Insight – Page 5 – Cincinnati Asset Management

28 Jun 2024

Insight, Investment Grade Weekly Josh Adams - Portfolio Manager 0 comment

CAM Investment Grade Weekly Insights

Credit spreads were little changed during the week. The Bloomberg US Corporate Bond Index closed at 94 on Thursday June 27 after closing the week prior at the same level. The 10yr Treasury yield is slightly higher on the week, trading at 4.33% this Friday afternoon after closing last week at 4.26%. Through Thursday, the corporate bond index YTD total return was -0.02% while the yield-to-maturity for the benchmark was 5.43%.

Economics

Economic data this week was mostly in line with consensus and there were no major surprises. Highlights included a consumer confidence reading that was slightly below expectations and personal income data that came in slightly above expectations. The biggest release this week was Friday morning’s PCE price index which was about as consistent with expectations as it possibly could be. The release showed that the disinflationary environment sustained some momentum during May but it was probably not enough to make the Fed turn dovish. Continued progress will be needed if the Fed expects to follow through with two cuts in the latter half of the year. Next week is another disjointed one with several important releases early in the week (PMI, ISM manufacturing/services and durable goods) followed by a market holiday on Thursday in observance of Independence Day. The biggest release of the week occurs on Friday morning with the employment report for the month of June. Looking ahead, the Fed does not meet again until the very end of July.

Issuance

The IG primary market was strong this week as borrowers priced nearly $32bln in new debt, well ahead of the $20bln estimate. More than half of this week’s volume was from borrowers outside the U.S., with Asia Pacific firms and governments leading the way. So, although issuance was robust, it wasn’t coming from borrowers that are necessarily household names. Next week syndicate desks are looking for a quiet week with just $5bln of issuance and only $80bln of issuance for the seasonally slow month of July (that estimate would make it the lowest volume month so far in 2024). According to sources compiled by Bloomberg, after a record first quarter, the pace of issuance in 2024 slowed during the second quarter making 2024 the second busiest first half to a year on record. It was eclipsed only by the surge in borrowing that occurred during the trading days that followed the official onset of the 2020 pandemic.

Flows

According to LSEG Lipper, for the week ended June 26, investment-grade bond funds reported a net inflow of +$0.389bln. Short and intermediate investment-grade bond funds have seen positive flows 23 of the past 26 weeks. YTD flows into IG stand at +$37.2bln.

This information is intended solely to report on investment strategies identified by Cincinnati Asset Management. Opinions and estimates offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. This material is not intended as an offer or solicitation to buy, hold or sell any financial instrument. Fixed income securities may be sensitive to prevailing interest rates. When rates rise the value generally declines. Past performance is not a guarantee of future results.

28 Jun 2024

High Yield Weekly, Insight Rich Balestra - Portfolio Manager 0 comment

CAM High Yield Weekly Insights

(Bloomberg) High Yield Market Highlights

US junk bonds are poised for a second-straight monthly gains, returning 0.9% so far as investors have shrugged off a hawkish Federal Reserve that’s signaled just one quarter-point cut in 2024.
Yields have dropped eight basis points to 7.92%, while spreads widened just five basis points to 313bps as 5- and 10-year Treasury yields through Thursday had both fallen 21 basis points
As we’ve written this week, uncertainty about the Fed’s rate outlook continued to take its toll in June on CCCs, the riskiest segment of the junk bond market
Yields have jumped six straight sessions, the longest since January, and have surged 50bps in June to 12.87%, on track for their first three-month uptrend since October 2022
Spreads have climbed 68bps this month to 814bps, set for the most since last October and this week hitting their widest since early February
Still, CCCs have returned 50% so far in June
Ba rated securities have returned 98% so far in June
B rated securities have returned 90% so far in June
Fed-fueled uncertainty has started keeping some high-yield borrowers on the sideline, with the primary market in June the slowest this year with almost $18b of issuance
In the wake of the big start to the year, Barclays boosted its 2024 forecast to $280-300b from $200-230b

(Bloomberg) Fed’s Favored Price Gauge Slows, Supporting Case for Rate Cut

The Federal Reserve’s preferred measure of underlying US inflation decelerated in May, bolstering the case for lower interest rates later this year.
The so-called core personal consumption expenditures price index, which strips out volatile food and energy items, increased 0.1% from the prior month. That marked the smallest advance in six months. On an unrounded basis, it was up just 0.08%, the least since November 2020.
From a year ago, it rose 2.6%, the least since early 2021, according to Bureau of Economic Analysis data out Friday. Inflation-adjusted consumer spending posted a solid advance after a pullback in April, driven by goods and fueled in part by a jump in incomes.
The report offers welcome news for Fed officials seeking to commence with rate cuts in the coming months, though policymakers will likely want to see additional reports like this one first. They recently dialed back their projections for rate cuts this year following worse-than-expected inflation data in the first quarter.
“The deflation in goods prices and weakness we are starting to see at least gets us a path to a possible September cut,” said KPMG Chief Economist Diane Swonk.
Central bankers pay close attention to services inflation excluding housing and energy, which tends to be more sticky. That metric increased 0.1% in May from the prior month, according to the BEA, the least since October.
Household demand has so far remained resilient even as borrowing costs have taken a toll on some sectors of the economy. The report showed inflation-adjusted outlays for services rose 0.1%, driven by airfares and health care. Spending on merchandise advanced 0.6%, led by computer software and vehicles.

