Americanas Effect: Funds that invest in corporate bonds experience losses of up to 5% in a single day

The accounting bomb unveiled by Americanas – which could push the company’s debt up to around R$ 40 billion – has generated a sharp repricing of the company’s bonds and caused the shares of some funds to collapse in recent days.

The worst loss was recorded by the Verde AM Carry Master FI Mult Crédito Privado fund, which recorded a 4.49% drop in returns between the 11th and 12th of this month. In all, about 10% of the fund’s assets were allocated to Americanas bonds as of September 2022, according to a survey conducted by Economatica at the request of InfoMoney, with funds across various classes having a position in the retailer’s corporate bonds.

Another fund that took a hit was Itau Prev V Cred AM FI RF Cred Priv, whose losses reached 4.1% over the same period. It was not possible to determine how much of the portfolio was allocated to corporate securities.

Both funds are non-exclusive and have a shorter repayment term, such as D+01 or D+3.

Since the disclosure of the material fact by which the company communicated to the market the existence of an accounting gap, the value of the bonds has plummeted in recent days and the shares have begun to be marked at a 50% discount compared to the previous day’s value on the 12th of this month.

The decline in prices is due to the sharp increase in rates, which have skyrocketed as the increased risk investors have begun to consider on paper.

In this sense, the mark to market, which is carried out daily by investment funds, has negatively penalized the product quotas.

DI funds

In addition to credit funds, the survey conducted by Economatica draws attention to the losses recorded on some DI funds. On the list, the worst performing product on the 12th of this month was Western Asset DI Max RF Ref FI, which posted losses of 0.29%.

Since corporate credit assets are considered riskier securities than government-issued bonds, the top recommendation by financial planners is that investors do not use this type of fund as an emergency reserve.

In this case the preference of the allocators is that the subject prefers Certificates of Deposit Banking (CDB) with daily liquidity and which offer 100% of the CDI, securities such as Selic Treasuries or DI type funds with no private credit in portfolio, such as this increases the risk of the product.

The country’s most beloved fund has not escaped

The fund with the most investors in the country, Nu Reserva Imediata — from Nu Asset Management, Nubank’s investment fund manager — was also hit.

Between the 11th and 13th of this month, the fund lost 0.70%. Over the same period, the CDI (the benchmark fixed income rate) rose by 0.1%. On 13 January alone, the yield was negative by 0.75%, against a slight rise of 0.05% for the CDI.

The fund has 1.37 million shareholders, according to data released last Thursday (12) by the Brazilian Association of Financial and Capital Market Entities (Anbima).

On its website, Nu Asset describes that the fund has low risk and could also be an option to store emergency reserve – which tends to go against the advice of financial planners, as it also has debt securities in its portfolio. private.

The Nu Reserva Immediata is pegged to the CDI and has daily liquidity. This year the product has recorded a cumulative loss of -0.26%, against a 0.51% increase in the CDI rate. In 2022 the fund closed with a gain of 13.03%, higher than the 12.37% recorded by the Cdi, also because it had private credit securities in its portfolio.

In practice, the fund regulation explains that the product can invest up to 50% of its assets in private debt securities. By observing the slide below, it is possible to verify that 27% of the product allocation was made up of private securities.

A survey conducted by Economatica at the request of InfoMoney shows that in September 2022 Americanas bonds represented approximately 0.97% of the fund’s net assets.

The fund’s most significant position in bonds, in turn, was in Qualicorp (QUAL3). As of September of last year, the allocation represented 3.20% of the fund.

The fund’s other bonds came from companies in the healthcare, energy and financial sectors, as well as technology and auto leasing.

Researched by InfoMoney, Nu Asset Management said the fund has a strategy designed to “be a low-risk, highly liquid option, and that seeks to outperform the CDI over time.”

The house added that, like dozens of funds on the market with the same profile, Nu Reserva Imediata also invests in private credit assets, within a regulatory limit. In view of the incident, the manager announced that the small portion of the investment in Lojas Americanas bonds was reviewed by the house.

Funds make provisions and record assets as bad debts

With a view to impacting the fund’s units, the decision in favor of the retailer Americanas (AMER3) – which granted protection against the expiry of the debt and granted 30 days to present a judicial recovery request – forced the managers of the credit fund to take a more hard with particular attention to the protection of products and shareholders.

In an investigation on the Brazilian Securities Commission (CVM) website, InfoMoney found at least 21 relevant facts in which bad debt (PDD) provisions were made for assets issued by Lojas Americanas, Americanas and B2W.

All the documents specify that the provision was adopted after the 4th Commercial Court of Rio de Janeiro granted an urgent precautionary measure at the request of Americanas (AMER3) against the early maturity of the debts.

The decision sought to give the company breathing room to face an unprecedented crisis. On the same day, the Rio de Janeiro Court of Justice (TJRJ) also gave Americanas 30 calendar days to file for judicial recovery.

In practice, the decision suspended the possibility of blocking, seizure or attachment of the company’s assets. It also deferred the dealer’s obligation to pay its debts, “buying time” for the company.

Since both decisions were taken after the market closed last Friday (13th), the funds had to act.

Marc Foster, head of Western Asset, which has funds that invest in US bonds, says the provision must have been made by the directors because there was worse news on the sidelines from Friday (13th) to Monday and prices didn’t have time to “To react” .

With small positions in US bonds, the Western Asset executive says there is “enough information” to make decisions right now and that the house is following closely, but “not moving.”

In practice, instead of making the daily mark-to-market, the administrator directly affects the fund’s portfolio by placing a loss reserve for the stock, which can be changed if the stock’s prospects get worse or better.

“The measure is based on the news. It is used when the price does not reflect the manager’s best view. It has more information than the prices reflect,” Foster assesses.

The Western Asset specialist explains that the provision is only an accounting entry for the reduction of equity and that there is no liquidity being “consumed”.

According to the relevant facts read from the report, the administrators have not detailed the extent of the provision, nor have they communicated how it will be implemented.

When contacted by InfoMoney, Intrag DTVM, which manages a number of funds that stock the assets of the Americanas, said only that the pertinent and material information is in the material fact. And that the document informs that a provision has been made following the information disseminated after the market closed on Friday.

In addition to making the provisions, the directors informed in the relevant facts that the provision will affect – exceptionally – the “conversion criteria originally envisaged by the regulation, in relation to the movements (requests and redemptions) of the fund as at 16 January”.

Maurício Reis, fund analyst at TAG Investimentos, explains that the relevant facts do not provide details, but leave room for the interpretation according to which the administrator could – exceptionally – not accept the redemption or the investment this Monday (16) until will not have the Doubtful Debtor Disposition (PDD) provided correctly.

For him, the provision is a conservative strategy adopted by the managers and which tends to better reflect reality in times when there is no reference price for a stock.

The practitioner, however, makes no secret that the sourcing may not be as good for the shareholder as the daily mark-to-market. This is because with the markup, if rates fall further, the price of paper tends to rise and this tends to have a positive effect on the investor’s share.

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