巴黎银行-新兴市场-宏观策略-巴西：地方公共债务中的非居民债务所占份额增加-20190226-10页_579kb

Summary of the Document: Brazil's Public Debt and Pension Fund Trends (February 27, 2019)

Core Content

This document provides an analysis of Brazil's public debt structure, trends in non-resident holdings, and the portfolio allocation of private pension funds as of January 2019. It is authored by BNP Paribas strategists and economists, and includes key financial metrics and projections for the next year.

Main Points

1. Non-residents' Share of Public Debt

• Increase in Holdings: Non-residents' share of Brazilian local public debt rose to BRL433bn (~USD119bn) in January 2019.
• Inflows: Non-resident inflows amounted to BRL14.7bn (~USD4.0bn).
• Percentage of Total Debt: Non-residents accounted for 11.8% of total public debt, representing 31.5% of international reserves (currently at USD377bn).
• Trend Stability: The share of non-residents remained relatively stable, with slight monthly changes.

2. Public Debt Exposure and Duration

• Nominal Rates Exposure: Current public debt exposure to nominal rates is USD63.5mn DV01, with a monthly decay of USD2.1mn DV01.
• Real Rates Exposure: Exposure to real rates (inflation-linked bonds) is USD220mn DV01, with a lower monthly decay of USD0.8mn DV01 due to the high convexity of these bonds.
• Concentration: Nominal rate exposure is concentrated in Jan-23, Jan-25, and Jan-27 bonds, while real rate exposure is concentrated in the Aug-50 bond.

3. Maturity Schedule for the Next 12 Months

• Next Maturity: A significant maturity of BRL120bn (~USD32bn) is expected in March 2019.
• Debt Roll-over: The National Treasury (BNT) is in a comfortable position to roll over the debt stock.
• Guidelines: The BNT aims to increase the share of LFTs (Long-Term Floating Rate Bonds) in the short term, while maintaining a long-term strategy to replace floating rate bonds with fixed rate and inflation-linked instruments.

4. Annual Borrowing Plan Guidelines

• 2018 vs. 2019: Public debt in January 2019 aligned with the 2018 borrowing plan but showed a stronger profile than 2019 guidelines.
• Metrics Outside Goals:
  • Floating rate bonds share was lower than expected.
  • Percentage of debt maturing in 12 months was lower than expected.
  • Average maturity was higher than expected.
• Convergence: The convergence to 2019 guidelines is expected to occur over the year.

5. Average Cost of Domestic Debt

• Current Cost: The average cost of domestic public debt (12-month cumulative) was 9.25%.
• Projection: It is expected to fall to 9.03% in January 2020, based on official forecasts and projections.

Key Information

6. Private Pension Fund Portfolio Allocation

• Total AUM: Brazilian private pension funds (EFPC) managed BRL866bn in November 2018.
• Growth: Total AUM increased by 3.8% since November 2017 (BRL74bn).
• Portfolio Changes:
  • Equity funds increased by BRL28bn.
  • Public debt holdings increased by BRL14bn.
• Breakdown of Holdings:
  • Fixed Income: 73% of total AUM.
  • Public Debt: 18% of total AUM.
  • Private Debt: 2% of total AUM.
  • Equity Funds: 11% of total AUM.
  • Structured Investments: 1% of total AUM, down since 2015.
  • Real Estate Funds: 0% of total AUM.
  • Others: 1% of total AUM, up significantly.

7. Trends in Pension Fund Investments

• Fixed Income Growth: The share of fixed income investments increased.
• Structured Investments Decline: The share of structured investments decreased since early 2015.
• Equity Funds Increase: Equity funds saw a significant increase, with a 26.8% m/m rise.

Important Notes and Disclaimers

• This document is non-independent research and may be subject to conflicts of interest due to its connection with sales and trading activities.
• It is intended as a marketing communication and not as investment research under MiFID II.
• The information and opinions are subject to change without notice and should not be relied upon as authoritative.
• No liability is accepted for any use of the document or its content.
• The indicated prices and performance are for informational purposes only and may vary significantly from other sources.
• The document may contain performance data based on back-testing, which is for illustrative purposes only and does not guarantee future results.
• Options, ETFs, and other securities discussed may involve high risk, and are only suitable for sophisticated investors.
• U.S. Disclosures: Some securities may not be registered under U.S. law and are restricted to Qualified Institutional Buyers or non-U.S. persons.

Conclusion

The document outlines the current state and future outlook of Brazil's public debt, emphasizing the role of non-resident investors, duration and cost trends, and the portfolio changes in private pension funds. It also highlights the guidelines and expectations for the National Treasury and the potential risks associated with the financial instruments discussed.