巴黎銀行新興市場秘魯外國對公共債務的敞口在5月份趨于穩(wěn)定

1、FOCUS | EM08 July 2019Please refer to important information and MAR disclosures at the end of this reportEM STRATEGYPeru: Foreign exposure in public debt stabilises in MayKEY MESSAGESForeign investors exposure to PEN nominal rates in May was almost flat at USD14.3mn DV01 increasing just 0.4%.Perus p

2、ension fund system reduced its exposure to the Soberanos curve by 3.2%. Since the peak in March 2018 of USD8.8mn DV01, their exposure has come down by 30.7% or USD2.7mn DV01.Foreign investors medium-term exposures increased in May by 1.6% to USD6.66mn DV01 while short- and long-term exposures remain

3、ed flatForeigners share of public debt increased 2.3% m/m to USD19.6bn from USD19.1bn in April.Meanwhile, total assets under management (AUM) of AFPs remained flat, with the system currently holding assets PEN165.0bn (USD48.8bn).Non-residents exposure to Soberanos curveWe have updated our study of n

4、on-residents exposure to the Soberanos curve with data until May 2019. The PEN appreciated by 2.3% against the USD between April and May and foreign investors exposure to PEN nominal rates remained almost flat at USD14.3mn DV01, increasing by only 0.4%. On a y/y basis it rose 60.2% from USD8.9mn DV0

5、1 (Fig. 1).Although foreigners largest exposure was to long-term bonds (53%), their exposure to medium-term bonds has increased versus longer maturities since May 2018 (Fig. 2).Their medium-term exposure increased by 1.6% to USD6.66mn DV01 in May while short- and long-term exposures remained flat at

6、 USD0.08mn DV01 and USD7.59mn DV01 respectively.Fig. 1-6: Non-residents exposure to the Soberanos curve and breakdownForeign exposure to nominal bonds (USD DV01, mn)Long-term foreign exposure as % of holdings (10y) Medium-term % (5-10y)Short-term % (5y)Foreign Short Term as % of holdings Foreign Med

7、ium TermPension funds Banks 14.33 Foreign Long Term0.5%14100%80%1160%846.5% 6.09 53.0%40%5 3.33 20%2Nov 13Nov 14Nov 15Nov 16 Nov 17 Nov 180%Dec 13Dec 14 Dec 15 Dec 16 Dec 17 Dec 18Non-residents exposure monthly change (USD DV01, mn) Pension Funds (AFPs)Local Banks OthersNon-residents exposure by bon

8、d (USD DV01, mn)5Pension Funds (AFPs)0.30Non-residents exposure as % of total Pension Funds (AFPs)Local Banks Others10.8%Local Banks Others790.10 0.02.312.5%0.040.04 20.00 -0.05-0.031.71.6-0.13-53.8%1.51 -0.10 22.9%0.60.6-0 200Sou

9、rces: Bloomberg LLP, BRCP; BNP Paribas, data as of May 2019.108/07/19Andre Digiacomo, EM/LATAM FX/IR Strategist | Banco BNP Paribas Brasil Luca Maia, EM/LATAM FX/IR Strategist | Banco BNP Paribas Brasil Samuel Castro, EM/LATAM FX/IR Strategist | Banco BNP Paribas BrasilAug 20Sep 23Aug 24Jan 26Aug 26

10、Aug 28Feb 29Aug 31Aug 32Aug 37Feb 42Feb 55Aug 20Sep 23Aug 24Jan 26Aug 26Aug 28Feb 29Aug 31Aug 32Aug 37Feb 42Feb 55獲取報告1、2、3、每周群內(nèi)7+報告；當日華爾街日報、4、行研報告均為公開利歸原作者所有，起點財經(jīng)僅分發(fā)做內(nèi)部學習。掃一掃關(guān)注 回復：加入“起點財經(jīng)”群。EM STRATEGYPension funds trim curve exposurePerus pension funds system cut their exposure to the curve by 3.2

