巴黎银行-新兴市场-宏观策略-哥伦比亚监测：养老基金增加固定收益份额-20181016-10页_463kb

Colombia Monitor: Pension Funds Increase Fixed Income Share

Core Content Overview

This document provides an analysis of the evolution of Colombia's public debt and the portfolio holdings of local private pension funds (AFPs) in 2018. It outlines key trends in asset allocation, the role of foreign investors, and the implications for interest rate strategy. The report is authored by BNP Paribas strategists and economists and is intended for professional clients and eligible counterparties.

Key Statistics

• Total Public Debt Increase: Colombia's total public debt increased by 16% in COP terms (16.5% in USD) in 2018.
• Non-Resident Share: The share of non-residents in public debt rose by 11% to COP75.1tn (USD25.2bn), representing 25.4% of total public debt.
• Foreign Investors: Although foreign investors have increased their holdings in the public debt market, their relative share has remained nearly the same.
• International Reserves: Non-resident debt represents 53% of international reserves, an increase of 2 percentage points year-to-date.

Portfolio Holdings of Local Private Pension Funds

• AUM Growth: The Superintendencia Financiera de Colombia reported a 4.7% increase in year-to-date assets under management (AUM).
• Pension Fund System: The system currently manages USD89bn in funds.
• Fixed Income Holdings: Colombian AFPs increased their holdings of local fixed income by 6.4% (USD2.5bn) and foreign fixed income by 13.2% (USD0.7bn).
• Equities Holdings: There was a 0.5% decrease in foreign equity holdings, while local equity holdings increased by 5.7% (USD0.9bn).
• Profile Distribution:
  • Mandatory funds accounted for 88% of the AUM.
  • Moderate profile funds represented 72% of the total AUM.
  • Conservative profile funds had the largest percentage increase in AUM, at 11% (USD0.6bn).
  • Retirement profile funds saw a 10% increase (USD0.7bn).
• Unemployment Funds: Increased by 16% in AUM, with an absolute increase of USD0.6bn.

Maturities in the Nominal Rates Market

• The largest maturities in the nominal rates market are in 2022, 2024, and 2026.
• For real rate bonds, the size of holdings decreases with longer maturities, except for the 2033 and 2035 bonds.

Strategy Implications

• The shift from foreign to local assets by AFPs supports the rates strategy on Colombia.
• Foreign holdings increased by USD0.6bn, while local holdings increased by USD3.3bn, indicating a preference for local assets.
• The positive carry and rolldown of local assets is highlighted as a key factor in the strategy.

Legal and Regulatory Notice

• This document is a marketing communication and not investment research.
• It may contain non-independent research and is subject to conflicts of interest due to its interaction with sales and trading.
• The document is not intended for retail investors and is only for professional clients.
• It is not a prospectus and does not constitute an offer to sell or issue securities.
• Performance data may be based on back-testing and is not indicative of future results.
• Options and ETFs discussed in this document are complex instruments and not suitable for all investors.
• Restricted securities may be involved, and only Qualified Institutional Buyers (QIBs) or non-US persons are eligible to purchase them.

Conclusion

The report highlights the increased share of local assets in the pension fund portfolio, despite a smaller increase in equity holdings. It emphasizes the strategic shift towards local fixed income, which supports the interest rate strategy. The analysis is non-independent and subject to legal and regulatory restrictions, primarily aimed at professional clients.