巴黎银行-新兴市场-投资策略-哥伦比亚监测：AFP的持股大幅增加-20190703-8页_462kb

EM STRATEGY Summary

Core Content

This document provides an analysis of Colombia's public debt and the portfolio holdings of local private pension funds (AFP), including insights into their asset allocation, performance, and implications for the Colombian peso (COP) and investment strategies.

Key Information

• Colombia's Public Debt:

  • Total public debt increased by 1.9% m/m to COP314.1trn (USD92.9bn) in May 2019.
  • The share of non-resident holdings in public debt decreased to 44.8% of international reserves, down 8.2pp from the same period last year.
  • Non-resident holdings increased by 0.4% m/m to COP78.7trn (USD23.3bn).
  • Pension funds increased their participation in public debt by 1.8% m/m and 22.7% y/y, indicating a shift in investment strategy.
  • The public sector and commercial banks also increased their holdings, with others showing a higher growth rate.

• Pension Fund AUM:

  • Assets under management (AUM) of local pension funds increased by 1.5% m/m and 10.4% y/y in April 2019 to COP291.8trn (USD93.9bn).
  • Mandatory funds represented 87% of the total AUM, with moderate funds accounting for 69% of the AUM.
  • Mandatory funds saw an 1.8% m/m increase in AUM, contributing to a 9.1% y/y growth.
  • Conservative and retirement funds continued to grow, while voluntary funds increased only 1% m/m, and unemployment funds saw a 3.3% m/m decline in AUM.

• Equity Holdings:

  • Total equity holdings of AFP increased to COP124.1trn (USD39.9bn), representing a 14.4% YTD growth of USD5bn.
  • Local equity holdings rose by 17.8% m/m (USD2.6bn), while foreign equity holdings increased by 4.8% m/m (USD2.4bn).
  • The growth in equity holdings was driven by both local and foreign markets.

• Debt Maturity Profile:

  • The largest maturities in Colombia's nominal rate bonds are in 2022, 2025, and 2026.
  • There was a significant increase in allocations for 2020 and 2034 bonds.
  • Allocations for nominal rate bonds declined slightly in the middle of the curve.
  • For real rate bonds, allocations remain higher in shorter maturities, except for the 2035 bond.

Main Views

• The increase in AUM for local pension funds reflects a positive trend in their investment performance.
• Pension funds have become more active in public debt, potentially reducing the share of non-resident investors.
• Non-resident holdings in public debt have decreased as a percentage of international reserves, suggesting a shift in foreign investment preferences.
• Equity holdings have grown significantly, indicating a more aggressive investment stance by AFPs.
• The maturity profile of public debt suggests a balanced distribution, with a focus on short and medium-term instruments.

Strategic Implications

• A potential increase in non-resident interest in Colombia's public debt could appreciate the COP.
• The document outlines current trading strategies, such as locking in profits on a short EURCOP via a 3m NDF and increasing allocation in a 5y IBR tactical payer position.
• The document serves as a marketing communication and not investment research, with disclosures regarding conflicts of interest and the non-independence of the analysis.
• It also includes disclosures for options, ETFs, and convertible securities, emphasizing the risks and legal considerations associated with these products.
• The content is subject to change and should not be relied upon as a definitive or authoritative source.

Regulatory and Legal Context

• The document is non-independent research under MiFID II and is intended for professional clients and eligible counterparties.
• It includes confidentiality clauses, warning that the information should not be shared without prior consent.
• Disclosures are provided for U.S. and UK jurisdictions, outlining the legal and regulatory constraints on the distribution and use of the information.
• BNPP may have financial interests in the companies or instruments discussed, which could lead to potential conflicts of interest.

Conclusion

• Foreign holdings in Colombia's public debt have grown modestly, while local pension funds have shown a more substantial increase.
• The growth in equity holdings suggests a more diversified and aggressive investment approach by AFPs.
• The maturity profile of public debt indicates a balanced approach with a focus on short and medium-term instruments.
• The document is not investment advice and is intended for professional investors with a clear understanding of the risks and legal implications involved.