Логичным продолжением комментариев состоявшегося ФОМС стала рекомендация по доллару от Форексдеска Goldman Sachs.
Голдман предлагает идти в лонг против доллара по корзине валют, в которую, кстати, входит и рубль.
Обоснование: дефицит текущего счета и идея дополнительного количественного смягчения
We have long argued that structural imbalances in the US will lead to more Dollar weakness. There are two main transmission channels: First, the current account deficit combined with the lack of investment inflows into the US and, second, more accommodative monetary policy by the Fed than elsewhere.
Мы уже давно считаем, что структурные дисбалансы в США ведут к слабости доллара.
Есть два главных канала этого воздействия. Первый: текущий дефицит счета с недостаточным притоком инвестиций в США. Второй: более мягкая, чем прежде монетарная политика Федрезерва.
We would expect these Dollar-negative forces to strengthen. The Fed yesterday shifted to a more dovish stance, including with a commitment to keep rates at exceptionally weak levels until at least mid-2013. The Fed also said it stands ready to increase its balance sheet further, leading our US economists to think QE3 now has a more than even chance of becoming reality. Moreover, the recent macro evidence of continued sluggish growth suggests capital inflows into the US could weaken further. This would likely increase the current account funding pressures, even if the latter start to improve slowly.
Мы ожидаем, что воздействие негативных для доллара сил усилиться. Фед выразил свою готовность продолжить увеличение своего баланса, в связи с чем QE3 стало гораздо больше реальностью, чем прежде.
All this suggests the Dollar will likely continue to weaken on a broad basis, and hence we would look to express this view against a broad basket of currencies. Our choice has been focused on commodity exporters, countries with strong external balances and strong cyclical stories across the major regions. Specifically, we suggest an equally-weighted basket of NZD, RUB, SEK, KRW, MYR and CLP. We would recommend going long this basket at an index level of 100, with a 1-day stop on a close below 98, for an initial target of 105.
Все это предполагает, что доллар продолжит слабеть относительно широкой корзины валют.
Наш выбор сфокусирован на экспортерах commodities, странах с сильным балансом и «сильными циклическими историями» в крупных регионах.
В частности, мы предлагаем равновзвешенную корзину из NZD, RUB, SEK, KRW, MYR и CLP. Мы бы рекомендовали лонг по этой корзине с первоначальной целью +5% и стопом -2%.
Странно, никакого количественного смягчения еще не объявлено, и многие считают, что этого и не будет. Но Голдман сказал, что так будет. Значит так будет.
Это будет совсем непохоже на то, что было в Японии
Ян Хатциус: «В истории еще не было такого момента, который можно было бы поставить рядом с текущей ситуацией».
О критериях, которые будут использовать агентства при принятии решения о понижении рейтинга.
We expect the rating agencies will use two primary criteria to evaluate the eventual debt limit agreement:
Debt limit uncertainty: Proposals that increase the debt limit for a longer period appear to have a better chance of leading to more positive rating outcomes, by reducing uncertainty regarding interest and principal payments. This implies that an increase in the debt limit of $2.4 trillion that occurs in two stages would, all things being equal, pose more risk to the US AAA rating than a single increase of $2.4 trillion.
Medium-term fiscal stabilization of debt trajectory: In order to maintain their AAA ratings and return to a stable outlook, S&P and Moody’s have indicated that a deficit reduction package of roughly $4 trillion over ten years would need to be agreed to by Congress. The primary measure of stability in debt dynamics that the rating agencies are likely to look for is stabilization of the debt-to-GDP ratio by mid-decade. This is similar to the G20 declaration in 2010 that debt-to-GDP ratios should be stabilized or in decline by 2016. In practice, this should essentially require the primary deficit to be eliminated by that time. In the US, this would imply a 6% of GDP improvement in the structural fiscal balance over five years.
The upshot is that the ratings reaction to the plan that will hopefully be enacted in coming days is likely to depend not only on the headline savings achieved, but also on the balance between the uncertainty that the chosen enforcement mechanism creates on the one hand, and the credibility that it provides to the reform process on the other hand. Unfortunately, the relative importance of these factors to the rating agencies (and S&P in particular) is unclear, as is how much other "soft" factors – such as the breadth of political support for the agreement for the agreement – will weigh in their decision.
Это будет связано также с тем, сколько неопределенности останется в ситуации с госдолгом США после повышения лимита госдолга
Какие последствия видит GS
Прежде всего GS считает, что понижение рейтинга не приведет к продажам казначейских бумаг
A downgrade should not force sale of Treasuries
If one of the rating agencies does decide to downgrade the US sovereign rating, we see three main direct effects:
Knock-on downgrades. Rating agencies are likely to downgrade the ratings of some issuers that are closely linked or directly backed by the US government. The most obvious candidates are Fannie Mae and Freddie Mac, which are under conservatorship and rely on federal financial support. Fannie and Freddie MBS benefit from an implicit guarantee but are not rated, though they could still be affected. Ginnie Mae securities on the other hand, are directly backed by the federal government, and would likely be downgraded. AAA-rated Federal Home Loan Banks (FHLBs) don't rely on federal capital or financing, but would also be downgraded in the event of a sovereign downgrade, according to S&P. AAA-rated insurers would as well, in light of S&P's policy of not rating insurers higher than sovereigns of the same jurisdiction. Highly rated bank holding companies and bank subsidiaries could also be subject to downgrade, since some benefit from ratings "lift" above the banks standalone strength; while S&P has indicated that it would not immediately downgrade any banks or broker dealers in relation to a sovereign downgrade, Moody's has indicated that it might in the event that it downgraded its US sovereign rating.
