新兴市场-宏观策略-秘鲁：外国人对中期债券的风险敞口增加

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1、PleaserefertoimportantinformationattheendofthereportLATINAMERICASTRATEGYFOCUSFOCUS

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3、LATAM02April2019TMPeru:Foreigners’exposuretomedium-termbondsincreasesKEYMESSAGESForeigninvestors’exposuretoPENnominalratesincreasedby5.6%betweenJanuaryandFebruary,nowatUSD12.4mnDV01(27.9%y/y).Althoughforeigners

4、’exposuretolong-termbondsisthemostrepresentative(~52.5%),itisworthnotingthatsinceMay2018theirexposuretomedium-termbondshasincreasedversuslongermaturities.Pensionfundsmaintainedthesecond-largestexposuretothenominalbondmarket,totallingUSD6.6mnDV01.Foreigners’shareofpublicdebtincreased6.1%m/minFebr

5、uary(USD1.06bn),nowatUSD18.5bn.Assetsundermanagement(AUM)ofPeru’sprivatepensionfundsincreased1.6%m/minFebruarytoPEN159.8bn(USD48bn).WearecurrentlypositionedinshortUSDPENvia3mNDF.AndreDigiacomoFX&IRLatinAmericaStrategy+551138413445LucaMaiaFX&IRLatinAmericaStrategy+551138413447SamuelCastroFX&IRLat

6、inAmericaStrategy+551138413492BancoBNPParibasBrasilS.A.Non-residentsexposuretotheSoberanoscurveWehaveupdatedourstudyofnon-residents’exposuretotheSoberanoscurvewithdataavailableuntiltheendofFebruary2019.ThePENappreciatedby0.9%againsttheUSDbetweenJanuaryandFebruaryandforeigninvestors’exposuretoPEN

7、nominalratesincreasedby5.6%(Fig.1)duringthesameperiod,nowatUSD12.4mnDV01(27.9%y/yfromUSD9.7mn).Thedataalsoshowsthatnon-residentscontinuedtohavethehighestexposuretotherecently-issuedAugust2032bond–USD2.4mnDV01fromUSD2.3mnDV01onemonthago(Fig.3).Althoughforeigners’exposuretolong-termbondsisthemostr

8、epresentative(~52.5%),itisworthnotingthatsinceMay2018theirexposuretomedium-termbondshasincreasedversuslongermaturities.InFebruary,theshareoflong-termexposuredecreasedsubstantiallycomparedtothetotalexposure(12.2pp).However,thathappenedpartiallyduetoachangeinthemethodology–Feb-29bondnowaccountsfor

9、medium-termandnotlong-termexposure.EveniftheFeb-29bondisexcludedfrommedium-termissuances,theshareofmedium-termexposurestillshowsanincreaseof4.4pp,whilelong-termexposureshowsadeclineof4.5pp.Peru’spensionfundsystem,meanwhile,d