巴黎银行-新兴市场-宏观策略-墨西哥监测：Siefores业绩回到正轨-20190524-11页.pdf

24/05/19 Andre 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 Brasil Mexican Monitor:Siefores performance back on track KEY MESSAGES Non-residents exposure to nominal rates has rebounded this year,increasing by USD3.8mn DV01 to USD48.0mn DV01 YTD,up 8.7%in USD terms,or 5.1%in local currency terms.Afores PnL performance has risen to MXN131bn(USD7.0bn)YTD following a MXN107bn(USD5.5bn)decline in Q4 2018,the biggest drop in 10 years.Pension funds have increased their exposure to inflation-linked bonds(USD35.6mn DV01 currently),but reduced their exposure to nominal bonds,which appear to have rebounded in the past two months.Non-residents holdings of Mexican public debt fell by 1%q/q to MXN2.18trn(USD115.0bn),according to Banxico data.Afores total assets under management(AUM)rose to MXN3,5781bn(USD189.0bn)in April.Equity holdings of Afores increased MXN41.2bn in April,leading to a 4%q/q increase(USD1.4bn).Measuring the exposure of non-residents and pension funds(Siefores)We examined how players are positioned in local rates and calculated non-residents exposure in each tenor and the overall DV01 for fixed-rate bonds by using Banxicos data up until 25 April 2019.Non-residents exposure to nominal rates fell sharply in 2018(by USD9.3mn DV01)but has rebounded this year,increasing by USD3.8mn DV01 to USD48.0mn DV01 YTD,up 8.7%in USD terms,or 5.1%in local currency terms.However,compared to the corresponding period last year,their exposure has declined 10.2%in USD terms(USD5.5mn DV01).A month on month comparison shows that,foreign exposure fell 1.3%in USD terms(USD0.65mn DV01)-see Figure 3.Foreigners biggest exposure remains in the Nov-42 tenor,accounting for 16.0%of total exposure currently at USD7.7mn DV01(Fig.2).Fig.1-3:Breakdown of non-residents DV01 exposure in Mbonos and bonds Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas;DV01 is a risk metric that shows the dollar price change that results from a one basis point change in yield(parallel change of the yield curve).0.30.81.60.12.22.90.25.12.56.23.62.81.62.14.57.74.00358Dec 19Jun 20Jun 21Dec 21Jun 22Dec 23Sep 24Dec 24Mar 26Jun 27May 29May 31Nov 34Nov 36Nov 38Nov 42Nov 47Exposure as of 25-Apr-19(USD DV01,mn)-0.1-0.1-0.10.10.0-0.2-0.1-0.10.1-0.3-0.10.10.30.5Dec 19Jun 20Jun 21Dec 21Jun 22Dec 23Sep 24Dec 24Mar 26Jun 27May 29May 31Nov 34Nov 36Nov 38Nov 42Nov 47Difference in exposure between 25-Apr-19 and28-Mar-19(USD DV01,mn)48.09145035065095051729415365Jan 10Jul 11Jan 13Jul 14Jan 16Jul 17Jan 19Exposure(USD DV01,mn)Exposure(MXN DV01,mn,rhs)U.S.presidential Election61.5FOCUS|EM Strategy24 May 2019 Please refer to important information and MAR disclosures at the end of this report 1 EM STRATEGY 24/05/19 Andre 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 Brasil The distribution of holdings throughout the curve shows little change in non-residents allocation.In March,foreign investors mainly increased their exposure in the May-29 tenor.In April,the decline in foreign exposure was spread across several tenors(see Fig.3).Non-residents exposure to the long end of the curve has increased since November 2018,with maturities above 10 years now accounting for 54.7%of total exposure(Fig.5)compared to 47.5%in November 2018.The increase in medium-and long-term exposure was due to an overall increase in foreign exposure and a decline in short-term exposure.Fig.4-5:Non-residents ownership of Mbonos as a%of total outstanding and exposure breakdown Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas We have also used Banxicos breakdown of nominal rates(Mbonos)and real rates(UDIBonos)holdings to verify the average duration and exposure of non-residents and local pension funds(Siefores).The average duration of pension funds in nominal rate bonds has fallen since the beginning of 2015 and now stands at 6.5 years(Fig.6).For foreign investors,the average duration of these bonds has been broadly stable at around five years for the past eight years(Fig.7).In the real rates space,pension funds,whose UDIbonos holdings comprise 