巴黎银行-新兴市场-投资策略-哥伦比亚监测：AFP的持股大幅增加-20190703-8页 (2).pdf

(1.5)0.01.53.04.52013201420152016201720182019Non-residents monthly change(COP trn)3 months moving average0.3|FOCUS 03/07/2019 1 FOCUS|EM 03 July 2019 Colombia Monitor:AFPs equity holdings increase considerably KEY MESSAGES Colombias total public debt increased by 1.9%in May to COP314.1trn(USD92.9bn)from COP308.3trn in May,according to the Ministry of Finance.Debt holdings of non-residents represented 44.8%of international reserves during the month,down 8.2pp from the corresponding period last year.Meanwhile,AUM of local pension funds increased by 1.5%m/m and 10.4%y/y in April,according to Superintendencia Financiera de Colombias latest report.Total equity holdings have increased to COP124.1trn(USD39.9)this year,representing a 14.4%YTD growth of USD5bn.EM STRATEGY Breaking up AUM variations into flows and performance components Colombias total public debt increased by 1.9%in May to COP314.1trn(USD92.9bn)from COP308.3trn in May,according to the Ministry of Finance.The share of non-residents in the countrys public debt,meanwhile,increased in absolute terms by a marginal 0.4%m/m to COP78.7trn(USD23.3bn).Public debt holdings of foreign investors continued to show a decline in relative terms in May as pension funds have increasingly raised their participation in public debt by 1.8%(USD0.4bn)m/m and 22.7%y/y(USD4.9bn).See Fig.1.During the month,debt holdings of non-residents represented 44.8%of international reserves,down 8.2pp from the corresponding period last year.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 2022,2025 and 2026 bonds.While there was a significant increase in allocations for the 2020 and the recently issued 2034 bonds,for nominal rate bonds allocations declined slightly in the belly of the curve.For real rate bonds,the allocations continue to be bigger in shorter maturities,with the exception of the 2035 bond(see Fig.4 and 5).Table 1 and Fig.1-3:Breakdown of public debt Sources:Bloomberg LLP,Colombias Ministry of Finance;BNP Paribas.Data as of May 2019.28.5%25.0%21.4%15.4%9.5%0%8%15%23%30%2013201420152016201720182019Holdings as a%of total debtNon-residentsPension FundsCommercial BanksPublic SectorOthersCOP(trn)May-19m/my/yApr-19 May-18Domestic Public Debt314.11.9%12.3%308.3279.8Pension Funds89.61.8%22.7%88.173.1Non-residents78.70.4%7.9%78.472.9Public Sector67.31.8%3.9%66.264.8Commercial Banks48.52.9%13.9%47.142.6Others30.05.3%13.5%28.526.4Non-residents%of Intl.Reserves44.8%-5.4%-8.2%50.2%53.0%Samuel Castro,EM/Latam Strategist|Luca Maia,EM/Latam Strategist Andre Digiacomo,EM/Latam Strategist|Banco BNP Paribas Brasil 2%8%14%20%26%5234058752013201420152016201720182019COP trnNon-residents holdings of local debtNon-residents holdings as a%of total debt(RHS)|FOCUS 03/07/2019 2 EM STRATEGY Sources:Bloomberg LLP,Colombias Ministry of Finance;BNP Paribas,data as of May 2019.Fig.4-5:Public debt maturity profile Portfolio holdings of local private pension funds Assets under management(AUM)of local pension funds increased by 1.5%m/m and 10.4%y/y in April,according to Superintendencia Financiera de Colombias latest report.Colombias pension fund system comprises mandatory,voluntary and unemployment funds and manages assets worth COP291.8trn(USD93.9bn).Colombian Administradoras de Fondos de Pensiones(AFPs),meanwhile,increased their local fixed income holdings by 1.2%m/m(USD0.5bn)in April.However,their foreign fixed income holdings remained flat at COP18.4trn(USD5.9bn).Their total equity holdings have increased considerably to COP124.1trn(USD39.9)this year from a 7.3%decline (USD2.8bn)at the end of 2018,representing a 14.4%YTD growth of USD5bn.The growth was led by local equity holdings,which increased by 17.8%(USD2.6bn)in April.Foreign equity holdings also picked up during the month,increasing by 4.8%(USD2.4bn).For more details see Table 2.AFPs remained heavily invested 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 