巴黎银行-新兴市场-宏观策略-智利监测：外国持有的公共债务增加-20190422-11页.pdf

1 FOCUS 22 April 2019 Chilean Monitor:Foreign holdings of public debt increase Breaking up AUM variations into flows and performance components Assets under management(AUM)of Chilean private pension funds(AFPs)increased CLP3.0trn(USD4.9bn)to CLP141.7trn(USD208.5bn)in March.The increase was led by a strong performance in all types of funds managed by AFPs(see Fig.1-2).To understand the AUM variation within AFPs,we separated the latest available AUM data by flows and performance.When looking at flows,allocations into more conservative funds continued last month.The biggest inflow was into Type E funds(most conservative funds),while the biggest outflow was from Type A funds(riskiest funds),in line with our analysis(See Chilean Pension Funds:big player;watch it closely).Thus,we found that Type E fund flows are negatively correlated to Type A fund flows.Flows accounted for CLP0.3trn of the total increase in AUM during the month.Furthermore,flows were not volatile as usual and were responsible for CLP200bn monthly(see Fig.4).LATIN AMERICA STRATEGY Please refer to important information at the end of the report FOCUS EMERGING MARKETS|LATAM 22 April 2019 Andre Digiacomo FX&IR Latin America Strategy+55 11 3841 3445 Samuel Castro FX&IR Latin America Strategy+55 11 3841 3492 Luca Maia FX&IR Latin America Strategy+55 11 3841 3447 Banco BNP Paribas Brasil S.A.TM KEY MESSAGES NEW:The total stock of Chilean debt titles increased 2.4%q/q and 9.3%y/y to CLP207trn(USD299bn),according to the latest data.Foreign investors recorded the biggest change during the month;their holdings of Chilean public debt increased by 20.9%y/y to CLP50trn(USD72.0bn or 24.1%of total).Assets under management(AUM)of AFPs increased CLP3.0trn(USD4.9bn)to CLP141.7trn(USD208.5bn).The increase was led by a strong performance in all types of funds managed by AFPs.The most conservative funds now comprise 16.4%of AFPs AUM,an increase of 2pp y/y.Despite higher allocation in more conservative funds,AFPs foreign holdings rose in all types of funds,according to our portfolio breakdown.In fixed income,the biggest change in March was in time deposits,which decreased by 5.7%(USD0.5bn),while Treasury instruments increased 3%(USD1.1bn).While holdings of local equities decreased 3.3%m/m(USD0.7bn),those of foreign equities increased 4.5%m/m(USD2.6bn),moved mainly by mutual fund holdings.We recently increased our short EURCLP position via a 3m NDF as we see a favourable environment for the Chilean currency to appreciate.2 FOCUS 22 April 2019 Fig.1-4:Breakdown of Chiles private pension funds AUM variation(flows and performance)Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas;In Fig.1-2,aggregated means all funds,from A to E.Portfolio allocation of local private pension funds For an in-depth analysis,we separated AFPs assets by instrument from the data.Treasury instruments had the highest allocation among local fixed income investments 18.6%of the total AUM,followed by bank bonds(14.8%).In fixed income,the biggest change in March was in time deposits,which decreased by 5.7%(USD0.5bn),while Treasury instruments increased 3%(USD1.1bn).We have seen this gradual increase in Treasury instruments and decrease in time deposits in all types of AFP funds since February 2018.With regard to equity investments,local equity holdings decreased 3.3%m/m(USD0.7bn),while foreign equity holdings increased 4.5%m/m(USD2.6bn),moved mainly by mutual funds holdings,which increased 6.1%in March(USD2.7bn).