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Global debt flows March 2020
1
Global debt flows Eye-watering outflows, and just one big buyer
No surprise that the global shutdown has had a striking impact on mutual fund flows in the past month. Like the 12% increase in front end government holdings, and the 6% reduction in investment grade corporate holdings. Add to that a 10% reduction in emerging market assets under management, and a 9% reduction in high yield. And the little matter of a 5% fall in inflation linked bond holdings. The implied discount is not just severe disruption, but also one with a clear deflationary tint. Central banks are the only dedicated buyers right now.
Graph of the week: Capitulation outflows in high yield
Source: EPGR Global, ING estimates
Five things learnt from latest flows data 1) Outflows from emerging markets have been severe. In the past four weeks there has
been a 10% reduction in assets under management in emerging markets among mutual funds. That likely eased off through this week, but on latest data through to Wednesday of this week the outflows were running at 4%.
2) High yield assets under management at mutual funds have fallen by some 9% in the past four weeks, a significant outflow. USD high yield is broadly in line with that, but the outflows has been even more dramatic in W Europe currencies where the outflows has been in excess of 12%.
3) Developed market government bonds have seen an inflow of almost 2.5% of assets under management in the past month. The bulk of the inflows have been into the front end, with assets under management there up over 12%. There have in fact been outflows in longer maturities, but here the flow is from mutual funds to the Federal Reserve as it really ramped up its QE program.
4) In corporates, the key flow has been liquidation in shorter maturities. The implied flow has been out of short dated corporates and into short dated governments. There have also been large outflows from belly maturity funds, but inflows to long maturity funds. Overall though, it has been a story of outflows for investment grade corporates, with assets under management down by almost 6% in a month.
5) We note also outflows from inflation linked funds as markets discount the shut-down process as being deflationary. Such funds have seen outflows in the region of 5% of assets under management in the past month.
0
100
200
300
400
500
600
-15.0
-10.0
-5.0
0.0
5.0
10.0
US High Yield Weekly Flow $bn (LHS) US High Yield Cumulative AUM $bn (RHS)
$bn (weekly flow) $bn (cumulative AUM)USD High Yield
Padhraic Garvey Regional Head of Research, Americas ING Financial Markets LLC/ING Capital Markets LLC New York +1 646 424 7837 [email protected] View all our research on Bloomberg at RSEP INGX<GO>
Note: The data in this report relies heavily on EPFR Global data and references the week ended March 25th 2020
Rates and Credit
Economic & Financial Analysis
27 March 2020
Global Debt & Rates
www.ing.com/THINK
Global debt flows March 2020
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Contents
Global Manager (average) Allocations by Region 3
Emerging markets 4 Emerging Markets – Summary themes ........................................................................................... 5 Emerging market Fund Flows ............................................................................................................ 6 Global EM Manager Asset Allocations .............................................................................................. 7 Regional EM Manager Asset Allocation ........................................................................................... 8 Selected EMEA and Latam Country Flows ...................................................................................... 9 Selected Asia and ME/Africa Country Flows ................................................................................ 10
High Yield 11 High Yield – Summary themes ....................................................................................................... 12 EM (all currency) vs High Yield USD and EU ................................................................................. 13
Developed Markets 14 Developed Markets – Summary themes ...................................................................................... 15 Developed Markets Net Fund Flows............................................................................................... 16 Global DM Manager Asset Allocations .......................................................................................... 17 Developed Markets Country Flows ................................................................................................ 18