21 Jun 2024

Insight, Investment Grade Weekly Josh Adams - Portfolio Manager 0 comment

CAM Investment Grade Weekly Insights

Credit spreads moved incrementally wider for the second consecutive week. The Bloomberg US Corporate Bond Index closed at 94 on Thursday, June 20, after closing the week prior at 92. It isn’t shocking to see spreads take a breather as they have been at tight levels relative to historical trading ranges, and they have widened in concert with Treasury yields, which have decreased in recent weeks. The 10-year Treasury yield is nearly unchanged on the week, trading at 4.23% this Friday morning after closing last week at 4.22%. Through Thursday, the corporate bond index YTD total return was +0.16% while the yield-to-maturity for the benchmark was 5.39%. All-in yields remain elevated relative to the recent past – the average yield on the corporate index over the past 10 years was 3.56%, 183 bps lower than the yield available to investors today.

Economics

It was another busy week for economic data with a bevy of highlights. On Monday, we got an Empire Manufacturing print for that region that was better than feared but still showed contraction. Retail sales on Tuesday missed to the downside, and the release was also accompanied by downward revisions to previous months. It is too early to tell, but some economists believe that this could be the beginning of a sustained softening in consumer sentiment. On Thursday, we got housing data that showed new construction starts hit a four-year low. Lastly, on Friday, S&P’s data showed that U.S. services activity expanded in a broad-based way so far during the month of June. Positively, the survey also showed further softening of price pressures and a rebound in domestic manufacturing activity. Next week is pretty quiet on the data front until Thursday’s GDP and core PCE releases.

Issuance

The IG primary market rebounded this week as companies priced $31.4 billion of new debt – an impressive haul in a holiday-shortened week. We were unsure if issuance would really come through due to a spate of economic data and a looming summer slowdown, but Monday got the week off to a hot start as 13 issuers priced more than $21 billion. Next week, syndicate desks are looking for around $20 billion of issuance, but all it takes is one big issuer to push that total higher, much like we saw with Home Depot this week, which issued $10 billion on Monday to fund its acquisition of SRS Distribution.

Flows

According to LSEG Lipper, for the week ended June 19, investment-grade bond funds reported a net outflow of -$0.433 billion. This was the first outflow from IG funds in over a month, which have seen positive flows 22 of the past 25 weeks. YTD flows into IG stand at +$36.8 billion.

21 Jun 2024

High Yield Weekly, Insight Rich Balestra - Portfolio Manager 0 comment

CAM High Yield Weekly Insights

(Bloomberg) High Yield Market Highlights

US junk bonds are headed for a third straight week of gains as investors continued to bet that the Federal Reserve will cut rates more than once this year, with retail sales data this week showing signs of consumer strain. Adding more evidence that the economy continued to slowdown, data for continuing claims, a proxy for the number of people receiving unemployment benefits, rose for a seventh straight week to 1.82m, just 1,000 shy of the highest level since the end of 2021, indicating the labor market is also cooling.
Yields were range-bound this holiday-shortened week and are poised to decline modestly for the third consecutive week. Yields closed at 7.90% on Thursday.
The primary market has seen a steady stream of borrowers this week. Six companies sold a little more than $3b in just three sessions
The month-to-date volume is $14b
The modest gains in the US junk bond market cut across all ratings, though CCC yields were set to climb for the fifth week in a row, closing at 12.54% on Thursday, the longest rising streak in more than two years
CCCs, however, scored gains of 0.04% on Thursday, and are likely to close the week with modest gains. The week-to-date gain stand at 0.16%
BBs are also on track for fourth week of positive returns, with week-to-date gains at 0.21%. BB yields fell five basis points week-to-date to 6.56%, also largely range bound, and may decline for the third week in a row
US high-yield debt issuers delivered a solid first quarter with elevated earnings and generally positive guidance, JPMorgan strategists led by Nelson Jantzen wrote in note last week
Even while credit metrics showed some modest erosion, leverage remains comfortably below the long-term average, Jantzen wrote

14 Jun 2024

Insight, Investment Grade Weekly Josh Adams - Portfolio Manager 0 comment

CAM Investment Grade Weekly Insights

Credit spreads are slightly wider on the week. The Bloomberg US Corporate Bond Index closed at 90 on Thursday June 13 after closing the week prior at 88. Although this was the widest level for the index since late April, it is only 5bps off the tightest levels of the year which illustrates just how “unchanged” the index has been for the past month and a half. The 10yr Treasury yield is lower this week, trading at 4.20% this Friday morning after closing last week at 4.43%. Through Thursday, the corporate bond index YTD total return was +0.41% while the yield-to-maturity for the benchmark was 5.33%.

