拉美地区-宏观策略-阿根廷：地方共同基金行为

1、PleasePleaserefertoimportantinformationattheendofthereportAMERICAFOCUSEMERGING MARKETS | 12 February 2019FOCUSEMERGING MARKETS | 12 February 2019TMKEY MESSAGESNew: we have tracked all the flows into local mutual funds.Flows in Argentina are mainly focused on short-term fixed income funds. Their main

2、 investment vehicle is short-term time deposits, which once in the cash balance of the local banks, are absorbed by the monetary authority via the issuing of 7-day Leliqs.During last years turmoil, locals were buying dollars to maintain their purchasing power, which caused the AUM of fixed income mu

3、tual funds to decrease by around 40% in nominal terms.KEY MESSAGESNew: we have tracked all the flows into local mutual funds.Flows in Argentina are mainly focused on short-term fixed income funds. Their main investment vehicle is short-term time deposits, which once in the cash balance of the local

4、banks, are absorbed by the monetary authority via the issuing of 7-day Leliqs.During last years turmoil, locals were buying dollars to maintain their purchasing power, which caused the AUM of fixed income mutual funds to decrease by around 40% in nominal terms.Thus, a proper study of the of local mu

5、tual funds and the potential impact on US dollar demand is critical for any pre- and post- Presidential election scenario.New: Last Friday, Argentinas central bank (BCRA) announced new Leliq limits. Financial institutions are now limited to a 65% Leliqs/deposits ratio, or 100% Leliqs/regulatory mini

6、mum capital.Update: Foreign asset purchases from locals (financial and non-financial sectors) remained relatively high in December (USD2.5bn) given the current levels of nominal and real rates. The 12-month cumulative foreign asset formation is USD30.2bn (the record high was USD32bn in July 2018).Ca

7、pital flight amounted to USD19.2bn in 2018, from USD15.7bn in 2017 and USD6.4bn in 2016. Nonresidents net flows remained in the negative camp in December while net liquid international reserves remained low at USD6.5bn (net of IMFs cash injection, the FX swap deal with China, and private USD-denomin

8、ated deposits in the financial system).EM/Latam Strategist+55 11 3841 3447 HYPERLINK mailto:luca.maia Luca MaiaEM/Latam Strategist+55 11 38413447 HYPERLINK mailto:gabriel.gersztein GabrielGerszteinGlobal Head of Emerging Markets Strategy+55 11 3841 3421Banco BNP Paribas Brasil S.A.(NEW) Mutual funds

9、 flows analysisAs the Argentinean peso is still far from being a reserve of value for locals, the reward to keep locals allocated in ARS (even in the short term) needs to be abnormally high.Locals used to invest in Lebacs until October 2018, when the central bank eliminated these instruments and int

10、roduced Leliqs, which are short-term bills (7-days maturity), offered only to local financial institutions. Unable to directly participate in the central banks auctions, locals started to invest in time deposits and mutual funds, which also allocate money in time deposits.Additionally, with the new

11、monetary system, higher rates have emerged (Leliqs started with70% rates) and locals have increased their demand for pesos for investing in time deposits and mutual funds. This shift has gained strength and we see this increased demand for pesos to be threatened as we approach the presidential elect

12、ion.That been said, we believe that a proper study of the of local mutual funds and the potential impact on US dollar demand is critical for any pre- and post- Presidential election scenario. Also, we also aim to understand the indirect mechanism through which investors outside the financial system

13、also benefit from the current monetary framework (viaLeliqs).12 February 201912 February 2019For tracking flows to local funds, we used the database from Cmara Argentina de Fondos Comunes de Inversin (CAFCI). We gathered the data of fixed income funds separated by maturities (short-term, medium-term

14、 and long-term), totalling ARS310bn (USD8.4bn) in assets under management (AUM).We estimated flows using funds variation in AUM and daily performance. We also compared the flows for a 15-day rolling period and the performance over a 30-day rolling period, aiming to capture any sign of herdingbehavio

15、ur.As expected, both inflows and performance of short-term funds has grown substantially, mainly after the new monetary regime was introduced last year (see Fig. 1-3). Since the start of the new monetary regime, inflows have risen to around USD2bn, while performance has improved by21.7%.All the road

16、s lead to Leliqs: A combination of stable USDARS and high (unsustainable) real and nominal rates has triggered herding dynamics into these funds. Their main investment vehicle is short-term time deposits, which once in the cash balance of the local banks, are absorbed by the monetary authority via t