Global debt flows March 2020
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Global Manager (average) Allocations by Region Fig 1 Global allocations for latest month (%) Fig 2 EM allocations for latest month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 3 EM detailed allocations for latest month (%) Fig 4 EMEA allocations for latest month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 5 Asia EM allocations for latest month (%) Fig 6 Latam allocations for latest month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 7 Developed allocations for latest month (%) Fig 8 Eurozone allocations for latest month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
North America, 48.0
Asia Ex-Japan, 2.9Developed Asia, 6.2
Latin America, 3.4
Developed Europe, 29.3
Emerging Europe, 2.5
Africa, …Middle East, 0.5
Other, 0.0 Cash, 3.2Africa, 9.2
Asia Ex-Japan, 22.0
Other, 1.3
Emerging Europe, 18.6
Middle East, 10.7
Latin America, 32.6
Brazil, 7.2
Mexico, 8.0
Indonesia, 7.2
Turkey, 3.5
Russia, 5.0
Colombia, 3.6South Africa, 4.0Poland, 1.8
Argentina, 1.5Malaysia, 2.0Hungary, 1.4
Peru, 2.4
China, 4.3
Thailand, 1.8Romania, 1.1
Philippines, 1.4Kazakhstan, 1.0
India, 2.1Ukraine, 2.2
Chile, 2.8
Dom. Rep., 1.3
Korea (South), 0.5
Venezuela, 0.2
Panama, 1.0Srilanka, 0.8UAE, 2.8 Cash, 2.6
Turkey, 15.7
Russia, 22.7
South Africa, 18.2
Poland, 8.1
Hungary, 6.5
Romania, 5.1
Kazakhstan, 4.5
Ukraine, 10.2
Croatia, 2.1
Serbia, 0.8Lithuania, 0.4
Slovenia, 0.0Azerbaijan, 2.2
Czechrepublic, 2.90.5
0.00.00.2 0.0Cash, 0.0
Indonesia, 33.5
Malaysia, 9.3
China, 20.0
Thailand, 8.4
Philippines, 6.4
India, 9.8
Korea (South), 2.2Srilanka, 3.8
Hongkong, 1.7
Pakistan, 1.6Singapore, 1.7 Vietnam, 0.7Mongolia, 0.8 Bangladesh, 0.0
Taiwan, 0.1Cash, 3.3
Brazil, 22.6
Mexico, 25.2
Colombia, 11.3
Argentina, 4.7
Peru, 7.5
Chile, 8.7
Dom. Rep., 4.0
Venezuela, 0.8Panama, 3.3
Uruguay, 2.4
Costa Rica, 1.3
Paraguay, 1.7
Jamaica, 1.1
Elsalvador, 1.4
Ecuador, 2.9Guatemala, 0.7
0.1 0.4 Cuba, 0.0Cash, 2.1
USA, 52.6
Euro, 20.7
UK, 8.3
Japan, 5.6Canada, 2.7
Australia, 1.4
Sweden, 0.0Switzerland, 0.8Denmark, 0.2Newzealand, 0.0 Norway, 0.5 Cash, 3.6
France, 26.1
Germany, 14.5
Italy, 19.2
Netherlands, 11.5
Spain, 11.3Belgium, 3.2
Austria, 0.9
Ireland, 4.6
Portugal, 1.1
Finland, 0.6 Greece, 1.00.1 0.0 0.0Slovakia, 0.0 Cash, 1.9
Global debt flows March 2020
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Emerging markets
Global debt flows March 2020
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Emerging Markets – Summary themes • Outflows from emerging markets have been severe. In the past four weeks there has
been a 10% reduction in assets under management in emerging markets among mutual funds. That likely eased off through this week, but on latest data through to Wednesday of this week the outflows were running at 4%.
• Note that the blue line in the graph below is a catch-all for cumulative assets under management, in the sense that it captures not just the flows but also the change in valuations, including FX effects (all translated back to USD). The precipitous fall shown captures well the pain felt in terms of emerging markets valuations.
Fig 9 Feature Chart: Big outflows
Source: EPFR Global, ING estimates
• The outflows have been practically equally split between hard currency and local currency, although in the past week local currency funds have seen a more marked outflow process. The other feature is that outflows have been more concentrated in dedicated hard currency or local currency funds, but less from blend funds.
• Also, retail have been bigger seller than professionals. And under the bonnet we see that retail have been heavier sellers of local currency emerging markets, while professionals have been bigger sellers of hard currency. This reflects the natural tendency for retail to be more biased towards holding local currency product.
BOTTOM LINE: The outflows from emerging markets have been severe, and are reminiscent of an EM contagion event. They have coincided with a series of rating down grades for corporates and sovereigns with an oil exporting or producing underpinning. The selling so far has been broadly indiscriminate in high beta space. That said, instigation of QE in many EM centres adds an element of support that is quite new for many emerging market bond markets, and will curb some of the pain.
