巴黎银行-新兴市场-宏观策略-智利监测：外国持有的公共债务增加-20190422-11页_616kb

Chilean Monitor Summary: Foreign Holdings of Public Debt Increase

Core Content

This document provides an analysis of the recent changes in Chile's financial markets, particularly focusing on the performance of private pension funds (AFPs) and the dynamics of public debt holdings.

Key Points

• Total Debt Titles: The total stock of Chilean debt titles increased by 2.4% q/q and 9.3% y/y to CLP207trn (USD299bn).
• Foreign Investors: Foreign investors recorded the largest year-over-year increase in holdings, rising by 20.9% to CLP50trn (USD72.0bn), which represents 24.1% of total public debt.
• AFPs AUM Growth: Assets under management (AUM) of AFPs increased by CLP3.0trn (USD4.9bn) to CLP141.7trn (USD208.5bn), driven by strong fund performance across all types.
• Fund Types:
  • Type E (most conservative) funds now make up 16.4% of AUM, up 2pp y/y.
  • Type D (conservative) funds saw the largest monthly increase at 2.9% (USD1.0bn).
  • Type E funds had the second-largest increase at 2.6% (USD0.9bn).
  • Type C (intermediate) funds still hold the largest share at 35.7%.
• Equity Holdings:
  • Local equity holdings decreased by 3.3% m/m (USD0.7bn).
  • Foreign equity holdings increased by 4.5% m/m (USD2.6bn), mainly due to mutual fund inflows.
• Fixed Income:
  • Time deposits decreased by 5.7% (USD0.5bn), while Treasury instruments increased by 3% (USD1.1bn).
• Foreign Holdings in All Funds: Despite a shift to more conservative funds, AFPs increased their foreign holdings in all fund types, leading to a 6% increase (USD4.8bn) in foreign asset holdings.
• Currency Strategy: The firm has increased its short EURCLP position via a 3m NDF, anticipating a favorable environment for the Chilean peso to appreciate.

AUM Breakdown

• AUM Increase: CLP3.0trn (USD4.9bn) in March, with flows accounting for CLP0.3tn.
• Performance-Driven Growth: Strong fund performance was the main driver of AUM growth.
• Fund Flows:
  • Type E funds had the largest inflow.
  • Type A funds had the largest outflow.
  • Type E and D fund flows are negatively correlated.

Public Debt Dynamics

• Pension Funds: The largest holders of public debt, with a 33.6% share, up 0.2pp from 2018.
• Foreign Investors: Second largest holders, with a 24.1% share, up 2.3pp from 2018.
• Banks & Cooperatives: Decreased holdings by 1.9% q/q and 12.6% y/y.
• Mutual and Investment Funds: Slightly decreased holdings by 2.2% q/q.

Portfolio Allocation

• Fixed Income:
  • Treasury instruments: 18.6% of total AUM, up 3% m/m.
  • Banks' bonds: 14.8% of total AUM, up 1.5% m/m.
  • Time deposits: 4.3% of total AUM, down 5.7% m/m.
• Equities:
  • Local equities: 10.4% of total AUM, down 3.3% m/m.
  • Foreign equities: 29.1% of total AUM, up 4.5% m/m.
• Mutual Funds: Increased by 6.1% m/m (USD2.7bn), contributing to the rise in foreign equity holdings.

Conclusion and Strategy

• Risk Reduction: AFPs reduced risk in their portfolios, shifting towards more conservative investments.
• Foreign Holdings Increase: Despite the shift, AFPs increased foreign holdings in all fund types.
• Currency Position: The firm has increased its short EURCLP position, expecting the peso to appreciate.
• Market Outlook: A weaker dollar cycle is expected to support further increases in foreign debt holdings, but AFPs may have alternative investment options.

Legal and Compliance Notes

• This document is a marketing communication and not independent investment research.
• It may contain Research as defined under MiFID II, intended for Relevant Persons.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.
• The document does not constitute an offer to sell or solicitation of an offer to buy.
• It is not intended for non-Relevant Persons and may not be relied upon for investment decisions.
• ETFs and convertible securities discussed may not be registered under U.S. securities laws.
• Options are complex instruments, suitable only for sophisticated investors.
• Performance data is hypothetical or back-tested and does not guarantee future results.
• Confidentiality: The document is provided confidentially and must not be distributed without prior consent.

Sources

• Superintendencia de Pensiones
• Bloomberg LLP
• BNP Paribas

Disclaimer

• No guarantees are made regarding the accuracy or completeness of the information.
• The information and opinions are based on public sources and internal models.
• No liability is accepted for any direct or consequential loss.
• All estimates and opinions are subject to change without notice.