17、he issuing of 7-dayLeliqs.Fig. 1-3: Cumulative flows and performance of fixed income mutual funds in Argentina flows (15d, 6,000 flows (15d,flows (15d,Cummulative performance (30d) regime introduced 33,324Short-termfixed funds0%2,000Cummulative performance (30d)Medium-termfixed 6%2%7.7%07.7%ARS)Long

18、-term fixed funds0%-10%Jun-18Jun-18Jun-18 Sources: CAFCI, BNP Paribas, Bloomberg LLP; as of 8 February 2019.During last years turmoil, locals bought dollars to maintain their purchasing power, causing the AUM of fixed income mutual funds to decline by about 40%. They have, however, shown signs of a

19、recovery since October 2018. Also, outflows from these funds have played a major role in the variation in total AUM during that period (see Fig. 4-5).Figs. 4-5: Fixed income mutual funds total AUM and variation in Argentina340,000incomefundsAUM(ARSFlows 60,000 rolling)Variation (Total AUM, 15d rolli

20、ng)0Jun-18Jun-18Jan-19Sources: CAFCI, BNP Paribas, Bloomberg LLP; as of 8 February 2019.For further analysis, please see: HYPERLINK /SingletrackCMS_DownloadDocument?uid=12a53552-45b5-48d9-836f-40472e839cf6&docRef=f8963ff2-090b-417c-ac2a-7265c10361fb&jobRef=d0feb864-6744-44e6-b36b-5e00b5807d37 Argent

21、ina: Risks look underpriced HYPERLINK /SingletrackCMS_DownloadDocument?uid=12a53552-45b5-48d9-836f-40472e839cf6&docRef=0057bfc7-2282-4a9c-8d9a-34589001db51&jobRef=c7f2f59c-2e5f-4bef-82e6-b6f71ba68fe3 Argentina FX regime - Understanding target zones12 February 201912 February 2019Positive: BCRA is le

22、arning from its past mistakesLast Friday, Argentinas central bank (BCRA) announced new Leliq limits (n. 6647 A); see below the highlights from the officialstatement:Financial institutions are now limited to a 65% Leliqs/deposits ratio, or 100% Leliqs/regulatory minimum capital ratio.Financial instit

23、utions that are currently above those ratios are now forbidden from increasing it and will have to fix them asfollows:By 28-Feb-19: Leliqs shouldnt surpass 100% of the RC from Jan-19, or 100% of monthly average of current deposits in local currency fromJan-19.By 31-Mar-19: Leliqs shouldnt surpass 10

24、0% of the RC from Feb-19, or 80% of monthly average of current deposits in local currency fromFeb-19.By 30-Apr-19: Financial institutions should already be in compliance with the 65% Leliqs/deposits ratio, or 100% Leliqs/(regulatory capital)ratio.In our view, this change was timely and goes in the r

25、ight direction. Last year, Lebacs surpassed 70% of banks deposits, which left the system in a very fragile situation in case of a massive dollarization of savings (which actually took place).The BCRAs decision shows that it is concerned with the wave of speculative inflows and the unsustainable grow

26、th of the stock of Leliqs (ARS 905bn). Limiting the Leliqs/deposit ratio is a step in the right direction and could prevent a systemic risk ahead.Capital flight slows down, yet there are no signs of a reversalForeign asset purchases (financial and non-financial sector) have remained high, totalling

27、USD2.5bn in December. Since the beginning of 2015, the monthly average has been USD1.5bn. If the last release is taken into consideration, the 12-month cumulative foreign asset formation was USD30.2bn in December (all-time record high was USD32bn in July 2018, Fig. 6).As Fig. 6-7 show, non-resident

28、inflows turned negative in April 2018, for the first time since President Macri took office, and have continued with the same dynamics since then. Foreign asset formation from the non-financial private sector has reached a new high (Fig. 8-9).Fig. 10-11 shows the monthly and cumulative sources and u

29、ses of hard currency in Argentina since the end of capital controls. FDI and financial inflows have totalled USD7.2bn and USD26.5bn, respectively. On the other hand, cumulative foreign asset formation by the non- financial private sector has been USD57.8bn (the acceleration is notable since the begi

