(Bloomberg) -- Выручка от инвестиционно-банковских услуг в мире может сократиться на 9 процентов в этом квартале на фоне низкой волатильности и распродажи высокодоходных облигаций, прогнозируют аналитики JPMorgan Chase & Co.Пока что сброс бумаг затронул лишь отдельных эмитентов, таких как Altice NV, говорится в клиентском обзоре аналитиков во...
Elon Musk has found a new way to help satisfy Tesla’s unquenchable thirst for capital. The money-losing $53 billion electric carmaker unveiled a surprise new Roadster model while showing off
Carillion, Experian, US junk bonds, China’s debts, Zimbabwe’s coup, Razer and more
1. Пузырь на рынке недвижимости АвстралииРазмер: 4,9 трлн австралийских долларов Длительность: 29 лет Увеличение рыночной цены: 510% Оценка: соотношение займа к доходам в 1,8 раз превышает средний долгосрочный показатель Нерациональное поведение: непрерывный рост ВВП в течение 26 лет Степень риска: высокая 2. Пузырь на рынке недвижимости ЛондонаРазмер: £6 трлн Длительность: 25 лет Увеличение рыночной цены: 333% Оценка: соотношение займа к доходам в 2,3 раз превышает средний долгосрочный показатель Нерациональное поведение: долгосрочные ставки ниже, менталитет «лестницы недвижимости» Степень риска: высокая 3. Пузырь на рынке недвижимости ГонконгаРазмер: 20 трлн гонконгских долларов Длительность: 12 лет Увеличение рыночной цены: 67% Оценка: средняя стоимость дома была в 18,1 раз выше среднегодового дохода домохозяйства в 2016 г. Нерациональное поведение: приток денег с материка, вера в неэластичный спрос на жилье Степень риска: высокая 4. ETF на VIXРазмер: $3 млрд Длительность: 7 лет Увеличение рыночной цены: 705% Оценка: прогнозируемая волатильность на рынке на историческом минимуме, среднее значение VIX в 2017 г. 11,4 против долгосрочного среднего показателя 19,4 Нерациональное поведение: стремление покупать на минимуме Степень риска: высокая 5. БиткоиныРазмер: $56 млрд Длительность: 2 года Увеличение рыночной цены: 1526% Оценка: цена очень чувствительна к регулятивным изменениям Нерациональное поведение: спекуляции, погоня за новыми технологиями Степень риска: высокая 6. FAANG (Facebook, Apple, Amazon, Netflix, Alphabet)Размер: $2,5 трлн Длительность: 12 лет Увеличение рыночной цены: 1363% Оценка: цена не ограничивается потенциальной прибылью Нерациональное поведение: стремление покупать на минимуме, страх упустить возможности Степень риска: высокая 7. Высокодоходные облигации развивающихся рынковРазмер: $935 млрд Длительность: 9 лет Увеличение рыночной цены: 240% Оценка: текущая доходность – половина долгосрочного среднего значения Нерациональное поведение: погоня за доходностью Степень риска: средняя/высокая
Corporate vehicles suffer withdrawals of $5.1bn in week to November 15
NEW YORK (Reuters) - U.S. fund investors walloped high-yield funds with their biggest week of withdrawals since March, Lipper data showed on Thursday.
NEW YORK (Reuters) - U.S. fund investors walloped high-yield funds with their largest week of withdrawals since March, Lipper data showed on Thursday.
