20181016-法国巴黎银行-FOCUS_COLOMBIA_MONITOR_PENSION_FUNDS_INCREASE_FIXED_INCOME_SHARE_10页_449kb

Colombia Monitor: Pension Funds Increase Fixed Income Share

Core Content

This document provides an analysis of Colombia's public debt and pension fund investment trends as of 2018. It outlines the performance of the pension fund system, the distribution of assets under management (AUM), and the evolution of holdings in fixed income and equities.

Key Information

• Public Debt Growth: Colombia's total public debt increased by 16% in COP terms (16.5% in USD) in 2018, reaching COP75.1tn (USD25.2bn), with non-residents' share rising to 25.4% from 26.6% at the end of 2017.
• Foreign Investors: Although foreign investors have increased their holdings in the public debt market, their relative share has remained nearly unchanged.
• Debt Maturities: The largest maturities in the nominal rates market are the 2022s, 2024s, and 2026s. For real rate bonds, maturities decrease with longer terms, except for the 2033 and 2035 bonds.
• Pension Fund AUM: The AUM of local private pension funds increased by 4.7% year-to-date in 2018, reaching USD89bn.
• Fixed Income Holdings: Colombian Administradores de Fondos de Pensiones (AFPs) increased their holdings of local fixed income by 6.4% (USD2.5bn) and foreign fixed income by 13.2% (USD0.7bn) in 2018.
• Equity Holdings: The pension fund system decreased its foreign equity holdings by 0.5% (USD0.1bn), while local equity holdings increased by 5.7%, representing a USD0.9bn increase.
• Profile Distribution: Mandatory funds represented 88% of the AUM, with moderate funds accounting for the largest share (72%). Conservative and retirement funds also saw significant increases in AUM (11% and 10%, respectively).
• Unemployment Funds: Unemployment funds increased their AUM by 16% this year, reaching USD0.6bn.
• Portfolio Shift: AFPs shifted their portfolio from foreign to local assets, with local assets increasing by USD3.3bn, supporting the rates strategy on Colombia.

Main Points

• Debt Composition:

  • Domestic public debt was COP295.7tn (17% of total) in September 2018.
  • Pension funds held COP77.0tn (26.0%) of total public debt.
  • Non-residents held COP75.1tn (25.4%) of total public debt.
  • Public sector held COP68.2tn (23.1%) of total public debt.
  • Commercial banks held COP47.6tn (16.1%) of total public debt.
  • Others held COP27.9tn (9.4%) of total public debt.

• Asset Distribution in Pension Funds:

  • Fixed income made up 53% of the AUM.
  • Local fixed income represented 46% of AUM, while foreign fixed income accounted for 7%.
  • Equities accounted for 44% of AUM, with local equities making up 18% and foreign equities 26%.
  • Other investments made up 3% of AUM.

• Portfolio Changes:

  • Mandatory funds saw a 4% increase in AUM (USD3.2bn).
  • Voluntary funds increased by 5% (USD0.3bn).
  • Conservative funds increased by 11% (USD0.6bn).
  • Retirement funds increased by 10% (USD0.7bn).
  • Unemployment funds increased by 16% (USD0.6bn).

Strategy Implication

• The shift from foreign to local assets in pension funds supports the rates strategy on Colombia, highlighting the potential for high positive carry and rolldown.
• The document serves as a basis for investment decisions and is not intended to be an exhaustive analysis.

Legal and Regulatory Information

• This document is non-independent research and may be subject to conflicts of interest.
• It is intended for Professional Clients and Eligible Counterparties under MiFID II.
• The document may contain "Research" as defined under MiFID II unbundling rules and is only available to those who have signed up for BNPP Global Markets Research packages or are out of scope.
• It is not intended for distribution to the general public and may not be relied upon as an offer to sell or purchase securities.
• BNPP may have a financial interest in the securities or entities mentioned, and may engage in transactions that may conflict with the views expressed.
• The document is for informational purposes only and does not constitute a prospectus or public offering.

United States Disclosures

• Options: Options are complex instruments that may involve a high degree of risk and are only suitable for sophisticated investors.
• ETFs: ETFs have risks including tracking error, currency and geopolitical risks, and may involve conflicts of interest with BNPP.
• Convertibles Securities: Some securities may not be registered under US securities laws and are considered restricted securities.
• Distribution Restrictions: The report may be distributed only to qualified institutional buyers or non-US persons under applicable exemptions.
• U.S. Solicitation: This document is a general solicitation of derivatives business and is subject to U.S. Commodity Exchange Act regulations.

Conclusion

The document highlights the growth in Colombia's public debt and the shift in pension fund investments towards local fixed income, which supports a strategic outlook on interest rate movements. It also includes important legal and disclosure information for investors in the U.S. and U.K.