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Expertise 26.05.2017

Un contexte favorable aux convertibles

Un contexte favorable aux convertibles

L’amorce d’une tendance.


Thèse d’investissement

  • Avec déjà deux hausses de taux d’intérêt en seulement trois mois aux Etats-Unis, et alors que d’autres sont encore attendues cette année, les investisseurs recherchent aujourd’hui des alternatives à leurs investissements obligataires.
  • En période de hausse des taux d’intérêt, l’option intégrée dans les convertibles agit comme un «matelas de sécurité», venant partiellement compenser l’impact négatif sur la composante obligataire.
  • L’histoire a montré que, lorsque l’augmentation des taux d’intérêt est couplée à une hausse de la performance des actions, les obligations convertibles peuvent non seulement générer une performance positive, mais également, dans certains cas, surperformer les actions.
  • Le vaste programme de rachat d’actifs de la BCE a fait monter les prix sur les marchés du crédit à travers l’Europe, tandis que les obligations convertibles sont, elles, restées préservées de cet effet de distorsion massif.
  • Bien qu’une tendance au resserrement ait également débuté dans l’univers des convertibles, ces dernières présentent toujours – aux niveaux de spreads actuels – un potentiel de valeur nettement supérieur à celui offert par des obligations classiques comparables.
  • Ces derniers mois, les obligations convertibles ont été en mesure de surperformer significativement les obligations classiques, grâce à leurs caractéristiques différenciatrices majeures.
  • Nous sommes convaincus que cette tendance ne fait que commencer.

L’amorce d’une tendance

Comme attendu, la Fed a relevé ses taux directeurs de 25 points de base (pb) lors de la réunion de son Comité de politique monétaire (FOMC) de mars, confortée dans cette décision par plusieurs éléments, comme la forte performance récemment enregistrée par les marchés actions, le raffermissement des indicateurs de croissance, et la montée des chiffres de l’inflation. A cette occasion, la présidente de la Fed, Janet Yellen, a réaffirmé que de nouvelles hausses de taux étaient à attendre en 2017.

Même si, actuellement, ce mouvement concerne principalement les investisseurs américains, les marchés obligataires européens pourraient également être confrontés prochainement à une tendance haussière sur les taux d’intérêt. En effet, avec les indicateurs et les perspectives de croissance qui continuent de s’améliorer en zone euro, un apaisement des risques politiques pourrait conduire la BCE à adopter une politique monétaire plus neutre durant l’année, avec un probable changement de communication dans le courant de l’été. Le 27 avril dernier, le président de la BCE, Mario Draghi, a ainsi laissé ses taux inchangés, tout en reconnaissant cependant la vigueur de l’économie de la zone euro.

Compte tenu de l’environnement actuel, les obligations convertibles paraissent idéales pour les investisseurs qui recherchent une alternative à leurs investissements obligataires.

Une protection efficace face à la hausse des taux d’intérêt ? La preuve par les chiffres.

Face à une remontée des taux d’intérêt, l’option intégrée dans les convertibles agit comme un «matelas de sécurité», permettant de compenser partiellement l’impact négatif sur la composante obligataire. Cela s’explique par le fait que les options sur actions sont positivement corrélées à l’évolution des taux d’intérêt. Ainsi, elles offrent généralement des performances positives en cas de hausse des taux d’intérêt.

Les statistiques historiques parlent d’elles-mêmes. Sur les vingt dernières années, l’on a pu observer onze périodes – trois en Europe et huit aux Etats-Unis – durant lesquelles le rendement du Bund allemand à 10 ans ou du bon du Trésor américain à 10 ans a crû de plus de 120 pb. Or, lors de ces périodes, les convertibles ont non seulement surperformé systématiquement les obligations classiques, mais également fini systématiquement en territoire positif, alors que ces dernières ont systématiquement enregistré des performances négatives en termes absolus.

Comme l’histoire l’a démontré, lorsque les hausses de taux d’intérêt s’accompagnent d’une performance accrue sur les marchés actions, les obligations convertibles peuvent non seulement délivrer une performance positive, mais aussi, dans certains cas, surperformer les actions.

