巴黎银行-拉美地区-宏观策略-阿根廷：地方共同基金行为-20190212-13页.pdf

12 February 2019 1 Argentina:The behaviour of local mutual funds;new Leliqs/deposit ratio(NEW)Mutual funds flows analysis As 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 introduced 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 monetary system,higher rates have emerged(Leliqs started with 70%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 election.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 also benefit from the current monetary framework(via Leliqs).LATIN AMERICA STRATEGY Please refer to important information at the end of the report FOCUS EMERGING MARKETS|LATAM 12 February 2019 Andre Digiacomo EM/Latam Strategist +55 11 3841 3447 Luca Maia EM/Latam Strategist +55 11 3841 3447 Gabriel Gersztein Global Head of Emerging Markets Strategy+55 11 3841 3421 Banco BNP Paribas Brasil S.A.KEY MESSAGES New: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 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 mutual 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 minimum 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).Capital 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-denominated deposits in the financial system).TM 每日免费获取报告1、每日微信群内分享7+最新重磅报告；2、每日分享当日华尔街日报、金融时报；3、每周分享经济学人4、行研报告均为公开版，权利归原作者所有，起点财经仅分发做内部学习。扫一扫二维码关注公号回复：研究报告加入“起点财经”微信群。12 February 2019 2 For 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 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 herding behaviour.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 by 21.7%.All the roads 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 the issuing of 7-day Leliqs.Fig.1-3:Cumulative flows and performance of fixed income mutual funds in Argentina 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 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 Argentina Sources:CAFCI,BNP Paribas,Bloomberg LLP;as of 8 February 2019.For further analysis,please see:Argentina:Risks look underpriced Argentina FX regime-Understanding target zones 33,3247.7%0%2%4%6%8%-50,000-30,000-10,00010,00030,00050,000Jun-18Aug-18Oct-18Dec-18Feb-19Cummulative flows(15d,in ARS)Cummulative performance(30d)Short-term fixed income fundsNew monetary regime introduced-6%-2%2%6%10%14%-10,000-6,000-2,0002,0006,000Jun-18Aug-18Oct-18Dec-18Feb-19Cummulative flows(15d,in ARS)Cummulative performance(30d)Medium-term fixed income funds-10%0%10%20%30%-4,000-3,000-2,000-1,0000Jun-18Aug-18Oct-18Dec-18Feb-19Cummulative flows(15d,inARS)Long-termfixed income funds-60,000-40,000-20,000020,00040,00060,000Jun-18Aug-18Oct-18Nov-18Jan-19Flows component(15d rolling)Performance component(15d rolling)Variation(Total AUM,15d rolling)New monetary regime introduced302,051181,687330,429180,000220,000260,000300,000340,000Jun-18Jul-18Sep-18Nov-18Dec-18Fixed income funds AUM(ARS mn)New monetary regime introduced 3 12 February 2019 Positive:BCRA is learning from its past mistakes Last Friday,Argentinas central bank(BCRA)announced new Leliq limits(n.6647 A);see below the highlights from the official statement:1.Financial institutions are now limited to a 65%Leliqs/deposits ratio,or 100%Leliqs/regulatory minimum capital ratio.2.Financial institutions that are currently above those ratios are now forbidden from increasing it and will have to fix them as follows:a)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 from Jan-19.b)By 31-Mar-19:Leliqs shouldnt surpass 100%of the RC from Feb-19,or 80%of monthly average of current deposits in local currency from Feb-19.c)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 right 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 growth 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 reversal Foreign asset purchases(financial and non-financial sector)have remained high,totalling 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 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 uses 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 beginning 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 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 2019 4 Fig.6-11:Flows,foreign asset formation and direct USD purchases by the private sector Sources:BCRA,BNP Paribas,Bloomberg LLP;as of December 2018 Non-residents flows were a negative USD0.6bn in December(Fig.6-7)versus USD0.3bn in November.Outflows were USD1.2bn,partially compensated 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 capital 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 