巴黎银行-新兴市场--宏观策略-墨西哥：外国人对Mbonos的曝光开始反弹-20190329-11页_614kb

Mexico: Foreigners' Exposure to Mbonos Started to Rebound

Core Content Overview

This document provides an analysis of the exposure of non-residents and pension funds to Mexican public debt in early 2019, highlighting trends in bond holdings, duration, and the impact of macroeconomic factors such as inflation.

Key Findings

Non-Resident Exposure

• Rebound in Exposure: Non-residents' exposure to Mexican public debt rebounded in 2019, increasing by USD3.4mn DV01 year-to-date (YTD), or 7.8% in dollar terms and 5.6% in local currency terms.
• Overall Position: Non-residents hold USD47.6mn DV01 in Mbonos, which accounts for 83.8% of their total exposure.
• Tenor Preferences:
  • The Nov-42 tenor remains the largest portion of non-residents' exposure, representing 15.9% of total exposure, at USD7.6mn DV01.
  • Exposure to Jun-27 tenor increased significantly to USD6.3mn DV01.
  • Non-residents have shifted focus to longer and medium-term tenors, with maturities above 10 years accounting for 53.4% of their total exposure in early 2019, up from 47.5% in November 2018.
• Foreign Exposure Trends: Despite a 5.4% decrease in USD terms compared to the same period in 2018, the overall foreign exposure remains relatively stable.

Pension Funds (Siefores)

• Increased Exposure to Inflation-Linked Bonds: Pension funds increased their exposure to inflation-linked bonds (UDlbonos) to USD33mn DV01.
• Duration Reduction: They have been reducing their duration in UDIbonos consistently.
• Local Pension Fund Holdings: Local pension funds are the largest holders of real rate bonds, with a USD33mn DV01 exposure.
• Afores Performance:
  • Total assets under management (AUM) for Afores reached MXN3,460bn (USD179.4bn) in February 2019, up 5.6% q/q.
  • Inflows totaled MXN35.3bn in February, and PnL from asset appreciation/depreciation was estimated at MXN24bn (USD1.24bn).
  • Fixed Income Holdings increased 9% YTD to USD12.6bn, driven by a 10% increase in UDIbonos (USD4.2bn).
  • Equities Holdings decreased 8% q/q and 12% y/y, with foreign equities falling by 12% q/q and 18% y/y, while domestic equities increased slightly.
  • Pension funds have been switching from equities to fixed income, especially during the last quarter of 2018.

Public Debt Breakdown

• Non-Resident Holdings: Non-residents hold MXN2.24trn (USD114.8bn) of Mexican public debt, up 5% q/q from MXN2.13trn (USD107.7bn) in December 2018.
• Share of Total Debt: Non-residents account for 32.2% of total public debt, with their share relatively stable over recent years.
• Pension Funds: Pension funds hold MXN1.642trn (USD85.5bn), or 23.6% of total public debt, up 4% q/q.
• Other Holders:
  • Local Funds: MXN800bn (USD42.4bn), or 11.5% of total public debt.
  • Insurance Companies: MXN445bn (USD23.7bn), or 6.4% of total public debt.
  • Commercial Banks: MXN452bn (USD24.1bn), or 6.5% of total public debt.
  • Others: MXN1.267trn (USD67.3bn), or 18.2% of total public debt.
  • Banxico Holdings: MXN105bn (USD5.6bn), or 1.5% of total public debt, with a notable -57% q/q change.

Summary of Trends

• Non-Residents:
  • Increasing exposure to longer and medium-term bonds.
  • Mbonos remain the largest part of their portfolio.
  • Their average duration in Mbonos has been stable at around five years.
• Pension Funds:
  • Increasing exposure to inflation-linked bonds (UDlbonos).
  • Reducing duration in UDIbonos.
  • Shifting from equities to fixed income.
  • UDlbonos now account for 52.6% of total UDIbono holdings.

Legal and Disclosure Notes

• This document is a marketing communication and not investment research.
• It is non-independent research and may be subject to conflicts of interest.
• It is not intended for retail investors and is directed at Professional Clients and Eligible Counterparties.
• The information is based on public sources and may not be independently verified.
• Indicative prices and performance data are provided for informational purposes and are not guarantees.
• Options and ETFs mentioned in the document are complex instruments and may involve high risk.
• Confidentiality and non-disclosure of certain information are emphasized.

Conclusion

The Mexican public debt market has seen a rebound in foreign exposure, with non-residents increasing their holdings in longer and medium-term bonds. Meanwhile, pension funds have increased their exposure to inflation-linked bonds and reduced their duration in UDIbonos. These shifts reflect broader market dynamics and evolving investor preferences, particularly in response to inflation trends and risk management strategies.