11、% in May. Since peaking in March 2018 at USD8.8mnForeign investors share of Perus local debt up stronglyAlthough overseas investors share of public debt fell for most of 2018, it has seen a strong increase since last November, central bank data show (Fig. 7 and 8). Foreigners share of public debt in

12、creased 2.3% m/m to USD19.6bn from USD19.1bn in April. Since November, their share has risen 66.1% or USD7.8bn.As we flagged earlier, pension funds share of public debt started to decline from March 2018 (Fig. 1). In May 2019, their share fell by 0.7pp m/m, accounting for a 10.5pp decline on a y/y b

13、asis.According to the latest data, non-residents holdings of public debt represent 29.5% of international reserves, a 9.6pp increase since November 2018. In the event of large financial outflows, Peru therefore remains solidly positioned.DV01, their exposure has come USD2.7mn DV01 (Fig. 1).Aside fro

14、m non-residents, pensiondown by 30.7% orfunds maintained thesecond-largest exposure to the nominal bond market, totalling USD6.1mn DV01. Pension funds biggest exposure is divided between August 2031 and August 2037 bonds, atUSD1.5mn and USD1.5mn DV01 respectively (Fig. 4).Local banks largest exposur

15、e is in the belly of the curve. Their biggest exposure is in February 2029 bond (USD0.9mn DV01). In May, their exposure remained flat at USD3.3mn.Fig. 7-9: Non-residents share of Peruvian debtNon-residents holdings of public sector bonds (PEN bn) Non-residents holdings as a % of total debt (RHS)8.5E

16、uro-clearable bond issuancePublic sector bonds holdingsPension funds 20.9%Banking institutions 10.9%65%Pension funds holdings as a % of total debt (RHS)Non-Residents Change (PEN)5.560Non-financial public sector 2.7%50%Financial public sector 6.9%402.5Others 5.1%35%20(0.5)0Jan-1120%(3.5)Jan-12Jul-12

17、Jan-14 Jul-15 Jan-17 Jul-18Sep-13May-15Jan-17Sep-18Sources: Bloomberg LLP, BRCP; BNP Paribas, data as of May 2019.Perus private pension funds remained flat in AUM termsTo analyse the allocation and distribution of assets under management (AUM) in recent years, we examined the portfolios of Perus pri

18、vate pension funds (AFPs) and their performance. Perus private pension fund system currently has AUM of PEN165.0bn, or USD48.8bn.The largest allocations remain in government securities and foreign mutual funds, which together represent 60.1% of the total portfolio (Fig. 11 and 12).Total AUM of AFPs

19、effectively remained flat increasing by just 0.3% m/m (USD0.67bn). In terms of portfolio composition, pension funds holdings of foreign mutual funds saw the biggest increase at 0.9pp m/m, while their holdings of foreign debt holdings rose by 0.5pp m/m.and strategyWe do not hold FX or rates positions

20、 in Peru as we do not see enough premium embedded in their risk assets to justify a trade idea at this juncture. Fig. 10-12: Breakdown of pension funds assets under managementPerus pension funds nominal performance YoYGovt. securities,Other17.52% foreignassets, 4.65%Other local assets, 5.61% Cash,6.

21、01%Foreign mutual share of portfolio (%) Government securities share of portfolio15%4.5%Peru overnight rate (rhs)40% 41.6% 10%4.0% 2.7% 3.5%5%Corporate 28% bonds,12 39%16%0%3.0% 17.4% -5%Local equity, 11 33%Foreign funds, 42 53% 2.75% May 17 Sep 18-10%Jan 122.5%4%Jan 10Mar 12May 14Jul 16Sep 18May 13

22、 Sep 14 Jan 16Sources: Superintendencia de Pensiones, Bloomberg LLP, BNP Paribas, data as of 14 June 2019.208/07/19ribas Brasil rasilas BrasilPEN (bn)Nonresidents 53.5%LEGAL NOTICEThis document has been written by our Strategist and Economist teams within the BNP Paribas group of companies (collecti

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