巴黎银行-新兴市场-投资策略-智利监测：AFPs转向更为保守的基金-20190621-10页_497kb

Chile Monitor: AFPs Move to More Conservative Funds

Core Content

This report provides an analysis of the asset under management (AUM) changes and investment allocation trends in Chilean private pension funds (AFPs) for May 2019, highlighting a shift towards more conservative investments and the impact on the Chilean peso (CLP) and foreign holdings.

Key Findings

• AUM Growth: The total AUM of Chilean private pension funds increased by CLP1.05trn (USD1.5bn) to CLP145.0trn (USD204.3bn) in May.
• Debt Titles: The total stock of Chilean debt titles rose by 1.2% q/q to CLP210trn (USD308bn) and by 9.8% y/y.
• Fixed Income Changes:
  • Treasury instruments increased by 5.7% (USD2.1bn).
  • Time deposits saw a 10.7% increase (USD0.9bn).
  • Companies’ bonds increased by 7.6% (USD1.0bn).
• Equity Investments:
  • Local equities decreased by 4.9% m/m (USD1.0bn).
  • Foreign equities decreased by 3.6% m/m (USD2.1bn).
  • Stocks and mutual funds holdings dropped sharply due to a shift to a lower risk profile.
• Fund Flows:
  • Type E funds (most conservative) had the largest inflow of CLP1.8trn, marking the biggest AUM increase since January 2016 (9.1% m/m or USD3.0bn).
  • Type A and B funds (riskier) saw outflows, reflecting a broader trend towards conservatism.
  • Type C funds maintained the largest share of AUM at 35.4%, while Type E funds now hold 17.8%, making them the second-largest category.
• Foreign Holdings: AFPs are expected to reduce their foreign holdings further, which may pressure the CLP to appreciate.
• Currency Performance: The CLP appreciated 2.20% vs USD in June, despite underperformance in May.

Investment Allocation

• Fixed Income accounted for 62.7% of total AUM in May, with Treasury instruments making up 19.3%.
• Equities represented 37.7% of total AUM, with local equities at 9.4% and foreign equities at 28.3%.
• Mutual Funds increased their share of public debt to 16.6%, becoming the third-largest holder of Chilean public debt.
• Pension Funds remained the largest holders of public debt at 33.0%, though their holdings decreased slightly.

Public Debt Dynamics

• Mutual and Investment Funds increased public debt holdings by 6.4% q/q (USD3.1bn).
• Foreign investors and pension funds reduced their holdings by 1.3% and 0.8%, respectively.
• Banks & Cooperatives held 10.7% of public debt, with a 3.7% q/q increase.

Strategy Implications

• The shift to conservative funds is expected to continue, potentially leading to further reduction in foreign holdings.
• The appreciation of the CLP is anticipated due to the reduction in foreign currency exposure.
• The report recommends maintaining a short EURCLP position via a 3m NDF based on the belief that the CLP will continue to appreciate.
• The document serves as a marketing communication and is not investment research, subject to MiFID II regulations and conflicts of interest.

Disclaimer

• The document is non-independent research and may be subject to conflicts of interest.
• It does not constitute an offer to sell or issue financial instruments.
• Past performance is not indicative of future results.
• Indicative prices are not actual transaction terms and may vary significantly.
• The document contains performance data based on back-testing, which is for illustrative purposes only.
• Confidentiality is emphasized, and the information is not to be used or shared without prior written consent.
• Important disclosures are provided for options, ETFs, and unregistered securities, emphasizing the risks and suitability for sophisticated investors.

Conclusion

AFPs have significantly reduced portfolio risk in May, with a notable shift towards more conservative funds, particularly Type E. This trend is expected to continue, potentially further decreasing foreign holdings and increasing pressure on the CLP to appreciate. The report provides insights into the investment behavior and market implications but is not investment advice and is subject to legal and regulatory disclaimers.