1、 (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
2、)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 Sup
3、erintendencia 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 COP31
4、4.1trn(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
5、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
6、 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 dec
7、lined 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 20
8、19.28.5%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%78.472.9
9、Public 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%5234058752
10、013201420152016201720182019COP 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 pri
11、vate 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
12、(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 COP124.1t
13、rn(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 s
14、ee 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 sha
15、re,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 vo
16、luntary 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
17、.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%
18、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.
19、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
20、)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%
21、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-
22、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 Sam
23、uel 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
24、 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
25、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 Eq
26、uities0%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
27、-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 pu
28、rport 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 purpo
29、ses 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 t
30、he 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 Researc
31、h,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 t
32、hat 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.MAR
33、KETS 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 r
34、elevant,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
35、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
36、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
37、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 repre
38、sentation 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 solicita
39、tion 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 BN
40、PP,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 e
41、xercise 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 fiduciar
42、y duties towards,recipients.Any reference to past performance is not indicative of future performance,which may be better or worse than prior results.Any hypothetical,past performance simulations are the result of estimates made by BNPP,as of a given moment,on the basis of parameters,market conditio
43、ns,and historical data selected by BNPP,and should not be used as guidance,in any way,of future performance.To the fullest extent permitted by law,no BNPP group company accepts any liability whatsoever(including in negligence)for any direct or consequential loss arising from any use of or reliance o
44、n material contained in this document even where advised of the possibility of such losses.All estimates and opinions included in this document are made as of the date of this document.Unless otherwise indicated in this document there is no intention to update this document.BNPP may make a market in
45、,or may,as principal or agent,buy or sell securities of any issuer or person mentioned in this document or derivatives thereon.Prices,yields and other similar information included in this document are included for information purposes however numerous factors will affect market pricing at any partic
46、ular time,such information may be subject to rapid change and there is no certainty that transactions could be executed at any specified price.BNPP may have a financial interest in any issuer or person mentioned in this document,including a long or short position in their securities and/or options,f
47、utures or other derivative instruments based thereon,or vice versa.BNPP,including its officers and employees may serve or have served as an officer,director or in an advisory capacity for any person mentioned in this document.BNPP may,from time to time,solicit,perform or have performed investment ba
48、nking,underwriting or other services(including acting as adviser,manager,underwriter or lender)within the last 12 months for any person referred to in this document.BNPP may be a party to an agreement with any person relating to the production of this document.BNPP may to the extent permitted by law
49、,have acted upon or used the information contained herein,or the analysis on which it was based,before the document was published.BNPP may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document.Any
50、person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy.This document is for information purposes only and there is no assurance that a transaction(s)will be entered into on such indicative term