Argentina: a sustainability assessment · Argentina sustainability Figure 4A: Financing assumptions...

Argentina: a sustainability assessment

January 2020

1

Argentina sustainability

1. Consolidated government DSA

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3


4


Figure 1A: Real interest-primary surplus combinations that deliver terminal debt-to-GDP ratios over different adjustment horizons*

Adjustment t = 5

Prim

ary s

urplu

s

0%

1%

2%

3%

4%

5%

6%

7%

Real interest rate

-1%

-0%

1% 2% 3% 4% 5% 6% 7% 8% 9%

50%55%60%65%

Prim

ary s

urplu

s

0%

1%

2%

3%

4%

5%

6%

7%

Real interest rate

-1%

-0%

1% 2% 3% 4% 5% 6% 7% 8% 9%

Adjustment t = 10

*Assumptions: Steady state: RGDP growth = 2.5%; GDP deflator inflation = 6%; initial non-central bank debt-to-GDP = 58.8%; average nominal interest on debt begins at 5.5%, graduating upwards at 50bp intervals, meaning the real interest rate begins at -50bps; “haircut” set to zero throughout. 5

Figure 1B: “Haircut” needed to reach terminal debt-to-GDP ratios over different adjustment horizons given a 2% of GDP primary surplus*

Adjustment t = 5

Hairc

ut

0%5%

10%15%20%25%30%35%40%45%50%55%60%65%70%75%80%

Real interest rate

-1%

-0%

1% 2% 3% 4% 5% 6% 7% 8% 9%

50%55%60%65%

Hairc

ut

0%5%

10%15%20%25%30%35%40%45%50%55%60%65%70%75%80%

Real interest rate

-1%

-0%

1% 2% 3% 4% 5% 6% 7% 8% 9%

Adjustment t = 10


*Assumptions: As Figure 1A but primary surplus set to +1.5% and haircut adjusted to meet terminal debt targets.

6

Figure 1C: “Haircut” needed to reach various terminal debt-to-GDP ratios as a function of primary surplus for fixed real interest rate*

0%

10%

20%

30%

40%

50%

60%

70%

80%

Primary surplus

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

50%55%60%


*Assumptions: as Figure 1B but target debt-to-GDP in 5 years and primary surplus adjusted.

r = 3%

0%

10%

20%

30%

40%

50%

60%

70%

80%

Primary surplus

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

50%55%60%

r = 4%

Hairc

ut

0%

10%

20%

30%

40%

50%

60%

70%

80%

Primary surplus

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

50%55%60%

r = 2%

7

Figure 1D: “Haircut” needed to reach 55% terminal debt-to-GDP ratio in 5 years as a function of primary surplus for varying real interest rates*

0%

10%

20%

30%

40%

50%

60%

70%

80%

Primary surplus

0% 0.5%1% 1.5%2% 2.5%3% 3.5%4% 4.5%5% 5.5%6% 6.5%7% 7.5%8% 8.5%9% 9.5%10%

r = 0%r = 1%r = 2%r = 3%r = 4%r = 5%


*Assumptions: as Figure 1C.

8


2. Financial program: Core macro assumptions

9

Figure 2A: Argentina: A financial program: Key macro assumptions


BOP (%GDP) Fiscal and monetary (%GDP)GDP

450

500

550

600

650

700

750

0

25

50

75

100

125

150

201920202021202220232024202520262027202820292030

ARS (year average, LHS)GDP (USD, RHS)Exports (USDbns, LHS)

0.0%

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

201920202021202220232024202520262027202820292030

Current and capital account (LHS)Net international reserves (RHS)

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

201920202021202220232024202520262027202820292030

Primary fiscal balanceBase money

10


2. Financial program: Existing debt profile

11


Figure 3A: Distribution of outstanding debt (%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2019202020212022202320242025202620272028202920302031203220332034203520362037203820392040-2117

DistributionCumulative

12


Figure 3B: Residency of outstanding Federal government debt (%)

53%47%

Resident Non-resident

71%

29%


Principal Coupons

13


Figure 3C: Amortisation profile of outstanding debt (USD billions)