Collateral effects. The primary issue here is the repo market, since AA-rated Treasury and agency securities could face slightly higher haircuts, either as a result of a possible downgrade or as an indirect result of volatility that results from a downgrade. In the broader repo market, Treasuries are the dominant form of collateral, though in the tri-party repo market, agency MBS and CMOs comprise a greater share of the total collateral used (roughly 40%) than Treasuries (30%) and GSE debt (9%) do. In the event of a downgrade, it is reasonable to expect that the haircut on these securities might rise by up to one percentage point (the New York Fed estimates the median haircut for Treasuries and agency debt and MBS is currently 2%). Treasuries, and to a lesser extent agency securities, are also used for derivatives margining, though the aggregate amounts are much smaller. This would cause a modest contraction in available funding; 1% of an estimated $1.7 trillion tri-party repo market, of which 80% relies on government securities, would reduce funding using current collateral by $14 billion.
Capital requirements and investment mandates. In general, it is unlikely that a downgrade would result in significant pressure on regulated entities to shift assets out of Treasuries or agency securities, though it is conceivable that there may be some isolated areas where this could occur. In general, as shown in the table below, regulatory requirements often treat government securities as a separate asset class. Moreover, regulatory constraints typically would not come into play if a downgrade were only of one or two notches, to the AA+ or AA level. Likewise, a downgrade by only one rating agency is less likely to trigger such a reaction than a downgrade by two rating agencies. What happens to the significant portion of Treasury and agency securities held by foreign investors is a more complex question given a diversity of mandates – a few of these might rely on ratings – versus the deeper liquidity of the US government securities compared with any alternative investment, and the fact that a good deal of foreign holdings are the byproduct of the buildup of reserves in growth economies, particularly in Asia, that are generating large current account surpluses.
Как повлияет понижение рейтинга США на цены на активы.
With those warnings in mind, we suspect we would see the following reactions to a US downgrade:
A drop in equity markets, but probably a modest one. Equities usually but not always dropped on the day of downgrade; a further drift down of a few percent over the subsequent month was typical. But the average drop in the equity market was less than 1% on the day, and there were exceptions over both the 1-day and 1-month horizons. Part of the reason for this—and the often mild moves in other asset classes—is undoubtedly that the debt issues had long been on the market’s radar and the potential for a downgrade was known, though we had trouble finding a clear pattern in the behavior of equities in the months leading up to the downgrade.
Some weakening in the currency. The yen dropped by more than 1% versus the dollar on two of the downgrade episodes; moves in the other cases were very small. Given the large foreign holdings of Treasuries, it would not be surprising to see a somewhat bigger effect on the dollar in the event of a US downgrade, although we would be surprised by a move of more than a few percent. The effect on the currency could also be mitigated by repatriations of foreign assets to increase cash holdings.
A steepening of the yield curve and a cheapening of Treasuries relative to OIS. The Japan, Canada, and Spain episodes showed no clear pattern in ten-year yields or spreads to US Treasuries. This may be because downgrades imply two opposing forces: a heightened premium for holding government debt, which pushes yields higher, but more pressure for fiscal austerity, which would slow growth (at least in the near term) and pushes yields lower. This tug-of-war was evident earlier this year when Standard & Poor’s changed its US rating outlook to negative: ten-year Treasury yields ended the day little changed. Standard & Poor’s has indicated an expectation of a 25-50bp increase in “long-term” US interest rates in the event of a downgrade; this is certainly possible at the very long end of the curve,, but we suspect the impact on the ten-year note would be smaller, at least initially. One clearer implication is a curve steepening, since the impact of austerity is disproportionately felt at the front end of the curve whereas the heightened risk premium is most significant at the long end. This effect could be reversed (i.e., more front-end weakness) if the US were to go into a "technical default," but we view this as a very remote scenario. Relative to the expected path of short-term interest rates (i.e., OIS), we would expect Treasuries to cheapen somewhat further (currently, 10-year Treasuries trade 20bp above corresponding maturity OIS).
Some weakness in the financials sector. In the event of a US sovereign downgrade, S&P has indicated that AAA insurers, the GSEs, and the Federal Home Loan Banks would be downgraded as well. Although a recent S&P statement suggested that “banks and broker-dealers wouldn’t likely suffer any immediate ratings downgrades,” an increased premium on sovereign debt could result in some indirect impact on debt and equity of financial firms beyond those insurers directly affected.
Все это важно, но у меня нет времени переводить.
Если понижение рейтинга случится в ближайшие 3-4 недели, - пишет Ян Хатциус, то это повлечет за собой:
Падение рынков акций, хотя, возможно, и умеренное
Некоторую слабость в валюте
Кривая доходностей увеличит кривизну, а трежеря станут дешевле, чем overnight indexed swap (OIS)
Этот прогноз опубликован 7 июля 2011 года , цена золота в этот момент составляла 1530 долларов. Прогноз носит средне- и долгосрочный характер, а потому сохраняет актуальность.
Мне неизвестно, на основании чего Goldman Sachs предполагает, что экономика США будет расти в 2012 году.
Этот прогноз также не учитывает возможность коллапса доллара США или серьезных потрясений в еврозоне. Это, так сказать, их прогноз в случае спокойного развития событий.
Итак, Goldman Sachs пишет:
Мы считаем, исходя из текущего низкого уровня реальных процентных ставок в США , что цены на золото в 2011 году продолжат рост. Однако, поскольку наша экономическая команда предсказывает сильный экономический рост в США в 2012 году, то мы ожидаем, что реальные процентные ставки начнут расти и золото в 2012 году достигнет пика.
Рекомендация производителям:
В то время мы ожидаем рост цен на золото в 2011 году, наша точка зрения, что риски снижения вероятно увеличатся по мере приближения к началу 2012 году, и предполагают, что производителям в этот момент следует начать масштабное хеджирование на весь календарь 2012 года и далее.
