巴黎银行-新兴市场-投资策略-智利观察：AFPs的投资组合风险在6月份有所上升-20190715-8页_519kb

EM STRATEGY Summary: Chilean AFPs Portfolio Risk Profile and Asset Allocation

Core Content Overview

This document provides an analysis of the changes in the asset under management (AUM) and portfolio risk profile of Chilean private pension funds (AFPs) in June, highlighting the shifts in fixed income and equity holdings, and the implications of these changes on the overall risk exposure of the funds.

Key Findings

• AUM Growth: Chilean private pension funds' AUM increased by CLP3.6trn (USD5.3bn) to CLP148.7trn (USD219.0bn) in June.
• Portfolio Risk Profile: The allocation into riskier funds (Types A and B) increased, raising the overall risk profile of AFPs' portfolios.
• Fixed Income Changes:
  • Treasury Instruments: Increased by 5.2% (USD2.2bn), representing 19.9% of total AUM.
  • Time Deposits: Decreased by 22.4% (USD2.2bn), with a continued downward trend since March 2018.
• Equity Investments:
  • Local Equities: Rose by 3.4% m/m (USD0.7bn), with stocks and mutual funds showing marginal growth.
  • Foreign Equities: Increased by 5.3% m/m (USD3.2bn), contributing to a more aggressive portfolio.
• Fund Flows:
  • Outflows: The largest outflow was in Type E funds (most conservative), with CLP0.85tn of outflows.
  • Inflows: The largest inflows were into Type A and B funds, contributing to the overall AUM increase.
• Fund Type Distribution:
  • Type C: Remains the largest fund type, comprising 35.4% of total AUM.
  • Type D: Second largest, at 17.6% of total AUM.
  • Type A and B: Showed growth in both absolute and relative terms, indicating a shift toward riskier assets.
  • Type E: Experienced a small decrease in AUM, down 0.9% (USD0.3bn).

Portfolio Composition

• Fixed Income: Represents 67.4% of total AUM, with Treasury instruments being the dominant component at 19.9%.
• Equities: Account for 38.5% of total AUM, with a notable increase in foreign equity holdings.
• Foreign Holdings: Increased less than local holdings in absolute terms, while decreasing in relative terms, suggesting a more localized portfolio strategy.

Market Conditions and Currency Trends

• CLP Appreciation: The Chilean peso appreciated 4.66% against the USD in June, despite underperformance in May.
• Fundamentals: The appreciation is attributed to supportive fundamentals, with a short EURCLP position maintained via a 3m NDF.

Legal and Regulatory Information

• Non-Independent Research: This document is non-independent research and constitutes a marketing communication.
• Intended Recipients: It is directed at Professional Clients and Eligible Counterparties under MiFID II, and other Relevant Persons as defined by local regulations.
• Confidentiality: The document is for confidential use and may not be reproduced or distributed without prior written consent from BNPP.
• Disclosure Requirements:
  • Options: Complex instruments not suitable for all investors; only for sophisticated investors.
  • ETFs: Potential tracking error, currency and geopolitical risks, and conflicts of interest due to BNPP's involvement in ETFs.
  • Unregistered Securities: Certain securities may be restricted and only available to Qualified Institutional Buyers or non-US persons.

Conclusion

The June data reflects a shift in AFPs' portfolio towards riskier assets, particularly Types A and B, which increased in allocation. This shift is accompanied by a reduction in time deposits and a continued growth in Treasury instruments. While the risk profile has increased, the overall AUM growth remains positive, driven by inflows into higher-risk funds and a rebound in the CLP against the USD. The document also emphasizes the regulatory and disclosure requirements for the information provided, highlighting the need for careful consideration and professional advice before making investment decisions.