BCR Markets Monthly Newsletter / July 2017
1 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
MFGR Rosario Cash Grain Market
July Grain Markets Review
ROFEX Rosario Futures & Securities Market
Agro Derivatives Statistical
Report
Financial Derivatives Statistical
Report
MAV Argentina Securities Market
Deferred Payment Checks and
Repo Market Summary for July
2017
July Securities Issuances at
MAV
ROSGAN Rosario Cash Livestock Market
Rosgan July Auction: Season
ending auction features price
support
Markets
ROFEX
MAV
ROSGAN
RSGM
BCR Markets Monthly Newsletter / July 2017
2 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
July Grain Markets Review
Thanks to a weaker peso, soybean prices at Rosario Spot Grain Market maintained a healthy upward trend throughout most of July, particularly during the second half of the month. Overall, reference prices ended the month with an ARS 520 per ton increase, closing the month at ARS 4,400 (or about USD 250) per ton.
While soybean farmer selling remains below previous years’ pace, the gap has been significantly during July as a result of higher prices. As of July 26, purchases by crushers and exporters equaled 21.7 MT and 8.5 MT respectively (for 30.2 MT); whereas last year’s total purchases had reached 31.6 MT as of this time of the year.
Corn traded range wise throughout the month, even in spite of support from a weaker domestic currency. Reference prices for cash corn rose ARS 90 per ton (about 3,8%) during July, closing at ARS 2,400 (or USD 136.8) per ton.
Corn purchases have increased at an above average rate during July, widening the gap with historical levels. As of July 26, sales of corn totaled about 20 MT, around 3.1 MT more than the average for the past five years and 4 MT more than at the same height of the 2015/16 marketing year. This total includes 17 MT of purchases by exporters and 3 MT of purchases by the crushing industry.
BCR Markets Monthly Newsletter / July 2017
3 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
As was the case with soybeans, cash wheat prices rose steadily in July. Reference prices ended the month with an ARS 200 per ton (+9.4%) increase, closing at ARS 2,900 (or USD 165) per ton.
Wheat farmer selling has not fallen off during July. Total purchases by exporters and mills for the current marketing year amount to 11.4 MT and 3.7 MT respectively. As a result, total purchases are 6.5 MT above last year and 5.5 MT above the five-year average.
For more information regarding Rosario’s Grain Spot Market, please contact [email protected] or visit the Rosario’s Grain Spot Market webpage.
AGRO DERIVATIVES Statistical Report
Commodity Derivatives Totals
In July, the number of commodity derivatives contracts traded on the Rosario Futures Exchange (ROFEX), which includes Chicago Soybean, Chicago Corn, Gold and Crude Oil CME Licensed Futures, plus Rosario referenced agricultural contracts (Rosario Soybean Index contracts, Soybean, Wheat and Corn Futures with Physical Delivery in Rosario), was 84.577 contracts, -3% MoM and -18% YoY. Nonetheless, the average daily volume (ADV) climbed 3% compared to the previous month and +22% YoY. The turnover in agricultural derivatives, reached an ADV of 26,687 metric tons (2,396 contracts). This represented an increase of 28% MoM and +7% YoY.
BCR Markets Monthly Newsletter / July 2017
4 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
Crude Oil Futures traded an ADV of 1,402 contracts, -3% MoM and +71% YoY. Gold futures and options traded 230 contracts in average, +16% MoM and 58% YoY.
Source: ROFEX Research. Futures vs. Options Volume
The agricultural futures volume in July was 464.030 metric tons, +22% MoM and +84% YoY. While agricultural options volume reached to 96,390 metric tons. This represents a +68% MoM but -61% YoY. As a result, options market share in agricultural derivatives climbed to 17.2% in July.
Source: ROFEX Research.
Volume by Product
In July, the most traded agricultural derivatives were Rosafé Soybean Index (ISR) and Soybean Crushing Condition (SOF) futures, with 209,280 and 129,510 metric tons respectively.