Мы продолжаем рассматривать рынок золота недооцененным относительно уровня реальных процентных ставок в США и ожидаем, что низкий уровень реальных ставок будет стимулировать открытие спекулятивных позиций и поддержит дальнейшее ралли в ценах на золото. Ставки по US TIPS ( долгосрочные американские казначейские облигации, учитывающие инфляцию) снизились с 1% в марте, до 0,65% в начале мая и текущий их уровень доходности установился на 70 пунктах.
Мы подтверждаем наш прогноз цен на золото, который мы дали 1 декабря 2010 года: цены 1565, 1635 и 1730 долларов за унцию соответственно через 3,6, и 12 месяцев.
В то время, как мы считаем постоянно низкие процентные ставки первичным драйвером для бычьего прогноза по золоту на ближайшие 12 месяцев, мы также ожидаем, что монетарный фактор спроса будет оказывать сильное влияние на цены на золото, с «перекосом» риска в направлении физического спроса.
В частности, в то время как традиционные активы золота в виде ETF сохраняются относительно без изменений за последние несколько месяцев, мы продолжаем видеть устойчиво сильный монетарный спрос на золото со стороны центральных банков развивающихся стран. Активы в золоте ЦБ этих стран увеличились в мае на 3,4 млн. тройских унций, что значительно больше среднего размера увеличения золотых запасов, который с мая 2009 года составил 0,5 млн. унций золота.
В то время как высокая инфляция и монетарный фактор спроса представляют риск апсайда к нашим прогнозам цен на золото на ближайшие 12 месяцев, мы продолжаем считать, что цены на золото достигнут пика в 2012 году, когда начавшийся рост реальных процентных ставок, который может оказаться сильнее, чем ожидаем, будет создавать риск снижения для цен на золото.
Резюмируя вышесказанное, мы продолжаем полагать, что золото на текущих уровнях является безусловно хорошей торговой сделкой, но не долгосрочной инвестицией.
И о commodities
Мы полагаем, что ситуация в Греции, продолжающийся напряженный поиск компромисса между инфляцией/ростом в Китае, смешанные экономические данные из нескольких ключевых стран продолжат создавать краткосрочную волатильность в ценах на commodities.
Однако мы продолжаем считать, что цены на commodities продолжат расти в этом году и в 2012 году. В основе такого взгляда ожидания экономистов Goldman Sachs ускорение роста мировой экономики после того как временное замедление в результате землетрясения в Японии и роста цен на нефть прекратится.
Goldman Sachs ожидает в ближайшие 12 месяцев рост цен на commodities в 20%. Это наибольший апсайд, который ожидается в течение 12 месяцев, но он может наступить и раньше.
Сегодня начинается сезон отчетности американских компаний. В целом результаты ожидаются положительными; в пользу этого говорит исторический анализ результатов отчетов.
За последние 22 года только однажды, в 2001 году, показатели компаний, входящих в S&P500, оказались ниже, чем в в 1 квартале.
The reporting season that kicks off Monday should act as a positive catalyst for equity markets. The bottom-up consensus of $23.08 for the 2Q S&P500 EPS has fallen sharply by $1.34 since the end of June. Although half of this decline is due to BofA’s $8.5 billion charge to settle lawsuits related to mortgages, even an adjusted EPS figure of $23.75 represents a rather undemanding expectation. Over the past 22 years only once, in 2001, did 2Q S&P500 EPS come in lower than 1Q and only three times did 2Q rise by less than 3% from 1Q. The average 2Q/1Q sequential change over the past 22 years was 6.4%. Such an increase translates to an S&P500 EPS of $25 for 2Q. Even a 3% increase would create a positive surprise by pushing the 2Q EPS to $24.2.
Гораздо более подробный отчет от Дэвида Костина из GS (здесь же)
Он тоже ждет хороших показателей:
Наши обсуждения с клиентами сконцентрировались на взаимодействии роста корпоративных прибылей и вялого роста экономики.
Если рост прибыли от года к году близок к нашему прогнозу в 14% и предварительный комментарий менеджмента верен, S&P500 должен продолжить недавнее ралли.
Наша трехмесячная цель в 1400 пунктов по индексу S&P500 отражает потенциальную прибыль в 3,7%, а наша цель на конец года в 1450 пунктов по индексу S&P500 отражает потенциальную прибыль в 7,5% от текущих уровней.
Здесь также даны прогнозы по EPS и ВВП.
Наиболее серьезные пересмотры EPS в финансовом секторе, где оценки 2 квартала снижены на 24% за последние два месяца.
Так что и здесь негативной реакции на выходящие отчеты может не последовать.
На мой взгляд они из разряда тех, к которым может быть не стоит прислушиваться, или даже сделать наоборот.
Part of the reason for speculating that QE3 optimism is excessive is that many investors believe that equity markets have been strangely resilient. We have ourselves pointed out that US equity indices have been vulnerable to the growth downgrade that their own rotations out of cyclical sectors imply, and some of that “gap” has recently closed. But it is also true that the current pattern of asset markets is broadly consistent with the way mid-cycle slowdowns are often priced. Cyclical assets underperform broad equity indices, bonds rally as the market adjusts its views of policy and that dynamic in turn partially cushions the hit to risk assets overall. As Themos Fiotakis described in a recent Daily, a weakening dollar is not uncommon in an environment where the global cycle is showing positive but declining growth. So the critical question again comes back to how persistent and how significant the underlying growth slowdown turns out to be. Amid all this is a reminder that the simplest US slowdown trade – mid-cycle or otherwise – is generally to be long US fixed income.
Оптимизм относительно QE3 чрезмерен.
Американские фондовые индексы уязвимы к уменьшению темпов роста.
Слабый доллар не является чем-то необычным в ситуации, когда глобальный цикл проявляет позитивный характер, и темпы роста при этом снижаются (Нетривиальное рассуждение ?!)
Критический вопрос – насколько постоянным и существенным окажется текущий цикл замедления роста.
А вот то самое важное , что хотел сказать GS: Среди этого всего напоминание, что простейший трейд на замедлении экономики США – в середине цикла или в другой момент – в большинстве случаев это лонг по активам с фиксированной доходностью (читай: покупай US Treasuries).
