Leve Risk-On!

Os ativos de risco estão apresentando recuperação nesta manhã, após uma quarta-feira de clássico “risk-off”. Não há um claro motivo para a recuperação dos mercados neste momento, mas uma injeção de liquidez por parte do PBoC na China pode estar ajudando a estabilizar o humor global a risco.

Não há nenhuma informação nova no cenário esta manhã. Os jornais no Brasil continuam com informações requentadas e comentando a possível e provável reforma ministerial, mas sem muitos fatos concretos.

Nos EUA, a Reforma Tributária caminha no Congresso, mas alguns ruídos nos últimos dias mostram o quão difícil será sua aprovação. Isto pode estar ajudando na piora do humor dos últimos dias, mesmo que sua implementação seja pouco precificada pelo mercado.

Meus comentários de ontem continuam válidos: https://mercadosglobais.blogspot.com.br/2017/11/risk-off-updated.html.

Deixo agora um breve comentário do DB a respeito do mercado de HY Bonds, que vem sendo foco de grande atenção nos últimos dias:

On this there has been a lot of noise around the HY market in the past week or so as a combination of macro factors along with some notable earnings misses have weighed on the market. iTraxx Crossover and CDX HY have widened by around 25bps and 30bps respectively from their most recent tights, while the price level of the largest USD HY ETF (HYG US) is basically back to the same level as where it started the year, however this overstates the move in the US cash market and even more so in Europe. Looking in more detail at the cash market US HY has widened by around 60bps and EUR HY is 46bps wider from the recent cycle tights only a few weeks back but both are still around 25bps and 100bps tighter on the year respectively. In a broad historic context the recent moves hardly register but in the context of a year that has been headlined by extremely low levels of volatility they are certainly significant. For EUR HY there were two other periods where we saw some sort of correction this year. In March/April (ahead of the French elections) the index widened 27bps in 42 days and then in August/September (after the North Korean escalation) we saw a 29bps widening over 30 days. So the current 46bps of widening in just 12 days has been somewhat more aggressive than anything else we’ve seen this year.

Looking at similar data for the US we have also seen two previous corrections. In March spreads widened 61bps in 20 days and then in July/August we saw 45bps of widening in 15 days. So the current c.60bps widening over 22 days is actually of a similar magnitude to this year’s previous corrections. The moves look even more stark when we focus on single-Bs though. EUR single-Bs have widened by more than 100bps from the most recent tights, more than halving the YTD tightening we had seen. For USD single-Bs the recent widening (65bps) has actually reversed more than 80% of the YTD spread tightening we had seen to the recent tights.

The question from here is whether this recent back-up in spreads is simply going to lead to a fresh buying opportunity or whether it will lead to something more significant. Despite some of the recent profit warnings we think that it is more likely to be the former at the moment. But at the very least the pace of this turn around highlights how quickly market sentiment can change, especially when spreads are so tight. HY was looking very very stretched relative to IG in Europe and this corrects some of that. Overall it certainly provides us with some food for thought as we look to publish our 2018 outlook in the next 10 days.