0
100
200
300
400
500
600
-20,000
-15,000
-10,000
-5,000
0
5,000
10,000
EM Hard (all investors) EM Local (all investors) EM Blend (all investors) EM Total (all investors)
$ mi l lion $bn (cumulative AUM)
Global debt flows March 2020
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Emerging market Fund Flows Fig 10 Change in the past week (%) Fig 11 Change in the past week (US$m)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 12 Change in the past month (%) Fig 13 Change in the past month (US$m)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 14 Change in the past quarter (%) Fig 15 Change in the past quarter (US$m)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 16 Change in the past year (%) Fig 17 Change in the past year (US$m)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
-8.00
-7.00
-6.00
-5.00
-4.00
-3.00
-2.00
-1.00
0.00
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
% AUM PAST WEEK
-18000
-16000
-14000
-12000
-10000
-8000
-6000
-4000
-2000
0
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
$ millions PAST WEEK
-14.00
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
% AUM PAST MONTH
-50000-45000-40000-35000-30000-25000-20000-15000-10000
-50000
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
$ millions PAST MONTH
-12.00
-10.00
-8.00
-6.00
-4.00
-2.00
0.00
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
% AUM PAST QUARTER
-35000
-30000
-25000
-20000
-15000
-10000
-5000
0
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
$ millions PAST QUARTER
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
% AUM PAST YEAR
-20000
-15000
-10000
-5000
0
5000
Total Professional Retail
EM Hard Currency Funds EM Local Currency Funds EM Blend Currency Funds Total EM
$ millions PAST YEAR
Global debt flows March 2020
7
Global EM Manager Asset Allocations Fig 18 GEM allocations for latest month (%) Fig 19 GEM detailed allocations for latest month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 20 GEM allocations one month ago (%) Fig 21 GEM detailed allocations one month ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 22 GEM allocations one quarter ago (%) Fig 23 GEM detailed allocations one quarter ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 24 GEM allocations one year ago (%) Fig 25 GEM detailed allocations one year ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Africa, 9.2
Asia Ex-Japan, 22.0
Other, 1.3
Emerging Europe, 18.6
Middle East, 10.7
Latin America, 32.6
Brazil, 7.2
Mexico, 8.0
Indonesia, 7.2
Turkey, 3.5
Russia, 5.0
Colombia, 3.6South Africa, 4.0Poland, 1.8
Argentina, 1.5Malaysia, 2.0Hungary, 1.4
Peru, 2.4
China, 4.3
Thailand, 1.8Romania, 1.1
Philippines, 1.4Kazakhstan, 1.0
India, 2.1Ukraine, 2.2
Chile, 2.8
Dom. Rep., 1.3
Korea (South), 0.5
Venezuela, 0.2
Panama, 1.0Srilanka, 0.8UAE, 2.8 Cash, 2.6
Africa, 9.6
Asia Ex-Japan, 22.2
Other, 2.3
Emerging Europe, 19.0
Middle East, 10.4
Latin America, 33.3
Brazil, 7.2
Mexico, 8.1
Indonesia, 7.5
Turkey, 3.6
Russia, 5.2