Голдман явно пытается подыграть Казначейству и Феду: сейчас как никогда важно сохранить низкими доходности по UST.
И по поводу развивающихся рынков:
While the market has been quick to price easier policy in the US in response to the growth slowdown, it has been slower to relax about EM tightening risk. At one level, that makes sense given tighter capacity and more intense inflation pressures in many of the large EM markets. But we think a US slowdown – up to a point at least – is probably more helpful to EM than to DM markets. This is simply the reverse of our argument in late 2010 that an accelerating US recovery would add to EM policy dilemmas by pushing commodity prices higher and providing a tailwind to local demand. While persistently slower US growth would be more troubling for the large developed economies that are still trying to make inroads into spare capacity, it would also create more “room” for EM economies to grow without hitting global constraints so hard. That was the rationale for our long EM Top Trade recommendation in April. The timing of our shift has clearly been premature. But we are less puzzled that EM equities have been outperforming again recently in this environment than we were by their underperformance in the first half of May. Our latest tactical FX trade recommendation to be short MXN/CLP, based on Robin Brooks’ and Alberto Ramos’s recent work on cyclical momentum in Latam, has a similar flavour.
One potential lesson of the last few months is that the global economy finds itself in uncomfortable places when US growth accelerates alongside robust growth in other parts of the world. Our latest round of forecast revisions in May were to a large extent about acknowledging that the energy constraint is more binding than we expected going into the year. The silver lining of a US slowdown could thus be that it takes the sharpest edge off some of the commodity-related inflation worries. Our own new forecasts look for higher commodity prices over the coming 18 months, but not for the kind of rapid acceleration that we started to see in the first quarter of this year in energy markets. Those forecast revisions do reinforce our preference for commodity exposures – having taken a break in April and early May – and Jeff Currie and team added fresh long recommendations in oil, copper and zinc two weeks ago. With that shift and an expectation of more USD weakness, we added a short $/NOK Top Trade recommendation (our eighth) at the same time, which is off to a good start.
Замедление США более полезно для развивающихся рынков, чем для развитых.
Будучи настроены по-бычьи относительно US Treasuries, GS настроен позитивно и по отношению к сырьевым товарам. Рекомендация очень обтекаемая, но в целом GS как бы подтверждает рекомендацию, данную две недели назад: лонг в нефти, меди и цинке.
С этими рекомендациями ИМХО стоит быть поосторожнее.
Zero Hedge регулярно публикует прогнозы от Goldman Sachs, отдавая дань глубокого уважения главному дилеру мирового финансового казино. Питомцы GS занимают ключевые посты в государственных финансовых структурах Нового и Старого Света. Уильям Дадли – бывший главный экономист GS, нынче заместитель Бернанке и глава ФРБ Нью-йорка, который, как известно, играет исключительную роль в проведении монетарной политики Федрезерва. Другой главный экономист GS – европейского подразделения, стал недавно членом совета директоров ЦБ Великобритании.
Goldman Sachs является наиболее «инновационной» компанией на Уоллстрит и создал много очень интересных финансовых схем, о которых я планирую рассказать в ближайшем будущем.
А пока о том, что они думают о росте экономике и будущей монетарной политике.
Во-первых, он извиняется, что его предыдущий прогноз относительно роста экономики США не оправдался. Справедливости ради надо сказать, что имеющие конкретную практическую ценность их прогнозы (евро, S&P500) оказались правильными.
Just out from Goldman Sachs
1. Six months ago, we adopted the view that the economy was transitioning to a more self-sustaining recovery and predicted sequential real GDP growth of 3½%-4% (annualized) in 2011-2012. There were three reasons for our shift: a) a pickup in “organic” growth—GDP excluding the estimated impact of fiscal policy and inventories—to more than 4% in late 2010; b) visible signs of progress in private sector deleveraging, and c) another round of fiscal and monetary stimulus.
2. It hasn’t happened. In fact, organic growth seems to have slowed anew to a below-trend pace in the first half of 2011. Moreover, our Current Activity Indicator (CAI)—a statistical summary of 24 weekly and monthly indicators of economic activity—has slowed from an average of 3.7% in the first quarter to 1.6% in April and a preliminary 1.1% in May. If we take the CAI at face value—and it comports quite well with our judgmental sense of how the data have rolled in—that implies a growth slowdown of about 2½ percentage points in recent months.
3. What accounts for this weakness? The Japanese supply chain disruptions are clearly responsible for some of it, but we think that they explain only about 1 percentage point of the deceleration. (This sounds bigger than the 0.6-point drag on Q2 GDP growth that we have estimated previously, but note that a 1-point deceleration in sequential growth in April and May would be consistent with about a 0.6-percentage point deceleration in Q2 as a whole.) The oil price shock is also clearly important but at least by our estimates does not explain the size of the remaining slowdown. The implication is that we are looking at either a weaker underlying growth pace or a greater vulnerability to shocks than we had been assuming.
4. We are still reluctant to take the deceleration entirely at face value, partly because many of the signs of “healing” in the private sector that encouraged us in late 2010 are still visible. The household debt service burden has come down sharply, household credit quality continues to improve, bank lending standards are easing, and financial conditions remain accommodative. Also, we disagree somewhat with the negative tone of much of the recent housing market coverage in the media, including two front-page articles in the New York Times and the Wall Street Journal last week on the renewed slide in home prices. It’s true that overall home prices have slipped to fresh lows. But that wasn’t really a surprise; in fact, we and many other housing market observers had expected renewed downward pressure on prices in 2011 given the still-high levels of excess supply. Moreover, according to the CoreLogic house price index, all of the renewed weakness has come in distressed transactions, while prices of non-distressed homes are actually up slightly in 2011 to date on a seasonally adjusted basis. So it is possible that the recent house price weakness simply reflects a greater effort by banks and GSEs to clear out distressed inventory. That would be a sign that the adjustment process has advanced, and not necessarily a cause for alarm.