30、nning of 2018).Despite the recent good mood in Argentina, our structural bearish view remains. We believe that the improvement is due to better external conditions and not necessarily an idiosyncratic improvement.As highlighted in our previous publications, we need to see a change in the trend in FX

31、 outflows: the dynamics of locals are critical to the stabilization programme. So far, US dollars from external debt and the IMF and inflows have been mainly offset by capital flight (Fig.11).12 February 201912 February 20190Non-residents; portfolio inflowsNon-residents; portfolio outflows-306FX por

32、tfolio flows (rhs)-3062,1001,5901,6701,5901,6701,5961,227770770-650-831-831-1,5003,000Non-residents; portfolio inflowsportfolioNon-residents; portfolio inflowsportfoliooutflows (rhs)4138362,000321,500261,000205000-1,285Feb-16May-17Feb-16May-17-1,2853,7003,20563,00056,00049,000 foreignassetformations

33、ince theendofcapitalcontrols(startofMacri 57,7541,9001,756Foreign Asset formation of financial private sector42,00035,00028,00021,00014,000Non-financial private sector Financial private sector-3,500Asset of private 7,0000Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18from X+I and debt

34、 bonds and portfolio flows (net)Foreign asset formation; Financial and non-financial private sectorFeb-16 May-17Cummulative IMFcashflows from X+I and debt bonds and -3,205Cumulative non-resident portfolio flows (since the end of capital controls)-3,205FDI -2,460-2,460foreignformation;privateFDI28,26

35、426,5255,2887,164-57,754-9,284Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-18 Dec-18Feb-16 May-17 Sources: BCRA, BNP Paribas, Bloomberg LLP; as of December 2018Non-residents flows were a negative USD0.6bn in December (Fig. 6-7) versus USD0.3bn in November. Outflows were USD1.2bn, partially compensa

36、ted by USD0.6bn of inflows. Since April, outflows have reached USD15bn and capital flight until December 2018 totalled USD19.1bn.Compared to 2016 and 2017, foreign asset formation, domestic US dollar demand and capital flight continue to exhibit unsustainable dynamics (Fig. 12, 13 and 15), while cap

37、ital flight and foreign asset formation from the non-financial private sector remain at record highs (Fig. 16-17).We are particularly concerned about the dynamics of the financial account: if the IMF loan is netted out, there is a negative gap of USD40.1bn compared to 2017 (Fig. 19).The good news is

38、 that commercial flows (using a cash concept) have stabilised (Fig. 20). In this regard, Argentina needs to have a positive trade balance to compensate for the financial outflows and the need to re-monetize the economy using commercial US dollarinflows.12 February 201912 February 201928,000foreign A

39、ssetUSD Year 2016Year 21,00014,0007,0000YearYear20189,951Year 2018Non-financial private sector-12,410-26,334Year 2018Repressedfigures because of capital controls-10,486MarMayNovMarMayNovMarMayMarMayNov26,50122,37030,000 26,50122,370 Capital flight4,7503,0501,3506,000Capital flight in spot FX market

40、(USDmn, 12m rolling, rhs)-24,447-15,70440-24,447-15,70430-15,708-350-15,708-350-2,00020-2,050-10,00010-2,500Year-19,1662003 2005 2008 2011 2013 2016 201805,000-20,000Year2018 assetbynon-finprivateUSDbn, 12-m rhs2007 2008 2010 2012 2014 2016 2018 Reservesex-IMFChinaswap+deposits2016 ex-IMF2016 includ

41、ing services Year16,283Year 201729,749Year 2017Year2018 Year2018Year 201810,00024,00013,0002,00027,8172,000-203-1,137?-6,819MarMayNovMarMayNovMarMayNovSources: BCRA, BNP Paribas, Bloomberg LLP; as of December 2018International reservesGross international reserves totalled USD67bn (the amount include

42、s the swap with China, the IMF loan and private sector US dollar deposits with banks). The trend has been a source of concern (Fig. 21). According to our calculations, net liquid international reserves are nowUSD5.2bn (Table 1).Fig. 21 and Table 1: International reserves (ex-IMF) and FX intervention

43、66,783Gross Reserves (a) USD deposits (b) * Net (c=a-b) Net of other items66,783 12-Feb-1914,63252,151gross reserves62,00029-Jan-1966,44929-Jan-1966,44914,04452,405China Sw aps-18,60022-Jan-1966,49015,31251,178IMF loan-28,29515-Jan-1966,02014,60251,418Total (d)-46,8958-Jan-1965,81814,67651,1421-Jan-