52.0%of the total,have reduced their average duration since the beginning of 2018 and rebalanced their portfolios to keep the duration at around eight years,currently at 7.4 years(Fig.8).Non-residents have also reduced their duration in real rates since the beginning of 2018,currently at seven years.Yet,non-residents only hold 3.7%of the total UDIbonos market.Fig.6-9:Average duration of non-residents and Siefores in Mbonos and UDIbonos(years)Sources:Banxico,Bloomberg LLP,BNP Paribas 0%20%40%60%80%100%Jan 10Jul 11Jan 13Jul 14Jan 16Jul 17Jan 19Long Term(10y)exposureMedium Term(5y-10y)exposureShort Term(5y)exposure as a%of total54.7%29.1%16.2%57.0%68.2%63.5%15%30%45%60%75%Jan 10Jul 11Jan 13Jul 14Jan 16Jul 17Jan 19Short Term(5y)Medium Term(10y)77.0%6.57891011Jan 10Apr 12Jul 14Oct 16Jan 19Pension funds(Siefores)average duration in Mbonos(years)5.24.65.05.35.76.0Jan 10Apr 12Jul 14Oct 16Jan 19Foreigners average duration in Mbonos(years)7.47.07.58.08.59.0Jan 10Apr 12Jul 14Oct 16Jan 19Pension funds(Siefores)average duration in UDIbonos(years)Jun-16 bond expired7.067891011Jan 10Apr 12Jul 14Oct 16Jan 19Foreigners average duration in UDIbonos(years)2 EM STRATEGY 24/05/19 Andre 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 Brasil Even though inflation data have moved to healthier levels,pension funds have increased their exposure to inflation-linked bonds(currently at USD35.6mn DV01),but cut their exposure to nominal bonds,which appear to have rebounded in the past two months(Fig.10 and 11).Fig.10-12:Pension funds(Siefores)exposure to Mbonos and UDIbonos(USD DV01,mn)Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas Public debt dynamics and holders Non-residents holdings of Mexican public debt decreased by 1%q/q to MXN2.18trn(USD115.0bn),according to Banxico data.Tables 1-2:FX positioning scored and changes in Latam and CEEMEA Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas 14.9101622283440Jan 10Apr 12Jul 14Oct 16Jan 19Pension Funds(Siefores)MBonosexposure(USD DV01,mn)30.92.50246810Jan 10Apr 12Jul 14Oct 16Jan 19Foreigners UDIbonos exposure(USD DV01,mn)10.335.64.42.03.65.26.8513212937Jan 10Apr 12Jul 14Oct 16Jan 19Pension Funds(Siefores)UDIBonosexposure(USD DV01,mn)CPI YoY(rhs,%)MXN(bn)May-19q/qy/yApr-19May-18Domestic Public Debt7,097%of Total3%6%6,917%of Total6,710%of TotalPension Funds1,68423.7%3%20%1,63623.7%1,40821.0%Local Funds83911.8%11%11%75510.9%75711.3%Insurance Companies4566.4%3%26%4406.4%3615.4%Non-residents2,18530.8%-1%3%2,21532.0%2,12231.6%Banxico Holdings2042.9%48%-30%1372.0%2924.4%Commercial Banks4256.0%-10%-13%4756.9%4887.3%Others1,30518.4%4%2%1,25818.2%1,28219.1%1-Banxico holdings reflect the position of the securities that the Bank of Mexico receives for repurchase transactions with financial intermediaries and securities delivered to the Bank of Mexico by credit institutions with the purpose of guaranteeing operations.2.9%6.0%23.7%11.8%30.8%18.4%0%10%20%30%40%Jul-15Apr-16Jan-17Oct-17Jul-18Apr-19Pension FundsLocal FundsInsurance CompaniesNon-residentsBanxico HoldingsCommercial BanksOthers30.8%30.0%33.0%36.0%39.0%1.61.81.92.12.2Jul-15Apr-16Jan-17Oct-17Jul-18Apr-19Non-residents(MXN trn)Non-residents(rhs,%)(7.7)(75)(25)2575125Jul-15Apr-16Jan-17Oct-17Jul-18Apr-19MXN bnNon-residents monthly change 3 EM STRATEGY 24/05/19 Andre 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 Brasil As regards international reserves,non-residents hold 65.1%of the total USD176.7bn reserves,in line with last year data(65%).Their share of total holdings has also been relatively steady in the past two years(Fig.18).Fig.17-18:Non-residents share of Mexican local debt Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas As we highlighted earlier,non-residents hold most of their positions in the Mbonos market(84.6%),local pension funds have large positions in inflation linkers(UDIbonos)and remain the largest holders of real rate bonds.Figures 19-22 show investors share of total issuance by bond type.Fig.19-22:Holdings as a percentage of total outstanding for non-residents and pension funds Sources:Bloomberg LLP,Mexican