April,the same as in March.Of this,moderate funds accounted for the largest share,representing 69%of the AUM.Mandatory funds AUM increased by 1.8%m/m(USD1.5bn)in April,resulting in a 9.1%(USD6.9bn)YTD increase.While conservative and retirement funds continued to see an increase in their total holdings in March up 2.3%(USD0.2bn)and 2.1%(USD0.2bn),respectively,the holdings of voluntary funds increased by only 1%m/m.Only unemployment funds saw their AUM decline by 3.3%m/m(USD0.2bn).Table 2 and Fig.6-7:Holdings of local private pension funds COP(trn)Apr-19Mar-19Apr-18Assets DistributionAUM(COP)%of Total m/m%y/y%YTD%AUM(COP)%of Total AUM(COP)%of TotalPension Funds291.8-1.5%10.4%10.2%287.6-264.3-Fixed Income155.353%1.1%12.3%7.5%153.653%138.352%Local Fixed Income136.947%1.2%14.0%10.3%135.247%120.145%Foreign Fixed Income18.46%0.2%1.2%-9.9%18.46%18.27%Equities124.143%3.0%7.7%14.4%120.542%115.244%Local Equities52.918%0.7%8.7%17.8%52.518%48.618%Foreign Equities71.224%4.8%7.0%12.1%68.024%66.625%Other Investments12.44%-8.0%15.4%4.3%13.55%10.74%Profile Distribution291.8%of Totalm/m%y/y%YTD%287.6%of Total264.3%of TotalMandatory254.487%1.8%10.4%9.1%249.987%230.487%High Risk5.22%29.4%94.9%92.3%4.01%2.71%Moderate202.669%1.2%7.5%8.0%200.370%188.571%Conservative23.28%2.3%19.5%9.9%22.68%19.47%Retirement23.58%2.1%18.5%7.9%23.08%19.87%Voluntary22.38%1.0%10.6%5.9%22.18%20.18%Unemployment15.15%-3.3%9.8%40.5%15.65%13.85%Short term5.02%-6.8%8.1%1134%5.42%4.62%Long Term10.13%-1.4%10.6%-2.3%10.34%9.13%04080120Apr-19Mar-19Apr-18Fixed Income(COP,trn)Equties(COP,trn)Other Inv.(COP,trn)060120180Apr-19Mar-19Apr-18Mandatory(COP,trn)Voluntary(COP,trn)Unemployment(COP,trn)Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas.Data as of April 2019.Samuel Castro,EM/Latam Strategist|Luca Maia,EM/Latam Strategist Andre Digiacomo,EM/Latam Strategist|Banco BNP Paribas Brasil 5.2%6.0%6.5%10.7%8.7%8.6%9.1%9.2%4.0%8.8%5.5%5.8%3.2%2.2%4.8%0.9%1.0%0%4%7%11%010203020192020202120222023202420252026202720282030203220332034203520372049Nominal rates maturity profile(COP bn)Real rates maturity profile-TES UVR(COP bn)%of total(rhs)-0.1pp0.3pp-0.1pp-0.2pp0.0pp-0.2pp0.1pp-0.2pp0.1pp0.1pp-0.1pp-0.1pp-0.1pp0.3pp-0.1pp0.2pp0.0pp-0.6-0.30.00.3-3-10120192020202120222023202420252026202720282030203220332034203520372049Monthly difference in real rates maturity profile-TES UVR(COP bn)Monthly difference in nominal rates matury profile(COP bn)Difference in pp|FOCUS 03/07/2019 3 EM STRATEGY Samuel Castro,EM/Latam Strategist|Luca Maia,EM/Latam Strategist Andre Digiacomo,EM/Latam Strategist|Banco BNP Paribas Brasil Fig.8-13:Holdings of local private pension funds Sources:Superintendencia de Pensiones,Bloomberg LLP,BNP Paribas.Data as of April 2019.Conclusion and strategy Foreign holdings of Colombias public debt have increased by only 1.7%YTD,while those of local pension funds increased by 14.5%.An increase in non-residents appetite for Colombias public debt could bring foreign investors back and lead to an appreciation of the COP.We recently locked in profits in our short EURCOP via a 3m NDF strategy(see Colombia:Lock in profits on short EURCOP).We also recently increased our allocation in our IBR 5y tactical payer position to USD10,000 DV01 from USD7,000 DV01(see Colombia:Increase allocation in 5y IBR).47%6%18%24%4%Local Fixed IncomeForeign Fixed IncomeLocal EquitiesForeign Equities0%25%50%75%100%Mar-11Dec-12Sep-14Jun-16Mar-18060120180240Mar-11Dec-12Sep-14Jun-16Mar-18(COP,trn)Other InvestmentsForeign EquitiesLocal EquitiesForeign Fixed Income2%69%8%8%8%5%Mandatory-High riskMandatory-ModerateMandatory-ConservativeMandatory-RetirementVoluntaryUnemployment0%25%50%75%100%Mar-11Dec-12Sep-14Jun-16Mar-18060120180240Mar-11Dec-12Sep-14Jun-16Mar-18(COP,trn)UnemploymentVoluntaryMandatory-RetirementMandatory-Conservative 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 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