SPECIAL REPORT INVESTMENT ALTERNATIVES T+1 FUNDS IN PESOS MAY 2022

May 2022. BUENO ARIES, Argentina.

Delta Asset Management has two Funds with a long and outstanding track record

in the T+1 fixed income fund segment (liquidity 24 business hours).

In the present report we discuss our market vision and positioning within

investment alternatives T+1 in Pesos, highlighting the main characteristics of

such funds managed by Delta:


▪ Type of Fund: ARS Cash Management.


▪ Launch: July 2005.


▪ Objective: Optimize the management of short-term financial surpluses

(working capital and savings at rate of interest in pesos), trying to obtain

returns above the Badlar rate minus 100 basis points.


▪ Suggested Investment Horizon: 30 days, although it has liquidity in up to 24

working hours. Ideal for those investors who are looking for an alternative of greater

profitability than money funds market, maintaining a conservative profile.


▪ Duration: Target 3 months, normally not exceeds 6 months.

▪ Rating: AAf (arg) by Fix Scr (Affiliate of Fitch Rating).


▪ Performance: Management is focused on maintain adequate levels of liquidity and

very good credit quality on scale national ratings. has consistently outperformed its benchmark (Badlar – 100 basis points).


▪ Current Positioning: Positioned in good quality corporate bonds creditita (mainly Badlar),

financial trusts, fixed terms and a good level of liquidity (allocated in installments

pre-cancelable fixed, money funds market, remunerated bank accounts, etc). The fund has no exposure to letters and Treasury bond.


Delta Asset Management has two Funds with a long and outstanding track record

in the T+1 fixed income fund segment (liquidity 24 business hours). In the present

report we discuss our market vision and positioning within investment alternatives T+1 in Pesos, highlighting the main characteristics of such funds managed by Delta:


DELTA SAVINGS


SPECIAL REPORT

INVESTMENT ALTERNATIVES T+1 FUNDS IN PESOS MAY 2022


Page 1 – See legal on page 5

DELTA SAVINGS PLUS


▪ Type of Fund: Fixed Income ARS Short Term.


▪ Launch: November 2010.


▪ Objective: Capture opportunities for investment and arbitrage on all curves

of fixed income in pesos (CER, Badlar, Fixed Rate, Dollar-Linked, rates implied in futures of

dollar in Rofex, etc) short/medium term.


▪ Suggested Investment Horizon: 120 days, although it has liquidity in 24 hours skillful. Ideal for those investors who seek active curve management short- and medium-term fixed income in pesos.


Duration: Normally around 1 year, currently at 0.8 years.


▪ Rating: A+f (arg) by Fix Scr (Affiliate of Fitch Rating).


▪ Performance: Outstanding performance historical. The Fund seeks to position itself in the

first quartile of profitability with respect to its peer group (T+1 funds in pesos). Likewise, it seeks to surpass its index of Badlar benchmark + 200 basis points.


▪ Current Positioning: Positioned mainly (approximately 55% of the portfolio) in the short sections of the curves CER (bills and sovereign bonds). Saying CER positioning, is located

diversified with Badlar bonds (corporate and provincial) and dollar-linked bonds (both sovereign and corporate) with futures of dollar sold in Rofex (constituting thus synthetically in pesos).


MANAGER'S COMMENT

On May 12, the BCRA made the fifth rate hike of the year, raising the policy rate by 200 points

basic (currently at 49% annual nominal). Likewise, this increase also reached the rest of the

placements in pesos, where the rate of 30-day time deposits for individuals (up to $10 million) is . In the common investment funds (FCI), this is being seen reflecting a greater appetite for T+1 funds such as Delta Ahorro and Delta Ahorro Plus, where certain investors in search for greater profitability, they go from money market funds (funds to compound accrual mainly for fixed terms and remunerated bank accounts that currently have a TNA of around 37%) to T+1 funds (made up of short- and medium-term fixed-income assets that these funds currently have a TNA at 30 days between 44% and 48% depending on the risk profile). In this sense, Delta Ahorro is presented as an attractive alternative to the money market fund due to its conservative profile. At Delta Ahorro we maintain a conservative management, short in duration (around 3 months), focusing on credit quality and liquidity.


The fund is mainly positioned in short Badlar corporate bonds, financial trusts, fixed terms

and a good level of liquidity (allocated in precancelable fixed terms, money market funds and bank accounts remunerated, etc.) Delta Ahorro does not invest in Treasury Bills and Bonds. At Delta Savings Plus we continue actively managing all short and medium term Peso curves. Currently the fund is positioned mainly (approximately 55% of the portfolio) in the short sections of the CER curves (letters and Sovereign bonds). Said CER positioning is diversified with Badlar bonds (corporate and provincial) and dollar-linked bonds (both sovereign and corporate) with dollar futures sold on Rofex increased to TNA of 48% and the Badlar rate is currently around 46%. In this sense, we believe that to continue this process of raising rates. However, at least in the short term, we do not see it reaching positive real rates even when the agreement with the IMF contemplates a structure of interest rates higher than the

inflation. The rate increase differential between the short and long tranches continued to widen, repos to 1 day it only rose 150 basis points, giving greater incentives to investors in the cash management segment and short-term fixed income to assume longer duration


Performance

Delta Savings


DELTA SAVINGS

Cash Management


• Optimize working capital and

savings at interest rate

Pesos


• Portfolio made up of

short fixed income assets

term in Pesos (Obligations

Business, Fixed Terms,

financial Trusts,

Remunerated Account, etc). The

fund has no exposure to

treasury bills and bonds.


• Look for a similar profitability

for a fixed term of 30 days and

the Badlar Rate minus 100

basic points


• Major Alternative profitability than funds money market, maintaining a conservative profile

• Indicative IRR (as of 05/23/22) of portfolio net of commissions for Class B of 54% with a duration of 0.41 years

• Within the universe of T+1 funds, Delta Savings historically it has characterized by being a conservative background, low relative volatility, with high liquidity levels and good credit quality

• More than 15 years of history • Equity as of 05/17/22: ARS 7,490,810,865

• Rated in AAf (arg) by Fix Scr (Affiliate of Fitch Rating)

• Term of accreditation of redemptions: Up to 1 business day • Currency of Subscriptions and bailouts: Pesos

More information from source link: https://deltaam.com.ar/