20180118-法国巴黎银行-Mexico__Pension_funds_and_local_debt_-_January_report_13页_364kb

Summary of the Latin America Strategy Report - Mexico: Pension Funds and Local Debt (January 2018)

Core Content Overview

This report provides an analysis of non-resident holdings of Mexican public debt and the investment behavior of Mexican pension funds (Afores) in January 2018. It includes detailed breakdowns of debt allocation, exposure in different bond types, and the evolution of pension fund portfolios, with a focus on fixed income and equities.

Key Information and Trends

Non-Resident Holdings

• Non-resident holdings of Mexican public debt increased to USD 110.4bn in January 2018 from USD 106bn in December 2017.
• Non-residents hold 64% of international reserves, which total USD 173bn.
• Nominal rate exposure (Mbonos) has been decreasing since October 2017, with a 1% increase in January 2018.
• In MXN terms, the reduction in exposure was less pronounced.
• The short end of the yield curve saw a rebound in non-resident holdings in the last quarter of 2017 after a consistent decline.
• Non-residents allocated 48.6% of their holdings to maturities above 10 years.

Pension Fund Holdings

• Pension funds (Siefores) are the largest holders of real rate bonds (UDIbonos), accounting for 50% of the total UDIbonos market.
• The average duration of pension funds in nominal rate bonds (Mbonos) has fallen to 7.7 years, down from a peak in 2015.
• In real rate bonds, pension funds maintain an average duration of about 8 years and have rebalanced their portfolios to keep this measure stable.
• In January 2018, pension funds held MXN 1,381bn (21.6% of total public debt), a 1% decrease from December 2017.

Portfolio Shifts

• Mexican pension funds have increased foreign equity holdings by 38% and decreased fixed income share by 12% compared to the previous year.
• UDIbonos account for 23% of pension fund holdings, while Mbonos account for 12%.
• Cetes (Mexican Federal Treasury Certificates) make up 7% of pension fund holdings, with a 0% change in December 2017.
• Foreign equities increased by MXN 531bn (17% of AUM) in December 2017, while Mbonos decreased by MXN 8bn.
• Overall, pension funds reduced their nominal rate exposure in the real rates market in December 2017, but increased real rate exposure in response to rising inflation.

Total Assets Under Management (AUM)

• In December 2017, Afores' total AUM reached MXN 3,151bn, with MXN 8.1bn in inflows and MXN 18.6bn in profits from asset appreciation.

Key Views

• Non-resident investors have been reducing their exposure in the nominal rate market, with a 1% increase in January 2018.
• Pension funds have shifted their investment strategy from nominal to real rates, partially reversing a previous upward trend.
• Foreign equities and UDIbonos have seen significant growth in pension fund holdings, while Mbonos and fixed income have declined.
• The UDIbonos market remains heavily influenced by pension funds, which hold 50% of the market share.

Tables and Charts

• Table 1 provides a breakdown of local public debt by holder type, including domestic public debt, pension funds, local funds, insurance companies, non-residents, and others.
• Charts 1-4 show the distribution of non-resident holdings in Mexican public debt.
• Charts 5-6 highlight the non-resident share of Mexican local debt and its relation to international reserves.
• Charts 7-10 display the percentage of total outstanding debt held by non-residents and pension funds.
• Charts 11-12 focus on the DV01 exposure of non-residents and pension funds in Mbonos and UDIbonos.
• Charts 13-14 show the exposure breakdown across the yield curve.
• Charts 15-17 illustrate the average duration of holdings in Mbonos and UDIbonos for both non-residents and pension funds.
• Charts 19-21 and Charts 24-25 provide an overview of pension fund exposure in Mbonos and UDIbonos, and their overall equity and fixed-income allocation.

Legal and Compliance Notes

• This document is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading.
• It is intended for Relevant Persons and is not an offer to sell or issue securities.
• Indicative prices are provided for informational purposes and are not actual transaction terms.
• Performance data is based on back-testing and may not reflect real-world market conditions such as liquidity, fees, or transaction costs.
• Options and ETFs discussed are complex and may involve high risk. Investors should consult independent advisors and review prospectuses before making any investment decisions.

Contacts

• Gabriel Gersztein: Head of FX & IR Latam Strategy, +55 11 3841 3421, gabriel.gersztein@br.bnpparibas.com
• Gustavo Mendonca: FX & IR Latam Strategy, +55 11 3841 3445, gustavo.mendonca@br.bnpparibas.com
• Samuel Castro: FX & IR Latam Strategist, +55 11 3841 3492, samuel.castro@br.bnpparibas.com

Disclaimer

• The information and opinions in this document are based on public sources and may not be independently verified.
• BNPP does not accept responsibility for the accuracy or completeness of the information.
• The document is for informational purposes only and should not be relied upon as authoritative.
• No guarantees are made regarding future performance or results.