巴黎银行-新兴市场-宏观策略-秘鲁：外国人对中期债券的风险敞口增加-20190402-9页.pdf

1 FOCUS 3 April 2019 Peru:Foreigners exposure to medium-term bonds increases Non-residents exposure to the Soberanos curve We have updated our study of non-residents exposure to the Soberanos curve with data available until the end of February 2019.The PEN appreciated by 0.9%against the USD between January and February and foreign investors exposure to PEN nominal rates increased by 5.6%(Fig.1)during the same period,now at USD12.4mn DV01(27.9%y/y from USD9.7mn).The data also shows that non-residents continued to have the highest exposure to the recently-issued August 2032 bond USD2.4mn DV01 from USD2.3mn DV01 one month ago(Fig.3).Although foreigners exposure to long-term bonds is the most representative(52.5%),it is worth noting that since May 2018 their exposure to medium-term bonds has increased versus longer maturities.In February,the share of long-term exposure decreased substantially compared to the total exposure(12.2pp).However,that happened partially due to a change in the methodology Feb-29 bond now accounts for medium-term and not long-term exposure.Even if the Feb-29 bond is excluded from medium-term issuances,the share of medium-term exposure still shows an increase of 4.4pp,while long-term exposure shows a decline of 4.5pp.Perus pension fund system,meanwhile,decreased its exposure to the curve by 3.9%in February.Since the peak in March 2018(USD8.8mn DV01),their exposure has decreased 24.6%,down by USD2.16mn DV01(Fig.1).Aside from non-residents,pension funds maintained the second-largest exposure to the nominal bond market,totalling USD6.6mn DV01.Pension funds biggest exposure continues to be the August 2031 bond(USD1.6mn DV01)see Fig.3.Local banks are more exposed to the belly of the curve and have maintained their biggest exposure in the August 2024(USD0.6mn DV01)and February 2029(USD0.7mn DV01)bonds.LATIN AMERICA STRATEGYPlease refer to important information at the end of the report FOCUS|EM|LATAM 02 April 2019 TM KEY MESSAGES Foreign investors exposure to PEN nominal rates increased by 5.6%between January and February,now at USD12.4mn DV01(27.9%y/y).Although foreigners exposure to long-term bonds is the most representative(52.5%),it is worth noting that since May 2018 their exposure to medium-term bonds has increased versus longer maturities.Pension funds maintained the second-largest exposure to the nominal bond market,totalling USD6.6mn DV01.Foreigners share of public debt increased 6.1%m/m in February(USD1.06bn),now at USD18.5bn.Assets under management(AUM)of Perus private pension funds increased 1.6%m/m in February to PEN159.8bn(USD48bn).We are currently positioned in short USDPEN via 3m NDF.Andre Digiacomo FX&IR Latin America Strategy+55 11 3841 3445 Luca Maia FX&IR Latin America Strategy+55 11 3841 3447 Samuel Castro FX&IR Latin America Strategy+55 11 3841 3492 Banco BNP Paribas Brasil S.A.2 FOCUS 3 April 2019 Fig.1-4:Non-residents exposure to the Soberanos curve and breakdown Sources:BRCP,Bloomberg LLP,BNP Paribas;Data as of February 2019.Foreign investors share of Perus local debt The central banks latest data on public debt holdings shows that although overseas investors share of public debt fell during most of 2018,it has seen a strong increase since November 2018(Fig.5 and 6).Foreigners share of public debt increased 6.1%m/m in February(USD1.06bn),now at USD18.5bn.It has seen an impressive increase of 53.3%since November(USD6.4bn).As highlighted earlier,pension funds share of public debt started to decline from March 2018(Fig.1)with their share decreasing by 2.1pp in February.Going by the latest data,non-residents holdings of public debt still represents only 29.2%of international reserves.Peru,therefore,remains in a strong position in the event of large financial outflows.Fig.5-8:Non-residents share of Peruvian debt Sources:BRCP,Bloomberg LLP,BNP Paribas;Data as of February 2019.12.436.633.112581114Aug 13Aug 14Aug 15Aug 16Aug 17Aug 18Foreign exposure to nominal bonds(USD DV01,mn)Pension fundsBanks0%20%40%60%80%100%Sep 13Sep 14Sep 15Sep 16Sep 17Sep 18Long term foreign exposure as%of holdings(10y)Medium term%(5-10y)Short term%(5y)0.5 0.60.20.70.30.30.40.70.91.60.71.40.60.71.52.11.62.12.41.701234Aug 20Sep 23Aug 24Jan 26Aug 26Aug 28Feb 29Aug 31Aug 32Aug 37Feb 42Feb 55Non-residents exposure by bond(USD DV01,mn)Pension Funds(AFPs)Local BanksOthers-0.05-0.09-0.07-0.03-0.06-0.12-0.070.030.120.040.100.110.13-0.20-0.100.000.100.20Aug 20Sep 23Aug 24Jan 26Aug 26Aug 28Feb 29Aug 31Aug 32Aug 37Feb 42Feb 55Non-residents exposure monthly change(USD DV01,mn)Pension Funds(AFPs)Local BanksOthers20%40%60%015304560Jan-11Jul-12Jan-14Jul-15Jan-17Jul-18PEN(bn)Non-residents