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Podwyżki w USA nieuniknione

Wczorajszy dzień należał do bardzo intensywnych na rynkach. Do czwartku giełdy przez brak konkretnych impulsów fundamentalnych, wykorzystywały sytuację do umacniania się. Patrząc jednak przez pryzmat rentowności i kontraktów na stopę procentową FED, ciężko było zrozumieć dlaczego nie widać po giełdach pozycjonowania się pod wysokie odczyty inflacyjne. Wczorajsza publikacja stopy inflacji i inflacji bazowej zaskoczyła wszystkich. Najśmielsze prognozy opowiadały się za poziomem ok. 7,3%. Tymczasem publikacja styczniowych danych przerosła znacząco te oczekiwania. Takiej inflacji Stany Zjednoczone nie widziały od 1982 r. Do tak dużego, 7,5% wyniku w największym stopniu przyczyniły się ceny paliw. W tym krótkim komentarzu omówię kilka aspektów, potencjalnych podwyżek stóp procentowych przez Rezerwę Federalną na marcowym posiedzeniu. 

Nowy target – 50 punktów bazowych

Na większości analiz, które publikujemy na kanale Finmex, przed odczytami inflacyjnymi i przed posiedzeniem FED sprawdzam często pozycjonowanie się rynku na target rate’ach. Narzędzie, które za chwilę pokażę, wycenia prawdopodobieństwo zmiany polityki monetarnej na kolejnych spotkaniach FED. Oblicza się je na podstawie kontraktów futures na stopę procentową FED (FF). Urozmaica (modeluje się je) o dodatkowe czynniki. Sumarycznie można więc ująć, że narzędzie CME oblicza prawdopodobieństwo na podstawie 30-dniowych kontraktów futures na fundusze federalne (FF), których ceny uwzględniają oczekiwania rynkowe dotyczące średnich dziennych poziomów efektywnej stopy funduszy federalnych (FFER) w poszczególnych miesiącach kontraktów terminowych. Dodatkowo pod uwagę brany jest FFER, który jest publikowany przez Bank Rezerwy Federalnej w Nowym Jorku. Każdego dnia i jest obliczany jako ważona wolumenem transakcji średnia stawek z dnia poprzedniego dla transakcji organizowanych przez głównych brokerów na rynku niezabezpieczonych pożyczek jednodniowych między instytucjami depozytowymi. Zatem dzięki tym wyliczeniom możemy codziennie sprawdzić prawdopodobieństwo podwyżki. 

Jeszcze wczoraj przed publikacją inflacji te kolumny moglibyśmy zamienić miejscami. Rynek wyceniał podwyżkę 25-50 punktów bazowych w 77%, i w 23% podwyżkę 50-75 punktów bazowych. Po wczorajszych danych inflacyjnych proporcje się odwróciły. Na ten moment szansa na podwyżkę co najmniej 50 punktów bazowych wzrosła do 87,3%. 

Bullard widzi 1% do lipca

Z wypowiedzi bankierów centralnych FED płyną różne podejścia do tematu podwyżek. Z jednej strony większość z nich jeszcze przed posiedzeniem w styczniu wskazała na konieczność podniesienia stóp procentowych, jednak samo posiedzenie mimo jastrzębiego wydźwięku nie dało żadnych konkretów. Następne spotkanie Rezerwy czeka na 15-16 marca. Banki i instytucje ratingowe prześcigają się w prognozach punktów i ilości podwyżek w tym roku. Można znaleźć i takie projekcje, które sugerują 7 podwyżek przeprowadzonych przez FED w tym roku. Dziś na Bloombergu wiele czasu poświęcono Bullardowi – jednemu z bankierów FED. Powiedział on, iż jego zdaniem do lipca interest rate Rezerwy powinien wynieść 1%. Daly natomiast jeszcze przed odczytami inflacyjnymi mówiła o tym, że w marcu powinna nastąpić pierwsza podwyżka, natomiast sam proces zacieśniania nie powinien być agresywny. Cóż, czego by z tych wypowiedzi nie wróżyć, szanse na podwyżki są w moim odczuciu bardzo duże, patrząc choćby na tak absurdalną rzecz, jaką jest najwyższa od ponad 40 lat inflacja i dalsze prowadzenie dodruku (co prawda w mniejszym tempie), który ma skończyć się wraz z początkiem marca. 

Rentowności – szklana kula podwyżek

Ostatnią kwestią, która istotnie wskazuje na bardzo duże prawdopodobieństwo podwyżki na marcowym posiedzeniu są rentowności 10-letnich obligacji skarbowych USA. Obecnie są już notowane powyżej 2%! Takie poziomy obserwowaliśmy w połowie 2019 roku. 

Rentowności mówią na ten moment jedno – inwestorzy pozbywają się obligacji, licząc, że nowa emisja będzie lepiej oprocentowana (poprzez podniesienie stóp procentowych). Rentowności szczególny impet przybrały na początku 2022 r., gdy inflacja mimo oczekiwań dot. jej ustabilizowania, wykazała kolejny wzrost. Inwestorzy działający na rynku obligacji praktycznie po kilku pod rząd większych odczytach obligacji zaczęli pozycjonować się pod podwyżki. 

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