Mariano Sanchez Moreno
@marianosanchez
Senior Economist at Alphacast. Former operations analyst. I’m keen on capital markets, finance and R.
Mariano Sanchez Moreno
@marianosanchez
Senior Economist at Alphacast. Former operations analyst. I’m keen on capital markets, finance and R.
marianosanchez's insights
Mar-23: Mexico's chart of the month
By Mariano Sanchez Moreno (msanchez@alphacast.io) During March, the most consulted chart by our subscribers and clients in Mexico was related to the dynamics of real interest rates and came from our "Policy monetary rate tracker": Positive real rates are paving the way for a moderation in the pace of price growth, amid an aggressive, but overdue - especially compared to Brazil - tightening cycle by Banxico. That said, it hiked its monetary policy rate by 50 basis points in February despite a more dovish Fed hike. Moreover, inflation is expected to decline steadily in the coming quarters due to the impact of tighter interest rates and softer external price pressures. Absolutely in line with that,, the top 3 most popular charts for our Mexican users is completed with the following: See all Alphacast's Dashboards here...
Alphacast Highlight: Mutual Funds exposure to Bond Buyback Plan
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here While the NY-law bond buyback programme announced by the Argentine government spurred demand for these bonds, investors eventually seem to have responded with scepticism due to the absence of a comprehensive plan to frame the programme. So far in February, profit-taking trades in GD29D and GD30D bonds has plunged their prices by -14.8% and -12.5% respectively. On perspective, this partially offsets the rally (+32.6% and +33.1% MoM in January) they had in the weeks prior to the announcement. For those who follow the Argentine Mutual Fund industry and especially for this type of asset class, knowing a Fund's exposure to certain assets is vital. In this sense, Mutual Funds that have a larger weight in their portfolios to GD29 and GD30 bonds will be more exposed to the price volatility associated with the bond buyback programme. As a result, the performance of the Mutual Funds and hence the value of investors' investments will be affected. Based on the latest information available in our CAFCI dataset, here are the 10 Mutual Funds whose portfolios are most exposed to these bonds: In the meantime, Argentina's risk perception has worsened since the buyback...
Alphacast Highlight: 10 charts that shaped Argentina in 2022
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here Inflation outlook for the next 4 years: blood, sweat, and tears After 2022 had, in all likelihood, the highest inflation printing in 30 years, inflation is expected to remain high for the foreseeable future. With the expected figure for the last year being a hair under 100%, prices are expected to follow and remain at elevated levels, with expert surveys forecasting slightly higher price growth for 2023 and a more moderate, but still extraordinarily elevated, value for 2024. Prices are not expected to deccelerate significantly, and historical comparisons show big upside risks and provide little hope of a slowdown. Remunerated liabilities interest payments among key drivers in monetary base change Monetary factors contributed to the previously mentioned acceleration of price growth, with the monetary base growing significantly by the end of 2022. On net, the Central Bank increased the supply of currency in circulation, with its contractionary monetary policy being offset by interest payments on remunerated liabilities, USD purchases, operations with the Treasury, and other factors. 2023 is not expected to be much different, with the looming election and various economic challenges making a disinflationary turn less likely. Monetary emission...
Alphacast Highlight: Liquidity management and better risk-return, the keys behind BYMA's repos
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here Repo captures investors' liquidity management. This asset-class choice to manage their liquid positions in local currency has intensified since the massive FCI outflows that ended in a sell-off in the yield curve of inflation-linked bonds (CER bonds) in Jun-22. Although repos are not unscathed by market ups and downs, as demonstranted by the increase in rates during the first trading days of the current Minister of Economy Sergio Massa's administration, their almost zero default risk, market depth and liquidity for short terms explain investors' preference. In light of this, 93% (ARS 160 bn on average) of the daily traded volume is invested in less than 3 days, which would indicate the strong preference of investors to stay in the short end of the ARS curve. The spread between bonds vs. Treasury bills means higher probability of sovereign default. In recent trading days, the average spread on fixed-rate bills and sureties was 25 p.p. Political volatility, the profile of short-term indexed debt and living ghosts of the reprofiling of local currency Treasury bills in Aug-19 are part of the yield spread as well. Unlike Treasury bills, where the investor's payment guarantee...