holdings of public sector bonds(3.5)(1.5)0.52.54.56.58.5Jan-12Sep-13May-15Jan-17Sep-18PEN(bn)Non Residents Change(PEN)Euro-clearablebond issuanceBanking institutions10.3%Pension funds23.4%Non-financial public sector2.8%Others5.5%Non residents51.1%Financial public sector7.0%Public sector bonds holdings38%43%48%53%58%3.5%4.5%5.5%6.5%7.5%Jan-12Sep-13May-15Jan-17Sep-18Peru Bono Soberano 10Y yield(reversed)Non-residents holdings as a%of total debt(rhs)3 FOCUS 3 April 2019 Perus private pension funds(AFPs)We examined the portfolios of Perus private pension funds and their performance to analyse the allocation and distribution of assets under management(AUM)over the last few years.Perus private pension fund system currently holds PEN159.8bn(USD48bn)of assets(Fig.10).The highest allocations remain in government securities and foreign mutual funds,which together represent around 63%of the total portfolio(Fig.11).Total AUM of AFPs increased by 1.6%m/m(USD0.8bn).In terms of portfolio composition,while pension funds foreign investment holdings saw the biggest increase of 0.6pp m/m,their holdings of government securities decreased by 0.9pp m/m.Fig.9-12:Pension funds assets under management and breakdown Sources:BRCP,Bloomberg LLP,BNP Paribas;Data as of February 2019.Strategy and implications Perus strong position in the event of large outflows minimizes the risk to the PEN.Furthermore,the increase in foreign exposure to nominal bonds supports our short USDPEN position.-3.1%2.75%2.5%3.0%3.5%4.0%4.5%-10%-5%0%5%10%15%Jan 12May 13Sep 14Jan 16May 17Sep 18Perus pension funds nominal performance YoYPeru overnight rate(rhs)48.03035404550Jan 12May 13Sep 14Jan 16May 17Sep 18Total assets under management(USD bn)Govt.securities,19.20%Other local assets,5.80%Cash,4.40%Corporate bonds,11.30%Local equity,11.10%Foreign funds,44.00%Other foreign assets,3.60%43.2%20.1%4%16%28%40%Jan 10Mar 12May 14Jul 16Sep 18Foreign mutual share of portfolio(%)Government securities share of portfolio 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 their interaction with sales and trading which could affect the objectivity of this report.This document is non-independent research for the purpose of the UK Financial Conduct Authority rules.For the purposes of the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),non-independent research constitutes a marketing communication.This document is not investment research for the purposes of MiFID II.It has not been prepared in accordance with legal requirements designed to provide the independence of investment research,and is not subject to any prohibition on dealing ahead of the dissemination of investment research.The content in this document/communication may also contain“Research”as defined under the MiFID II unbundling rules.If the document/communication contains Research,it is intended for those firms who are either in scope of the MiFID II unbundling rules and have signed up to one of the BNPP Global Markets Research packages,or firms that are out of scope of the MiFID II unbundling rules and therefore not required to pay for Research under MiFID II.Please note that it is your firms responsibility to ensure that you do not view or use the Research content in this document if your firm has not signed up to one of the BNPP Global Markets Research packages,except where your firm is out of scope of the MiFID II unbundling rules.STEER is a trade mark of BNPP.MARKETS 360 is a trade mark of BNP Paribas This document constitutes a marketing communication and has been prepared by BNPP for,and is directed at,(a)Professional Clients and Eligible Counterparties as defined by the recast Markets in Financial Instruments Directive(2014/65/EU)(MiFID II),and(b)where relevant,persons who have professional experience in matters relating to investments falling within Article 19(5)of the Financial Services and Markets Act 2000(Financial Promotion)Order 2005,and at other persons to whom it may lawfully be communicated(together“Relevant Persons”)under the regulations of any relevant jurisdiction.Any investment or investment activity to which this document relates is available only to and will be engaged in only with Relevant Persons.Any person who is not a Relevant Person should not act or rely on this document or its content.Securities described herein may not be eligible for sale in all jurisdictions or to certain categories of investors.The information and opinions contained in this document have been obtained from,or are based on,public sources believed to be reliable,but there is no guarantee of the accuracy,completeness or fitness for any particular purpose of such information