Source: ROFEX Research. Open Interest
The agricultural open interest (OI) averaged 299.911 metric tons per day during July, -72% MoM and -41% YoY. Futures outstanding positions averaged 202,055 metric tons, while options outstanding positions averaged 97,856 metric tons. Gold Futures and options OI averaged 1.685 contracts in July. This represents a +103% MoM but -91% YoY. Oil WTI Futures OI averaged 3,347 contracts, -45% MoM and +23% YoY. Glossary SOY: Chicago Soybean Futures CRN: Chicago Corn Futures SOJ: Soybean Export Condition Futures SOF: Soybean Crushing Condition Futures ISR: Rosario Soybean Index Futures TRI: Wheat Futures MAI: Corn Futures
BCR Markets Monthly Newsletter / July 2017
5 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
FINANCIAL DERIVATIVES Statistical Report
Financial Derivatives Totals
In July, the total number of financial derivatives traded on the Rosario Futures Exchange (ROFEX), which includes futures and options of FX; Public Bonds, Equity index and LEBAC futures; was 12.08 million contracts, -0.5% compared to the last month and +56 YoY. Nonetheless, the average daily volume (ADV) climbed 48.6% YoY to 575 thousand contracts. This represented the fourth month with greater volume on financial derivatives. The open interest (OI) had a daily average of 2.54 million contracts during July. This represents a fall of 3.7% MoM and +5.7% YoY.
Source: ROFEX Research.
US Dollar Futures
The total FX derivatives markets (ROFEX, MATBA and OCT MAE) traded USD 12,552 million in July, -3% MoM and +27% YoY.
Source: ROFEX Research.
Concerning US dollar futures in ROFEX (whose contract size are USD 1,000, and is cash settled by the BCRA A3500 communication), a total of USD 12,038 million were negotiated in July (-0.5% MoM and +56% YoY). This represented 96% of the total volume traded in the US dollar derivatives markets. Merval Index Futures
Merval Index Futures volume climbed to 36,325 contracts. It became the highest month volume since the contract was listed. The ADV was 1,730 contracts, +2% MoM and +370% YoY. The OI averaged 3,557 contracts in July, -22% MoM and +128% YoY. LEBAC Futures
The Central Bank Bills (Letras del Banco Central, LEBACs) are short-term securities issued, at a discount, by the Argentine Republic Central Bank (Banco Central de la República Argentina, BCRA) from March 2002. They are employed by the monetary authority as a monetary policy instrument to control the working capital and interest rates.
BCR Markets Monthly Newsletter / July 2017
6 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
In the LEBAC futures contracts in pesos, the underlying asset shall be the Central Bank Bills whose remaining term at the futures contract expiration date shall be one (1), two (2) and three (3) months. The price agreed in the transaction reflects the interest rate for an investment between the future contract expiration date and the expiration date of the bill obtained because of the cancellation of such a contract.
Source: ROFEX Research.
In July LEBAC futures volume reached $ 590 million and the OI averaged $ 96 million. Public Bonds Futures
Public Bonds Futures in ROFEX (which currently includes Bonar 2024 and DICA), traded 3,004 contracts in the seventh month of the year. It represents -46% MoM and YoY. The OI averaged 113 contracts in July, -77% MoM and -87% YoY.
Source: ROFEX Research.
For a higher level of disaggregation of statistical information write to [email protected] or visit the Centro de Estadísticas de Mercado of ROFEX.
Director: Marcelo Gastón Comisso // Owner: Mercado a Término de Rosario SA // Legal Address: Paraguay 777, piso 15º, Rosario, Santa Fe // DNDA record: 5172012 // Edition number: 1 // Exclusively online edition. //© Copyright 2016 ROFEX ® Mercado a Término de Rosario S.A. All rights reserved
BCR Markets Monthly Newsletter / July 2017
7 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
Deferred Payment Checks and Repo
Market Summary for July 2017
Deferred Payment Checks (DPCs)
Trading in deferred payment checks (DPCs) in Mercado Argentino de Valores (MAV) fell somewhat sharply during July 2017. During the four-week period comprised between July 3 and July 28, checks with a total face value of approximately ARS 1,543 million were traded, a 27% drop from the previous month. However, if we adjust the data to reflect the fact that the reference period featured less working days than June did, average daily trading only fell 9%. Table 1 breaks down DPC trading into its segments:
The endorsed (avalado) segment’s share of trading activity rose one percentage point during July, accounting for almost than 94.3% of traded value. Graph 1 shows the evolution of the endorsed segment check’s yield curve over the last month (the darker the yield curve, the more recent). Overall, yields have moved upwards about three basis points for all maturities.