Alphacast Highlight: Argentina's crowding out boosts corporate debt market
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here Crowding out skyrockets. The Treasury's need for financing, originated in sustained fiscal imbalances, leads the private sector to compete with the BCRA for scarce bank credit. That said, the Central Bank seeks to sterilize the inflationary impact of its monetary issuance. By the end of Sep-22, loans to the private sector represented 42% of deposits and 10% of GDP (vs. 76% and 11.4% in Dec-19, respectively). Likewise, the amount of pesos lent to the BCRA (ARS 7.97 tr) is outpacing private lending (ARS 6.4 tr) since May-21. This displacement of private credit by BCRA places corporate debt issuance as an alternative for firms to seek new forms of financing. Investors see value in corporate Energy sector. From the investor's perspective, corporate debt (ONs) provide the possibility to dollarize and reduce exposure to sovereign risk. Investors prioritized staying in the short end of the curve (MD<2) in Q3 and demanding corporate fixed income from the energy sector as a hedging asset-class. Among the ONs with better relative performance were Vista Oil 2024 (VSC3O 4.7% vs 5% 6-month ma), Pan American Energy 2027 (PNDCO 7% vs 5.6% 6-month ma), Capex 2024 (CAC2O...
Alphacast Highlight: Inflation-linked bonds forward rates
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here For those who follow Argentina's capital markets, this chart might be the most important one to track in the coming months. The green line is the forward rate of inflation-adjusted bonds (CER Boncer bonds), but maturing in Aug-23 and Mar-24. Between that time frame, the primary and general presidential elections will take place, which will define the political force that will form the next Administration. In this hands-on guide, we will show how to use Alphacast to do the math regarding forward rates. In this case, we want to know how much a new CER bond should yield (i.e. its IRR) in Aug-23 and maturing in Mar-24. To solve it, we will fetch our bond dataset (from IAMC), which has IRR, MD, parity, time to maturity, among other figures. Before any calculation, a quick look at the structure of the dataset (long format, top of the image) shows that the tickers are stacked one above the other. But to perform operations between bonds (rows), we need first to "unstack" the dataset, so that the prices/IRR/etc are in columns (wide format, bottom of the image). This kind of transformation does not...
Alphacast Highlight - As Global risk is mode-on, Brazil saves Latam earnings in 2022
By Mariano Sanchez Moreno (msanchez@alphacast.io) Read more Alphacast Highlights here in 2022, Brazil equity (EWZ, +21.9% YTD) has outperformed Latam (ILF, +15% YTD ) by 690 bps, driven by the market's favorable response to the recent presidential elections (+10.5% after elections). Its high Energy and Materials sector weighting allowed it to capture the gains of the commodity price rally during Q1-22 (DBC +22.3% QoQ), its long position in Financials is key in a rising interest rate environment. In hindsight, EWZ is at Aug-2016 values (post-Dilma Rousseff impeachment), but still trades 34.4% below its pre-pandemic peak. Also, Selling pressures from global fixed income markets (BNDX -12.7%, AGG -14.2%, EMB -23.8% YTD) are being more benevolent on Brazilian bonds (EMBI Brazil JPM Total Return Index -7.5% YTD). Its bond yields validate the timing (it was the first to raise rates in the region) and aggressiveness (PM rate at 13.75%, +1175bps since Mar-21) of its central bank, which has led to a slowdown in inflation (headline inflation Jul-22 -0.7% and Aug-22 -0.40% MoM). In late Sep-22, its risk premium trades at 308bps (-223bps vs Latam), +16bps vs the 2-year average, and -758 bps below the peak of Mar-20, during the initial stages of...
