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Latin Macro Analysis

This report delves into the macroeconomic landscape of Brazil post the IMF package announcement, covering key indicators such as asset prices, liquidity, and risk factors. It discusses the rise of Lula in polls, the Argentine crisis, default, pesoification, and their effects on the economy. Through a detailed analysis of spreads, interest rates, exchange rates, stock prices, international reserves, and treasury instruments, the overview provides insights into Brazil's economic dynamics and global implications.

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Latin Macro Analysis

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  1. Latin Macro Analysis BRAZIL Swiss Global Economics An Overview of Asset Prices and Liquidity Indicators

  2. Announcement of IMF Package Lula rises in the polls Beginning of Argentine Crisis Argentina’s Default and Pesoification Country Risk EMBI Plus, Sovereign Spread, b.p. 2600 Rise in spread since April 12 th : 936 b.p. 2200 1800 1400 1000 600 1-Dic-00 1-Dic-01 1-Jun-02 1-Jun-00 1-Jun-01 1-Oct-01 1-Oct-02 1-Oct-00 1-Feb-01 1-Feb-02 1-Abr-02 1-Abr-01 1-Ago-00 1-Ago-01 1-Ago-02

  3. Beginning of Argentine Crisis Argentina’s Default and Pesoification EMBI Bond Prices 12/04/02 = 100 Announcement of IMF Package 110 Lula rises in the polls 100 90 80 70 Price decline since April 12 th: -20.5% 60 50 6-Jul-01 3-Dic-01 1-Jun-00 6-Feb-01 21-Jul-00 9-Sep-00 18-Dic-00 2-May-02 21-Jun-02 29-Oct-00 14-Oct-01 28-Mar-01 22-Ene-02 13-Mar-02 29-Sep-02 18-Nov-02 17-May-01 25-Ago-01 10-Ago-02

  4. Announcement of IMF Package Beginning of Argentine Crisis Argentina’s Default and Pesoification Lula rises in the polls Nominal Exchange Rate (Reales per Dollar) 3.7 3. 59 3.2 2.7 2.2 56.1% 1.7 03-Jul-00 03-Jul-01 03-Jul-02 03-Ene-01 03-Ene-00 03-Ene-02 03-Mar-01 03-Mar-00 03-Mar-02 03-Sep-00 03-Nov-00 03-Sep-01 03-Nov-01 03-Sep-02 03-Nov-02 03-May-00 03-May-01 03-May-02

  5. Yield Curve of the Real NDF Reales per Dollar 1-Mar-02 4.65 4.55 29-May-02 31-Jul-02 4.25 14-Oct-02 4.03 18-Nov-02 3.84 3.86 3.94 3.85 3.59 3.55 3.45 3.43 3.05 3.20 2.96 2.73 2.55 2.65 2.52 2.36 2.38 2.25 Spot 1 month 1 year

  6. Interest Rates (Selic benchmark CB rate and CDI-Over interbank rate) 22% 21% 20% Selic Rate 19% 18% CDI-Over Rate 17% 16% 15% 14% 1/4/02 6/5/02 3/6/02 1/7/02 14/2/01 22/3/01 30/4/01 31/5/01 27/6/01 24/7/01 21/8/01 18/9/01 24/1/02 22/2/02 26/7/02 22/8/02 18/9/02 15/10/01 27/11/01 27/12/01 15/10/02

  7. 360-days Interest Rates (Selic benchmark CB rate, 180 and 360-day Interest Rate Swaps, in %) Announcement of IMF Package 32 30 28 26 180-days 24 22 Selic 20 18 16 02-Jul-01 02-Jul-02 02-Dic-01 02-Ene-02 02-Jun-02 02-Oct-01 02-Oct-02 02-Feb-02 02-Mar-02 02-Nov-01 02-Sep-02 02-Nov-02 02-Sep-01 02-Abr-02 02-May-02 02-Ago-01 02-Ago-02

  8. Country Risk and Interest rate (C-Bond Spread in b.p. and 360-day Interest Rate Swap in %) 2400 35 interest rate 30 1900 25 C-Bond Spread Interest Rate 1400 20 900 15 C-Bond spread 400 10 02-Jul-01 02-Jul-02 02-Ene-01 02-Ene-02 02-Mar-01 02-Mar-02 02-Sep-01 02-Nov-01 02-Sep-02 02-Nov-02 02-May-01 02-May-02

