• New way of calculating growth may reduce percentage increases
  • Revision opens door for lower coupon payments on warrants

Argentine securities tied to economic growth fell to a two-month low on concern that a revision to the way expansion is measured will result in reduced returns.

The warrants dropped 5.2 percent to 9.95 cents at 1:09 p.m. in New York, reaching the lowest price since Jan. 25. Prices have fallen 11 percent since the government said March 30 that it will change the time series used to calculate gross domestic product.

The move is fueling speculation that government tallies of annual economic growth are now more likely to come in under the 3 percent threshold that triggers payouts on the securities, according to Siobhan Morden, the head of Latin America fixed-income strategy at Nomura Holdings Inc. The warrants had surged 44 percent from the end of September through February on wagers that the Argentine economy was poised for faster growth under President Mauricio Macri, who took office in December.

"We would not rule out data revisions that conveniently bias for lower debt service," Morden wrote in a note Friday.

TPCG, a Buenos Aires-based brokerage, recommended investors sell the warrants because of "vast" uncertainties and risks "strongly skewed to the downside."

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