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Nicolas Delrue
Head of Investment Specialists &
Convertible bond Senior Investment Specialist

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Scarlett Claverie-Bulté
Convertible Bond Investment Specialist

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  • Unexpected increase with a solid rise in new orders, in employment but also in prices paid.

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  • The measure on the 6-month outlook reached its highest since 2005.

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US: Retail sales (Jan.): -0.3% m/m vs 0.2% expected (prior: 0% revised from 0.4%)

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US: Business inventories (Dec.): 0.4% m/m vs 0.3% expected (prior: 0.4%)

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Eurozone: Industrial production (Dec.): 0.4% m/m vs 0.1% expected (prior: 1.3% revised from 1%)

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Germany: GDP (Q4-17): 0.6% q/q as expected (prior: 0.8%)

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Germany: CPI (Jan.): -1% m/m as expected (prior: 0.6%)

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Italy: GDP (Q4-17): 0.3% q/q as expected (prior: 0.4%)

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Poland: GDP (Q4-17): 1% q/q vs 1.2% expected (prior: 1.2%)

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Market insight 16.02.2018

US consumer confidence surprised to the upside, UK retail sales broadly flat

US: Consumer confidence (Michigan) (Feb P): 99.9 vs 95.5 expected (prior: 95.7)

  • Current conditions: 115.1 vs 111.1 expected (prior: 110.5)
  • Expectations: 90.2 vs 87.2 expected (prior: 86.3)
  • The press release states that negative references to stock prices were spontaneously cited by just 6% of all consumers. Instead, favorable perceptions of the tax reforms dominated.
  • All in all, consumers still appear to be in strong shape to boost their spending again over the coming months.

 

US: Import price index (Jan): 1% m/m vs 0.6% expected (prior: 0.2% revised from 0.1%)

  • On a y/y basis: 3.6% vs 3% expected (prior: 3% revised from 3.2%)
  • Headline was driven by a surge in imported petroleum prices (+4.3% m/m).
  • Within non-petroleum imported prices, the bulk of the increase came from industrial supplies (+3.1% m/m), while prices of capital goods and autos recorded only modest growth.

 

US: Housing starts (Jan): 1326k vs 1234k expected (prior: 1209k revised from 1192k)

  • On a y/y basis: 9.7% vs 3.5% expected (prior: -8.2% revised from -6.9%)
  • Building permits: 1396k vs 1300k expected (prior: 1302k revised from 1300k); 7.4% m/m vs 0% expected (prior: -0.1% revised from -0.2%)
  • While the volatile multi-family category led the increase, single-family starts rose as well.

 

UK: Retail sales (Jan): 0.1% m/m vs 0.5% expected (prior: -1.4% revised from -1.5%)

  • On a y/y basis: 1.6% vs 2.5% expected (prior: 1.4% revised from 1.5%)
  • Ex autos: 0.1% vs 0.6% expected (prior: -1.6% revised from -1.5%); 1.5% y/y vs 2.4% expected (prior: 1.3%)
  • Retail sales growth was broadly flat at the beginning of the New Year with the longer-term picture showing a continued slowdown in the sector.
Market insight 15.02.2018

Rising core PPI and disappointing industrial production in the US

US: PPI (Jan.): 0.4% m/m as expected (prior: 0.0% revised from -0.1%)

  • PPI y/y: 2.7% vs 2.4% expected (prior: 2.6%)
  • Core PPI: 0.4% m/m vs 0.2% expected (prior: -0.1%); 2.2% y/y vs 2.0% expected (prior: 2.3%)
  • The annual increase in core PPI is close to a 6-year high, which partly reflects the upward pressure on import prices from the weaker dollar and provides further evidence that inflationary pressures are set to build this year.

US: Industrial production (Jan.): -0.1% m/m vs 0.2% expected (prior: 0.4% revised from 0.9%)

  • Manufacturing production was flat m/m (vs 0.3% expected) and previous readings were revised slightly lower.
  • Except the 0.6% m/m rise in utilities output, which was due to the unseasonably cold temperatures in some regions, the weakness in January was broad-based.
  • Along with the weaker retail sales data released yesterday, this report provides further evidence that economic growth may (yet again) disappoint in Q1.