Two weeks ago we warned that a cluster of the infamous Hindenburg Omens was forming. Since then stocks have suffered their biggest drop in 3 months... However, the Hindenberg Omen is not exactly flawless and has false-alerted a number of times in the last few years. Which is why, John Hussman has adapted the signals and is now warning of a very significant convergence of the 'Hindenberg Omen' and the 'Titanic Syndrome'... I’ve noted over the years that substantial market declines are often preceded by a combination of internal dispersion, where the market simultaneously registers a relatively large number of new highs and new lows among individual stocks, and a leadership reversal, where the statistics shift from a majority of new highs to a majority of new lows within a small number of trading sessions. – John P. Hussman, Ph.D., Market Internals Go Negative, July 30, 2007 Just a brief comment on market action. On Tuesday November 14, the number of NYSE stocks setting new 52-week lows surged above the number of stocks setting new highs, with both figures representing more than 3% of total issues traded. This “leadership reversal” joins the deterioration in our own measures of market internals last week, as well as ongoing dispersion in market breadth and participation. As noted in the chart below, this couples a “Hindenburg” with a “Titanic,” and is actually the first time since July 2007 that we’ve seen this particular combination of internal deterioration. Each of the red bars below was also associated with unfavorable market internals on our own measures. While the names of these indicators may seem silly and overly menacing, they actually get at something very serious. They capture situations where the major indices are near new highs, yet market internals show much greater divergence. In my view, this type of market behavior is indicative of a subtle shift in the preferences of investors, away from speculation and toward risk-aversion. Coupled with the most extreme “overvalued, overbought, overbullish” syndromes on record, the behavior of market internals warrants close attention. Credit spreads are also worth monitoring, as junk bond yields have surged in recent days. Importantly, we always have to allow for the possibility that market internals will recruit fresh strength. Our measures of internals reflect current, observable conditions, and suggest increasing investor risk-aversion, but this deterioration is not a “lock” on a negative outlook. We’ll take the evidence as it arrives, but today’s leadership reversal seems worth noting in the context of the other internal deterioration we’ve observed in recent days. As a sidenote, if we expand the window for a leadership reversal to within 10 days of a 12-month high instead of 7 days, there would be one additional signal on the chart above, in October 2007. That was also notable in the context of broader internal deterioration, including three “confirmed” Hindenburg signals on Peter Eliades’ criteria (which are more stringent than signals based on new highs and lows alone). Taken alone, I’ve often observed that signals like Hindenburgs and Titanics aren’t nearly as ominous as they sound. However, they are more informative when they are coupled with broader evidence of internal deterioration, particularly following extended periods of overvalued, overbought, overbullish market conditions. As I noted in real-time, just after the what turned out, in hindsight, to be the 2007 peak: Though I wouldn’t take the 3 consecutive signals last week as a compelling warning in themselves, I do think they deserve mention because they are occurring so close to unusually overvalued, overbought, overbullish conditions that independently warranted concern last week. With regard to our own measures relating to new highs and new lows, we observed a ‘leadership reversal’ last week – a sudden flip from new highs dominating to new lows dominating, with significant numbers of both, within a few days of a market peak. Those reversals are generally a signal that there is an underlying “turbulence” in market internals, which is a symptom of increasing skittishness by investors. – John P. Hussman Ph.D., Forget the Lesson, Learn it Twice, October 22, 2007
На протяжении большей части недавнего прошлого цены на нефть были обусловлены в первую очередь проблемами со стороны предложения, в том числе такими факторами, как технологические достижения в сланцевой нефтедобыче.
На протяжении большей части недавнего прошлого цены на нефть были обусловлены в первую очередь проблемами со стороны предложения, в том числе такими факторами как технологические достижения в сланцевой нефтедобыче.
