Risultati Olimpici per gli investimenti obbligazionari. Nicholas Gartside Gestore Investimenti Obbligazionari

Transcription

1 Risultati Olimpici per gli investimenti obbligazionari Nicholas Gartside Gestore Investimenti Obbligazionari

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3 Stagflation What does it look like? UK growth and inflation % % Trend growth Inflation target UK GDP YoY UK RPI YoY (RHS) Source: Bloomberg, quarterly data as at 31 March 28

4 A black swan in the money market Euro 3 month Libor spreads % Repo Rate Overnight Rate 3 month Euribor Source: Bloomberg, as at 6 June 28

5 Central banks respond Forms of Federal Reserve lending to financial institutions Source: Federal Reserve Bank of New York

6 Market impact 5 Year Government Yields¹ Credit Spreads² % Mar-7 Jun-7 Sep-7 Dec-7 Mar-8 bps Mar-7 Jun-7 Sep-7 Dec-7 Mar-8 bps US Germany UK US HY Euro HY US IG (RHS) Euro IG (RHS) ¹Source: Bloomberg, as at 1 June 28 ²Source: Merrill Lynch, as at 9 June 28

7 A Big Bubble has Burst After Too Long a Period of Too Loose Money A History of Home Values A History of Home Values The Yale economist Robert J. Shiller created an index of American housing prices going back to 189. It is based on sale prices of standard existing houses, not new construction, to track the value of housing as an investment over time. It presents housing values in consistent terms over 116 years, factoring out the effects of inflation. The 189 benchmark is 1 on the chart. If a standard house sold in 189 for $1, (inflation-adjusted to today s dollars), an equivalent standard house would have sold for $66, in 192 (66 on the index scale) and $199, in 26 (199 on the index scale, or 99 percent higher than 189) World War I Great World Depression War II Decline and run-up Prices dropped as mass production techniques appeared early in the 2 th century. Prices spiked with post war housing demand 197 s Boom 198 s Boom Current Boom Boom Times Two gains in recent decades were followed by returns to levels consistent since the late 195 s. Since 1997, the index has risen about 83 percent House Prices and Foreclosures 2 % 24 2,2 22 2, ,8 16 1,6 14 1,4 12 1, , 6, S&P/Case-Shiller Composite - 1 Home Price Index Foreclosures as % of Total Loans (RHS) 1 Source: Irrational Exuberance 2nd Edition, 26, by Robert J. Shiller 2 Source: Bloomberg

8 Housing A global slowdown European House prices (% Change; y-o-y) UK Ireland Spain Italy Source: Bloomberg, as at 3 April 28 1 UK: Halifax House Prices 3 Month YoY 2 Ireland: permanent TSB and ESRI Ireland average house price 3 Spain: Quarterly House Price Indices from the Ministerio de Vivienda 4 Italy: ISI, Italian residential property

9 Securitization the fuel for house prices Growth of securitized assets Euro 1 Covered bond issuance by country 2 Billions millions YTD RMBS Auto Loans CDO CMBS Credit Card Vehicle/ Equipment Leases Other 1 Source: RBS 2 Source: JP Morgan YTD France Germany Spain UK Ireland

10 Where did Euro ABS go? 1) The ECB 2) Banks & Dealers European Securitized Products Issuance 1 JP Morgan Chase Prime Mortgage 3 Day Delinquency Trend 2 Billion J F M A M J J A S O ND J F MA M J J A S O N D J F M AM J J A SO N D J F M % Sep-5 Mar-6 Sep-6 Mar-7 Sep-7 Mar-8 Publicly-placed issuance Private/Retained issuance Prime Mortgage 3 Day Delinquency Trend 1 Source: Citigroup Global Markets Ltd 2 Source: JP Morgan

11 Dealers unable to finance positions 2 year Euro swap spreads 1 Broker 5 year senior CDS spreads 2 bps 1 bps Year Swap Spreads BNP Paribas Intesa Sanpaolo SpA Credit Suisse Unicredito Italiano S Per Azioni 1 Source: Bloomberg, as at 3 June 28 2 Source: Market Partners. CDS spreads based on mid price of senior unsecured, as at 3 May 28

12 The 28 Gold Medal Bond Strategy Team New brand format 27

13 2m Sprint Immediate impact 2yr UK swap rate vs. 2yr swap spread % 6.5 bps Dec 7 Jan 8 Feb 8 Mar 8 Apr 8 May 8 Jun 8 Target 6 2yr UK swap rate UK Base rate 2yr UK swap spread (RHS) Source: Bloomberg, as at 1 June 28

14 Marathon - Inevitable US 2/1 Swap Curve % Target US 2/1 swap curve Source: Bloomberg, as at 3 May 28

15 BMX New, edgy ideas Generating alpha from credit in a bear market Corporate recession trade in Investment Grade Credit Top Down analysis Slowing US economy Continued de-leveraging Bearish on Credit Quantitative Analysis Filter CDS using Craft Single Name RV Equity Metrics Default Metrics 5 Names 1 Names Bottom Up analysis Credit analysts identify most at risk names Strategy Execution Spread (24 th October 27) % NAV Average Rating Risk in CTD (yrs) Current Spread (9 th June 28) Buy protection on 4 U.S. high grade cyclical names 5bps 1.5% Baa2.3 15bps (Dow Chemical, Honeywell, Rohm and Haas, Black and Decker Corporation)

16 2m Butterfly The pain trade When to buy US High Yield? % % US GDP (YoY) US High Yield (RHS) Moody s Speculative-Grade Global Default Rate Source: Bloomberg, Moody s, Merrill Lynch, as at 31 March 28

17 1m Platform Dive Take the plunge US Securitised Bonds bps Agency Spread to Treasuries Non-Agency AAA Spread to Treasuries Source: UBS as at 3 May 28

18 Gymnastics Strength and agility Treasury Inflation Protected Securities (TIPS) 5 % CRY Commodity Price Index (LHS) 1yr US Real Yield TIPS 1yr Breakeven Source: Bloomberg as at 3 May 28

19 Badminton Power and accuracy Asian bond and currency basket % Feb 7 Apr 7 Jun 7 Aug 7 Oct 7 Dec 7 Feb 8 Apr 8 Jun 8 Philippines 1yr Indonesia 1yr Malaysian Ringgit (RHS) Source: Bloomberg, as at 3 June 28

20 Weight Lifting Snatching Value Australia A cheap bond market? % % Target Germany vs. Australia 1yr Spread Source: Bloomberg, as at 3 May 28

21 The medal ceremony Exit CDOs selling liquidity industrials / consumer corporates underweight / short governments 28 Gold Medals government bonds inflation notes US yield curve steepeners underweight / short credit short $ and 212 Gold Medals High Yield ABS, CMBS Emerging Markets Patient, disciplined, opportunistic

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