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 dollar inflows.1,5901,6701,5967701,227-1,285-831-306-650-1,500-900-3003009001,5002,10005001,0001,5002,0002,5003,000Feb-16Jul-16Dec-16May-17Nov-17Apr-18Sep-18Non-residents;portfolioinflowsNon-residents;portfoliooutflowsFX balance:Non-residentsportfolio flows(rhs)3,2052,3561,7562,460-3,500-1,7001001,9003,700Dec-16Mar-17Jun-17Sep-17Dec-17Mar-18Jun-18Sep-18Dec-18Foreign Asset formation of financial private sectorForeign Asset formation of non-financial private sectorTotal57,75407,00014,00021,00028,00035,00042,00049,00056,00063,000Feb-16Jul-16Dec-16May-17Nov-17Apr-18Sep-18Non-financial private sectorFinancial private sectorCumulative foreign asset formation since the end of capital controls(start of Macri administration)-3,205-2,460-7,000-5,000-3,000-1,0001,0003,000Oct-17Dec-17Feb-18Apr-18Jun-18Aug-18Oct-18Dec-18Cashflows from X+I goods and servicesFinancial loans,debt bonds and credit linesNon-resident portfolio flows(net)Foreign asset formation;Financial and non-financial private sectorFDI413638142026323805001,0001,5002,0002,5003,000Feb-16Jul-16Dec-16May-17Nov-17Apr-18Sep-18Non-residents;portfolio inflowsNon-residents;portfolio outflowsUSDARS(rhs)7,164-57,7545,28826,525-9,28428,264-67,000-42,000-17,0008,00033,00058,000Feb-16Jul-16Dec-16May-17Nov-17Apr-18Sep-18Cummulative IMFCumulative cashflows from X+I goods and servicesFinancial loans,debt bonds and credit linesCumulative non-resident portfolio flows(since the end of capital controls)Cumulative foreign asset formation;Non-financial private sectorCumulative FDI 5 12 February 2019 Fig.12-20:Foreign asset formation and capital flight Sources:BCRA,BNP Paribas,Bloomberg LLP;as of December 2018 International reserves Gross international reserves totalled USD67bn(the amount includes 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 now USD5.2bn(Table 1).Fig.21 and Table 1:International reserves(ex-IMF)and FX intervention Sources:BCRA,BNP Paribas,Bloomberg LLP;as of 12 February 2019.FX market:USD demand remains high despite a slowdown in November Foreign 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.9,951 22,148 27,230 07,00014,00021,00028,000JanMarMayJulSepNovCumulative foreign Asset Formation 2016Year 2017Year 2018-2,172-12,410-26,334-29,000-23,400-17,800-12,200-6,600-1,000JanMarMayJulSepNovUSD purchases 2016Year 2017Year 2018Non-financialprivate sector-6,391-15,708-19,166-20,000-16,300-12,600-8,900-5,200-1,500JanMarMayJulSepNovCapital flight 2016Year 2017Year 2018-24,447-15,704-19,166-25,000-17,500-10,000-2,5005,0000102030402007200820102012201420162018USDARSCapital flight in spot FX market(USDmn,12m rolling,rhs)-10,486-16,000-12,500-9,000-5,500-2,000JanMarMayJulSepNovDiv+Interest paid 2016Year 2017Year 2018Repressed figures because of capital controls26,50122,37027,230-10,000-2,0006,00014,00022,00030,000-2,050-3501,3503,0504,7502003200520082011201320162018Foreign asset formation by non-fin private sector(USD bn)USD bn,12-m cumulative,rhs13,50516,283-17,513-35,000-20,000-5,00010,000JanMarMayJulSepNovReserves ex-IMF including China swap+deposits 2016Year 2017Year 201829,74927,817-12,322-20,000-9,0002,00013,00024,000JanMarMayJulSepNovTotal financial account ex-IMF 2016Year 2017Year 2018-203-6,819-1,137-7,000-4,000-1,0002,000JanMarMayJulSepNovX+S including services(cash concept)2016Year 2017Year 2018?Gross Reserves(a)USD deposits(b)*Net(c=a-b)Net of other items12-Feb-1966,78314,63252,151computed gross reserves5-Feb-1966,96214,32552,63729-Jan-1966,44914,04452,405China Swaps-18,60022-Jan-1966,49015,31251,178IMF loan-28,29515-Jan-1966,02014,60251,418Total(d)-46,8958-Jan-1965,81814,67651,1421-Jan-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-1863,27417,18646,088IMF deal money15-Jun-1852,05516,96035,095 (*)using foreign currency deposits computed for monetary base (*)Repos were not netted out52,38224,08852,72738,48914,00022,00030,00038,00046,00054,00062,000May-18Aug-18Oct-18Jan-19International reserves(ex-USD deposits inthe banks)International reserves(ex-USD deposits inthe banks and IMFmoney)International reserves(ex-IMF money)IMF deal money(USD 28.3bn)Additional swap with China 12 February 2019 6 Net demand for US dollars 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 showing that a large number of agents were dollarizing their portfolios.Table 2 and Fig.22-23:Breakdown of foreign asset formation Sources:BCRA,BNP Paribas,Bloomberg LLP;as of December 2018 Fig.24-25:Leliqs evolution Source