1、Andre Digiacomo,EM/FX&IR Latin America Strategy Luca Maia,EM/FX&IR Latin America Strategy Samuel Castro,EM/FX&IR Latin America Strategy Gabriel Gersztein|Banco BNP Paribas Brasil,Global Head of Emerging Markets Strategy 07/06/19|TRADE IDEASFOCUS Argentina:Analysing mutual funds flowsKEY MESSAGES We
2、estimated mutual funds flows in Argentina by comparing the variation in AUM and daily performance with data from the CAFCI.The AUM of fixed income mutual funds,excluding those linked to the US dollar,currently total ARS264bn(USD5.9bn).During last years turmoil,locals bought dollars to maintain their
3、 purchasing power,causing the AUM of fixed income mutual funds to decline by about 40%to ARS182bn from ARS305bn.The AUM of fixed income mutual funds touched a peak of ARS330bn in February 2019.Since then,we have seen a decline of 20%,or ARS66bn(USD1.5bn)in outflows.A combination of stable USDARS and
4、 high(unsustainable)real and nominal rates has triggered herding dynamics among these funds.Current strategy:We are currently positioned in short ARS via 1m NDF and buying 1mx6m USDARS forward points(paying rates).Investment dynamics among Argentinians With the Argentinean peso still far from being
5、a reserve of value currency for locals,the reward to keep them allocated in ARS(even in the short-term)is 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 on
6、ly to local financial institutions.As locals are not allowed to directly participate in the central banks auctions,they increased their investments in time deposits and mutual funds,which also allocate money in time deposits.Additionally,with the new monetary system,higher rates have emerged(Leliqs
7、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.We estimated mutual funds flows by comparing the
8、variation in their AUM and daily performance with data from CAFCI.We also compared the flows for a 15-day rolling period and the performance over a 30-day rolling period,with the aim of capturing any herding behaviour(for further details on the methodology see Argentina:The behaviour of local mutual
9、 funds).Mutual funds analysis The AUM of fixed income funds,excluding those linked to the US dollar,currently stand at ARS265bn(USD6bn).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%to ARS182bn f
10、rom ARS305bn.The introduction of the new monetary regime resulted in a substantial increase in the private Badlar rate rate paid by private banks on their short-term(30-35 days)deposits,following the movement seen in Leliq rates(Fig.1).That said,the AUM of fixed income instruments touched a record h
11、igh of ARS330bn by early February 2019 due to higher flows as well as good performance.Meanwhile,the Leliq rate has touched its all-time low after the new monetary regime had been introduced(Fig.2-3).Since then,we have seen continuous outflows from fixed income mutual funds,which have already decrea
12、sed by 20%since February 2019.FOCUS|EM|LATAM 7 June 2019 Please refer to important information and MAR disclosures at the end of this reportEM STRATEGY 1 07/06/19|TRADE IDEASAndre Digiacomo,EM/FX&IR Latin America Strategy Luca Maia,EM/FX&IR Latin America Strategy Samuel Castro,EM/FX&IR Latin America
13、 Strategy Gabriel Gersztein|Banco BNP Paribas Brasil,Global Head of Emerging Markets Strategy FOCUS Fig.1-3:Leliq and private banks Badlar rate;break down of the AUM of fixed income funds Sources:CAFCI,BNP Paribas,Bloomberg LLP.Data as of 5 June 2019.As expected,inflows and performance of short-term
14、 funds have grown substantially since the new monetary regime was introduced last year.Since the start of the new regime,inflows rose to around USD2.3bn and then retraced by USD1.5bn concomitantly when the Leliq rate reached its all-time low in early February 2019(see Fig.4-6).All roads lead to Leli
