巴黎银行-新兴市场-投资策略-哥伦比亚：养老基金扩大债务市场-20190605-10页 (2).pdf

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 05/06/19 Colombia:Pension funds expand debt market presenceKEY MESSAGES Colombias public debt remained unchanged in April from Marchs COP308.3trn(USD95.3bn),according to the Ministry of Finance.The share of non-residents in Colombias public debt rose by a marginal 0.1%m/m to COP78.4trn(USD24.2bn).The latest report from Superintendencia Financiera de Colombia shows assets under management(AUM)of local pension funds increased 2.1%m/m and 11.2%y/y in March.Although total equity holdings decreased by 7.3%in 2018,they have increased considerably to COP120.5trn(USD38.1),representing an 11.1%YTD growth.Breaking up AUM variations into flows and performance components Colombias total public debt remained unchanged in April from Marchs COP308.3trn(USD95.3bn),according to the Ministry of Finance.The share of non-residents in Colombias public debt,meanwhile,rose by a marginal 0.1%m/m to COP78.4trn(USD24.2bn).Public debt holdings of foreign investors continued to show a decline in April as pension funds have increasingly raised their participation in public debt,up 2.1%(USD0.5bn)m/m in April and 23.5%y/y(USD5.2bn).Table 1 and Fig.1-4:Breakdown of public debt Sources:Bloomberg LLP,Colombias Ministry of Finance;BNP Paribas,data as of April 2019.COP(trn)Mar-19m/my/yFeb-19Mar-18Domestic Public Debt308.4%of Total1.2%15.2%304.7%of Total267.8%of TotalPension Funds86.328.0%3.8%23.5%83.127.3%69.926.1%Non-residents78.325.4%0.3%11.2%78.125.6%70.426.3%Public Sector66.421.5%-0.8%9.4%66.922.0%60.722.7%Commercial Banks49.316.0%1.6%12.1%48.515.9%44.016.4%Others28.19.1%0.1%23.1%28.19.2%22.88.5%Non-residents%of Intl.Reserves47.9%-1.2%-5.0%49.1%-52.9%-0%8%15%23%30%2013201420152016201720182019Holdings as a%of total debt2%8%14%20%26%519334761752013201420152016201720182019COP trnNon-residents holdings of local debtNon-residents holdings as a%of total debt(RHS)(1.5)0.01.53.04.52013201420152016201720182019Non-residents monthly change(COP trn)3 months moving average0.228.0%25.4%21.5%16.0%9.1%Pension FundsNon-residentsPublic SectorCommercial BanksOthersFOCUS|EM 05 June 2019 Please refer to important information and MAR disclosures at the end of this reportEM STRATEGY 1 EM STRATEGY 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 05/06/19 Debt holdings of non-residents represented 47%of international reserves in April,down 7.3pp from the corresponding period last year(Fig.6).The maturities in Colombias nominal rates market are well distributed over the next few years,with the biggest maturities in terms of size being the 2022,2026 and 2028 bonds.There was a substantial decrease in the relative size of the 2019s in April,redistributed mainly for 2020s and 2028s maturities(see Fig.8).For real rate bonds,the allocations continue to be bigger in shorter maturities,with the exception of the 2035 bond(Fig.7).Also noteworthy is that the newly issued TES UVR bond increased the most amongst real rate bonds last month.Fig.5-8:Foreign investors share of Colombias local debt Sources:Bloomberg LLP,Colombias Ministry of Finance.;BNP Paribas,data as of April 2019.3%9%15%21%27%4.5%5.7%6.9%8.1%9.3%2013201420152016201720182019COLTES 10y yield(%)Non-residents holdings as a%oftotal debt(RHS)Jan-15,27.30%Jan-17,42.30%Apr-19,47.05%1,5002,1002,7003,3005%15%25%35%45%55%2013201420152016201720182019Non-residents holdings as a%ofInternational ReservesUSDCOP(rhs)5.3%5.7%6.6%10.9%8.7%8.7%9.0%9.3%3.9%8.8%5.6%5.9%3.2%1.9%4.9%0.7%1.0%0%4%7%11%010203020192020202120222023202420252026202720282030203220332034203520372049Nominal rates maturity profile(COP bn)Real rates maturity profile-TES UVR(COP bn)%of total(rhs)-2.3pp0.6pp0.0pp0.0pp0.1pp0.0pp0.3pp0.0pp0.1pp0.6pp0.0pp0.0pp0.0pp0.3pp0.0pp0.3pp0.0pp-3.2-1.7-0.21.3-10-6-22620192020202120222023202420252026202720282030203220332034203520372049Monthly difference in real rates maturity profile-TES UVR(COP bn)Monthly difference in nominal rates matury profile(COP bn)Difference in pp 2 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 05/06/19 Portfolio holdings of local private pension funds Assets under