Economics

There was a bounty of economic data this week with the biggest events occurring on Wednesday and Thursday. Core CPI Inflation data for May was released on Wednesday morning, declining to +0.2% MoM relative to consensus of +0.3%. This deceleration was a welcome relief on the heels of some hotter prints earlier this year. However, this was just one data point and it does not make a trend. On Wednesday afternoon the FOMC released its policy decision with no change in the Fed Funds rate, as expected. The press conference was on script but there were some notable changes in the Summary of Economic Predictions (SEP aka The Dot Plot). The SEP showed slightly higher Fed inflation forecasts for 2024 and 2025 and a move in the median number of cuts for 2024 from 3 to 1. Interestingly, 4 of the 19 FOMC members are now expecting no cuts in 2024, which was up from 1 member in March. Recall that the SEP is released every three months so the next update will not occur until September 18. Thursday morning brought more good news on the inflation front as the PPI release showed that US producer prices declined in May by the most in seven months. PPI for May came in at -0.2% versus the estimate of +0.1% but nearly 60% of the decline in the May PPI for goods was due to declining gasoline costs. Next week is another busy one for economic data with empire manufacturing, retail sales, housing starts and global PMI, to name a few.

Issuance

The IG primary market was extremely slow this week as borrowers priced just $5.75bln in new debt. According to Bloomberg, excluding seasonality and holiday-shortened weeks, this was the lowest volume total since borrowers raised $4.25bln in the week ended 12/9/2022. The low issuance tally was really much ado about nothing: with CPI/Fed on Wednesday, that day was effectively closed to borrowers. Interest rate volatility plus the beginning of summer seasonality likely kept a few issuers at bay on the other days. Year-to-date issuance remains robust, standing at $803bln YTD, up +20% relative to 2023. Next week, dealers are calling for $25-$30bln in new supply. While we expect some issuance as borrowers look to take advantage of lower borrowing costs, we are skeptical that it will be that strong of a week given the busy economic calendar and the fact that bond and equity markets are closed on Wednesday in observance of Juneteenth.

Flows

According to LSEG Lipper, for the week ended June 12, investment-grade bond funds reported a net inflow of +$0.989bln. IG funds have seen positive flows 22 of the past 24 weeks. YTD flows into IG stand at +$37.2bln.

31 May 2024

High Yield Weekly, Insight Rich Balestra - Portfolio Manager 0 comment

CAM High Yield Weekly Insights

(Bloomberg) High Yield Market Highlights

US junk bonds are headed to reverse April’s losses and record modest gains for the month of May, shrugging off the supply deluge as yields held steady and spreads hovered near 300 basis points.
The primary market was inundated with new supply amid steady and near-historic tight spreads and attractive yields. The market priced more than $31b to make it the busiest month since September 2021. Attractive all-in yields acted as the stabilization factor for credit spreads, Barclays analysts Brad Rogoff and Dominique Toublan wrote earlier this month.
Tight spreads are here to stay amid the absence of big leveraged buyouts and corporate mergers, Rogoff and Toublan wrote in a separate report Friday morning, citing their meetings with clients at the leveraged finance conference last week
The supply deluge saw more than $13b price in the second week of May alone, the busiest week for issuance since October 2021. Two of the five weeks priced more than $10b
Yields were largely range-bound since the Fed meeting in early May after Fed Chair Powell indicated on May 1 that a hike in interest-rates was unlikely
Yields advanced to near 8% last week and crossed the 8% level this week after an array of Fed speakers turned hawkish and signaled that rates are likely to stay higher for longer
Vice Chair for Supervision Michael Barr said that policymakers need to hold interest rates steady for longer than previously thought in order to fully cool inflation
Cleveland Fed chief Loretta Mester, speaking at a panel moderated by Atlanta Fed President Raphael Bostic, said Tuesday that she wants to see “a few more months of inflation data that looks like it’s coming down” before cutting interest rates
Federal Reserve Bank of Minneapolis President Neel Kashkari warned that the policymakers at the Federal Reserve have not ruled out additional interest-rate increases
Atlanta Fed President Raphael Bostic said “ we still have a ways to go” to curb the significant price growth seen over the last few years
Yields on the broad US junk bond index were down 3 bps for the month, though they climbed above 8% after staying in the range of 7.80%-7.90%
BB yields dropped 12 basis points for the month to 6.77% after falling to 6.56% in the middle of the month, driving gains of 0.99% for May
But CCC yields surged to a four-month high of 12.49%, rising 21 basis points month-to-date. Still, CCCs amassed gains of 0.32% for the month
Single B yields fell 12 basis points to 7.84% and spreads were below 300 basis points, pushing gains of 0.76% for the months

17 May 2024

High Yield Weekly, Insight Rich Balestra - Portfolio Manager 0 comment

CAM High Yield Weekly Insights

(Bloomberg) High Yield Market Highlights

US junk bonds barely finished higher Thursday, the third time this week that’s been the case, but the market has yet to fall this week and is poised for its third up week in the past four.
An array of economic data this week signaled a slow start to 2Q for the US economy, spurring speculation Federal Reserve policymakers may gain confidence about starting to cut rates. The minutes for the latest FOMC meeting are due May 22.
The data have helped fuel risk-on sentiment, with equities briefly reaching record highs, and push down Treasury yields about 10 basis points this week.
CCCs have returned 0.44% so far this week with a yield of 12.27%.
BB yields have fallen 10 basis points to at a near-seven-week low of 6.57% while posting similar returns to CCCs.
Single B yields have dropped even more, 17 basis points to 7.55%, and returned 0.35% so far this week.
Issuance has slowed following last week’s bounty, with six borrowers selling more than $3b of new notes this week.
This week’s lighter supply helped bolster this week’s returns.
Barclays on Friday revised its year-end spread forecast for high yield to 295-315 basis points, implying total returns of 5%-5.5%.

