@marianosanchez

Chief Economist at Alphacast. Former operations analyst. I’m keen on capital markets, finance and R.

Joined
March 2021

marianosanchez's insights

  • Alphacast Highlight: Liquidity management and better risk-return, the keys behind BYMA's repos

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    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

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    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

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    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

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    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

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    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...

  • Argentina's Financial Markets Overview

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    Other agro dashboards for Argentina: Macro - Mutual Funds - Fiscal This dashboard was created with Alphacast. Alphacast hosts hundreds of Datasets to keep track of commodity markets. Dashboards are updated every day with the most recent data. Click on any chart to make it interactive, and clip it to add it to your own dashboards. You can also create your own charts or use pipelines to transform the data. Feel free to reuse everything at will. Follow this simple guide - or video - to learn how to create a dashboard Market's performances FX-related charts Markets and Bond-Implicit rates Mutual Funds...

  • Ciclo de Webinars

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    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...

  • Argentina's Fiscal dynamics Dashboard

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    Take a look at our Argentina Macro Dashboard as well This dashboard was created with Alphacast. Alphacast hosts hundreds of Datasets to keep track of commodity markets. Dashboards are updated every day with the most recent data. Click on any chart to make it interactive, and clip it to add it to your own dashboards. You can also create your own charts or use pipelines to transform the data. Feel free to reuse everything at will. Follow this simple guide - or video - to learn how to create a...

  • Argentina's Agro Overview: Soybean

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    This dashboard was created with Alphacast. Alphacast hosts hundreds of Datasets to keep track of commodity markets. Dashboards are updated every day with the most recent data.. Click on any chart to make it interactive, and clip it to add it to your own dashboards. You can also create your own charts or use pipelines to transform the data. Feel free to reuse everything at will. Follow this simple guide - or video - to learn how to create a dashboard Other agro dashboards for Argentina: Wheat - Corn Soybeans Global Production (USDA) Local Production:...

  • Argentina Macro Dashboard

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    Alphacast hosts thousands of Latin American Datasets for Argentina, Brazil, Chile, Colombia, Mexico, Paraguay, Peru, and Uruguay. You can find an interactive dashboard with at least 30 charts to keep up to date with the short-term economic outlook. Dashboards are updated every day with the most recent data. Remember that you can copy and clone everything you see on those dashboards. Create your own charts or pipelines to transform the data, add your own format and colors, and brand. Feel free to reuse everything of your own will. Follow this simple guide - or video - to learn how to create a dashboard Other Macro Dashboards: Latin America - Brazil - Chile - Colombia - Mexico - Peru - Uruguay Activity Prices Monetary Fiscal External Sector Financial A short guide to Argentinean macro data (click here) Interested in activity, prices, monetary, fiscal, external sector, and financial data for Argentina? There are loads of datasets, see for example this Repository which has official statistics from different sources, INDEC's Repository and BCRA's Repository. If you are looking for data about Argentina you'll probably find it here. However, this short guide will help you find the basic "must-see"...

  • Argentina's Real FX is at its lowest level in 4 years

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    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...

  • Argentina: Economic subsidies report scandalous figures

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    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

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    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...

  • Carry Trade: The Return of the King

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    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...

  • Argentina: On IMF-related interest

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    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...

  • FMI: perfil e intereses

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    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...

  • FX Rates: Colombian vs Norwegian Performance

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    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 -...

  • Bitcoin-to-Gold Ratio

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    by Finanzas Argy "🔴Bitcoin: due to the crisis in Ukraine, the market does not regard it as a hedging asset and analysts expect it may drop to USD 30,000 🔹Investors prefer to hedge in traditional assets such as gold 🔹The bitcoin-gold ratio is at its lowest level since mid-2021" Related Datasets Financial - Global - Currency - Daily Financial - Global - Commodities -...

  • Inflation rates across G20

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    by QR Capital "Inflation in G20: 🇯🇵: 0,8% 🇸🇦: 1,2% 🇨🇳: 1,5% 🇨🇭: 1,6% 🇮🇩: 2,1% 🇫🇷: 2,9% 🇦🇺: 3,5% 🇰🇷: 3,6% 🇸🇬: 4,0% 🇨🇦: 4,8% 🇮🇹: 4,8% 🇩🇪: 4,9% 🇪🇺: 5,1% 🇬🇧: 5,4% 🇿🇦: 5,9% 🇪🇸: 6,0% 🇮🇳: 6,0% 🇳🇱: 6,3% 🇲🇽: 7,0% 🇺🇸: 7,5% 🇷🇺: 8,7% 🇧🇷: 10,3% 🇹🇷: 48,6% 🇦🇷: 50,9%" Related Datasets Activity - Global - OECD - Main Economic Indicators - Key short-term indicators -...

  • Unemployment rates across Europe

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    by Adam Tooze "Europe made a bet to maintain jobs, on the expectation that businesses could recover their previous activity, and for most companies, in almost all sectors, that’s what has happened.” Short-time working was the right way to go! https://ft.com/content/4453e5ac-3490-4726-8caf-794440dc7183" Related Datasets Labour & Income - European Union - Eurostat - Labour Market - Unemployment...