0

10

20

30

40

50

2019

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

2031

2032

2033

2034

2035

2036

2037

2038

2039

2040 - 2117

ResidentNon-resident

14


Figure 3D: Coupon payment profile of outstanding debt (USD billions)

0

4

8

12

16

20

2019

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

2031

2032

2033

2034

2035

2036

2037

2038

2039

2040 - 2117

ResidentNon-resident

15


Figure 3E: Aggregate principal and coupon by creditor residence and denomination (USD billions)

0

8

16

24

32

40

2019202020212022202320242025202620272028202920302031203220332034203520362037203820392040 - 2117

DXDX indexedFX


0

8

16

24

32

40

2019202020212022202320242025202620272028202920302031203220332034203520362037203820392040 - 2117

16


3. Financial program: New debt assumptions

17


Figure 4A: Financing assumptions for new private debt (%)

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

95%

100%

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

Resident financing shareDX share of resident financing

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

New DX debtNew FX debtT-bills and LELIQs (DX)

Financing share Interest/coupon on newly issued debt

18


Figure 4B: Argentina: IMF external financing (USD billions)

-20

-16

-12

-8

-4

0

4

8

12

16

20

20202021202220232024202520262027202820292030

Purchase (net)Repurchase

Flow

0

10

20

30

40

50

60

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

IMF outstanding

Stock

19


5. Financial program: Baseline

20


Figure 5A: Baseline: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030

BCRA consolidated (USD)Federal government (USD)BCRA consolidated (ARS)Federal government (ARS)

0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030

Federal government (USD)BCRA consolidated (USD)

Debt Gross financing need

-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030

BCRA consolidated overall balanceOverall balancePrimary balance

Fiscal balance

21


Figure 5B: Baseline: Base money, BCRA bills, and net foreign assets (%GDP)

0%

4%

8%

12%

16%

20%

20042006200820102012201420162018202020222024202620282030

Base money/GDPNFA/GDPBCRA bills/GDP

Base money, NFA, and BCRA bills

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

220%

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

NFA/importsBCRA domestic liabilities/NFABCRA securities/base money

Key monetary ratios

22


Figure 5C: Baseline: External financing gap and rollover rate (USDbns and %GIR)

-40%

-20%

-0%

20%

40%

60%

80%

100%

120%

140%

-20

-10

0

10

20

30

40

50

60

70

20202021202220232024202520262027202820292030

Cumulative (USD, LHS)% GIR (RHS)

External financing gap Cumulative financing gap External rollover rate

0%

100%

200%

300%

400%

500%

600%

20202021202220232024202520262027202820292030

Rollover rate

-15

-10

-5

0

5

10

15

20

25

20202021202220232024202520262027202820292030

13.8

6.0

15.1

9.1

5.37.6

11.5

0.4

-6.2

-10.2

-6.4

Baseline

23


6. Financial program: BCRA recap

24


Figure 6A: BCRA recap: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

25


Figure 6B: BCRA recap: Base money, BCRA bills, and net foreign assets (%GDP)

0%

4%

8%

12%

16%

20%

20042006200820102012201420162018202020222024202620282030

Base money/GDPNFA/GDPBCRA bills/GDP

Base money, NFA, and BCRA bills

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

220%

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

NFA/importsBCRA domestic liabilities/NFABCRA securities/base money

Key monetary ratios

26


Figure 6C: BCRA recap: External financing gap and rollover rate (USDbns and %GIR)

-40%

-20%

-0%

20%

40%

60%

80%

100%

120%

140%

-20

-10

0

10

20

30

40

50

60

70

20202021202220232024202520262027202820292030



0%

100%

200%

300%

400%

500%

600%

20202021202220232024202520262027202820292030

Rollover rate

-15

-10

-5

0

5

10

15

20

25

20202021202220232024202520262027202820292030

13.8

6.0

15.1

8.3

4.16.5

10.7

-0.7

-7.3

-11.3

-6.9

BCRA recap

27


7. Financial program: 4Y maturity reprofiling

28


Figure 7A: 4Y reprofiling: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

29


Figure 7B: 4Y reprofiling: External financing gap and rollover rate (USDbns and %GIR)