and such information may not have been independently verified by BNPP or by any person.None of BNPP,any of its subsidiary undertakings or affiliates or its members,directors,officers,agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty,express or implied,as to the accuracy and completeness of the information or any opinions based thereon and contained in this document and it should not be relied upon as such.This document does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument,nor shall it or any part of it nor the fact of its distribution form the basis of,or be relied on,in connection with any contract or investment decision.To the extent that any transaction is subsequently entered into between the recipient and BNPP,such transaction will be entered into upon such terms as may be agreed by the parties in the relevant documentation.Information and opinions contained in this document are published for the information of recipients,but are not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient,are subject to change without notice and not intended to provide the sole basis of any evaluation of the instruments discussed herein.In providing this document,BNPP does not offer investment,financial,legal,tax or any other type of advice to,nor has any fiduciary duties towards,recipients.Any reference to past performance is not indicative of future performance,which may be better or worse than prior results.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditions,and historical data selected by BNPP,and should not be used as guidance,in any way,of future performance.To the fullest extent permitted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss arising from any use of or reliance on material contained in this document even where advised of the possibility of such losses.All estimates and opinions included in this document are made as of the date of this document.Unless otherwise indicated in this document there is no intention to update this document.BNPP may make a market in,or may,as principal or agent,buy or sell securities of any issuer or person mentioned in this document or derivatives thereon.Prices,yields and other similar information included in this document are included for information purposes however numerous factors will affect market pricing at any particular time,such information may be subject to rapid change and there is no certainty that transactions could be executed at any specified price.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in their securities and/or options,futures or other derivative instruments based thereon,or vice versa.BNPP,including its officers and employees may serve or have served as an officer,director or in an advisory capacity for any person mentioned in this document.BNPP may,from time to time,solicit,perform or have performed investment banking,underwriting or other services(including acting as adviser,manager,underwriter or lender)within the last 12 months for any person referred to in this document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to the extent permitted by law,have acted upon or used the information contained herein,or the analysis on which it was based,before the document was published.BNPP may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document.Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into on such indicative terms.Any indicative price(s)contained herein have been prepared in good faith in accordance with BNPPs own internal models and calculation methods and/or are based on or use available price sources where considered relevant.Indicative price(s)based on different models or assumptions may yield different results.Numerous factors may affect the price(s),which may or may not be taken into account.Therefore,these indicative price(s)may vary significantly from indicative price(s)obtained from other sources or market participants.BNPP expressly disclaims any responsibility for the accuracy or completeness of its own internal models or calculation methods,the accuracy or reliability of any price sources used,any errors or omissions in computing or disseminating these indicative price(s),and for any use you make of the price(s)provided.The indicative price(s)do not represent(i)the actual terms on which a new transaction could be entered into,(ii)the actual terms on which any existing transactions could be unwound,(iii)the calculation or estimate of an amount that would be payable following an early termination of the transactions or(iv)the price(s)given to the transactions by BNPP in its own books of account for financial reporting,credit or risk management purposes.As an investment