High-yield debt is heading towards its worst month since January 2016
Authored by Axel Merk via Merk Investments, Last week, I got several calls asking me how U.S. tax reform will impact the price of gold. If you can answer this question, you might be able to answer how tax reform will impact other assets. Let me explain. If you were to analyze the impact of any tax changes on any asset, you have two sets of dynamics to consider: those of the tax reform and those of the asset. What makes the comparison to gold unique is that gold is, if I may call it such, the purest of all assets because it doesn’t change. It is the world around it that changes. Monetary policy affects nominal prices, whereas fiscal policy affects real prices. That is, printing money might affect the price level, but fiscal policy affects where money gets allocated, and what investments take place. I would like to caution that not everyone agrees, especially with regard to monetary policy, but even if you do not fully agree, bear with me, as a simplified model might help in understanding price dynamics. When held in a vault (rather than leased out), gold doesn’t generate cash flow. Investors have the choice of investing in a so-called productive asset that generates cash flow; or to park it in something unproductive, such as a hundred-dollar bill in your pocket; or gold. While there’s a convenience factor to the hundred-dollar bill to use for purchases, most would agree depositing the cash in an interest-bearing deposit may be worth the risk. There’s the risk of the default of the counter-party. For bank deposits, FDIC insurance tends to mitigate the risk; and for Treasury Bills or Treasury bonds, there is the full faith of the U.S. government that the principal will be paid back. Yet Treasuries aren’t entirely risk free: the longer you commit your money for, the more interest rate risk you bear (the market value of Treasuries tends to fluctuate the further out the maturity even if the principal is not at risk); and while the US government guarantees to pay back the principal value of its debt, it doesn’t guarantee it will have the same purchasing power at maturity. The chart below shows the purchasing power of the U.S. dollar since December 1970, that is, the purchasing power of your hundred-dollar bill when sitting in your pocket: This illustrates why the price of gold has appreciated: at the end of 1970, an ounce of gold cost less than $40; currently, it costs over $1,200 an ounce. The gold never changed, but the purchasing power of the dollar has eroded. Indeed, since 1970, the price of gold has appreciated substantially more than the purchasing power of the dollar has declined, suggesting the price of gold is influenced by more than merely the consumer price index. In my assessment, a key driver of the price of gold is the real rate of return available on other investments. The benchmark for these “other” investments for U.S. dollar based investors is the so-called risk-free investment: Treasuries. Most people don’t walk around with hundred-dollar bills in their pocket, they make a conscious decision how to allocate their money. If they get compensated more for holding Treasuries, the price of gold may suffer (again: because gold is the constant here). As such, if one believes tax reform increases the real rate of return on investments, the price of gold - all else equal - may suffer. When President Trump was elected, after the brief overnight spout of volatility, the price of gold fell as Treasury yields rose. I argued at the time that the market was pricing in higher real rates of return. In the subsequent months, the so-called Trump trade fizzled out as, and that’s my interpretation, the market priced in lower odds of meaningful tax reform. In recent weeks, the price of gold has experienced some softness, as Treasuries have fallen once again. Note that the correlation between bonds and gold is currently elevated, but that this relationship is by no means stable. That’s why I earlier used the qualifier “all else equal”. In that context, is the most recent weakness in the price of gold due to more hawkish talk at the Federal Reserve, i.e. due to monetary factors, or due to the tax reform framework announced by the Administration, i.e. fiscal factors? Let’s look at each, then broaden the discussion. If you believe that the tax proposals will a) meaningfully alter the long-term growth prospects of the U.S. economy; and b) will be implemented, then odds are downward pressure is exerted on the price of gold. Note there is a different between tax cuts and tax reform. Imposing a lower tax rate may be a short-term stimulus, but it may not fundamentally alter investor behavior. Take the estate tax, for example: let’s assume for a moment the estate tax will be eliminated (the odds of that passing are rather low), but that the elimination will expire after 10 years. Many tax provisions expire after 10 years as that’s how they get passed under Senate budget reconciliation rules requiring only a simple majority. If you are a wealthy foreign individual considering relocating to the U.S., and your life expectancy is greater than ten years, the change in tax code would unlikely change your behavior. Had this person relocated to the U.S., even as a retiree, he or she likely would have spent substantial money over the rest of his or her lifetime, contributing to higher U.S. growth. The estate tax example is easy to visualize, even if the total impact of the estate tax is rather small. The same applies to other provisions in the tax code as well, though. For example, if