(Bloomberg) US Inflation Ebbs for First Time in Six Months in Relief for Fed

A measure of underlying US inflation cooled in April for the first time in six months, a small step in the right direction for Federal Reserve officials looking to start cutting interest rates this year.
The so-called core consumer price index — which excludes food and energy costs — climbed 0.3% from March, snapping a streak of three above-forecast readings which spurred concern that inflation was becoming entrenched. The year-over-year measure cooled to the slowest pace in three years, Bureau of Labor Statistics figures showed.
The Fed is trying to rein in price pressures by weakening demand across the economy. Another report out Wednesday showed retail sales stagnated in April, indicating high borrowing costs and mounting debt are encouraging greater prudence among consumers.
While the figures may offer the Fed some hope that inflation is resuming its downward trend, officials will want to see additional readings to gain the confidence they need to start thinking about cutting interest rates. Chair Jerome Powell said Tuesday the central bank will “need to be patient and let restrictive policy do its work,” and some policymakers don’t expect to cut rates at all this year.
“It does open the door to a potential rate cut later in the year,” said Kathy Jones, Charles Schwab’s chief fixed-income strategist. “It will take a few more readings indicating that inflation is coming down for the Fed to act.”
Traders boosted the odds of a September rate cut to about 60%.
Core CPI over the past three months increased an annualized 4.1%, the smallest since the start of the year.
Economists see the core gauge as a better indicator of underlying inflation than the overall CPI. That measure climbed 0.3% from the prior month and 3.4% from a year ago. Shelter and gasoline accounted for over 70% of the increase, the BLS said in the report.
Additionally, the advance in the CPI was driven once again by services like car insurance and medical care.
Shelter prices, which is the largest category within services, climbed 0.4% for a third month. Owners’ equivalent rent — a subset of shelter, which is the biggest individual component of the CPI — rose by a similar amount. Robust housing costs are a key reason why inflation not only in the US, but also in many other developed economies has refused to ebb.
The personal consumption expenditures price index, doesn’t put as much weight on shelter as the CPI does. That’s part of the reason why the PCE is trending closer to the Fed’s 2% target.
A report Tuesday showed producer prices rose in April by more than projected, but key categories that feed into the PCE were more muted. Combined with CPI components that also inform the PCE calculation, economists expect that measure to come in softer when April data is released later this month.

17 May 2024

Insight, Investment Grade Weekly Josh Adams - Portfolio Manager 0 comment

CAM Investment Grade Weekly Insights

Credit spreads have exhibited little change this week. The Bloomberg US Corporate Bond Index closed at 87 on Thursday May 16 after closing the week prior at the same level. The 10yr Treasury yield is lower this week, trading at 4.42% this Friday afternoon after closing last week at 4.50%. Through Thursday, the corporate bond index YTD total return was -0.74% while the yield-to-maturity for the benchmark was 5.44% relative to its 5-year average of 3.69%.

Economics

It was an action-packed week for data with a hot Producer Price Index (PPI) print kicking things off on Tuesday. Market participants were on guard following PPI as many were expecting a similar surprise to the upside for the Wednesday CPI release. Instead, we got a relatively benign CPI number with weaker than expected inflation. Wednesday also saw a retail sales release which showed a decline in April and it was also accompanied by downward revisions for sales during the first quarter. The inflation and sales releases are dovish indicators and Treasury yields subsequently declined after those Wednesday releases, recouping some of the sell-off in rates that occurred after the hot PPI release early on Tuesday. The next couple weeks are relatively light on the data front and the next Fed meeting on June 12 will be here before we know it.

Issuance

The IG primary market saw good activity on the week as 21 companies sold just over $28bln in new debt. Syndicate desks are looking $25bln next week but that number could surprise to the upside as earnings season is winding down and there is no major economic data that will preclude issuers from tapping the market on any given day. Year-to-date issuance stands at $719.8bln, well ahead of last year’s pace.

Flows

According to LSEG Lipper, for the week ended May 15, investment-grade bond funds reported a net outflow of -$1.04bln. IG funds have seen positive flows 18 of the past 20 weeks. YTD flows into IG stand at +$33.6bln.

