Andres Reschini, financial analyst at F2 Financial Solutions, highlighted that “since the peak that we saw at the end of the first edition of the Export Increase Program, the Central Bank has given strong signals about its conviction to avoid a discrete jump in the exchange rate and, in turn, by restricting plus access to the MULC, the official exchange rate is increasingly linked to a smaller portion of the economy and therefore futures are no longer a useful tool for economic agents. For example, importers who can no longer access the MULC, or have too much difficulty in doing so, no longer find it useful to hedge against changes in an exchange rate to which they do not have access and that reduces demand”.
Ezequiel Ferrando, Head Portfolio Manager at Mariva Asset Management S.A., pointed out that to explain the drop in implicit open interest rates it would be useful to go back to the last period of Guzmán and the transition with Batakis and Massa, given the different actions of the BCRA and how investors positioned themselves in that market. “In Guzmán’s time, there was intervention throughout the curve, and the dollar synthetic strategy through Rofex and the CER title worked well because the implicit ones were below the yield of the CER bonds.
With the departure of Guzmán, the macroeconomic and financial turmoil begins, and we see that the exchange rate is being questioned, with which the search for hedging became present and the official intervention in futures also to alleviate the needs of investors. From this moment on, Rofex’s implicit rates operated at levels much higher than the nominal rates of the economy. There we saw that the Central let the implicit rates run and the coverage became more expensive”.
Currently, Ferrando considered, “investors’ vision of the difficulties on the sovereign bond curve has led to less appetite for them and different strategies have been disarmed by switching to other instruments and taking volume out of the Rofex and less need for intervention by the BCRA. Added to this, there was a change in the market’s perception of what could happen with the official exchange rate, with lower expectations of a modest jump. The differential dollars and the measures on importers to finance themselves with their own dollars, took the A3500 as the reference dollar of the economy, so what is the current reference dollar remained unclear”.
In this way, open interest, which reflects the total number of contracts in the market, fell to US$3.2 billion, far from the maximum of US$9.678 million reached at the end of July. And the same trend followed the sold position of the Central Bank, given that, according to the latest data from the monetary authority, at the end of October the number of contracts sold by the entity was reduced to u$s1.340 million, and far from u$s8 ,000 million that it reached at the end of July. On this point, Ferrando highlighted “we saw the change in strategy in the fund industry, given that in the last 90 days the Dollar Linked FCIs had redemptions for $60,000 million, which responds to the fact that the crawling peg is expected to continue. Regarding the parallel exchange rates, we understand that removing the A3500 as a reference makes the MEP take on greater relevance, liquidity and, therefore, greater pressures”.
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