5. What would be the policy response to a sustained slowdown? We do not expect much. On the fiscal side, we currently assume fiscal restraint of about 1% of GDP in 2012. This is based on the notion that Congress will implement modest discretionary spending cuts, and that the remaining provisions of the 2009 stimulus package as well as part of the late-2010 bipartisan fiscal deal are left to expire. The most stimulative outcome we can imagine is that all of the 2010 provisions—the payroll tax cut, the unemployment benefits, and the depreciation bonus—are extended, but even that assumption would leave some restraint. And it is also possible that the restraint will be larger than our baseline assumption, via deeper discretionary spending cuts and/or a full expiration of the 2010 provisions. Like it or not, fiscal stimulus no longer has strong advocates in Washington, so its time has very likely passed at this point.
6. This puts the onus on monetary policy. And sure enough, markets that not long ago were predicting rate hikes are now starting to debate QE3. But we believe that the Fed’s “zone of inactivity” is much wider than these wild swings might suggest. The hurdle for rate hikes is high, and we feel good about our long-standing view that the funds rate will remain at its current near-zero level until 2013. But the hurdle for QE3 is also high, and indeed much higher than it was for QE2. First, the perceived cost of QE3 is higher because inflation has accelerated. This reflects the fact that at least some of the weakness in growth this year is due to higher commodity prices, i.e. akin to a supply shock. Second, the perceived benefit from QE3 is lower. Fed officials viewed QE1—defined as the overall balance sheet extension that started in late 2008 and ended in early 2010—as a resounding success, and that was probably one reason why they were fairly quick to climb aboard QE2. But they are much less confident that QE2 made a big difference; while it probably did help financial conditions ease and the economy grow a bit more quickly than it otherwise would have done, it’s hard to argue that the effect was large. That has to color their expectations for what QE3 might deliver. And third, the backlash against QE2 both domestically and abroad was greater than Fed officials had anticipated, and they are not keen to subject themselves to another round of similar criticism.
7. So what is the hurdle for QE3? It probably requires either a meaningful rise in the unemployment rate or flat unemployment coupled with a sharp fall in core inflation and inflation expectations. In contrast, if we just trudge along at a trend or slightly below-trend growth rate and inflation stays near its current pace, neither fiscal nor monetary policy are likely to provide fresh support. Such an outcome might not be so bad from the perspective of the equity market, which already seems to be discounting a fairly weak growth pace. But it would be quite bad for the real economy, not least because it would raise the risk that a significant portion of the increase in unemployment—which still looks cyclical rather than structural at this point—will ultimately become “ingrained” via a loss of skills among the long-term unemployed.
Основные мысли:
Препятствия для повышения ставок велики и мы чувствуем себя очень уверенно в отношении нашего долгосрочного взгляда, что ставка по фондам остнется на текущем, близком к нулю уровне до 2013 года. Но препятствия для QE3 тоже велики, и в действительности они гораздо выше, чем это было для QE2.
Ощущаемая выгода от QE3 меньше.
Отрицательная реакция на QE2 внутри страны и за рубежом оказалась больше, чем Фед того ожидал и теперь они не сильно желают стать предметом еще одного раунда подобной критики.
Так что служит препятствием для QE3? Возможно, оно потребует либо существенного роста безработицы, либо безработица останется неизменной, но произойдет резкое падение в базовой инфляции и инфляционных ожиданиях.
Начиная с 10 мая будет выходить статистика по экономике Китая за май, которая покажет как идет процесс замедления китайской экономики. Продажи автомобилей в мае уже упали второй месяц подряд ( на 13,95% по сравнению с апрелем).
Ожидается, что показатель инфляции в мае в годовом выражении повысится до 5,5% с 5,3% по сравнению с апрелем ввиду рекордной засухи.
China is scheduled to release May economic data from June 10 onwards (Exhibit 1 has the preliminary release schedule). Here are our estimates and thoughts on these upcoming releases:
CPI inflation to rebound amid higher food prices
Food prices have been getting higher in recent weeks as a result of the continued rise in meat (especially pork) prices and the drought in Southern China which pushed up vegetable and seafood prices. We expect non-food CPI inflation to remain subdued amid the slow money and activity growth over the past several months. While commodities such as coal and cement saw higher domestic prices in recent weeks, the impact on PPI inflation will likely lag and show up more visibly in the June PPI data.
We expect May yoy CPI inflation to rise to 5.5%, up from 5.3% in April. This would imply a mom growth of around 5.7% mom s.a. ann., up from 3.5% mom s.a. ann. in April. We expect CPI: food inflation to rise to 12.1% yoy, up from 11.5% yoy in April. Non-food CPI inflation is likely to inch down slightly to 2.6% yoy from 2.7% yoy in April.
PPI inflation is likely to moderate to 6.4% yoy in May, down from 6.8% yoy in April. This implies a sequential growth of 0.1% mom s.a. ann.
Industrial activity growth to rebound
The official and HSBC PMI indices both suggested a stabilization of industrial activities in May (the official readings both went down but after adjusting for seasonality both went up). We believe the driver of the rebound (from a very low level in April) probably came from the supply side as supposed to demand side. Anecdotal evidence suggests there were much fewer cases of power cuts throughout May compared with April and supply-chain disruptions because of the Japan earthquake have been disappearing quickly as well. On the other hand, we do not see any major rebound on the demand side as there has been continued domestic policy tightening which restricts domestic demand growth and was the main driver of the significant slowdown in activity growth since the start of the year including April and further evidence of softening external demand growth, especially in the US.
Specifically, we expect May industrial production (IP) growth to rise to 13.9% yoy, up from 13.4% yoy in April. This would imply a sequential growth of 7.1% mom s.a. ann., up from the -7.7% mom s.a. ann. growth in April.