Alphacast Highlight - Argentina Financial Market
By Mariano Sanchez Moreno (msanchez@alphacast.io) See full interactive dashboard here By the end of 2021 and throughout the first half of 2022, inflation-linked bonds in dollars (Boncer index) remarkably outperformed local equity and hard-dollar bonds. Carry-trade profits suddenly faded away after the mid-June's Mutual fund melt-down. Signs of recovery came after BCRA started is QE program, which implied an estimated market intervention of ARS 1.1tr Until last June, Argentine bonds traded in line with emerging market or high credit risk bonds. However, the Mutual Fund crisis and the following political volatility deepened Argentina's risk perception, spreading the performance gap between its NY-law bonds (-29.3% YTD) and benchmarks ($EMB -19.5% YTD, JNK -12.9% YTD). Such local drivers were translated into a higher devaluation pressure of the Argentine peso (official FX +35.5% YTD, FX informal +37.4% YTD and BCS +40% YTD), contrary to the region (CLP +1.2% YTD, MXN -2.4% YTD and BRL -7.1% YTD). Not only does the BCRA seeks to suffocate this pressure by selling international reserves (net FX seller -72.4mn YTD) to defend the official FX rate, but also in FX futures markets (FX futures short position USD 7,072bn as of July). Upgrade to Alphacast Pro for $29 With...
Ciclo de Webinars
Webinar 2/4: Data Flows: Pipelines y transformaciones Por Mariano Sanchez Moreno (msanchez@alphacast.io) Repasar el webinar anterior? Acá el video Guia de usuario de Alphacast y pipelines? Acá el link ¿Qué son los pipelines? > ### Es la herramienta que desarrollamos en Alphacast para optimizar el procesamiento de datasets propios, "traer data" (fetch) de Yahoo Finance y FRED. > ### Además de múltiples operaciones, podes usar el motor de pipelines para graficar las datos que estemos trabajando. > ### Los pipelines están compuestos por steps o pasos. Cada una de las operaciones, transformaciones y gráficos secuencialmente. Ejemplos de pipelines y tutoriales para entenderlos: How do I calculate a monthly end-of-period series from daily data? How do I change the frequency of the data? How can I merge two datasets into one? How can I connect the results of my pipeline to Excel? How is a time series seasonally adjusted? How do I change a local currency series to dollars? How can I download Data from Yahoo Finance? How can I download Data from FRED? How can I remove or regroup entities of my dataset? How can i reshape my dataset from "Wide" format to "Long" format and otherwise? Caso 1: Summer...
Spain's inflation is the highest since May 1985
by elEconomista.es "🔥🔎 Spain's inflation rate is at historically high levels https://eleconomista.es/economia/noticias/11739326/04/22/La-inflacion-empieza-a-perder-fuerza-el-IPC-se-situa-en-el-84-tras-la-moderacion-de-la-energia.html" Related Datasets Activity - Global - OECD - Main Economic Indicators - Key short-term indicators -...
Nasdaq 100 on track for its April since 2008
By Mac10 "The definition of insanity:" Related dataset: Financial - Global - Equity Indexes -...
Argentina's Real FX is at its lowest level in 4 years
By Juan Carlos Hallak "We all know that the way out is to increase exports. However, all efforts to achieve this are fading with a falling (real) dollar. In fact, we are at the highest point of exchange rate appreciation of the AF era. How can we explain that the official FX is falling?" Related dataset: Monetary - Argentina - BCRA - Multilateral Real FX...
Stubbornly high imports drive Colombia’s trade deficit
By Scotiabank Economics "#Latam Daily for April 22: Stubbornly high imports drive Colombia’s trade deficit. Full Report: http://ms.spr.ly/6016wASaK #EmergingMarkets" Related dataset: BOP - Colombia - DANE - External...
Argentina: Economic subsidies report scandalous figures
By Gabriel Caamaño "The evolution of economic subsidies during Q1 2022 is scandalous however you look at it (+125% YoY), but I think it will be much more brutally appreciated this way. The mess they've made there. Segmentation, besides being counterproductive, is going to be aspirin." Related dataset: Fiscal - Argentina - MECON - IMIG -...