US: Philadelphia Fed. (Feb.): 25.8 vs 21.8 expected (prior: 22.2)

  • Unexpected increase with a solid rise in new orders, in employment but also in prices paid.

US: Empire manufacturing (Feb.): 13.1 vs 18.0 expected (prior: 17.7)

  • New orders slightly increased while employment and prices paid rose more meaningfully.
  • These two regional surveys confirms that manufacturers continue to be optimistic for the economic activity.

US: Initial jobless claims (Feb. 10): 230k vs 228k expected (prior: 223k revised from 221k)

US: NAHB housing market index (Feb.): 72 as expected (prior: 72)

  • Homebuilders' confidence remains close to the highest level since 1999.
  • The measure on the 6-month outlook reached its highest since 2005.

Russia: Industrial production (Jan.): 2.9% y/y vs -0.5% expected (prior: -1.5%)

 

Market insight 14.02.2018

US: higher inflation and lower retail sales than expected

US: CPI (Jan.): 0.5% m/m vs 0.3% expected (prior: 0.2% revised from 0.1%)

  • Yearly trend on headline inflation was stable at 2.1% y/y; core inflation was up by 0.3% m/m (vs 0.2% m/m expected and in prior month; stable at 1.8% y/y).
  • Energy (3% m/m), apparels (1.7% m/m; related to import prices) and services (0.3% m/m) were responsible for the monthly rebound.
  • Outlook on inflation points towards a rising trend; after moderate yearly trend in Q1, headline inflation should be close to 3% y/y in Q2, and core CPI above 2% y/y according to our scenario. 2018 average headline inflation should now reach 2.5% y/y and core inflation 2.2% y/y.
  • This argues in favor of regular rate hikes from the Fed in Q1 and Q2-18, and in favor of 4 rate hikes this year.

 

US: Retail sales (Jan.): -0.3% m/m vs 0.2% expected (prior: 0% revised from 0.4%)

  • Core sales were flat (0.4% m/m expected) and past month data were revised from 0.4% m/m to 0% m/m.
  • Bad weather conditions and a pause after strong Q4 data partly explained the negative surprises on sales.
  • Purchases on several items have reversed from the past two months (autos, building materials and electronics); non-store sales were flat after 0.5% m/m.
  • Too early to see in these volatile data a reversal in US scenario, as supports should continue from the heathy labor and some fiscal easing.

 

US: Business inventories (Dec.): 0.4% m/m vs 0.3% expected (prior: 0.4%)

  • Inventories have increased (notably ex-autos); but sales were still dynamic (0.6% m/m).

 

Eurozone: Industrial production (Dec.): 0.4% m/m vs 0.1% expected (prior: 1.3% revised from 1%)

  • Except capital goods, momentum in production was positive for all major sectors.
  • Yearly trend has reached 5.2% y/y, comparable to the high pace in activity reached before the crisis.

 

Germany: GDP (Q4-17): 0.6% q/q as expected (prior: 0.8%)

  • Growth has been strong at year end; Eurozone GDP has also been confirmed up by 0.6% q/q in Q4-17.

 

Germany: CPI (Jan.): -1% m/m as expected (prior: 0.6%)

  • Rising oil and food prices, while prices for leisure and clothes have weakened.
  • Yearly trend has moderated from 1.6% y/y to 1.4% y/y.

 

Italy: GDP (Q4-17): 0.3% q/q as expected (prior: 0.4%)

  • GDP was up by 1.6% y/y (1.7% y/y in Q3-17); Italy is under a progressive recovery, but it remains fragile.

 

Poland: GDP (Q4-17): 1% q/q vs 1.2% expected (prior: 1.2%)

  • Activity was on an accelerating trend (5.1% y/y after 4.9% y/y in Q3-17).

 

Turkey: Current account (Dec.): -7.7bn USD vs -7.5bn expected (prior: -4.38bn revised from -4.2bn)

  • Rising imports and weaker exports have increased trade and current account deficits.