We expect fixed asset investment (FAI) growth to soften to 25.3% yoy in January-May from 25.4% yoy in January-April. The implied May FAI growth is 25.1% yoy, down from 26.1% yoy in April.
We expect May retail sales growth to rise to 17.3% yoy, up from 17.1% yoy in April amid higher consumer price inflation.
Export growth to moderate
We expect May export growth to moderate to 20.0% yoy, down from 29.9% yoy in April. This would imply a mom s.a. ann. growth of around 25.5% in May, down from 26.9% in April. While this is still a high level of growth, it is significantly lower than the 40%+ average sequential growth over the previous 6 months.
Meanwhile, we expect May import growth to rise to 26.0% yoy, up from 21.8% yoy in April. This would imply a sequential growth of around -1.2% mom s.a. ann. in May, up from -25.0% mom s.a. ann. in April.
The implied trade surplus is US$16.6 billion, up from US$11.4 billion in April.
Broad money supply growth to remain low
Our channel checks with commercial banks suggest there have been continued restrictions on credit expansion and probably stricter than they were in April. We view this as the most important biding constraint on credit growth as loan demand remains beyond the comfort level of the government.
We expect the amount of CNY loans made in May to fall to around Rmb600 billion, from Rmb739.6 billion in April. The yoy growth of CNY loans should likely fall to 17.1%, down from 17.5% in April. The implied sequential growth is 17.0% mom s.a. ann., up from to the
10.6% mom s.a. ann. in April.
We believe yoy M2 growth is likely to fall to 15.0% yoy, down from 15.3% yoy in April. Sequential growth should rise to 13.1% mom s.a. ann., up from 3.6% mom s.a. ann. in April.
Самое ценное здесь - это вот эта таблица.
В таблице данные важнейшей китайской статистики за последние полтора года и прогноз GS за май с датами выхода статистики
Курс доллара является главным фундаментальным фактором для финансовых рынков. Потому интересно знать соображения относительно американской валюты наиболее активного и наиболее афиллированного с американскими монетарными властями финансового игрока - Goldman Sachs.
We have changed our forecasts to project more Dollar weakness.
Since the last revisions to our forecasts, the Dollar decline has roughly tracked the expected path.
Large structural imbalances in the US are highlighted by weakness in the tradable goods sector.
The outlook for monetary policy differentials and BBoP trends remains USD-negative.
Dollar weakness is common during periods with slowing GLI momentum.
We now see EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months, and $/JPY at 82, 82 and 86.
Since we moved to a more explicit Dollar weakening path last autumn, FX markets have broadly followed the expected trajectory. In many cases, the Dollar has now weakened well beyond our near-term forecasts and the driving forces of continued gradual depreciation are intact. We review the key arguments behind our view and focus specifically on Dollar performance in the context of the global business cycle and the latest BBoP trends. Our major FX forecasts are revised to reflect continued further USD weakness.
1. мы меняем наши прогнозы, продполагая большую слабость доллара 2. снижение доллара достаточно хорошо соответствовало нашему последнему прогнозу 3. крупные структурные дисбалансы выдвигаются на первый план слабостью в секторе торгуемых товаров 4. прогноз дифференциалов процентных ставок и баланса платежей остаются негативными для доллара 5. в моменты замедления глобальной промышленной активности доллар как правило слаб
6. Мы видим eurousdна 1,45, 1,50, 1,55, и usdjpyна 82, 82, 86 через 3,6, 12 месяцев соответственно.
5 фундаментальных факторов, которые имеют существенное значение для слабости доллара
The structural current account deficit causes constant external funding pressures. For the Dollar to stabilise or even to rally, investors need to be convinced of the case for additional long-term investments in the US.
With unemployment still high, fiscal consolidation looming and continued weakness in the real estate sector, the growth outlook remains less compelling in the US than in many other regions or countries. This makes it even more difficult to fund the current account deficit with investment inflows.
The cyclical factors discussed in the previous point suggest this it is also highly likely that Fed policy will remain more accommodative than in most other countries. Interest rate differentials will likely remain USD-negative.
The case for Dollar depreciation will strengthen as fiscal policy becomes increasingly tight in the US. The likelihood of early monetary policy tightening would also decline with tighter fiscal policy, as highlighted by our US economists.
Structural and EM-related upward pressures on crude prices add to the imbalances. All else equal, real disposable income in the US would decline and, hence, so would domestic demand, adding to cyclical headwinds. Moreover, the rising fuel bill would increase the nominal trade gap and therefore the external funding needs.
Ни один из вышеуказанных пяти факторов не дает намеков на возможное изменение в пользу доллара.
Дефицит платежного баланса вызывает постоянное давление внешнего фондирования. Для того, чтобы доллара стабилизировался или совершил ралли, необходимо, чтобы инвесторы были убеждены в целесообразности долгосрочного инвестирования в США.
Главная причина ослабления доллара – значительное падение производственного сектора и занятости в нем за последние 10 лет. Это стало результатом действия двух сил:
First, the competition from interest rate sensitive domestic sectors during the credit boom in the US, in particular real estate related sectors.
Second, aggressive offshoring and the relocation of factories to the rest of the world, in particular Asia, has led to the disappearance of whole manufacturing industries in the US.
1. Конкуренция со стороны сектора недвижимости 2. агрессивное размещение производств за рубежом.
Объяснение, почему это происходило:
There have recently been some signs of strength in the manufacturing sector, in particular strong ISM surveys and some persistent hiring in the manufacturing sector. But the rate of job growth in this sector remains very low compared with the losses over the last 10 years. From 2001 to the trough of the credit crisis, US employment in the manufacturing sector has fallen by about 5mn to 11mn, at a rate of about 52,000 per month on average. Since then, we have seen renewed hiring of about 13,000 per month on average. In other words, job growth in the US manufacturing sector currently runs at only 25% of the pace of job destruction seen over the last decade.