-40%

-20%

-0%

20%

40%

60%

80%

100%

120%

140%

-20

-10

0

10

20

30

40

50

60

70

20202021202220232024202520262027202820292030



0%

100%

200%

300%

400%

500%

600%

20202021202220232024202520262027202820292030

Rollover rate

-15

-10

-5

0

5

10

15

20

25

20202021202220232024202520262027202820292030

-0.8

-4.7

3.1

7.2

13.311.7

14.9

-1.4

-6.6-5.8-3.0

4Y reprofiling

30


8. Financial program: 4Y maturity reprofiling plus coupon haircut

31


Figure 8A: 4Y reprofiling 50% resident coupon haircut: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

32


Figure 8B: 4Y reprofiling 50% coupon haircut: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

33


Figure 8C: 4Y reprofiling 50% coupon haircut: External financing gap and rollover rate (USDbns and %GIR)

-40%

-20%

-0%

20%

40%

60%

80%

100%

120%

140%

-20

-10

0

10

20

30

40

50

60

70

20202021202220232024202520262027202820292030



0%

100%

200%

300%

400%

500%

600%

20202021202220232024202520262027202820292030

Rollover rate

-15

-10

-5

0

5

10

15

20

25

20202021202220232024202520262027202820292030

-0.8

-4.7

3.16.2

11.29.9

13.3

-2.4

-7.5-6.7-4.0

4Y reprofiling

34


9. Financial program: 4Y reprofiling plus 50% coupon and principal haircut

35


Figure 9A: 4Y reprofiling 50% resident coupon and principal haircut: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

36


Figure 9B: 4Y reprofiling 50% coupon and principal haircut: Debt, gross financing need, and consolidated fiscal balance (%GDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030


0%

5%

10%

15%

20%

25%

30%

35%

40%

20202021202220232024202520262027202820292030



-10%

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

20202021202220232024202520262027202820292030


Fiscal balance

37


Figure 9C: 4Y reprofiling 50% coupon and principal haircut: External financing gap and rollover rate (USDbns and %GIR)

-40%

-20%

-0%

20%

40%

60%

80%

100%

120%

140%

-20

-10

0

10

20

30

40

50

60

70

20202021202220232024202520262027202820292030



0%

100%

200%

300%

400%

500%

600%

20202021202220232024202520262027202820292030

Rollover rate

-15

-10

-5

0

5

10

15

20

25

20202021202220232024202520262027202820292030

-0.8

-4.7

3.16.1

8.3 8.010.6

-3.3

-8.1-7.9-6.1

4Y reprofiling

38


10. Financial program: Scenarios summary

39


Figure 10A: Consolidated public sector accounts: Scenarios compared (%USDGDP)

40%

50%

60%

70%

80%

90%

201920202021202220232024202520262027202820292030

BaselineBaseline plus BCRA recap4Y reprofiling4Y rep with 50% C haircut 4Y rep with 50% C+P haircut

Debt Overall balance

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

20202021202220232024202520262027202820292030

BaselineBaseline plus BCRA recap4Y reprofiling4Y rep with 50% C haircut 4Y rep with 50% C+P haircut 40


Figure 10B: Net external primary debit: Scenarios compared (% exports of goods and services)

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

200420052006200720082009201020112012201320142015201620172018201920202021202220232024202520262027202820292030


41


Figure 10C: External financing gap: Scenarios compared (USDbns)

-12

-10

-8

-6

-4

-2

0

2

4

6

8

10

12

14

16

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030


42

Argentina sustainabilityFigure 10D: Cumulative external financing gap: Scenarios compared (USDbns)

-20

-10

0

10

20

30

40

50

60

70

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

Baseline Baseline plus BCRA recap 4Y reprofiling4Y rep with 50% C haircut 4Y rep with 50% C+P haircut

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Tables

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Argentina: a sustainability assessment · Argentina sustainability Figure 4A: Financing assumptions...

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Transcript of Argentina: a sustainability assessment · Argentina sustainability Figure 4A: Financing assumptions...