Durante las primeras semanas de la crisis sanitaria global provocada por el brote de coronavirus, las diferencias estructurales entre los mercados de bonos y acciones provocaron anomalías temporales entre el precio y el valor liquidativo (NAV) de los ETFs de renta fija que no se dieron en los de renta variable. Esto hizo que las cotizaciones de los ETFs de renta fija mostrasen un descuento sustancial frente a los respectivos valores liquidativos. Tras analizar cómo se han negociado los ETFs durante la situación de volatilidad actual, en esta segunda parte de su análisis, DWS aborda los motivos de esta dislocación.
“Puede atribuirse principalmente a los precios de los bonos que usan los proveedores de índices y que sirven como referencia para los NAVs de los ETFs. Los proveedores necesitan obtener un precio para cada uno de los bonos que componen sus respectivos índices y cada uno cuenta con sus propias metodologías”, afirma. Los precios de los bonos deben obtenerse a ciertas horas “fijas”, pero, como los bonos no se negocian en mercados tan transparentes y accesibles como los de acciones, los proveedores de índices pueden recurrir a intermediarios (broker-dealers) para que les proporcionen precios indicativos. Como alternativa, pueden usar algoritmos para estimar el valor razonable teórico de un bono.
La gestora recuerda que el mercado de renta fija no funciona como el de renta variable, es decir, que no está estandarizado: “Está muy fragmentado, no existe un mercado oficial y no hay un periodo de cierre de subastas. Por eso, los precios no son tan transparentes como en el caso de las acciones”, apunta. Al final, el valor liquidativo de un ETF de renta fija representa el precio indicativo de un bono, por lo que los índices pueden incluir muchos precios teóricos que no se corresponden necesariamente con los de negociación1.
En circunstancias de mercado normales, esta situación provoca que las cotizaciones de los ETFs de renta fija muestren ligeras divergencias con los valores liquidativos, ya que los intermediarios incluyen en el precio las diferencias entre los precios de negociación de los bonos subyacentes y los del índice. Según DWS, en momentos de extrema volatilidad como los de las últimas semanas, estas pequeñas diferencias se ven amplificadas y acaban provocando importantes dislocaciones entre los precios de negociación intradía de los ETFs y los valores liquidativos. “En algunos casos, dependiendo de sus exposiciones específicas, algunos ETFs de renta fija han llegado a cotizar con un descuento de entre el 2% y el 7% con respecto al NAV”, señala.
Aunque los traders de bonos conocen estos valores razonables teóricos, tienen que estimar el valor de bonos que no se están negociando, por lo que es posible que el precio al que pueden vender los bonos sea muy inferior. “Se trata de un escenario de estrés típico en mercados sin liquidez suficiente para absorber una avalancha de órdenes de venta en el mercado subyacente”, asegura. En ese sentido, ve importante tener en cuenta que este problema no es exclusivo de los ETFs sino de cómo funciona la formación de precios en el mercado de bonos en general.
La gestora hace hincapié en que cualquier divergencia significativa entre el precio de negociación del ETF y su NAV o su valor razonable supone una oportunidad de arbitraje para los participantes autorizados (Authorised Participants), que son los únicos con la capacidad de emitir y reembolsar participaciones con el emisor del ETF1. Pueden arbitrar mediante los siguientes pasos:
- Comprar participaciones del ETF hasta que no queden con descuento.
- Vender la cesta equivalente de bonos subyacentes a su precio normal de mercado.
- Realizar un reembolso en especie con el proveedor del ETF para entregar las participaciones (al NAV) a cambio de la cesta de bonos subyacente (precios de los bonos equivalentes al NAV).
- El participante autorizado ha cerrado sus posiciones en el ETF y en los bonos subyacentes y ha obtenido un beneficio al comprar las participaciones con descuento y vender la cesta de bonos subyacente.
A juicio de DWS, el hecho de que durante los episodios de volatilidad del mercado no se hayan producido claras acciones de arbitraje y que los ETFs hayan seguido cotizando con descuento demuestra que no existían oportunidades de arbitraje obvias. También “que los participantes del mercado eran conscientes de que los precios de los ETFs respondían a los precios de negociación reales de los bonos subyacentes mientras que los valores liquidativos se basaban en precios teóricos o antiguos”, añade.
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