巴黎银行-新兴市场-宏观策略-墨西哥监测：Siefores业绩回到正轨-20190524-11页_519kb

Summary of Mexican Monitor: Siefores Performance Back on Track

Core Content

This document provides an analysis of the performance and exposure of Mexican pension funds (Siefores) and non-residents in the Mexican public debt market as of April 2019. It outlines key trends in bond holdings, portfolio allocations, and the impact of interest rate changes on investment strategies.

Key Findings

Non-Resident Exposure

• DV01 Exposure: Non-residents' exposure to nominal rates rebounded in 2019, increasing by USD3.8mn DV01 to USD48.0mn YTD, a rise of 8.7% in USD terms and 5.1% in local currency terms.
• Quarter-over-Quarter (q/q) Change: Non-residents' holdings of Mexican public debt fell by 1% q/q to MXN2.18trn (USD115.0bn).
• Foreign Exposure: Foreign exposure in nominal bonds fell by 1.3% in USD terms (USD0.65mn DV01) in the last month.
• Long End Exposure: Non-residents have increased their exposure to the long end of the curve, with maturities above 10 years now accounting for 54.7% of total exposure, up from 47.5% in November 2018.
• Top Tenor: The largest exposure of non-residents remains in the Nov-42 tenor, which accounts for 16.0% of total exposure, currently at USD7.7mn DV01.

Siefores (Pension Funds) Exposure

• PnL Performance: Afores' PnL performance rose to MXN131bn (USD7.0bn) YTD, following a MXN107bn (USD5.5bn) decline in Q4 2018.
• Asset Under Management (AUM): Afores' total AUM reached MXN3,5781bn (USD189.0bn) in April, up 5.3% q/q.
• Equity Holdings: Equity holdings increased by MXN41.2bn in April, leading to a 4% q/q increase (USD1.4bn).
• Bond Holdings:
  • Mbonos: Comprise 12% of Afores' total holdings, up from 11% in April 2018.
  • UDIbonos: Now make up 26% of Afores' total AUM, with a 10% increase in USD4.7bn.
  • Cetes: Holdings declined by 17% in the past three months (USD1.7bn).
  • Reportos: Increased by 22% q/q (USD0.8bn).
• Inflation-Linked Bonds: Pension funds have increased their exposure to inflation-linked bonds (USD35.6mn DV01), while reducing exposure to nominal bonds, which have rebounded in the past two months.

Portfolio Allocation

• Duration Trends:
  • Pension funds' average duration in nominal bonds has fallen to 6.5 years.
  • Foreign investors' average duration in nominal bonds has remained stable at around five years.
  • Pension funds' average duration in real rate bonds (UDIbonos) is now at 7.4 years, down from earlier levels.
  • Non-residents' average duration in real rate bonds is currently at seven years.
• Market Share:
  • Non-residents hold 84.6% of the Mbonos market.
  • Siefores hold 52.0% of the UDIbonos market.
  • Non-residents only hold 3.7% of the UDIbonos market.

Strategy Implications

• Interest Rates: The current interest rate level offers an attractive carry for foreign investors in a globally rate-compressing environment.
• Investment Grade Status: Mexico's investment-grade status and controlled inflation have attracted foreign attention.
• Portfolio Rebalancing: Siefores have rebalanced their portfolios, increasing exposure to inflation-linked bonds and reducing that to nominal bonds.
• TIIE Exposure: BNPP is currently positioned via TIIE 10y and TIIE 1y1y receivers, suggesting an increase in exposure to the short end of the curve.

Legal and Compliance Notes

• The document is a marketing communication and not independent investment research.
• It may include Research content under MiFID II, which is only for firms that have signed up to BNPP's research packages.
• Confidentiality: The information is provided on a strictly confidential basis and cannot be distributed without prior written consent.
• Conflicts of Interest: BNPP may have financial interests in the issuers or market participants discussed and may engage in transactions inconsistent with the views expressed.
• Disclaimer: The document does not constitute an offer to sell, issue, or purchase any financial instruments. It does not provide investment, tax, or legal advice.
• Performance Data: Any performance data is based on simulations and is not indicative of future results. Past performance is not a guarantee of future returns.
• ETF and Options Disclosures: The document includes important disclosures for ETFs and options, highlighting the risks involved and the need for professional advice.

Conclusion

The Mexican public debt market has seen a rebound in non-resident exposure to nominal rates and a shift in Siefores' portfolio toward inflation-linked bonds. While foreign holdings have decreased slightly, their long-term exposure to the long end of the curve has increased. The document emphasizes the strategic positioning of BNPP in the market and includes important legal and compliance disclosures.