This weakness in the manufacturing sector is also still clearly reflected in the external balance. The real trade deficit currently runs at about $50bn per month (in 2005 Dollars). Broken down by sectors, auto related and consumer goods sectors account for about $40bn, again highlighting the weakness in tradable goods.
In terms of outlook, our US economists expect a gradual further widening of the real US trade deficit in terms of GDP, which will likely keep the downside pressures for the Dollar firmly in place.
Lastly, it is also important not to mix level and change effects. The Dollar downside pressures will likely subside only after the external deficits have narrowed substantially. In practical terms, this means a substantial amount of manufacturing capacity has to be shifted back to the US, and this is a very slow process that is typically measured in years rather than quarters.
We are confident this adjustment will ultimately happen, but in the meantime it may be necessary for the Dollar to drift lower until relocation to the US becomes a very clear case. The undervaluation of about 12% relative to our trade-weighted GSDEER model may therefore become more pronounced in the foreseeable future.
Прогнозы GS по доллару и йене следующие:
Taken together, the points above suggest there is still considerable downside potential in the USD. We therefore are revising our forecasts to reflect this ongoing trend. In particular, we are now projecting EUR/$ at 1.45, 1.50 and 1.55 in 3, 6 and 12 months. We now see $/JPY at 82, 82 and 86, which, compared with our previous forecasts, also reflects more broad USD weakness—albeit within the recent range.
Our views, as outlined across our macro and market research, remain constructive on Europe. Markets have long expected some form of liability management for Greece, and so a lot of bad news is already priced in. That said, reform progress in systemically important Spain continues at a steady pace. With contagion effects from the Greek debt debate limited, we think the recent correction likely represents an opportunity to position for Dollar weakness versus the Euro.
Риском для медвежьего прогноза являются следующие факторы:
First, a much faster structural rebalancing of the US economy than we currently expect would fundamentally change the picture, although the hurdle seems very high for this to happen in the near term.
Second, a period of broad-based asset weakness would likely still translate into Dollar strength given the prevailing correlations.
Finally, there are still concerns about the European sovereign situation. Although not directly a factor for the US economy, a substantial deterioration of the sovereign debt situation in Europe would support the Dollar, mainly because it would weigh on the Euro.
1. Более быстрая реорганизация экономики США, 2. период общей слабости активов в силу существующей корреляции усилит доллар 3. ухудшение ситуации с суверенным долгом в Европе поддержит доллар ввиду его высокого веса в евро.
Наиболее интересная часть касается портфельного инвестирования в US
As we stated above, one of the core reasons behind our Dollar view rests on a Fed that is more dovish than other central banks. Our official forecast for the first Fed hike is not until 2013, which is significantly below what the market is currently pricing. The second important factor behind our Dollar views is the growing current account deficit and the possible deterioration in funding inflows. Foreign flows into US assets other than US Treasuries have remained very weak, possibly affected by the negative returns following the ‘tech bubble’ until 2000 and the subsequent housing bubble in 2004/07.
Фед наиболее мягко настроен среди всех ЦБ. Официальный прогноз GS повышения ставок со стороны Феда – не раньше 2013 года.
During the pre-crisis period, for which we use 1H2007 as an example, monthly net inflows into US Treasuries averaged $19bn, inflows into agencies were just shy of $30bn, into corporate bonds they were an impressive $48bn, and into US equities they amounted to $24bn, making a total around $117bn on average per month. That picture has shifted dramatically. On average in 2010, net foreign flows into Treasuries rose to just shy of $60bn per month, while net foreign flows into US agency debt were on average only $9bn per month. Net foreign flows into US corporate debt were down to -$1.1bn on average in 2010, i.e., an outflow, while flows into US equities were just $9bn. Net foreign inflows across assets had therefore shrunk to $76bn on average per month in 2010, from $117bn in 1H2007, and the composition of inflows has shifted dramatically away from agencies, corporate debt and equities, towards US Treasuries. Looking at the most recently released data for March 2011, this shift remains firmly in place, with foreigners continuing to shy away from US assets other than Treasuries. Moreover, US investors have recently accelerated purchases of foreign assets again, with the latest March number hinting at a sizable outflow of more than $30bn from that source. Net portfolio inflows therefore remain very weak in general.
There are two additional issues worth mentioning. First, given the low interest rate environment, we think that hedge ratios for foreign inflows into US Treasuries are now relatively high. This means that these inflows are not as Dollar-positive as a similar inflow into US equities. Second, foreign official buying (largely by central banks in emerging markets) constitutes, on our estimates, the bulk of net foreign purchases of US Treasuries. The official breakout by the TIC data here suggests that—of the $60bn in foreign net purchases of Treasuries per month in 2010—about $44bn reflect foreign official buying. This number is likely a lower bound estimate, since foreign central banks may also be purchasing US Treasuries through intermediaries. We highlight the importance of official buying because these purchases are in some sense ‘passive’, i.e., they reflect the decision by some emerging markets to peg their currencies to the Dollar. As a result, they mechanically have to buy US Treasuries to neutralise appreciation pressure on their currencies. These inflows to the US are therefore not driven necessarily by the same motives as foreign flows into US equities (such as growth expectations and/or the profit motive). For both of these reasons, we see the shift to Treasury purchases by foreigners as a development highlighting the difficulty in funding the US trade deficit, and in line with our view for further Dollar weakness.
Официальные покупки (главным образом со стороны ЦБ развивающихся стран) составляют львиную долю иностранных приобретений UST и составляют примерно 60%.
Аналитики GS подчеркивают важность официальных покупок UST: они отражают желание EM прикрепить свою валюту к доллару. Как результат, им приходится автоматически покупать доллары, чтобы нейтрализовать повышательное давление на собственные валюты. Эти притоки капитала не выводятся потом по тем же причинам, что и капитал на рынке акций. Рост доли иностранного государственного капитала подчеркивает сложность в фондировании торгового дефицита США и отражает тенденцию усиления слабости доллара.