15、qs:A combination of stable USDARS and high(unsustainable)real and nominal rates has triggered herding dynamics in these funds.Their main investment vehicle is short-term time deposits.Once the money is with the local banks,the monetary authority has to absorb it via the issue of seven-day Leliqs.Fig
16、.4-6:Cumulative flows and performance of fixed income mutual funds in Argentina Sources:CAFCI,BNP Paribas,Bloomberg LLP.Data as of 5 June 2019.Table 1:Break down of principal funds by AUM and performance on a monthly basis Sources:CAFCI,BNP Paribas,Bloomberg LLP.Data as of 5 June 2019.30518233026518
17、0230280330Jun-18Sep-18Dec-18Mar-19Jun-19ARSbnFixed income funds AUM(in ARS)New monetary regime introduced-50-201040Jun-18Sep-18Dec-18Mar-19Jun-19Cumulative performance(15d,in ARSbn)Cumulative flows(15d,in ARSbn)New monetary regime introducedFixed incomefunds3238445056324150596877Aug-18Oct-18Dec-18Fe
18、b-19Apr-19Jun-19LeliqBadlar Private Banks ARS 30-35 days(rhs)5.3%0%2%4%6%8%-50,000-30,000-10,00010,00030,00050,000Jun-18Aug-18Nov-18Feb-19May-19Cummulative flows(15d,in ARS)Cummulative performance(30d)fixed income(t+1)fundsNew monetary regime introduced1.50%-6%-2%2%6%10%14%-10,000-6,000-2,0002,0006,
19、000Jun-18Aug-18Nov-18Feb-19May-19Cummulative flows(15d,in ARS)Cummulative performance(30d)fixed income(1y-3y)funds-10%0%10%20%30%-4,000-3,000-2,000-1,0000Jun-18Aug-18Nov-18Feb-19May-19Cummulative flows(15d,in ARS)Cummulative performance(30d)fixed income(3y)fundsJun-18Jul-18 Aug-18 Sep-18 Oct-18 Nov-
20、18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19Fixed Income(t+1)AUM227.9160.7125.0121.0138.2149.8160.6198.9208.6185.8165.8159.3159.1Performance1.8%0.0%1.0%2.5%4.5%4.7%4.6%5.1%0.7%3.0%2.9%4.3%0.8%Fixed Income(1y-3y)1.018Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-001.008AUM61.
21、355.850.162.561.161.360.680.384.387.783.181.380.6Performance4.2%-4.0%7.1%7.2%-1.6%4.2%2.0%6.2%3.2%3.1%-0.8%3.1%0.3%Fixed Income(3y)1.0418Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-001.0032AUM15.816.016.027.824.224.123.024.225.727.125.824.824.8Performance10.3%-2.4%18.9%13.0%-7.5%
22、5.2%-0.1%5.2%3.7%5.6%-2.9%-4.1%0.6%Fixed Income(Dollar)1.103Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-001.0056AUM117.790.3106.8109.197.1102.086.291.197.4108.6112.6123.0122.9Performance14.5%-17.2%21.0%9.5%-12.3%5.7%-0.3%-1.0%5.0%10.7%1.6%1.8%-0.1%Money market(Classic)1.1448Jan-0
23、0Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-000.9993AUM32.950.167.668.170.172.480.894.4101.4107.0130.2146.6146.8Performance8.2%2.6%2.3%3.9%3.8%3.9%3.4%2.7%-6.6%2.6%4.2%4.2%0.5%Money market(Dynamic)1.0821Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-00Jan-001.0047AUM37.952.
24、657.960.152.165.371.088.783.684.975.987.089.4Performance2.3%3.1%2.8%2.3%1.9%2.7%3.0%4.1%-0.5%2.5%3.2%4.3%3.5%102.3%103.1%102.8%102.3%101.9%102.7%103.0%104.1%99.5%102.5%103.2%104.3%103.5%159.1146.8122.989.481.177.024.97.25.31.91.5060120180FI(t+1)MM(Classic)FI(Dollar)MM(Dynamic)FI(1y-3y)MixedFI(3y)Eq.
25、(Arg)Equitiy(Merval)Equity(Latam)Equity(Brazil)Funds AUM per class in ARSbn 2 07/06/19|TRADE IDEASAndre Digiacomo,EM/FX&IR Latin America Strategy Luca Maia,EM/FX&IR Latin America Strategy Samuel Castro,EM/FX&IR Latin America Strategy Gabriel Gersztein|Banco BNP Paribas Brasil,Global Head of Emerging
26、 Markets Strategy FOCUS For further analysis:Argentina:Hoarding USD rises sizably in April Argentina:Going long points in the off-shore market Argentina:Intervention rule changed again;increase short ARS From our economists:Argentina Election Tracker Unexpected news rattles local politics 3 This doc
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