Argentina's inflation: The worse Q1 in 30 years
By Mariano Sanchez Moreno "If #inflation in March is 6.5%, it would close at 15.6% (80% annualized) during Q1-2022. Since '43 (excluding the period from '76 to '91), only 3 years have had worse YTD starts ('45, '59 and '73). Current levels are very similar to Q1-1975, the quarter before the Rodrigazo (85% annualized)." Related dataset [Inflation - Latin America - Alphacast - Consumer Price Index - Headline - Monthly...
On domestic credit to private sector
By Argentina en Datos "The GDP ratio that Argentina allocates to domestic credit to private sector is among the lowest around the globe. Chart: @CEU_UIA" Monetary - Global - World Bank - Domestic Credit to Private...
The AGG records the worst YTD drawdown ever
By Jim Bianco biancoresearch.eth "5/11 The bond market gets it. The carnage is epic. The Bloomberg Global Aggregate Index, which started in 1990, is down 7.77% YTD. Not only is this the worst drawdown for a year through early April, but it is also surpassing the largest drawdown seen in any complete year." Financial - Global - YF - Bond ETFs -...
Inflation at 30-year high in OECD countries
By Financial Times "Inflation in rich countries surged to a 30-year high in February as higher energy and food prices hit consumers, according to new figures, which don’t yet reflect the impact of the war in Ukraine https://on.ft.com/3LJ3QJe" Related Datasets Activity - Global - OECD - Main Economic Indicators - Key short-term indicators -...
Carry Trade: The Return of the King
By Mariano Sanchez Moreno "The carry trade is back, long live the carry trade. Throughout Treasury's auctions we might see that when the rates in pesos were positive after hedging through FX futures (ergo investing in ARS yields USD gains) the FX faced less devaluation pressures. During the lasy weeks, the carry trade helped to “calm down” the dollar, which appreciated by 22% from the peak of ARS 244 at the end of last January. Will this FX peace last? The rate hiking by BCRA turned the spotlight on carry trade strategies, but it is currently offset by both rising futures’ prices and an accelerating inflation. Besides, there is an additional variable that could push-up the depreciation pace of the peso: the BCS’s cost, which is at a 15-month low. That said, it could encourage investors to take advantage of the state of affairs and to wire their USD abroad." Related dataset Financial - Argentina - Carry...
German prices rose to record high since the reunification
By Patrick Hansen "40-year CPI inflation high in Germany. Highest ever since the German reunification. Mainly fueled by sharp price increases for energy products. https://reuters.com/world/europe/german-inflation-rises-more-than-expected-march-2022-03-30/ #bitcoin #btc" Related Datasets Prices - Germany - Bundesbank - Consumer Price...
USA inflation expectations are on the rise
By Bloomberg Economics "In times of uncertainty, people often reach for historical analogies. In recent weeks and months, as inflation has continued to climb and commodity prices spike, there's been a lot of talk of a return to the 1970s. But is that the right parallel?" Related Datasets Financial - USA - FRB - Interest Rates -...
The Japanese yen's free-falling
By Charlie Bilello "Japanese Yen ETF hits a new all-time low, down 42% from its peak in 2011. $FXY Charting via Related dataset Financial - Global - YF - Main...
The yen dropped to a seven-year low
By The Market Ear "It looks like a small cap, but it ain't...the world's third biggest currency..." Financial - Global - BIS - Main...
Argentina: On IMF-related interest
By Mariano Sanchez Moreno "Argentina has asked for the IMF to assist it through an Extended Fund Facility (EFF) to pay the previous Stand By Agreement (SBA, signed in 2018). As stated by the Fund in EFF's factsheet the interest burden is the base rate (1.2%) plus a surcharge, which depends on how much is requested and for how long. For large credits (above of 187.5% of each country's quota in the IMF), the surcharge is 2%. If after 51 months the residual loan is still above 187%, the surcharge rises to 3%. That said, the Argentina's EFF represents over 1000% of its quota: for a long time, our country will pay at least 3.2% per year. Taking into account that, the outstanding capital payments of the SBA is meant to be paid with the upcoming EFF credits, both loans' interest must be paid as well. On Jun-26, 51 months after the first EFF disbursements, the rate rises to 4.2%. Meaning? On USD 44bn, for over 12 years, Argentina will have to face interest rates between 3.2% and 4.2%." Related dataset Fiscal - Argentina - Public Debt Profile...