44、1965,80614,27851,528Net (c)-(d) *5,25725-Dec-1866,32413,52852,79618-Dec-1858,64214,74443,8984-Dec-1849,78814,14735,64120-Nov-1851,12212,21638,90622-Jun-1863,27417,18646,088deal 15-Jun-1852,05516,96035,09552,382the 5-Feb-1966,96214,32552,63754,000 (ex-USD deposits in46,00038,000the banks and IMF Inte

45、rnational reserves30,00022,00038,48924,088(ex-IMF money)Additional sw ap with14,000 deal 28.3bn)May-18Jan-19(*) using foreign currency deposits computed for monetary base (*) Repos w ere not netted outSources: BCRA, BNP Paribas, Bloomberg LLP; as of 12 February 2019.FX market: USD demand remains hig

46、h despite a slowdown in NovemberForeign asset purchases (non-financial sector) amounted to USD3.0bn in June, USD3.3bn in July, USD2.79bn in August, USD1.979bn in September, USD1.163bn in October, USD0.408bn in November and USD0.9bn in December.12 February 201912 February 2019Net demand for US dollar

47、s notes totalled USD0.4bn (gross demand was USD1.3bn), distributed among 0.980mn clients (see Table 2 and Fig. 22-23).Demand for up to USD10,000 per month, per client, accounted for 36%. The average value demanded by each client was USD1,330 in December, down from USD2,100 in November but still show

48、ing that a large number of agents were dollarizing their portfolios.Table 2 and Fig. 22-23: Breakdown of foreign asset formationAsset ofofGross ofValues up to Average (non-fin priv sector)notesShare currencyShare of notes clients (000) 10kclient(000)July-17-1,6582,4741,71969%75531%3,00598350%3.06Dec

49、ember-17-2,1722,7372,44189%29611%3,9001,04037%3.75January-18-2,5113,1241,60651%1,51849%2,8941,05046%2.76February-18-9341,34397072%37228%2,23078042%2.86March-18-2,2612,4641,86876%59624%3,16790037%3.52April-18-1,6852,0551,43470%62130%2,73683038%3.30May-18-2,4294,6163,43975%1,17625%5,0031,08031%4.63Jun

50、e-18-1,3023,0742,22472%85128%3,8031,11439%3.41July-18-1,9873,3512,38671%96529%3,6931,35047%2.74August-18-3,17776%24%38%3.11September-18-1,31260%40%37%2.74October-18-85241%59%41%2.23November-18-306-26%126%31%2.10December-18-41047%53%36%1.33Average 2018-1,5972,2691,50257%76843%2,9751,02539%2.892,7901,

51、9791,1634088622,1231,195475-1074066677846895154562,7901,9791,1634088622,1231,195475-1074066677846895154563,7672,8252,4331,8501,3001,2101,0301,0908809804,6163,600Net demand of USD notesNetofUSDnotesper client4.634.54,2502,4643,3512,7902,6003.523.413.71,3432,0551,9791,163 408 8623.112.742.9-934-1,685-

52、1,302-1,312-852 -306 -4102,4412,441970970 2,224 1,4341,4342.231,1952.10 406 1,1952.1-4,500-2,261-2,429-1,987-3,177-400 475 -107 1.331.3Feb-18Jun-18Feb-18Jun-18Sources: BCRA, BNP Paribas, Bloomberg LLP; as of December2018The drop in demand for US dollars was compensated by an increase in time deposit

53、s (M3), which is proportional to the stock of Leliqs (Fig. 24-25).Time deposits in ARS (000) 1,490,244 Time deposits in ARS (000) 1,490,244 Leliqs in ARS (rhs)2.82.4M3 / + Leliqs ARS 1,300,000 Leliqs US (mn)Leliqs / M3; 20,000Leliqs / M3; 26.2% 28%2.1680,000 1,050,00016,00021%Jun-18800,000170,000300

54、,000170,000300,000170,0004,0007%050,000000%Jun-1812,0008,000Jul-1814%Sources: BCRA, BNP Paribas, Bloomberg LLP; as of 12 February 2019.12 February 201912 February 2019Legal NoticeThis document has been written by our Strategist and Economist teams within the BNP Paribas group of companies (collectiv

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