10 May 2024

High Yield Weekly, Insight Rich Balestra - Portfolio Manager 0 comment

CAM High Yield Weekly Insights

(Bloomberg) High Yield Market Highlights

Weekly US junk-bond supply rose to almost $13 billion, making it the busiest week for new bond sales since the week ended Oct. 1, 2021.
The supply spurt came after junk bonds racked up the strongest weekly returns since December on expectations that the Federal Reserve may begin to lower interest rates by the end of third quarter as inflation slows while the economy stays resilient.
The cascade of new issuance drove the month’s tally to more than $14b in just seven sessions, more than 63% of the full month of May 2023 with three full weeks still to go. Month-to-date volume is up by 59% versus the comparable period a year ago
Five companies sold nearly $2b Thursday to take the week’s volume to $12.8b. For the week, 18 borrowers came to market
The recent rally stalled after a three-day gaining streak and is poised to close the week with modest gains after strong returns last week
Though the rally faded across ratings, US borrowers capitalized on the strong risk appetite with spreads around 300 basis points and yields holding steady below 8% in the context of a strong and resilient economy
CCC yields closed at 12.14% and spreads at 723 basis points, up six and seven basis points, respectively, this week so far pushing week-to-date loss to -0.21% and ending the two-week gaining stretch
Demand for credit remained robust and investors absorbed the higher-than-expected issuance with limited effects on the secondary market, Brad Rogoff and Dominique Toublan of Barlcays wrote Friday

06 May 2024

Insight, Investment Grade Quarterly Josh Adams - Portfolio Manager 0 comment

COMENTARIO DEL CUARTO TRIMESTRE

En el primer trimestre del año se produjo una demanda entusiasta de los inversores por bonos corporativos con grado de inversión y diferenciales de crédito más ajustados. El desempeño de los diferenciales se vio contrarrestado por los rendimientos de los bonos del Tesoro, que subieron a lo largo del trimestre a medida que los datos económicos y los mensajes de la Reserva Federal dejaron cada vez más claro que esta sería más deliberada con los recortes de tasas de lo que el mercado había anticipado a principios de 2024. En conjunto, fue un trimestre modestamente negativo en términos de rentabilidad total para el crédito de grado de inversión, pero se trata de una clase de activo que se presta mejor a una visión a más largo plazo. Creemos que el entorno actual presenta una oportunidad. Los elevados rendimientos de los bonos del Tesoro y los sólidos indicadores crediticios en todo el universo de IG tienen el potencial de generar retornos atractivos ajustados al riesgo para los inversores en crédito de IG en un horizonte temporal más largo.

Resumen del primer trimestre

El diferencial ajustado por opciones (Option Adjusted Spread, OAS) en el índice de bonos corporativos de los EE. UU. de Bloomberg abrió el año en 99 y brevemente se negoció más ampliamente durante los primeros 7 días hábiles del año antes de que el estado de ánimo mejorara hasta el punto de que nunca volvería a cotizar barato en su nivel de apertura durante el primer trimestre. El índice cotizó tan ajustado como 88 cerca de finales de marzo, su nivel más estrecho desde noviembre de 2021, antes de terminar el trimestre con un OEA de 90. Quizás el aspecto más sorprendente de este movimiento hacia diferenciales más ajustados es que se produjo en medio de una avalancha récord de oferta de nuevas emisiones, cuando los prestatarios imprimieron $529 mil millones de dólares en nueva deuda corporativa con calificación IG durante el trimestre.

A veces, una gran cantidad de nuevas emisiones en un breve periodo puede tener el efecto de aumentar los diferenciales de crédito a medida que los inversores venden sus participaciones existentes para dejar espacio para asignaciones de nuevas emisiones. Por ejemplo, en 2020 y 2022, cuando la oferta de nuevas emisiones en el primer trimestre superó los $450 millones de dólares, estuvo acompañada de un aumento significativo de los diferenciales de crédito; sin embargo, ese no fue el caso en 2024, ya que la demanda de los inversores fue sólida y los flujos de fondos de IG fueron sólidamente positivos, lo que respaldó diferenciales más ajustados y un mercado sólido para nuevas emisiones.

Pasando a los rendimientos de los bonos del Tesoro, fueron más altos en todos los ámbitos en el primer periodo del año, lo que minó algo de impulso de los rendimientos totales.

Aunque no nos gusta que las tasas suban debido a los obstáculos a corto plazo que esto crea para el rendimiento, creemos que los rendimientos más altos presentan una oportunidad para que los inversores sean compensados por asumir riesgos de duración intermedia. Los rendimientos siguen siendo elevados en relación con el pasado reciente: el rendimiento al vencimiento (Yield To Maturity, YTM) del índice corporativo cerró el primer trimestre en 5.30 %, 180 puntos básicos por encima de su YTM promedio de 3.50 % en los últimos 10 años.

El mercado luchó, pero la Reserva Federal siempre gana

En nuestro comentario de enero escribimos que creíamos que el listón era alto para los recortes de tasas a corto plazo y nuestra opinión sigue siendo la misma. A principios de año, los futuros sobre fondos de la Reserva Federal implicaban siete recortes de tasas de 25 puntos básicos en 2024 para un total del 1.75¹. Los inversores especularon que el primer recorte se produciría en la reunión de marzo y un recorte adicional en cada reunión posterior (el Comité Federal de Mercado Abierto [Federal Open Market Committee, FOMC] celebra 8 reuniones periódicas al año)². Esto es lo que estaban descontando los futuros de tasas de interés a principios de enero, a pesar de que en diciembre la Reserva Federal publicó su “Resumen de Proyecciones Económicas” (Summary of Economic Projections, SEP), que incluía el gráfico de puntos que mostraba solo un 0.75 % de recortes de tasas en 2024. Para ser justos, la Reserva Federal tiene cierta responsabilidad por la exuberancia del mercado en enero gracias a su mensaje moderado tras la reunión del FOMC de diciembre.