Colombia, 4.3South Africa, 4.1Poland, 1.9Argentina, 1.5
Malaysia, 2.4Hungary, 1.6
Peru, 2.5
China, 4.1
Thailand, 1.9Romania, 1.2
Philippines, 1.3Kazakhstan, 0.9
India, 1.9Ukraine, 2.3
Chile, 2.8
Dom. Rep., 1.2
Korea (South), 0.4
Venezuela, 0.2
Panama, 1.0Srilanka, 0.8UAE, 2.8 Cash, 2.6
Africa, 9.6
Asia Ex-Japan, 22.0
Other, 4.3
Emerging Europe, 19.1
Middle East, 10.5
Latin America, 32.3
Brazil, 7.0
Mexico, 7.8
Indonesia, 7.7
Turkey, 3.5
Russia, 5.2
Colombia, 4.4South Africa, 4.2Poland, 2.4
Argentina, 1.4Malaysia, 2.2Hungary, 1.8
Peru, 2.6
China, 3.5
Thailand, 2.2Romania, 0.9
Philippines, 1.5Kazakhstan, 0.9
India, 1.9 Ukraine, 2.1
Chile, 2.7
Dom. Rep., 1.1
Korea (South), 0.5
Venezuela, 0.2
Panama, 1.0Srilanka, 0.9UAE, 3.0 Cash, 2.6
Africa, 8.9
Asia Ex-Japan, 22.1
Other, 13.3
Emerging Europe, 20.1
Middle East, 8.9
Latin America, 32.1
Brazil, 7.2
Mexico, 7.1
Indonesia, 7.5
Turkey, 4.7
Russia, 4.2
Colombia, 3.7South Africa, 4.3Poland, 3.0
Argentina, 3.0Malaysia, 2.6
Hungary, 1.9
Peru, 2.7
China, 3.3
Thailand, 2.2Romania, 1.0
Philippines, 1.7Kazakhstan, 1.0
India, 1.8 Ukraine, 1.3Chile, 2.4
Dom. Rep., 1.1
Korea (South), 0.4
Venezuela, 0.5
Panama, 0.7Srilanka, 0.6UAE, 2.6 Cash, 2.6
Global debt flows March 2020
8
Regional EM Manager Asset Allocation Fig 26 EMEA allocations for latest month (%) Fig 27 EMEA allocations for previous month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 28 Asia allocations for latest month (%) Fig 29 Asia allocations for previous month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 30 Latam allocations for latest month (%) Fig 31 Latam allocations for previous month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 32 Africa & ME allocations for latest month (%) Fig 33 Africa & ME allocations for previous month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Turkey, 15.7
Russia, 22.7
South Africa, 18.2
Poland, 8.1
Hungary, 6.5
Romania, 5.1
Kazakhstan, 4.5
Ukraine, 10.2
Croatia, 2.1
Serbia, 0.8Lithuania, 0.4
Slovenia, 0.0Azerbaijan, 2.2
Czechrepublic, 2.90.5
0.00.00.2 0.0Cash, 0.0
Turkey, 15.8
Russia, 23.1
South Africa, 18.2
Poland, 8.2
Hungary, 6.9
Romania, 5.2
Kazakhstan, 4.2
Ukraine, 10.0
Croatia, 1.9
Serbia, 0.9
Lithuania, 0.4
Slovenia, 0.0Azerbaijan, 1.9
Czechrepublic, 2.70.5
0.00.0 0.2 0.0Cash, 1.0
Indonesia, 33.5
Malaysia, 9.3
China, 20.0
Thailand, 8.4
Philippines, 6.4
India, 9.8
Korea (South), 2.2Srilanka, 3.8
Hongkong, 1.7
Pakistan, 1.6Singapore, 1.7 Vietnam, 0.7Mongolia, 0.8 Bangladesh, 0.0
Taiwan, 0.1Cash, 3.3
Indonesia, 34.6
Malaysia, 10.8
China, 18.7
Thailand, 8.8
Philippines, 6.0
India, 8.8
Korea (South), 2.0Srilanka, 3.8
Hongkong, 1.6
Pakistan, 1.5Singapore, 1.7Vietnam, 0.7
Mongolia, 0.8Bangladesh, 0.0
Taiwan, 0.1Cash, 2.9
Brazil, 22.6
Mexico, 25.2
Colombia, 11.3
Argentina, 4.7
Peru, 7.5
Chile, 8.7
Dom. Rep., 4.0
Venezuela, 0.8Panama, 3.3
Uruguay, 2.4
Costa Rica, 1.3
Paraguay, 1.7
Jamaica, 1.1
Elsalvador, 1.4
Ecuador, 2.9Guatemala, 0.7
0.1 0.4 Cuba, 0.0Cash, 2.1
Brazil, 22.1
Mexico, 25.0
Colombia, 13.1
Argentina, 4.7
