巴黎银行-新兴市场-投资策略-秘鲁：外国对公共债务的敞口在5月份趋于稳定-2019070.pdf

《巴黎银行-新兴市场-投资策略-秘鲁：外国对公共债务的敞口在5月份趋于稳定-2019070.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、FOCUS

2、EMPleaserefertoimportantinformationandMARdisclosuresattheendofthisreport08July2019EMSTRATEGYPeru:ForeignexposureinpublicdebtstabilisesinMayNon-residents’exposuretoSoberanoscurveKEYMESSAGESForeigninvestors’exposuretoPENnominalratesinMayWehaveupdatedourstudyofnon-residents’ex

3、posuretowasalmostflatatUSD14.3mnDV01increasingjust0.4%.theSoberanoscurvewithdatauntilMay2019.ThePENappreciatedby2.3%againsttheUSDbetweenAprilandPeru’spensionfundsystemreduceditsexposuretotheSoberanoscurveby3.2%.SincethepeakinMarch2018ofMayandforeigninvestors’exposuretoPENnominalr

4、atesUSD8.8mnDV01,theirexposurehascomedownby30.7%remainedalmostflatatUSD14.3mnDV01,increasingbyorUSD2.7mnDV01.only0.4%.Onay/ybasisitrose60.2%fromUSD8.9mnForeigninvestors’medium-termexposuresincreasedinMayDV01(Fig.1).by1.6%toUSD6.66mnDV01whileshort-andlong-termAlthoughforeigners’la

5、rgestexposurewastolong-termexposuresremainedflatbonds(53%),theirexposuretomedium-termbondshasForeigners’shareofpublicdebtincreased2.3%m/mtoincreasedversuslongermaturitiessinceMay2018(Fig.2).USD19.6bnfromUSD19.1bninApril.Theirmedium-termexposureincreasedby1.6%toMeanwhile,totalasse

6、tsundermanagement(AUM)ofAFPsUSD6.66mnDV01inMaywhileshort-andlong-termremainedflat,withthesystemcurrentlyholdingassetsexposuresremainedflatatUSD0.08mnDV01andPEN165.0bn(USD48.8bn).USD7.59mnDV01respectively.Fig.1-6:Non-residents’exposuretotheSoberanoscurveandbreakdownForeignexposure

7、tonominalbonds(USDDV01,mn)Long-termforeignexposureas%ofholdings(>10y)ForeignShortTermas%ofholdingsPensionfunds14.33Medium-term%(5-10y)ForeignMediumTermBanksShort-term%(<5y)ForeignLongTerm0.5%14100%1180%60%846.5%6.0953.0%40%53.3320%2Nov13Nov14Nov15Nov16Nov17Nov180%Dec13Dec14Dec15D

8、ec16Dec17Dec185Non-residents'exposurebybond(USDDV01,mn)Non-residents'exposuremonthlychange(USDDV01,mn)PensionFunds(AFPs)0.30PensionFunds(AFPs)Non-residents'exposureas%oftotalLocalBanksLocalBanksPensionFunds(AFPs)4OthersOthersLocalBanks0.202.2Others0.0710.8%32.30.100.090.080.112.9

9、0.1022.32.00.040.0412.5%0.001.71.6-0.05-