A medida que avanzaba el primer trimestre, el mercado poco a poco empezó a aceptar la idea de que la Reserva Federal podría actuar con cautela y reducir su tasa de política con más cautela de lo esperado. Como hace cada tres meses, la Reserva Federal emitió un SEP actualizado en su reunión de marzo de 2024, que fue ligeramente más agresivo que el de diciembre, pero aun así mostró recortes de tasas del 0.75 % en 2024. Al final del primer trimestre, los futuros de fondos de la Reserva Federal reflejaron el gráfico de puntos más reciente de marzo, lo que implica una probabilidad del 56.9 % de un recorte en la reunión de junio, con 2 recortes adicionales a seguir en las reuniones de septiembre y diciembre³. En nuestra opinión, esta es una visión mucho más realista de lo que es probable que ocurra. Sin algún tipo de impacto exógeno, o en ausencia de datos que muestren que la economía se está desacelerando de manera significativa, esperamos que la Reserva Federal sea paciente mientras busca aliviar su política restrictiva. Aunque no es nuestro escenario base, creemos que existe una posibilidad razonable de que la Reserva Federal no haga ningún recorte en 2024. Creemos que el resultado más probable es que la Reserva Federal aplique uno o dos recortes de 25 puntos básicos en la segunda mitad del año. La Reserva Federal se enfrenta a un dilema difícil: no puede actuar demasiado rápido ante una economía estadounidense resiliente que sigue creando empleos; pero cuanto más tiempo mantenga las tasas en niveles elevados, mayor será la probabilidad de que la economía caiga en algún tipo de recesión. Tenemos un alto grado de convicción de que a la Reserva Federal le gustaría mucho reducir la tasa de política tan pronto como sea posible, pero no confiamos en que los datos le permitan hacerlo. Por lo tanto, creemos que es más probable que se produzca una recesión modesta antes de finales de 2025 que se deba a una versión ampliada de una política monetaria de “más alto durante más tiempo”.

Valor de la gestión activa

Creemos que una Reserva Federal que esté sesgada hacia la reducción de su tasa de interés oficial es positiva para nuestra estrategia. Somos un gestor intermedio y la mayor parte de nuestra cartera está posicionada en bonos con vencimiento entre 5 y 10 años. Nuestro caso base es el siguiente escenario: la tasa de los fondos de la Reserva Federal disminuye con el tiempo, mientras que los bonos del Tesoro con vencimientos entre 2 y 5 años disminuyen en conjunto; al mismo tiempo, los bonos del Tesoro intermedios que vencen en 5 a 10 años regresan a un nivel normalizado con pendiente ascendente. Este escenario permitiría que la curva de rendimiento recuperara parte de su inclinación clásica y la cartera de CAM se beneficiaría del efecto de “reducción” a medida que los bonos bajan por la curva de rendimiento, acercándose poco a poco al vencimiento cada día que pasa.

El gráfico anterior se remonta a 20 años atrás, hasta finales del primer trimestre de 2024. Como puede ver, la curva del Tesoro 5/10 es casi siempre positiva y ha promediado 56.6 puntos básicos (basis points, bp) de inclinación durante ese periodo en relación con su nivel de cierre de -1 pb a finales de marzo. Si se compra un bono a 10 años con la intención de conservarlo durante 5 años antes de venderlo, y la curva del Tesoro 5/10 promedia 50 bp durante ese periodo, el bono producirá 10 bp de compensación de manera anual en forma de reducción. Las curvas no son estáticas y, en nuestra opinión, se entienden mejor en términos de promedios.

Cuando se habla de crédito IG, es importante recordar que hay dos curvas que deberían interesar a un inversor. Está la curva del Tesoro antes mencionada y luego está la curva de crédito corporativo que cotiza por encima de los bonos del Tesoro; esta es la compensación adicional que recibe un inversor por asumir el riesgo crediticio adicional de poseer un bono corporativo en lugar de un bono del Tesoro. Al igual que las curvas del Tesoro, las curvas de crédito corporativo están en constante evolución y cambian todo el tiempo, por lo que pueden presentar oportunidades para el inversor activo. A diferencia de la curva del Tesoro, que puede invertirse, la curva de crédito corporativo casi nunca se invierte, aunque puede invertirse para emisores de bonos específicos de vez en cuando debido a condiciones crediticias o factores técnicos. Los gestores activos eventualmente aprovecharán estas inversiones hasta que dejen de existir.