Peru, 7.6
Chile, 8.7
Dom. Rep., 3.7
Venezuela, 0.6Panama, 3.0
Uruguay, 2.3
Costa Rica, 1.2
Paraguay, 1.5
Jamaica, 0.9
Elsalvador, 1.4
Ecuador, 3.2Guatemala, 0.6 0.1
0.3Cuba, 0.0Cash, 0.9
UAE, 20.4
Israel, 6.0
Ivorycoast, 3.7Lebanon, 0.9
Ghana, 5.7
Zambia, 0.8Nigeria, 6.0
Egypt, 14.6Kenya, 4.00, 0.0
Gabon, 1.1
Tunisia, 0.9
Namibia, 0.5
Iraq, 1.4Ethiopia, 0.3
Oman, 6.2
0.1
Bahrain, 5.1
Rwanda, 0.5Jordan, 1.1
Saudi Arabia, 19.5 0.5UAE, 20.4
Israel, 6.3
Ivorycoast, 3.6Lebanon, 1.0
Ghana, 5.1
Zambia, 0.8Nigeria, 7.3
Egypt, 15.1Kenya, 3.60, 0.0
Gabon, 1.6
Tunisia, 0.9
Namibia, 0.6
Iraq, 1.4Ethiopia, 0.4
Oman, 6.2
0.1
Bahrain, 5.1
Rwanda, 0.5Jordan, 0.9
Saudi Arabia, 18.3 0.5
Global debt flows March 2020
9
Selected EMEA and Latam Country Flows Fig 34 EMEA – Change in the past week (%) Fig 35 EMEA – Change in the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 36 EMEA – Change in the past quarter (%) Fig 37 EMEA – Change in the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 38 Latam – Change in the past week (%) Fig 39 Latam – Change in the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 40 Latam – Change in the past quarter (%) Fig 41 Latam – Change in the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
-4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5 0
Czech
Hungary
Kazakhstan
Poland
Romania
Russia
S Africa
Turkey
Ukraine
Total (Selected EMEA)% AUM PAST WEEK
-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0
Czech
Hungary
Kazakhstan
Poland
Romania
Russia
S Africa
Turkey
Ukraine
Total (Selected EMEA)% AUM PAST MONTH
-8 -7 -6 -5 -4 -3 -2 -1 0
Czech
Hungary
Kazakhstan
Poland
Romania
Russia
S Africa
Turkey
Ukraine
Total (Selected EMEA)
% AUM PAST QUARTER
-5 -4 -3 -2 -1 0 1 2 3 4 5 6
Czech
Hungary
Kazakhstan
Poland
Romania
Russia
S Africa
Turkey
Ukraine
Total (Selected EMEA)
% AUM PAST YEAR
-5.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0
Argentina
Brazil
Colombia
Mexico
Peru
Venezuela
Total (Selected Latam)
% AUM PAST WEEK
-18.0 -16.0 -14.0 -12.0 -10.0 -8.0 -6.0 -4.0 -2.0 0.0
Argentina
Brazil
Colombia
Mexico
Peru
Venezuela
Total (Selected Latam)
% AUM PAST MONTH
-16.0 -14.0 -12.0 -10.0 -8.0 -6.0 -4.0 -2.0 0.0
Argentina
Brazil
Colombia
Mexico
Peru
Venezuela
Total (Selected Latam)
% AUM PAST QUARTER
-12.0 -10.0 -8.0 -6.0 -4.0 -2.0 0.0 2.0
Argentina
Brazil
Colombia
Mexico
Peru
Venezuela
Total (Selected Latam)
% AUM PAST YEAR
Global debt flows March 2020
10
Selected Asia and ME/Africa Country Flows Fig 42 Asia – Change in the past week (%) Fig 43 Asia – Change in the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 44 Asia – Change in the past quarter (%) Fig 45 Asia – Change in the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 46 Middle East & Africa – In the past week (%) Fig 47 Middle East & Africa – In the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 48 Middle East & Africa – In the past quarter (%) Fig 49 Middle East & Africa – In the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
