1FOCUS3April2019Peru:Foreigners’exposuretomedium-termbondsincreasesNon-residentsexposuretotheSoberanoscurveWehaveupdatedourstudyofnon-residents’exposuretotheSoberanoscurvewithdataavailableuntiltheendofFebruary2019.ThePENappreciatedby0.9%againsttheUSDbetweenJanuaryandFebruaryandforeigninvestors’exposuretoPENnominalratesincreasedby5.6%(Fig.1)duringthesameperiod,nowatUSD12.4mnDV01(27.9%y/yfromUSD9.7mn).Thedataalsoshowsthatnon-residentscontinuedtohavethehighestexposuretotherecently-issuedAugust2032bond–USD2.4mnDV01fromUSD2.3mnDV01onemonthago(Fig.3).Althoughforeigners’exposuretolong-termbondsisthemostrepresentative(~52.5%),itisworthnotingthatsinceMay2018theirexposuretomedium-termbondshasincreasedversuslongermaturities.InFebruary,theshareoflong-termexposuredecreasedsubstantiallycomparedtothetotalexposure(12.2pp).However,thathappenedpartiallyduetoachangeinthemethodology–Feb-29bondnowaccountsformedium-termandnotlong-termexposure.EveniftheFeb-29bondisexcludedfrommedium-termissuances,theshareofmedium-termexposurestillshowsanincreaseof4.4pp,whilelong-termexposureshowsadeclineof4.5pp.Peru’spensionfundsystem,meanwhile,decreaseditsexposuretothecurveby3.9%inFebruary.SincethepeakinMarch2018(USD8.8mnDV01),theirexposurehasdecreased24.6%,downbyUSD2.16mnDV01(Fig.1).Asidefromnon-residents,pensionfundsmaintainedthesecond-largestexposuretothenominalbondmarket,totallingUSD6.6mnDV01.Pensionfunds’biggestexposurecontinuestobetheAugust2031bond(USD1.6mnDV01)–seeFig.3.LocalbanksaremoreexposedtothebellyofthecurveandhavemaintainedtheirbiggestexposureintheAugust2024(USD0.6mnDV01)andFebruary2029(USD0.7mnDV01)bonds.LATINAMERICASTRATEGYPleaserefertoimportantinformationattheendofthereportFOCUS|EM|LATAM02April2019TMKEYMESSAGESForeigninvestors’exposuretoPENnominalratesincreasedby5.6%betweenJanuaryandFebruary,nowatUSD12.4mnDV01(27.9%y/y).Althoughforeigners’exposuretolong-termbondsisthemostrepresentative(~52.5%),itisworthnotingthatsinceMay2018theirexposuretomedium-termbondshasincreasedversusl...