U.S. companies have a long-term assurance that they won’t be taxed on income abroad, they can make resource allocation decisions based on where they believe money is best deployed rather than based on quirks in the tax code encouraging them to shield it from the IRS. There’s also an argument to be made that long-term investors in the U.S. want to see the U.S. budget be on a fiscally sustainable course. Because if the U.S. is on a fiscally irresponsible course, odds are, the government will at some point take the money from those who have it (and/or cut benefits; or be unable to keep up the infrastructure, etc.). That said, one should not get too carried away with the politics. It’s not that each proposal by your favorite party is good; and the end of the world is about to come when ‘the other’ party wins. To pass through Congress, most tax proposals are substantially watered down. Indeed, the Administration’s proposal has lots of wiggle room, suggesting already that the final product, if any, may not hold up to the rhetoric: the blueprint proposed leaves open the possibility that the U.S. will not fully embrace a territorial tax system (i.e. no longer tax earnings abroad); it also leaves open the introduction of a higher tax rate for top earners, amongst others. Given the failure to pass healthcare reform, one shall be excused to be a cynic about the odds of tax reform passing as well. Needless to say, my own assessment is that we might get a few tweaks in the tax code, but odds are low that it will be a structural transformation causing real growth to substantially change. I have not been able to identify attributes in the market that suggest otherwise. By all means, if you draw different conclusions, this is intended as a framework to think about the issue rather than a crystal ball. So how come the price of gold has weakened since the announcement of the Administration’s plan for tax reform? Nothing ever happens in a vacuum: we also had the Federal Reserve meet and provide a more hawkish outlook; several economic indicators were positive, causing Treasuries to fall. There were also some global events that I won’t digress to for the simplicity of the argument here. With regard to the Federal Reserve, I would like to make two comments: the tail-wagging-the-dog argument, as well as one on risk premia: With regard to tail-wagging: it’s been my impression that the Fed would like to raise rates, but only as long as financial conditions don’t deteriorate. That’s a bit of an oxymoron as the whole purpose of rate hikes is to tighten financial conditions. In my view, the Fed is concerned about a sell-off in asset prices. According to what a former regional Fed President once told me, under normal circumstances, the Fed would not worry about asset prices; unless, that is, they created a bubble. Differently said, when the markets behave, expect hawkish Fed talk. But let the markets have a hiccup, and those good intentions are thrown out of the window. And since the markets have behaved, the Fed’s most recent talk has been hawkish. That puts a short-term dampener on the price of gold (but may be a buying opportunity if one believes this hawkishness won’t translate into higher real rates). The other attribute is risk premia. The Fed has announced it will reduce the size of its balance sheet. I have seen Fed studies that suggest this will lead to lower bond prices (higher yields). I disagree. I believe it will lead to higher risk premia. Quantitative Easing (QE) cause the spreads between junk bonds and Treasuries to narrow; more broadly speaking, so-called risk assets rose in price; with regard to stocks, the lower volatility, in my opinion, is a direct result of QE. In contrast, in my view, Quantitative Tightening (QT) will expand risk premia. That is, risk assets are at risk of falling as volatility increases; such volatility is often associated with a “flight to safety”, i.e. purchases of Treasuries. But, and here we go back to the tail-wagging argument, the Fed doesn’t want asset prices to plunge. And, hence, the Fed is telling us QT is akin to watching paint dry. Sticking with abbreviations, the paint-drying argument is, in the opinion of yours truly, a bunch of BS. Circling back to the price of gold: my framework is that the reason risk assets tend to fall as volatility rises is because the cash flow of said assets gets discounted more (the cost of capital is a function of the risk/volatility). As gold does not have cash flow, it shines in contrast when volatility rises. And with that, I make assertions not just about the price of gold, but asset prices in general: The benchmark of risk is Treasuries, the risk-free rate of return. That’s why it is so important to know what the Fed is up to (and so bad to have a tail-wagging-the-dog Fed). To the extent tax reform affects expectations of real returns, it affects Treasuries. The lower real rates of returns are, the more favorable for the price of gold and vice versa. Risk assets trade at a discount to the risk-free asset (“discount” w.r.t. fixed income means the yields are generally higher). That discount varies based on financial conditions. The lower risk premia are (high complacency/favorable financial conditions), the more favorable for risk assets. Higher risk risk premia (fear) tends to be favorable for the price of gold. QE compressed risk premia; QT will cause risk premia to expand. In other words: don’t expect much from the tax reform, consider holding gold as a diversifier in your portfolio and buckle up, the unwinding of the Fed’s balance sheet may cause some sparks.
