Renta fija: la divergencia de los bancos centrales, más que palabras

BlackRock - Jueves, 25 de Septiembre

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A principios de año, esbozamos las Cuatro temáticas de 2014 que creíamos que condicionarían la evolución del mercado de renta fija durante este año: la divergencia entre las políticas monetarias de los diferentes bancos centrales, el proceso de desapalancamiento en Europa, la búsqueda del equilibrio (bonistas frente a accionistas), y saber apreciar las diferencias entre los distintos mercados emergentes. A medida que nos adentramos en el último trimestre, no hay duda de que la primera temática —la divergencia entre las políticas de los diferentes bancos centrales— está saltando al primer plano.

Ante la heterogeneidad de los distintos datos económicos, el Banco Central Europeo se está viendo obligado a tomar nuevas medidas acomodaticias en un esfuerzo por tratar de estimular las economías de la zona del euro, y no parece que el Banco de Japón vaya a tardar mucho en aplicar esta estrategia. Entretanto, la Reserva Federal y el Banco de Inglaterra cada vez se inclinan cada vez más por poner punto y final a las políticas expansivas. En cuanto a los mercados emergentes, las políticas monetarias de los mercados desarrollados tendrán tanto o más impacto que las diferencias entre los bancos centrales de los propios emergentes.

At the start of the year we laid out our ‘Four Themes for 2014’ that we felt
would drive fi xed income this year: central bank policy divergence, Europe
deleveraging, fi nding the balance – bondholders vs shareholders, and spotting
the differences in emerging markets.
As we move into the fi nal quarter, there can be no doubt that our fi rst theme,
central bank divergence, is taking centre stage.
As economic data diverge (fi gs. 1 and 2), the European Central Bank (ECB) is being
compelled to embrace further easing measures in an attempt to stimulate the
eurozone economies, and the Bank of Japan may not be far behind. The Fed and
Bank of England (BoE), meanwhile, are increasingly eyeing the easing exit door.
For emerging markets, developed market monetary policy will have as much
– if not more – of an impact as EM central bank divergence itself.
FIGURE 1
2
1.5
1.0
0.5
0
-0.5
-1.0
-1.5
-2.0
-2.5
1999 2001 2002 2003 2004 2005 2006 2008 2009 2010 2011 2012 2013
Eurozone – US CPI
Source: Bloomberg, data as at September 2014. Spread between % YoY CPI for eurozone and US
[2]
``Questions remain about reform momentum
Downward pressure on European yields from the ECB
raises questions as to how much momentum the reform
drive will maintain in the absence of market pressure.
Nervous glances from policy makers are being cast
Italy and France’s way. Italian Prime Minister Renzi’s Q4
progress in particular will be monitored closely.
``Support for European credit
The combination of the ECB, bank deleveraging through
asset quality review (AQR) and net redemptions continues
to provide support for European financial credit.
``Sovereign QE: the final frontier
There is plenty of speculation that, having pulled all of
the available monetary policy levers, the ECB will have no
option but to engage in sovereign quantitative easing (QE).
However, the legal and political impediments to sovereign
QE remain unclear and it is unlikely the ECB will take this
road until it has seen the impact of its latest policies on
the economic and inflation environment. The take-up
of TLTRO in December, given the lower-than-expected
take-up at the September inception, will be key, as will
the further announcements on asset-backed securities
(ABS) purchases and efforts to kick-start the securitisation
market in Europe. Bear in mind that it will not be clear in
the short term whether these measures will accomplish
their goal: the unclogging of the credit transmission
mechanism. The ECB is likely to want to keep sovereign QE
in reserve should the economic and inflation environment
take a more dramatic downturn. It could even be argued
that the very prospect of QE has already driven nominal
yields to levels where the ECB is achieving ‘the QE effect’
without actually having to initiate the policy.
Japan – inflation off target
Though off investors’ radar this summer, Japan is struggling
to raise its Consumer Price Index (CPI) towards its 2%
target. In fact, the post-consumption tax environment
is seeing CPI reel backwards from its 1.5% peak. This
uncomfortable reality means that the Bank of Japan (BoJ)
will need to consider whether to add to last year’s bazooka.
Where next for Japan?
``More ‘QQE’
We expect an expansion of the ‘quantitative and qualitative
easing’ programme, with increased purchases of long-dated
Japanese Government Bonds (JGBs), most likely in early
2015. This should maintain the latest bout of JPY weakness.
IN THE EASING CORNER
ECB – the main event...so far
For much of 2014, the talk of divergent monetary policy
was just that – all talk and very little action. Mario Draghi,
in particular, attempted to talk down the euro while letting
the ECB balance sheet actually contract.
The Q2 cyclical slowdown in Europe, especially in Germany,
changed all that. The pressure on inflation expectations
(something to which the ECB is particularly sensitive)
forced the ECB to back up Draghi’s rhetoric and actually
take action – not once, but twice – in an effort to ward off
deflationary worries.
The outperformance of European core government bonds
has continued and peripheral spreads have benefited more
than expected from the ECB’s pro-active shift.
Where next for Europe?
``A renewed search for yield by European investors
Investors’ hunt for sources of income will continue to
support European credit and peripherals. Low absolute
levels of yields in European fixed income will put pressure
