozent, was knapp oberhalb dessen liegt, was andere Industrie-Anleihen in diesem Rating-Bereich derzeit bieten. Renault übertrifft das Marktmittel mit einer Rendite von 4,77 Prozent immerhin um etwa 50 Basispunkte - wenn man nicht auf Unternehmen aus Südeuropa setzt. Eine Anleihe der Hellas Telekom (OTE) bringt derzeit 8,35 Prozent, Fiat 5,98 Prozent. Beide Anleihen aber haben hohe Mindestanlagesummen. [...] Vom Rating her betrachtet deutlich solider ist ist die neueste Anleihe des Spezialisten für Befestigungstechnik wie Schrauben oder Dübel, der Adolf Würth GmbH & Co. KG. Die Emission im Volumen von 500 Millionen Euro mit einem Kupon von 3,75 Prozent und einer siebenjährigen Laufzeit wird von S&P mit der Note“A“, von Fitch mit „A-“ bewertet.

Matteo Olivieri
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