-9 -8 -7 -6 -5 -4 -3 -2 -1 0
China
India
Indonesia
Malaysia
Mongolia
Pakistan
Philippines
S Korea
Thailand
Vietnam
Total (Selected Asia EM)
% AUM PAST WEEK
-12 -10 -8 -6 -4 -2 0
China
India
Indonesia
Malaysia
Mongolia
Pakistan
Philippines
S Korea
Thailand
Vietnam
Total (Selected Asia EM)% AUM PAST MONTH
-9 -8 -7 -6 -5 -4 -3 -2 -1 0
China
India
Indonesia
Malaysia
Mongolia
Pakistan
Philippines
S Korea
Thailand
Vietnam
Total (Selected Asia EM)% AUM PAST QUARTER
-6 -4 -2 0 2 4 6 8
China
India
Indonesia
Malaysia
Mongolia
Pakistan
Philippines
S Korea
Thailand
Vietnam
Total (Selected Asia EM)
% AUM PAST YEAR
-4.0 -3.0 -2.0 -1.0 0.0
BahrainEqyptIsrael
JordanKuwait
LebanonQatar
TunisiaUEA
Total (Selected ME & NA)Ivory Coast
NigeriaTotal (Selected Sub-Sahara)
% AUM PAST WEEK
-10.0 -9.0 -8.0 -7.0 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0
BahrainEqyptIsrael
JordanKuwait
LebanonQatar
TunisiaUEA
Total (Selected ME & NA)Ivory Coast
NigeriaTotal (Selected Sub-Sahara)
% AUM PAST MONTH
-7.0 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0
BahrainEqyptIsrael
JordanKuwait
LebanonQatar
TunisiaUEA
Total (Selected ME & NA)Ivory Coast
NigeriaTotal (Selected Sub-Sahara)
% AUM PAST QUARTER
-3.0 -2.0 -1.0 0.0 1.0 2.0
BahrainEqyptIsrael
JordanKuwait
LebanonQatar
TunisiaUEA
Total (Selected ME & NA)Ivory Coast
NigeriaTotal (Selected Sub-Sahara)
% AUM PAST YEAR
Global debt flows March 2020
11
High Yield
Global debt flows March 2020
12
High Yield – Summary themes • High yield assets under management at mutual funds have fallen by some 9% in the
past four weeks, a significant outflow. USD high yield is broadly in line with that, but the outflows has been even more dramatic in W Europe currencies where the outflows has been in excess of 12%.
• The issue in high yield centres not just on high weighting in the energy sector, but also the fact that the shut-down of economies really elevates default risk, and this is where high yield players would typically be the first to fall. Also, most of the measures instigated are more geared towards investment grade than high yield.
Fig 50 Feature Chart: Painful outflows
Source: EPFR Global, ING estimates
• Note that the orange line in the graph above is a catch-all for cumulative assets under management, in the sense that it captures not just the flows but also the change in valuations, including FX effects (all translated back to USD). The precipitous fall shown captures well the pain felt in terms of high yield valuations.
BOTTOM LINE: The drawing of credit line revolvers have been particularly marked in high yield where the stresses are greatest. Not only is there a classic elevation in default risk as economies jump to a recessionary state, but the collapse in the oil price is an additional stress factor in this space. Hence the outflows of some 9% seen in the past month. And the pressure remains elevated despite the positive week just gone by, as high yield will remain more exposed than other asset classes even when things re-open.