  9. 19500 Lula rises in the polls Argentina’s Default and Pesoification 17500 15500 13500 11500 9500 7500 6-Dic-01 9-Mar-01 1-Oct-01 2-Nov-01 2-Ene-01 5-Feb-01 25-Jul-01 21-Jun-01 12-Abr-01 18-May-01 28-Ago-01 Stock Prices Bovespa Index Announcement of IMF Package 9900 Beginning of Argentine Crisis 8900 7900 6900 In Reales 5900 In Dollars In Reales 4900 3900 InDollars 2900 1900 2-Jul-02 6-Ago-02 9-Sep-02 20-Mar-02 24-Abr-02 11-Oct-02 14-Nov-02 29-May-02 11-Ene-02 14-Feb-02

  10. International Reserves of the C.B (US$ millions; daily) IMF disbursement US$ 3.0 billion 43000 IMF disbursement US$ 10.0 billion IMF disbursement US$ 4.5 billion 41000 39000 37000 35000 33000 repayment to IMF US$ 4.2 billion 31000 02-Jul-01 02-Jul-02 02-Ene-01 02-Ene-02 02-Mar-01 02-Mar-02 02-Sep-01 02-Nov-01 02-Sep-02 02-Nov-02 02-May-01 02-May-02

  11. International Reserves of the CB (US$ millions; monthly) IMF disbursement of US$ 3.0 billion 45000 IMF disbursement of US$ 10.0 billion International Reserves IR excluing IMF credit 40000 35000 30000 25000 20000 Dic-00 Dic-01 Jun-01 Oct-01 Jun-02 Feb-01 Feb-02 Abr-01 Abr-02 Ago-01 Ago-02

  12. International Reserves / Monetary Base Monthly IMF disbursement of US$ 10.0 billion IMF disbursement of US$ 3.0 billion 2.5 International Reserves IR excluing IMF credit 2.0 1.5 1.0 0.5 0.0 Abr-01 Oct-01 Abr-02 Dic-00 Dic-01 Jun-01 Jun-02 Ago-01 Ago-02 Feb-01 Feb-02

  13. Amount auctioned = bids Amount auctioned > bids Auctions of Treasury Instruments 3-month Real denominated fixed rate T-Bills (LTN’s) 2000 22.0% 21.5% 21.0% 1600 rate 20.5% 20.0% 1200 19.5% rate Millions of Reales 19.0% 800 amount 18.5% 18.0% 400 17.5% No bids 17.0% 0 16.5% 02-Jul-02 10-Jul-02 16-Jul-02 23-Jul-02 30-Jul-02 01-Oct-02 08-Oct-02 05-Nov-02 11-Jun-02 03-Sep-02 10-Sep-02 17-Sep-02 24-Sep-02 06-Ago-02 13-Ago-02 20-Ago-02 27-Ago-02

  14. Amount auctioned > bids Auctions of Treasury Instruments 3-Month Selic Indexed T-Bills (LFT’s) 6000 2.0% 2.0% rate 5000 1.9% 1.9% 4000 1.8% 3000 1.8% Millions of Reales Rate amount 1.7% 2000 1.7% 1.6% No bids 1000 1.6% 0 1.5% 3-Sep-02 5-Nov-02 15-Oct-02 22-Oct-02 29-Oct-02 12-Nov-02 19-Nov-02

  15. The Run from Investment Funds to Saving Deposits In millions of R$ Saving Deposits (Caderneta de Poupança) Net Flows to Investment Funds 10000 139000 Since 31st May: R$ 19.0 billion Since 31st May: -R$ 62.2 billion 5000 136000 31st May: Marking to market of IF’s bonds 133000 0 130000 -5000 127000 -10000 124000 -15000 121000 -20000 31st May: Marking to market of IF’s bonds 118000 -25000 Jul-02 2-Jul-02 Abr-02 Feb-02 Jun-02 Mar-02 Ene-02 Ago-02 Sep-02 2-Mar-02 May-02 2-Ene-02 2-Sep-02 2-Nov-02 2-May-02 Until 13 Nov

  16. Deposits Demand + Saving + Time, in millions of R$ 31st May: Marking to market of IF’s bonds 330000 310000 290000 270000 250000 Since 31st May: R$ 46.2 billion 230000 2-Jul-01 2-Jul-02 2-Ene-01 2-Mar-01 2-Ene-02 2-Mar-02 2-Nov-01 2-Nov-02 2-Sep-01 2-Sep-02 2-May-01 2-May-02

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