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Political risk is back in the Eurozone and it impacts bonds markets like it is 2011 all over again. Bond markets of the Eurozone countries have not diverged this much since the start of the European Central Bank’s Quantitative Easing (QE) program. This, conclusion is made by Olaf Penninga, portfolio manager of the Robeco Euro Government Bonds fund, and Kommer van Trigt, portfolio manager of Robeco Global Total Return Bond Fund. The spread between French and German 10-year bond yields has risen quickly from just 0.3% in early November to nearly 0.8% in early February. This is the highest spread since late 2012 (see figure 1). Italian bond spreads rose above 2% for the first time since 2014.
Political risk is clearly elevated with elections coming up in France, Germany, the Netherlands and potentially in Italy as well. Populist anti-EU parties rank strongly in the polls. In France polls indicate that Marine Le Pen will win the first round of the presidential election. Her Front National promises a referendum on EMU membership and it wants to repay the government debt in French Francs instead of in euros. But polls also indicate that she will be defeated in the second round by Emmanuel Macron or François Fillon. “These candidates propose the kind of structural reforms that France needs to unleash its economic potential”, says Penninga. “But polls did not predict the Brexit or Trump. French bonds have sold of sharply on the back of these political risks.”
The anti-EU PVV of Geert Wilders gets strong support in the Dutch election polls and in Germany there is the ascent of Frauke Petry’s euro-sceptic AfD. Coupled with likely arduous Brexit negotiations the risks to the Eurozone as a whole are rising. Especially Italian bonds were hit strongly by this risk. “Our fundamental view on Italy is rather bearish. Structurally weak growth has led to high unemployment, feeding political discontent”, explains VanTrigt.
The rise in political risks became already clear last December when Prime Minister Matteo Renzi stepped down after constitutional reform was rejected by referendum. Early elections are a risk, while the anti-euro 5 Star Movement is in a neck-and-neck race with Renzi’s centre-left PD party in the polls. Van Trigt: “While the risks are apparent, the strong market reaction remains notable. Bond markets easily ignored similar risks in recent years, helped by the supportive stance of the ECB.”
Bond markets are clearly more vulnerable to bad news than in recent years
This support from the ECB - however - is starting to fade. Penninga: “This explains why bond markets are now clearly more vulnerable to bad news than in recent years.” Last December the ECB announced that it will reduce its monthly bond buying from EUR 80 billion to EUR 60 billion in April 2017. Furthermore the ECB has already implemented two other changes to its QE program that together result in a significant reduction in the duration (interest-rate risk) of the bonds that the ECB buys. The ECB reduced the minimum maturity to 1 year and it started to buy bonds with a yield below the deposit rate.
“The ECB will effectively absorb a third less Italian bond risk in April than late last year and even take less than half as much German bond risk from the markets”, states Penninga (see also Figure 2). “With headline inflation now close to target, economic growth decent and the technical limits of the ECB’s bond buying coming closer, markets have to get used to the idea that the QE program might be reduced further already this year and will end next year.”
The ECB’s Quantitative Easing has effectively reduced country spreads and volatility in the Eurozone bond markets. Van Trigt explains: “While we benefited from this spread compression in 2013-2015, it also meant that there were fewer opportunities to add value with active country allocation in 2015 and 2016, as markets could ignore country fundamentals. This has now changed. Markets are reacting strongly to country-specific weaknesses and risks, offering opportunities to add value with active country allocation.”
Robeco Global Total Return Bond Fund and Robeco Euro Government Bonds were correctly positioned for wider spreads in Italy and France in early 2017. This contributed positively to the performance in January. Late last year, the funds also were positioned for the spread widening in the run-up to the Italian referendum. Penninga: “We temporarily closed these positions in December, but again sold Italian bonds after these had recovered from the referendum, anticipating renewed widening this year.”