1、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
2、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 fr
3、om 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 substantiall
4、y 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
5、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 maint
6、ained 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(USD0.6
7、mn 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
8、).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 DV0
9、1.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 Strat
10、egy+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 o
11、f 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 increa
12、sed 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-res
13、idents 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 2019.12.436.633.112581114Au
14、g 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 0.60.20.70.30.30.40.70.91.60.71.40.60.71.52.11.62.12.41.701234Au
15、g 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
16、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
17、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 t
18、otal 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 PEN1
19、59.8bn(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 investmen
20、t 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
21、 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)48.0303
22、5404550Jan 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 po
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