Al final del primer trimestre, la curva de crédito corporativo típica para las empresas con calificación A que estamos analizando para nuestras carteras oscilaba entre 20 y 30 puntos básicos, con valores atípicos a ambos lados^iv. Entonces, si elegimos un punto medio de 25 bp, eso significa que un bono a 5 años de un emisor que cotiza con un diferencial de 50/5 años podría esperar que el bono a 10 años de ese mismo emisor se negocie con un diferencial de 75/10 años. Si se comprara un bono a 10 años con la expectativa de venderlo en el plazo de 5 años, produciría 5 bp de reducción del diferencial de crédito por cada año que se mantenga. Esta es solo la compensación que ofrece la curva de crédito corporativo. En entornos normalizados con una curva del Tesoro con pendiente ascendente, la reducción de la curva 5/10 TSY proporcionaría beneficios adicionales además de la compensación recibida de la curva de crédito. Este doble golpe puede amplificar la rentabilidad total, beneficiando a los inversores durante los periodos de curvatura más pronunciada.

Como gestor activo, siempre buscamos formas de maximizar el posicionamiento de los clientes a lo largo de las curvas de crédito y del Tesoro. A veces esto significa que favoreceremos vencimientos más cortos dentro de ese rango de 5 a 10 años y otras veces estaremos en el extremo más largo de ese rango. En algunos entornos, como en el que nos encontramos actualmente, la economía dictará que mantengamos los bonos existentes por más tiempo, hasta que les queden 3 o 4 años hasta su vencimiento, para maximizar la efectividad de una operación de extensión de venta. Aunque vendemos más del 98 % de nuestras participaciones antes del vencimiento, ocasionalmente las matemáticas de los bonos indicarán que es mejor mantener un bono hasta el vencimiento que si lo vendiéramos y compráramos otra cosa. Como gestor activo, nos centramos en el mercado de bonos todo el día, todos los días, evaluando de manera constante las oportunidades y buscando maximizar el valor de la tenencia de cada cliente individual.

Solvencia crediticia: fuerte a bastante fuerte

Nos enorgullecemos de nuestro proceso de investigación ascendente y creemos que es uno de los atributos más importantes que aportamos como gestor. No podemos controlar la dirección de las tasas de interés, pero podemos exhibir un gran control sobre la solvencia crediticia de los bonos de las empresas que incluimos en las carteras de clientes. Las empresas con grado de inversión reciben calificación IG por una razón: sí, las empresas con calificación IG a veces incumplen sus obligaciones de deuda, pero generalmente es un proceso de degradación crediticia que dura varios años y un gestor prudente venderá antes de que se produzca el peor de los casos de incumplimiento; en otras palabras, cuando se analiza el crédito con grado de inversión, no hay muchos bonos malos, pero sí muchos precios malos. Hay muchos bonos en el universo IG que simplemente tienen precios demasiado altos y que no ofrecen una compensación adecuada por unidad de riesgo. Siempre buscamos poblar las carteras de clientes con bonos que estén valorados de manera adecuada en un esfuerzo por reducir la volatilidad y limitar la perspectiva de ampliación de los diferenciales durante periodos difíciles del mercado.

Aunque nos centramos en el análisis de crédito individual, observar las métricas crediticias para el universo IG en su conjunto es instructivo cuando intentamos ilustrar la salud actual del mercado en general y también nos ayuda a juzgar el valor relativo de las oportunidades de inversión. Al final del cuarto trimestre de 2023, las métricas crediticias en todo IG eran sólidas<sup>1</sup>. Los márgenes de ganancias antes de intereses, impuestos, depreciación y amortización (Earnings Before Interest, Taxes, Depreciation, and Amortization, EBITDA) en particular continuaron luciendo impresionantes en relación con la historia y están cerca de máximos históricos, mientras que el crecimiento de EBITDA volvió a ser positivo después de un trimestre de caídas.

El apalancamiento de la deuda neta para el índice IG no financiero se ha mantenido estable durante 5 trimestres consecutivos y ha mejorado desde el primer semestre de 2022. La única métrica crediticia importante que ha disminuido en los últimos trimestres es la cobertura de intereses y eso se debe en gran medida a que las empresas han estado emitiendo nueva deuda con cupones más altos que la deuda que vencía^v. En el primer trimestre de 2024, el cupón promedio de las nuevas emisiones de IG fue del 5.33 %, 202 bp más que el cupón promedio de los bonos que vencen, que fue del 3.31 %^vi. Para ponerlo en contexto, compare con el 7.24 %, que era la tasa hipotecaria fija promedio a 30 años para un comprador residencial al final del primer trimestre: el costo de capital para las empresas con calificación IG parece muy razonable^vii. En pocas palabras, los inversores no necesitan asumir mucho riesgo crediticio o de tasa de interés para generar retornos saludables en el crédito con calificación IG: las métricas crediticias agregadas se encuentran en niveles saludables y el rendimiento del índice es >5 %.