-3.2-1.8-0.41.02.43.8Feb-17Aug-17Feb-18Aug-18Feb-19CLPtrnAggregated FlowsAggregated PerformanceAggregated AUM Variation590620650680-8.0-4.5-1.02.56.09.5Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19CLPtrnousa dsSpread(A-E)-Performance(6m rolling)Spread(A-E)-Flows(6m rolling)Spread(A-E)-AUM Variation(6m rolling)USDCLP(inverted,rhs)-1.02.56.09.513.0Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19CLPtrnAggregated Performance(6m rolling)Aggregated Flows(6m rolling)Aggregated AUM Variation(6m rolling)0100200300400500Feb-16Aug-16Feb-17Aug-17Feb-18Aug-18Feb-19Aggregated Monthly FlowsAverageCLPbn 3 22 April 2019 FOCUS Table 1:Chiles private pension fund allocation Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas.Despite the increase in allocation in more conservative funds,AFPs foreign holdings rose in all types of funds in March.The increase occurred in fixed income and equities,resulting in a 6%increase(USD4.8bn)in foreign asset holdings(see Fig.8).Fig.5-10:Local private pension fund allocations and spot USDCLP position Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas.The strong returns in March led AFPs to increase their AUM for all types of funds.We saw some outflows from riskier funds(types A and B)to the more conservative ones(types D and E).Type D funds saw the biggest AUM increase of 2.9%m/m(USD1.0bn),while type E funds saw the second biggest increase of 2.6%m/m(USD0.9bn).CLP(bn)Mar-19%of Totalm/m%y/y%Feb-19%of Total Mar-18%of TotalFixed Income85,98260.7%3.2%10.7%83,34060%77,66660%Local Fixed Income66,68947.1%1.7%12.6%65,54547%59,20245%Treasury instruments26,35618.6%3.0%31.7%25,58518%20,01015%Banks bonds21,00314.8%1.5%4.8%20,68715%20,03715%Companies bonds8,9246.3%3.5%13.5%8,6196%7,8616%Time deposits6,0674.3%-5.7%-11.3%6,4345%6,8395%Other4,3393.1%2.8%-48.7%4,2203%8,4576%Foreign Fixed Income19,29313.6%8.4%4.5%17,79513%18,46414%Equities55,89139.4%2.3%6.1%54,62239%52,67340%Local Equities14,68210.4%-3.3%-0.3%15,18811%14,72311%Stocks11,7528.3%-4.0%0.3%12,2459%11,7179%Investment Funds and Others2,4101.7%-2.8%-19.8%2,4792%3,0062%Foreign Equities41,21029.1%4.5%8.6%39,43329%37,95029%Mutual Funds31,62422.3%6.1%7.2%29,81822%29,49323%Alternative Assets1,7581.2%5.4%-1,6671%0-Other7,8285.5%-1.5%-7.4%7,9476%8,4576%Other Investments-186-0.1%-148.8%-256.0%3810%1190%Profile distributionMar-19m/m%y/y%Feb-19Mar-18Type A;riskiest20,42914.4%1.6%2%20,09915%19,93715%Type B;risky23,04916.3%2.1%8%22,57016%21,43316%Type C;intermediate50,57335.7%2.5%5%49,36336%48,20037%Type D;conservative24,39117.2%2.9%12%23,70217%21,82917%Type E;most conservative23,20716.4%2.6%22%22,60816%19,05915%Total141,6872.4%8.6%138,342130,459Total Local80,97057%0%9%80,91458%74,04557%Total Foreign60,71743%6%8%57,42842%56,41343%020406080100120140Jan-11Jan-13Jan-15Jan-17Jan-19(CLP tn)Other InvestmentsLocal Fixed IncomeForeign Fixed IncomeLocal EquitiesForeign Equities0%20%40%60%80%100%Jan-11Jan-13Jan-15Jan-17Jan-1947.1%13.6%10.4%29.1%-0.1%Local Fixed IncomeForeign Fixed IncomeLocal EquitiesForeign EquitiesOther Investments460520580640700-16-12-8-4020132014201520172018Chiles Central Bank FX Operations-Spot MarketUSDCLP(rhs)-15000-12000-9000-6000-3000038%40%42%44%46%20132014201620172019PF Total Foreign Holdings(%AUM)Chiles Central Bank FX Operations-Spot Market45053061069034%38%42%46%20132014201620172019PF Total Foreign Holdings(%AUM)USDCLP(rhs)4 FOCUS 22 April 2019 Type C funds continued to have the largest share of total AUM(35.7%),followed by type D funds with 17.2%.The most conservative funds now