During July, traded volume in Mercado Argentino de Valores’ repurchase agreements (repo) once again rose 12% on a month over month basis. A total of around ARS 1,773 million were borrowed. Table 2 offers a summary of repo market activity.
Haircuts on short-term repo agreements have mostly remained in a tight range, trading between 25.2% and 25.7% throughout July. Graph 2 shows the evolution of rates on 7-day repo agreements throughout July.
03/07 to 28/07 MoM % change 29/05 to 30/06 July/17 June/17
Endorsed 1,454,226,311 -26% 1,971,440,834 10,214 12,875
Guaranteed Direct 10,551,863 -24% 13,911,901 112 131
Non-Guaranteed Direct 62,563,251 -36% 97,247,477 615 693
Sponsored 15,301,078 -52% 32,071,028 189 152
Total 1,542,642,503 -27% 2,114,671,240 11,130 13,851
Table 1. Deferred Payment Checks Statistics
SegmentTrade Volume ($) Number of checks
July/17 MoM % change June/17 July/17 June/17
Up to 7 1,646,424,969 28% 1,289,625,091 9,545 7,645
8-14 87,452,804 -67% 264,379,646 502 910
15-21 25,867,848 70% 15,189,584 186 36
22-28 7,302,701 194% 2,479,720 70 21
>28 6,341,783 -56% 14,533,199 56 35
Total 1,773,390,105 12% 1,586,207,240 10,359 8,647
Table 2. Repo Market StatisticsDays to
Maturity
Trade Volume ($) Number of trades
BCR Markets Monthly Newsletter / July 2017
8 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
July Securities Issuances at MAV
During July, primary activity at Mercado Argentino de Valores was extremely subdued, with only ARS 50,000 of new securities being issued, all of them corresponding to a pre-existing series of ABS. On July 28, the Pilay I trust fund once again re-opened its ABS issuance, managing to sell ARS 50,000 worth of securities from the following tranches, all of which received BBB+ ratings from Evaluadora Latinoamericana SA: • Class A-2 investment certificates worth ARS 4,195,000 were offered, but only ARS 28,000 were sold. • Class B-1 investment certificates worth ARS 329,000 were offered, but only ARS 9,000 were sold. • Class B-2 investment certificates worth ARS 1,126,000 were offered, but only ARS 13,000 were sold. For more information, please contact [email protected], or visit the Mercado Argentino de Valores webpage.
BCR Markets Monthly Newsletter / July 2017
9 / 9
The content can be reproduced as long as is cited as BCR Markets Monthly/Mmm-Yyyy.
Rosgan July Auction: Prices remain firm in
latest auction
During the first Rosgan auction for July, more than 13,400 head of cattle were available for sale at the Rosario Board of Trade. There was good demand for most lots, except in the case of pregnant cows. Raul Milano, Rosgan’s CEO, highlighted the strong demand for cows for wintering, prices for which largely exceeded ARS 37 due to interest from traditional or feedlot feeders. Most of the calves where sold at values which exceeded seller’s starting offers.
Average price for different categories ($ per kilo)
Category Auction Average Price (ARS)
Male calves 37.60
Female Calves 36.64
Male and female calves 37.67
Steers from 1 to 2 yrs. 33.42
Steers from 2 to 3 yrs. 31.75
Holando Calves 32.98
Holando Steers 29.05
Heifers from 1 to 2 yrs. 33.10
Heifers from 2 to 3 yrs. 9,561.9
Cows w/ calf on foot 5,574
Pregnant cows 9,089.66
Wintering cows 17.48
Source: Rosgan.
For more information regarding Rosario’s livestock market, please contact [email protected] or visit the ROSGAN webpage.
