24/05/19AndreDigiacomo,EM/LATAMFX/IRStrategist|BancoBNPParibasBrasilLucaMaiaEM/LATAMFX/IRStrategist|BancoBNPParibasBrasil,SamuelCastro,EM/LATAMFX/IRStrategist|BancoBNPParibasBrasilMexicanMonitor:SieforesperformancebackontrackKEYMESSAGESNon-residents’exposuretonominalrateshasreboundedthisyear,increasingbyUSD3.8mnDV01toUSD48.0mnDV01YTD,up8.7%inUSDterms,or5.1%inlocalcurrencyterms.AforesPnLperformancehasrisentoMXN131bn(USD7.0bn)YTDfollowingaMXN107bn(USD5.5bn)declineinQ42018,thebiggestdropin10years.Pensionfundshaveincreasedtheirexposuretoinflation-linkedbonds(USD35.6mnDV01currently),butreducedtheirexposuretonominalbonds,whichappeartohavereboundedinthepasttwomonths.Non-residents’holdingsofMexicanpublicdebtfellby1%q/qtoMXN2.18trn(USD115.0bn),accordingtoBanxicodata.Afores’totalassetsundermanagement(AUM)rosetoMXN3,5781bn(USD189.0bn)inApril.EquityholdingsofAforesincreasedMXN41.2bninApril,leadingtoa4%q/qincrease(USD1.4bn).Measuringtheexposureofnon-residentsandpensionfunds(Siefores)Weexaminedhowplayersarepositionedinlocalratesandcalculatednon-residents’exposureineachtenorandtheoverallDV01forfixed-ratebondsbyusingBanxico’sdataupuntil25April2019.Non-residentsexposuretonominalratesfellsharplyin2018(byUSD9.3mnDV01)buthasreboundedthisyear,increasingbyUSD3.8mnDV01toUSD48.0mnDV01YTD,up8.7%inUSDterms,or5.1%inlocalcurrencyterms.However,comparedtothecorrespondingperiodlastyear,theirexposurehasdeclined10.2%inUSDterms(USD5.5mnDV01).Amonthonmonthcomparisonshowsthat,foreignexposurefell1.3%inUSDterms(USD0.65mnDV01)-seeFigure3.Foreigners’biggestexposureremainsintheNov-42tenor,accountingfor16.0%oftotalexposure–currentlyatUSD7.7mnDV01(Fig.2).Fig.1-3:Breakdownofnon-residents’DV01exposureinMbonosandbondsSources:BloombergLLP,MexicanCentralBank(Banxico),BNPParibas;DV01isariskmetricthatshowsthedollarpricechangethatresultsfromaonebasispointchangeinyield(parallelchangeoftheyieldcurve).0.30.81.60.12.22.90.25.12.56.23.62.81.62.14.57.74.00358Dec19Jun20Jun21Dec21Jun22Dec23Sep24Dec24Mar26Jun27May...