management(AUM)of local pension funds increased 2.1%m/m and 11.2%y/y in March,according to Superintendencia Financiera de Colombias latest report.Colombias pension fund system comprises mandatory,voluntary and unemployment funds and manages assets worth USD90.7bn.Colombian Administradoras de Fondos de Pensiones(AFPs),meanwhile,increased their local fixed income holdings by 3.6%m/m(USD1.5bn)in March but decreased their foreign fixed Income holdings by 4.6%m/m(USD0.3bn).While total equity holdings decreased by 7.3%in 2018,they have increased considerably to COP120.5trn(USD38.1)this year,representing an 11.1%YTD growth of USD3.8bn.The growth has been led by local equity holdings,which increased by 5.2%m/m(USD0.8bn)in March and 17%YTD(USD2.4bn).Foreign equity holdings also picked up in March,increasing 6.1%(USD1.2bn).AFPs portfolios remained heavy in local fixed income assets,comprising 47%of the total AUM,followed by foreign equities(24%of AUM).The AUM of mandatory funds represented 87%of the entire pension fund system in March,same as in February.Of this,moderate funds accounted for the largest share,representing 70%of the AUM of mandatory funds.The AUM of mandatory funds increased by 2.5%m/m(USD1.9bn)in March,resulting in a 7.2%(USD5.3bn)year-to-date increase.While conservative and retirement funds continued to see an increase in their total holdings in March,up 2.4%(USD0.2bn)and 2.0%(USD0.1bn),respectively,the holdings of voluntary funds increased by 2.4%m/m.Only unemployment funds saw their AUM decline by 4.4%m/m(USD0.2bn)after Februarys bulk up of annual flow.Table 2 and Fig.9-16:Local private pension fund holdings Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas,data as of March 2019.COP(trn)Mar-19Feb-19Mar-18Assets DistributionAUM(COP)%of Total m/m%y/y%YTD%AUM(COP)%of Total AUM(COP)%of TotalPension Funds287.6-2.1%11.2%8.6%281.7-258.5-Fixed Income153.653%2.6%13.7%6.3%149.853%135.252%Local Fixed Income135.247%3.6%14.6%9.0%130.546%118.046%Foreign Fixed Income18.46%-4.6%7.1%-10.1%19.37%17.27%Equities120.542%5.7%8.1%11.1%114.040%111.443%Local Equities52.518%5.2%13.9%17.0%49.918%46.118%Foreign Equities68.024%6.1%4.0%6.9%64.123%65.325%Other Investments13.55%-24.8%13.0%13.3%17.96%11.95%Profile Distribution287.6%of Totalm/m%y/y%YTD%281.7%of Total258.5%of TotalMandatory249.987%2.5%11.3%7.2%243.887%224.587%High Risk4.01%36.3%56.5%48.6%3.01%2.61%Moderate200.370%2.0%9.0%6.8%196.270%183.871%Conservative22.68%2.4%19.7%7.4%22.18%18.97%Retirement23.08%2.0%19.1%5.7%22.58%19.37%Voluntary22.18%2.4%11.3%4.8%21.58%19.88%Unemployment15.65%-4.4%10.2%45.2%16.36%14.25%Short term5.42%-10.2%8.1%1224%6.02%5.02%Long Term10.34%-1.1%11.3%-0.9%10.44%9.24%04080120Mar-19Feb-19Mar-18Fixed Income(COP,trn)Equties(COP,trn)Other Inv.(COP,trn)060120180Mar-19Feb-19Mar-18Mandatory(COP,trn)Voluntary(COP,trn)Unemployment(COP,trn)47%6%18%24%5%Local Fixed IncomeForeign Fixed IncomeLocal EquitiesForeign Equities0%20%40%60%80%100%Mar-11Dec-12Sep-14Jun-16Mar-18060120180240Mar-11Dec-12Sep-14Jun-16Mar-18(COP,trn)Other InvestmentsForeign EquitiesLocal EquitiesForeign Fixed Income1%70%8%8%8%5%Mandatory-High riskMandatory-ModerateMandatory-ConservativeMandatory-RetirementVoluntaryUnemployment0%20%40%60%80%100%Mar-11Dec-12Sep-14Jun-16Mar-18060120180240Mar-11Dec-12Sep-14Jun-16Mar-18(COP,trn)UnemploymentVoluntaryMandatory-RetirementMandatory-Conservative 3 Conclusion and strategy Foreign appetite for Colombias public debt market has decreased this year.Local pension funds have once again increased their equity holdings,this time in both local and foreign equities,and in fixed income,the allocation is heavier in local assets.Meanwhile,the technical position of the Colombian peso has shifted to the short side and is now in oversold territory.A reversal in market appetite for EM public debt could bring foreign funds back to Colombia and lead to appreciation of the COP.One of the main risks in our long COP position,the accumulation reserve program that partially prevented the currency appreciation,has been shut down by Banrep on May 30.We are now positioned short EURCLP via 3m NDF(see Colombia 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