comprise 16.4%of AFPs AUM,an increase of 2pp y/y.Type E funds now have the third biggest share compared to a year ago,when they were the smallest in terms of AUM.Public debt dynamics and holders Total stock of Chilean debt titles increased 2.4%q/q to CLP207trn(USD299bn)and 9.3%on a y/y basis,according to the latest data.The biggest change was recorded by foreign investors,who increased their public debt holdings by 20.9%y/y(USD12.5bn)to CLP50trn(USD72.0bn),while banks and cooperatives decreased their holdings of public debt,both on a q/q and y/y 1.9%(USD0.6bn)and 12.6%(USD4.5bn),respectively.Meanwhile,pension funds increased their exposure to Chilean public debt by 6.5%q/q(USD6.1bn)and 9.9%y/y(USD9.1bn).Pension funds were the major holders of public debt with a 33.6%share,while foreign investors were the second biggest holder,accounting for 24.1%.Both pension funds and foreign investors increased their relative shares over 2018 by 0.2pp and 2.3pp,respectively.Fig.11-16:Local private pension funds allocation Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas.14.5%16.3%35.7%17.1%16.3%Highest riskRiskyIntermediateConservativeMost conservative2.53.34.04.85.56.333%41%48%56%63%200920112012201420162018PF Local Fixed Income Holdings(%TotalFI)5y Swap CLPxCAM(RHS,INV.)240032004000480056008%11%14%17%20%200920112012201420162018PF Local Equities Holdings(%Total Equity)IPSA Index(RHS)051015202530200920112012201420162018Chile AFPs,profile A assets(trn,CLP)Chile AFPs,profile E assets(trn,CLP)0%20%40%60%80%100%Jan-11Jan-13Jan-15Jan-17Jan-19020406080100120140Jan-11Jan-13Jan-15Jan-17Jan-19(CLP tn)Highest riskRiskyIntermediateConservativeMost conservative 5 22 April 2019 FOCUS Table 2 and Fig.17-20:Chiles Public Debt Breakdown Sources:Chilean Central Bank,Bloomberg LLP,BNP Paribas.Data as of December 2018.Conclusion and strategy AFPs decreased the amount of risk in their portfolios in March,while the pension funds system increased foreign holdings in all types of funds.Foreign investors,meanwhile,increased their holdings of Chilean public debt.While we see a weaker dollar cycle making it favourable for foreign investors to further increase their public debt holdings,we see Chiles pension funds as having other investment alternatives apart from increasing their foreign holdings systematically,mainly if the AFPs continue to migrate to less riskier assets.We recently increased our in short EURCLP via a 3m NDF position(See Chile:Increase long position in CLP)as we see a favourable environment for the Chilean currency to appreciate.CLP(trn)Dec-18q/qy/ySep-18Dec-17Public Debt207.4%of total2.4%9.3%202.4%of total189.7%of totalBanks&Cooperatives21.610.4%-1.9%-12.6%22.010.9%24.713.0%Foreign investors50.024.1%6.3%20.9%47.023.2%41.321.8%Pension Funds69.733.6%6.5%9.9%65.532.3%63.433.4%Mutual and Investment Funds32.815.8%-2.2%14.3%33.516.6%28.715.1%Others33.316.0%0.00.134.417.0%31.516.6%10.4%15.8%0.5%33.6%8.9%0.3%6.4%24.1%Banks&CooperativesMutual and InvestmentFundsOther FinancialintermediariesPension FundsInnsurance CompaniesGovernmentOther Local SectorsForeign Investors050100150200250Mar-13Mar-14Mar-15Mar-16Mar-17Mar-18OthersMutual and Investment FundsBanks&CooperativesForeign investorsPension Funds holdings of Public debt(CLP trn)55065075085095013%15%18%20%23%25%Mar-13Jun-14Sep-15Dec-16Mar-18Foreign investors share of total debt(%)USDCLP Inverted(rhs)-5051015Jun-13Sep-14Dec-15Mar-17Jun-18Quarterly change in public debt(CLP trn)1y moving average 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 r