Authored by Kevin Muir via The Macro Tourist blog, If you are looking for some breathless post about the recent collapse of the junk and high-yield market over the past couple of weeks, then click somewhere else. I know it makes for exciting writing, but I won’t do it. There is already more than enough hyperbolic rhetoric filling the financial airwaves. But the really amusing part? Have any of these doomdayers actually had a look at the return of these bond markets over the past year? I hate to use ETFs to generalize an asset class’ returns, but the HYG and JNK ETFs seem to be on everyone’s lips as the epicenter of the recent terrible high yield “rout.” Heck, even newly crowned Bond King Jeffrey Gundlach watches JNK technicals for clues. Let’s have a look at these awful “technicals” for HYG and JNK. Yup. I can see why pundits are talking about the decline. It sure looks scary. But is it? Both ETFs are bond funds - which means they pay interest as dividends. When examining the return of these assets, it is important to include these “interest payments” in the calculation. What does it look like if we put these payments back into the equation? Both the HYG and JNK are up approximately 5% year-to-date on a total return basis. So remind me again about the “rout?” Spreads are even better behaved Most bond traders talk about high yield and junk bond pricing as a spread against US treasuries. If a 5-year corporate bond is priced to yield 4.07% with the US t-note equivalent maturity trading at 2.07%, then the corporate is described as trading with a spread of 200 basis points. This spread to treasuries represents the extra risk buying a private corporation versus the risk-free sovereign. If there was truly a high-yield rout, you would expect this spread to blow out. Maybe I am wrong in my analysis of this high-yield “rout” being nothing to get excited about. Maybe spreads are blowing out, signaling increasing worry about private credit. Well, let’s explore that possibility. Here is the one-year chart of the BarCap US High Yield 10 year spread. An increasing rate represents a widening of the credit spread, meaning corporate bonds are increasing in yield faster than US governments. In this light, it sure seems like the last month is pretty minor. What about if we back out the time frame. Maybe we need to look at the bigger picture. Whoa! This recent uptick in spreads is barely a blip. What about a really long-term view? Holy smokes. The last month’s widening doesn’t even register. The start of something bigger? Just because the recent high-yield and junk bond decline is minor compared to previous declines, doesn’t mean it’s not the start of a bigger correction. That very well could be. I am not predicting future price action, but merely reminding everyone to take a deep breath, and think about the scale when they are discussing the “rout” of the past week. But I will reiterate my belief that the next crisis will not emanate from the private credit markets, but will instead occur when the entire bond market revolts against the insane monetary policies of the world’s Central Banks. Sure, JNK and HYG will decline. I have no doubt about that. But more importantly, TLT and all the other supposedly risk-free sovereign bonds will lead the way. And although I am extremely worried about the precarious overbought nature of the stock market, the fact that JNK and HYG are declining is no reason to get out extra pink tickets. The recent slight widening of credit will not cause the stock market to decline. Do you really think it makes any difference to corporate balance sheets if credit spreads back up 50 basis points from the lows? Not a chance. When it starts moving 500 basis points I will be more sympathetic to that argument. But the recent backup is just noise, and irrelevant. Coincidental as opposed to causal But I will concede one point. In this day and age of Central Bank quantitative easing pushing up all financial asset prices together, the fact that bonds are declining might not be enough to cause a stock market dip, yet it might be a signal that the bid for all financial assets is wearing thin. HYG and JNK’s recent poor performance might be reflective of the drying up of all bids for all financial assets. Don’t misconstrue this as some sort of end-of-the-world call. Nothing could be further from the truth. I am desperately trying to keep everyone’s perspective firmly in check with this supposed high-yield “rout.” Just remember, the backup in JNK and HYG is coincidental, not causal to the coming risk asset correction.
Последний квартальный отчет был настолько ужасен (Тесла обновила рекорды по прожиранию сбережений инвесторов), что, похоже, пересилил даже настырную пропаганду. Ее акции обвалились почти на 10% за неделю, а облигации (которым присвоен мусорный статус), на которые и без того был обещана солидная 5.3% процентная доходность при выпуске (официальная инфляция в США составляет сейчас 1.7%) тоже поплыли вниз - текущие котировки идут из расчета 5.75% доходности. Комментарии профессиональных спекулей: 48 комментариев