US Initial Jobless Claims lowest since 1969
By Rob Hager "U.S. Initial Jobless Claims SA - @SoberLook" Activity - USA - BLS - Labour Market stats -...
Hong Kong is now the centre of the pandemic
By The Economist "Once famed for its low covid-19 count, Hong Kong is now recording the world’s highest death rate from covid-19" Misc - Global - OurWorldInData Coronavirus Dataset -...
Growth's underperformance against value
By The Artist Formerly Known As Klendathu Capitalist "$ARKK 52 today." Related Datasets Global - NYSE - YF - Berkshire Hathaway vs ARK...
FMI: perfil e intereses
Sin tocar metas ni implicancias macroeconómicas del acuerdo FMI-Argentina, (y si se aprueba en el congreso tal cual está), consiste en: No se trata de una reestructuración en si misma: sino que el nuevo préstamo es un Servicio Ampliado (Extended Fund Facility -EFF- en ingles), con el cual se pagará el actual préstamo que tiene la Argentina con el Fondo (Stand-By -SB- firmado en 2018). Es como pagar el resumen de una tarjeta de crédito con otra tarjeta (?). Ambos préstamos, rep: sino q Se despejan los pagos de capital que en el SB se concentraban mayormente en 2022 y 2023 (USD 16.7bn y USD 18.5bn), aplazándose en mayores plazos (se pagan durante 9 años) y menores pagos anuales (USD 6.7bn en promedio durante 6 de esos 9 años) Por lo tanto, los intereses de ambos prestamos se devengan de igual manera: Como cometa el proyecto de ley enviado al Congreso, el préstamo SB implicó una tasa de interés de 1% anual (más sobrecargos). Sin embargo, el factsheet del nuevo EFF establece que la tasa de interesés...
Store of Value: Gold vs Bitcoin
By The Market Ear "and it doesn't use any electricity to store THE value..." Related Datasets Financial - Global - Currency - Daily Financial - Global - Commodities -...
US: Rising inflation expectations
By Win Smart, CFA "10 year breakevens @thedailyshot" Related Datasets Financial - USA - FRB - Interest Rates -...
Chile: CPI relieves markets as copper reversals
By Diario Financiero "Update | The price of the #cobre fell 5,21% after the strong volatility recorded yesterday" Related Datasets Financial - Global - Commodities - Daily Inflation - Chile - INE - 2009 Consumer Price Index - Spliced Series - 2018 base -...
MSCI Russia ETF's sell-off
By Charlie Bilello "The MSCI Russia ETF fell 33% today, the largest decline in its history. This was a 16-sigma event - which means that it should not have happened even once in the history of the universe (assuming a normal distribution, which markets do not follow). $ERUS" Related Datasets Financial - Global - MSCI...
Bond & Equity Volatility
By jeroen blokland "#Volatility is extreme across all asset classes. You can end up on the wrong side of the market instantly. Citi closing its short #oil bet (ht @JavierBlas), and the 7% intra-day #NASDAQ move last week are good examples. Trade less, stay flexible, don't try to hit the bottom." Related Datasets Financial - Global - Equity Indexes -...
FX Rates: Colombian vs Norwegian Performance
By Felipe Campos "Why would the dollar drop after the elections? Because in the countries where it depends on the same fundamentals it has already gone down. This is not a prediction, it is a fact based on the fact that the country continues to be an oil producer. From 2007 to 2020 the Colombian and Norwegian FX rates have been identical" Related Datasets Financial - Global - Currency -...
BCRA - FX operations to private sector
By Gustavo P. Quintana "So far October, FX Spot purchases to private sector total USD (CCL) 3.6bn" Related Datasets Monetary - Argentina - BCRA - FX spot market's...