Mirada hacia el futuro

Los últimos años han sido un momento histórico en los mercados crediticios. Desde marzo de 2020 hasta marzo de 2022 experimentamos posiblemente la política de la Reserva Federal más fácil de la historia, con un 0 % de fondos de la Reserva Federal acompañado de un estímulo económico sin precedentes. Luego, la Reserva Federal aumentó su tasa de política 11 veces en 18 meses hasta su rango actual de 5.25 % a 5.5 %, el ritmo más rápido de ajuste en más de 40 años^viii. Una vez más estamos al borde del precipicio de la historia, ya que la Reserva Federal tiene la tarea de terminar la guerra contra la inflación y al mismo tiempo restaurar su tasa de política a un nivel más normativo. Es un entorno de incertidumbre: ¿hacia dónde irá la economía a partir de ahora? Continuaremos centrándonos en nuestro pan de cada día y eso es poblar las carteras de clientes con bonos de empresas que están bien preparadas para navegar en una variedad de entornos económicos. Le agradecemos su interés y su colaboración continua mientras navegamos por el resto del año 2024.

Esta información solo tiene el propósito de dar a conocer las estrategias de inversión identificadas por Cincinnati Asset Management. Las opiniones y estimaciones ofrecidas están basadas en nuestro criterio y están sujetas a cambios sin previo aviso, al igual que las declaraciones sobre las tendencias del mercado financiero, que dependen de las condiciones actuales del mercado. Este material no tiene como objetivo ser una oferta ni una solicitud para comprar, mantener ni vender instrumentos financieros. Los valores de renta fija pueden ser vulnerables a las tasas de interés vigentes. Cuando las tasas aumentan, el valor suele disminuir. El rendimiento pasado no es garantía de resultados futuros. El rendimiento bruto de la tarifa de asesoramiento no refleja la deducción de las tarifas de asesoramiento de inversión. Nuestras tarifas de asesoramiento se comunican en el Formulario ADV Parte 2A. En general, las cuentas administradas mediante programas de firmas de corretaje incluyen tarifas adicionales. Los rendimientos se calculan mensualmente en dólares estadounidenses e incluyen la reinversión de dividendos e intereses. El índice no está administrado y no considera las tarifas de la cuenta, los gastos y los costos de transacción. Se muestra con fines comparativos y se basa en información generalmente disponible al público tomada de fuentes que se consideran confiables. No se hace ninguna afirmación sobre su precisión o integridad.

La información suministrada en este informe no debe considerarse una recomendación para comprar o vender ningún valor en particular. No hay garantía de que los valores que se tratan en este documento permanecerán en la cartera de una cuenta en el momento en que reciba este informe o que los valores vendidos no hayan sido vueltos a comprar. Los valores de los que se habla no representan la cartera completa de una cuenta y, en conjunto, pueden representar solo un pequeño porcentaje de las tenencias de cartera de una cuenta. No debe suponerse que las transacciones de valores o participaciones analizadas fueron o demostrarán ser rentables, o que las decisiones de inversión que tomemos en el futuro serán rentables o igualarán el rendimiento de la inversión de los valores discutidos en este documento. Como parte de la educación de los clientes sobre la estrategia de CAM, podemos incluir referencias a tasas y diferenciales históricos. Los ejemplos hipotéticos que hacen referencia al nivel o cambios en las tasas y diferenciales tienen únicamente fines ilustrativos y educativos. No pretenden representar el desempeño de ninguna cartera o valor en particular, ni incluyen el impacto de las tarifas y gastos; tampoco toman en consideración todas las condiciones económicas y de mercado que influyen en nuestra toma de decisiones. Por lo tanto, las cuentas de los clientes pueden experimentar o no escenarios similares a los mencionados en este documento.

En nuestro sitio web se encuentran disponibles las divulgaciones adicionales sobre los riesgos materiales y los posibles beneficios de invertir en bonos corporativos: Enlace de Divulgación de CAM.

i Bloomberg, 28 de marzo de 2024 “High‐Grade Bond Sales on Easter Pause After Record First Quarter” (“Ventas de bonos de alta
calidad en pausa de Pascua después de un primer trimestre récord”)
ii Bloomberg WIRP, 29 de diciembre de 2023 “Fed Funds Futures” (“Futuros de los fondos de la Reserva Federal”)
iii Bloomberg WIRP, 29 de marzo de 2024 “Fed Funds Futures” (“Futuros de los fondos de la Reserva Federal”)
iv Raymond James & Associates, 28 de marzo de 2024 “Fixed Income Spreads” (“Diferenciales de renta fija”)

v Barclays Bank PLC, 13 de marzo de 2024 “US Investment Grade Credit Metrics, Q24 Update: No Concerns” (“Métricas crediticias de
grado de inversión de los EE. UU., actualización del trimestre de 2024: sin preocupaciones”)
vi JP Morgan, 3 de abril de 2024 “US High Grade Corporate Bond Issuance Review” (“Revisión de la emisión de bonos corporativos de
alto grado de los EE. UU.”)
vii Índice Bloomberg ILM3NAVG, 28 de marzo de 2024 “Bankrate.com US Home Mortgage 30 Year Fixed National Avg”
(“Bankrate.com: promedio nacional de la hipoteca de vivienda en los EE. UU. a 30 años fija”)
viii CNBC, 13 de diciembre de 2023 “The Federal Reserve’s period of rate hikes may be over. Here’s why consumers are still reeling”
(“El periodo de subidas de tasas de la Reserva Federal puede haber terminado. Aquí le contamos por qué los consumidores siguen
conmocionados”)

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