on European investors to seek yield elsewhere in global
bond markets and other asset classes. This will be
important for the euro which benefited from capital inflows
in 2H 2013 and 1H 2014 as international investors re-allocated
to European assets.
``Peripherals have moved into a new phase
Opportunity will be driven more by relative value between
countries. Volatility in peripheral spreads will increase
as economic progress diverges and questions are raised
about reform momentum (see below).
FIGURE 2
Europe economic surprise US economic surprise
1.5
1.0
0.5
0
-0.5
-1.0
–1.5
Aug
2013
Oct
2013
Dec
2013
Feb
2014
Apr
2014
Jun
2014
Sep
2014
The Goldman Sachs MAP Surprise Indices track whether economic data as a whole are
outperforming or underperforming consensus expectations.
Source: Bloomberg, Goldman Sachs, data as at September 2014.
[3]
``GBP has partially rebounded from its referenduminduced
slump. As focus shifts back to the economy
and the BoE, we expect GBP to benefit, especially against
the euro.
Emerging Markets – divergence inside
and outside
Global monetary policy divergence has profound impacts
for EM currencies and rates. On the currency side, a
stronger USD on the back of the Fed’s shift relative to
the ECB and BoJ will have direct implications for the
currencies that fix against those different groups. On the
rates side, CEE yields curves are likely to be flatter than
those that are more related to the Fed’s monetary policy.
Monetary policy divergence itself isn’t only a developed
market phenomenon. Countries with fewer inflation
pressures have been able to cut interest rates to promote
economic growth independently of any adjustment of their
currencies since the 2013 taper-tantrum.
On the other hand, in countries with stronger inflation
pressures, currencies and rates have been more correlated.
Where next for EM?
``DM monetary policy divergence will shape EM asset
performance in 2015. The speed of adjustment of rates
in the US and its impact on the long-end of the US curve
and EM currencies will be key for performance.
``EM currencies most sensitive to quick adjustment
of US rates. Currencies continue to be the main shock
absorber for EM, although a repeat of the 2013 scare at
the moment looks unlikely.
``Relative value in EMD remains. For hard currency
EMD, the relative value in credit compared to DM credit
remains, although the shift in US duration may remove a
tailwind that has led to its overall strong performance so
far this year.
``Profit by understanding where rates and forex are
positively or negative correlated. In the context of local
rate markets, beta is less likely to be a source of returns,
and relative value opportunities are to be considered as
a source of alpha. Recognising where rates and forex are
positively or negative correlated in EM will be a way to
profit from the divergence of DM monetary policy.
``EM 2014 easing cycle has run its course. EM divergence
will now be more about the speed at which countries are
likely to raise rates. Some exemptions to this rule exist,
for example Brazil, where rate cuts are possible later
next year as the economy fails to grow. Poland might
have room to cut, but places such as South Africa and
Turkey may face pressures to hike.
IN THE UNWINDING CORNER
The Fed – tentative steps
Weak Q1 data and few signs of a pick-up in wages (despite
strong employment growth) have kept the Fed rhetoric
dovish for much of 2014, despite its ‘dots projection’.
10-year yields have been lower than expected – partly as
a result of the rally in Europe and partly due to the rise in
geopolitical risks – but the real story in US Treasuries has
been the huge pivot in the yield curve.
In our May update we noted that the US Treasury short-end
would remain volatile and under pressure while the longend
was supported – this hasn’t changed.
At the recent Federal Open Market Committee (FOMC)
meeting, the balancing act between keeping the statement
intact while raising the ‘dots’ projection and moving
towards greater data-dependency hints at a Fed that is
getting ready to change gear.
Where next for the US?
``Labour market slack will continue to dominate the rate debate
Any improvement in US economic data will see a datadependent
Fed shift to become more explicitly hawkish.
As we move into Q4 and 2015 expect further pressure on
front-end yields – though the effect on longer-dated yields
will be a gradual back-up rather than a shock move.
``A rate hike by June 2015
We believe the Fed will hike by June 2015 – possibly as
early as March – although the pace of hiking thereafter will
be slow. Recent weeks have seen some economists bring
forward their first rate hike timing from September to June.
``USD continues to climb
Policy divergence is driving the USD higher against most
major currencies – something we expect to broadly continue.
BoE – back in the spotlight
The long-held consensus view, ours included, has been that
the UK will be the first to hike rates. This was reinforced by
Governor Carney’s Mansion House speech in June when
he remarked that markets may be too complacent in their
forecast timing, opening up the potential of a 2014 rate
rise. However, the spectre of a November hike has since
receded on a combination of falling inflation, a lack of wage
growth and uncertainty over the Scottish referendum.
Where next for the UK?
``Last week’s ‘no’ vote in the Scottish referendum puts
the spotlight back on the BoE and the underlying
strength of the UK economy. In this regard, an early
(February) 2015 hike looks most probable given the
economic situation, the February inflation report and
the May election. Gilts are vulnerable to this postreferendum
reality and the back-up in UST yields.
for more information
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