0
20
40
60
80
100
120
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
EU High Yield Weekly Flow $bn (LHS) EU High Yield Cumulative AUM $bn (RHS)
$bn (weekly flow) $bn (cumulative AUM)W Europe High Yield (in $)
Global debt flows March 2020
13
EM (all currency) vs High Yield USD and EU Fig 51 Western Europe High Yield Weekly Flows
Source: EPFR Global, ING estimates
Fig 52 US High Yield Weekly Flows
Source: EPFR Global, ING estimates
Fig 53 Emerging Markets Weekly Flows – all currencies
Source: EPFR Global, ING estimates
0
20
40
60
80
100
120
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
EU High Yield Weekly Flow $bn (LHS) EU High Yield Cumulative AUM $bn (RHS)
$bn (weekly flow) $bn (cumulative AUM)W Europe High Yield (in $)
0
100
200
300
400
500
600
-15.0
-10.0
-5.0
0.0
5.0
10.0
US High Yield Weekly Flow $bn (LHS) US High Yield Cumulative AUM $bn (RHS)
$bn (weekly flow) $bn (cumulative AUM)USD High Yield
0
100
200
300
400
500
600
-20,000
-15,000
-10,000
-5,000
0
5,000
10,000
EM Hard (all investors) EM Local (all investors) EM Blend (all investors) EM Total (all investors)
$ mi l lion $bn (cumulative AUM)
Global debt flows March 2020
14
Developed Markets
Global debt flows March 2020
15
Developed Markets – Summary themes • Developed market government bonds have seen an inflow of almost 2.5% of assets
under management in the past month. The bulk of the inflows have been into the front end, with assets under management there up over 12%. There have in fact been outflows in longer maturities, but here the flow is from mutual funds to the Federal Reserve as it really ramped up its QE program.
• In corporates, the key flow has been liquidation in shorter maturities. The implied flow has been out of short dated corporates and into short dated governments. There have also been large outflows from belly maturity funds, but inflows to long maturity funds. Overall though, it has been a story of outflows for investment grade corporates, with assets under management down by almost 6% in a month.
Fig 54 Feature Chart: Flight into Government bonds, in particular to the front end
Source: EPFR Global, ING estimates
• We note also outflows from inflation linked funds as markets discount the shut-down process as being deflationary. Such funds have seen outflows in the region of 5% of assets under management in the past month.
BOTTOM LINE: A pronounced flow into front end government bonds no doubt reflects a flight to safety. Investment grade corporates by the same token saw large outflows, with the focus on short and medium-term maturities. The stress in high yield quickly moved down the credit curve to infect investment grade as the close-down intensified. The parallel outflow from inflation linked funds signals a deflationary effect from this too. Meanwhile, the Federal Reserve has been a big player in this space of late, as has the ECB, dominating as a big buyer in the government bond space in particular.
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Government Corporate Multi-Product
Short end Belly Long end Total
% AUM PAST MONTH
Global debt flows March 2020
16
Developed Markets Net Fund Flows Fig 55 Change in the past week (%) Fig 56 Change in the past week (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 57 Change in the past month (%) Fig 58 Change in the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 59 Change in the past quarter (%) Fig 60 Change in the past quarter (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 61 Change in the past year (%) Fig 62 Change in the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
-6.00
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
Government Corporate Multi-Product
Short end Belly Long end Total
% AUM PAST WEEK
-3.00-2.00-1.000.001.002.003.004.005.006.007.00
High Yield Inflation Money Markets
North America W Europe Total
% AUM PAST WEEK
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Government Corporate Multi-Product
Short end Belly Long end Total
% AUM PAST MONTH
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