Наши цели для S&P500 1375 пунктов на конец июня и 1500 пунктов на конец года, хотя мы предполагаем, что путь будет более окольным, чем до настоящего времени. Прогнозы для 10-летних UST 3,5% и 3,75% соответственно на конец июня и конец декабря.
We retain a bearish strategic bias on market direction, consistent with our expectation of a rebound to above-trend GDP growth in H2:11 and a further increase in core inflation. Our forecasts for USTs are 3.50% and 3.75% for 10-yr USTs by end-June and end-December (spot: 3.13%). The corresponding numbers for German Bunds are 3.30% and 3.50% (spot: 3.1%), and 1.3% and 1.6% for JGBs (spot: 1.1%). These forecasts are higher than the forwards particularly in Euroland and Japan.
Yields have mirrored the relative decline of cyclical stocks in place since March. Over this period, the relationship between our Wavefront US Growth equity basket (which pits cyclicals vs. defensives in the S&P500) and the 2-10-yr slope of the US curve has been relatively tight. If recent patterns continue to hold, the yield curve could flatten by another 20bp to catch-up to where cyclicals currently trade on a relative basis. This would put 5-yr UST yields in the ballpark of 1.50% and the 10-yr in a 2.8-3.0% range. As discussed in yesterday’s Daily, however, we consider the underperformance of cyclical sectors relative to the broader index as reflecting a marked slowing in equity market growth expectations, perhaps somewhat beyond what the data currently indicate. Our price targets for the S&P500 are 1375 by end June and 1500 at year-end although we are mindful that the route there could be more circuitous than hitherto. Consistently, we would treat a further decline in intermediate to longer-dated yields as an opportunity to recommend short positions again.
As a cross check, our Bond Sudoku model — which links 10-yr government bond yields to 1-yr ahead expectations on GDP growth, CPI inflation and short rates in the main advanced economies — indicates that 10-yr Treasuries should currently trade at 3.3% and 10-yr Bunds at 3.15%. A breach of the yield levels alluded to earlier (i.e., 2.8% on TY10) would represent a more than 1 standard deviation departure from our measure of ‘fair value’. According to our analytics, the current term structure of rates in the major economies is stimulative. In the US, it appears consistent with negative nominal overnight rates.
Admittedly, growth forecasts have been sequentially revised downwards from upbeat levels at the start of the year, particularly in the US. This has been among the main drivers behind the underperformance of cyclicals and steep decline Fed hike expectations over 2013-14. But at the same time, forecasts of core inflation are increasing. In the context of our modeling work for bond yields, recent shifts in these two macro factors (lower growth/higher inflation) broadly offset each other. Feeding the model with our baseline macro projections for this year and next, we find that 10-yr US Treasury and Germany Bund yields should end 2011 at around 3.5%, or above. This is at least 30bp higher than the current year-end forward rate.
GS осуществляет фундаментальную оценку доходностей UST на основе облигационной модели Судоку (Bond Sudoku model), которая связывает 10-летние UST c ожидаемым через год ростом ВВП, CPI, и краткосрочными ставками в основных мировых экономиках.
В настоящий момент такая оценка дает значения: для 10-летних UST 3,3% и 10-летних германских бондов 3,15%.
В случае снижения 5-year и 10-year UST ниже 1,5% и 2,8-3% соответственно, GS рекомендует открывать по ним которкие позиции.
Вчера US Treasuries bonds выдали разворотную свечу. Случайно или нет, но это совпало с появлением новых рекомендаций от Goldman Sachs по американским бондам и доллару. Теперь GS показал, что он настроен по-медвежьи по отношению и к тем и к другим. И 10-year и 5-year вчера оттолкнулись от 200-дневной средней скользящей (200 MA) и теперь должны протестировать 50-дневную (50 MA).
Неопределенность относительно лимита госдолга, также как и его увеличение, которое рано или поздно произойдет, отражается негативно на US bonds и долларе.
Если взглянуть на график, то хорошо видно, что с начала года 10-year US bonds торгуются в диапазоне доходности 3,1-3,6%. Очень вероятно, что вчера они оттолкнулись от нижнего края этого диапазона. Как бы это не было непатриотично с их стороны, но здесь на нижней границе слишком много сильных игроков (PIMCO, Джим Роджерс, теперь еще и GS) продают и даже шортят US Bonds.
Скорее всего, дело не ограничиться тестированием 50 MA, и в течение месяца-полутора мы увидим доходность опять в районе 3,6%, новые минимумы по индексу доллара и, возможно, новые максимумы по индексу S&P500.
Шансы на то, что коррекция закончилась, на мой взгляд уже больше 50%. Техническим подтверждением станет пробитие в ближайшее время трендовой линии в районе 1342-1345 пунктов по фьючу S&P500.
Сегодня утром вышли очень негативные данные по Японии: ВВП и промышленное производство. Это привело к тому, что азиатские индексы снижаются; но реакция фьючерса S&P500 на это минимальна.
В Европе и Америке на сегодня нет поводов для коррекции и это создает хорошие предпосылки для возникновения трендового дня вверх в рискованных активах.
Власти США и Китая оказывают влияние на Евросоюз, чтобы те скорее решили вопрос с Грецией. Поскольку о полномасштабной реструктуризации и речи не может быть, то таким решением может стать только «мягкая» реструктуризация, или другими словами перепрофилирование долга (увеличение сроков и снижение процентов).
Помехой к такому решению проблемы является отсутствие на переговорах главы МВФ, который сейчас находится в американской тюрьме. После прошения об отставке и его смене вопрос о Греции будет достаточно быстро решен. Это может произойти уже в мае и приведет к новому ралли в евро и рискованных активах.
Оставить комментарий