Central Bank(Banxico),BNP Paribas ANNEX:Mexican pension funds(Afores)Afores total assets under management(AUM)increased to MXN3,5781bn(USD189.0bn)in April,up 5.3%q/q.Inflows during March,meanwhile,totalled MXN28.4bn(contributions are collected bi-monthly)while in April,the PnL from the appreciation/depreciation of assets was around MXN40bn(USD2.32bn).Afores saw their PnL performances improve to MXN131bn(USD7.0bn)in 2019YTD following a decline of MXN107bn(USD5.5bn)in Q4 2018,the biggest drop in 10 years.May-16,59.89%May-18,61.55%May-19,65.10%55%62%69%76%83%Jul-15Apr-16Jan-17Oct-17Jul-18Apr-19Non-residents holdings as%of Intl.reserves3 years ago1 year ago8.2%30.8%30.0%32.0%34.0%36.0%38.0%5.0%5.8%6.6%7.4%8.2%9.0%Jul-15Apr-16Jan-17Oct-17Jul-18Apr-1910Y TIIE(inverted,%)Non-residents(rhs,%)4.0%31.2%60.7%0%15%30%45%60%75%Jun-15Mar-16Dec-16Sep-17Jun-18Mar-19Non-residents(zoom)UDIBonosCetesMbonos54.3%20.9%14.6%0%15%30%45%60%Jun-15Mar-16Dec-16Sep-17Jun-18Mar-19Siefores -pension fund system(zoom)UDIBonosCetesBonos0%18%35%53%70%Jun-05Mar-08Dec-10Sep-13Jun-16Mar-19Non-residents UDIBonosCetesMbonos1.0%18.0%35.0%52.0%69.0%Sep-01Aug-04Jul-07Jun-10May-13Apr-16Mar-19Siefores -pension fund systemUDIBonosCetesBondes DMbonos 4 EM STRATEGY 24/05/19 Andre 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 Brasil Table 3 and Fig.23-24:Breakdown of pension funds holdings Sources:Bloomberg LLP,Consar,BNP Paribas Afores fixed income holdings have risen significantly in the last quarter(USD8.1bn,or 6%),supported by a strong increase in UDIbonos(10%,or USD4.7bn),which now comprise 26%of Siefores total AUM.We have also seen a significant decline in Siefores CETES holdings in the past three months(-17%,or USD1.7bn).Meanwhile,Afores equity holdings increased MXN41.2bn in April,leading to a 4%q/q increase(USD1.4bn).However,Afores equity holdings fell 7%(USD2.7bn)compared to March 2018.Foreign equity holdings led the decline(11%y/y,or USD3.1bn),while domestic equity holdings increased 4%y/y,or USD0.4bn.In sum,fixed income assets now make up an even larger share of Mexican pension funds portfolios.Fig.25-26:Breakdown of pension funds holdings Sources:Bloomberg LLP,Consar,BNP Paribas Strategy implications Factors responsible for the higher exposure of non-residents include the current interest rate level,which offers an attractive carry for foreign investors in an environment where rates have been compressing worldwide,and Mexicos investment-grade status,which has aligned with a more controlled inflation,placing the country in the spotlight.This is in line with our view and positions on Mexico.We are currently positioned via TIIE 10y and TIIE 1y1y receivers(see Mexico:Increase exposure in the short end of the TIIE).(MXN,bn)Apr-19q/q%y/y%Jan-19Apr-18Afores3,581.05%of Total5.3%9%3,400%of Total3,278%of TotalFixed Income2,88981%6%14%2,73580%2,53377%Government Securities1,89253%7%18%1,76752%1,59949%Mbonos42912%5%14%40912%37711%UDIbonos94626%10%22%85725%77924%Cetes1594%-17%-7%1926%1715%Reportos1023%22%15%832%883%UMS global bonds271%0%3%271%261%Others2296%15%44%1996%1595%International Bonds431%26%46%341%291%Corporate Bonds65018%3%1%63319%64520%Infrastructure3038%1%17%3009%2608%Equities68319%4%-7%65619%73422%Domestic2186%4%4%2116%2106%Foreign46513%4%-11%44513%52416%4299461591022722943650303MbonosUDIbonosCetesReportosUMS global bondsOthersInternational BondsCorporate BondsInfrastructureFixed Income Allocation(MXN,bn)218465DomesticForeignEquity Allocation(MXN,bn)6001300200027003400Jan-09Dec-10Nov-12Oct-14Sep-16Aug-18Pension Funds Equity Allocation(MXN,bn)Pension Funds Fixed Income Allocation(MXN,bn)25.6%74%80%86%92%98%Jan-09Dec-10Nov-12Oct-14Sep-16Aug-184%10%16%22%28%Pension Funds Equity Allocation(%of AUM,rhs)Pension Funds Fixed Income Allocation(%of AUM)5 LEGAL NOTICE This document has been written by our Strategist and Economist teams within the BNP Paribas group of companies(collectively“BNPP”);it does not purport to be an exhaustive analysis,and may be subject to conflicts of interest resulting from 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