High Yield Inflation Money Markets
North America W Europe Total
% AUM PAST MONTH
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Government Corporate Multi-Product
Short end Belly Long end Total
% AUM PAST QUARTER
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
High Yield Inflation Money Markets
North America W Europe Total
% AUM PAST QUARTER
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
Government Corporate Multi-Product
Short end Belly Long end Total
% AUM PAST YEAR
-15.00-10.00
-5.000.005.00
10.0015.0020.0025.0030.0035.00
High Yield Inflation Money Markets
North America W Europe Total
% AUM PAST YEAR
Global debt flows March 2020
17
Global DM Manager Asset Allocations Fig 63 Eurozone allocations for the last month (%) Fig 64 Global DM allocations for the last month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 65 Eurozone allocations one month ago (%) Fig 66 Global DM allocations one month ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 67 Eurozone allocations one quarter ago (%) Fig 68 Global DM allocations one quarter ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 69 Eurozone allocations one year ago (%) Fig 70 Global DM allocations one year ago (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
France, 26.1
Germany, 14.5
Italy, 19.2
Netherlands, 11.5
Spain, 11.3Belgium, 3.2
Austria, 0.9
Ireland, 4.6
Portugal, 1.1
Finland, 0.6 Greece, 1.00.1 0.0 0.0Slovakia, 0.0 Cash, 1.9
USA, 52.6
Euro, 20.7
UK, 8.3
Japan, 5.6Canada, 2.7
Australia, 1.4
Sweden, 0.0Switzerland, 0.8Denmark, 0.2Newzealand, 0.0 Norway, 0.5 Cash, 3.6
France, 23.6
Germany, 14.6
Italy, 19.9
Netherlands, 11.2
Spain, 12.4
Belgium, 2.8Austria, 1.0
Ireland, 4.7
Portugal, 1.0
Finland, 0.7 Greece, 1.10.1 0.0
0.0Slovakia, 0.0 Cash, 1.7
USA, 52.4
Euro, 19.7
UK, 8.7
Japan, 5.6Canada, 3.1
Australia, 1.8
Sweden, 0.0Switzerland, 1.1Denmark, 0.2Newzealand, 0.0 Norway, 0.6 Cash, 3.1
France, 26.2
Germany, 14.5
Italy, 18.2
Netherlands, 12.0
Spain, 11.8
Belgium, 3.1
Austria, 1.3
Ireland, 3.9
Portugal, 1.1
Finland, 0.7 Greece, 0.60.1
0.0 0.0Slovakia, 0.0 Cash, 2.7
USA, 54.2
Euro, 19.9
UK, 8.3
Japan, 5.5Canada, 2.8Australia, 1.4
Sweden, 0.0Switzerland, 0.7Denmark, 0.2Newzealand, 0.0 Norway, 0.3 Cash, 3.3
France, 27.4
Germany, 16.8
Italy, 18.3
Netherlands, 9.7
Spain, 12.9
Belgium, 3.1Austria, 1.0
Ireland, 3.2
Portugal, 1.5
Finland, 1.1 Greece, 1.00.2 0.0
0.0Slovakia, 0.0 Cash, 2.9
USA, 47.2
Euro, 24.1
UK, 7.8
Japan, 5.2Canada, 2.9
Australia, 1.9
Sweden, 0.0Switzerland, 1.2
Denmark, 0.5Newzealand, 0.0 Norway, 0.5 Cash, 5.1
Global debt flows March 2020
18
Developed Markets Country Flows Fig 71 Eurozone – Change in the past week (%) Fig 72 Non Eurozone – Change in the past week (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 73 Eurozone – Change in the past month (%) Fig 74 Non Eurozone – Change in the past month (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 75 Eurozone – Change in the past quarter (%) Fig 76 Non Eurozone – Change in the past quarter (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
Fig 77 Eurozone – Change in the past year (%) Fig 78 Non Eurozone – Change in the past year (%)
Source: EPFR Global, ING estimates Source: EPFR Global, ING estimates
-2 -1.5 -1 -0.5 0
AustriaBelgium
CyprusFinlandFrance
GermanyGreeceIreland
ItalyNetherlands
PortugalSpain
Total (Selected Eurozone)
% AUM PAST WEEK
-4 -3 -2 -1 0 1 2 3 4 5 6
AustraliaHong Kong
JapanNew Zealand
SingaporeIceland
DenmarkNorwaySweden
SwitzerlandUK
CanadaUS
Total (Selected Non Eurozone)% AUM PAST WEEK
-6 -5 -4 -3 -2 -1 0
AustriaBelgium
CyprusFinlandFrance
GermanyGreeceIreland
ItalyNetherlands
PortugalSpain
Total (Selected Eurozone)% AUM PAST MONTH
-10 -8 -6 -4 -2 0 2
AustraliaHong Kong
JapanNew Zealand
SingaporeIceland
DenmarkNorwaySweden
SwitzerlandUK
CanadaUS
Total (Selected Non Eurozone)% AUM PAST MONTH
-4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5 0
Austria
Belgium
Cyprus
Finland
France
Germany
Greece
Ireland
Italy
Netherlands
Portugal
Spain
Total (Selected Eurozone)
% AUM PAST QUARTER
-6 -5 -4 -3 -2 -1 0 1
AustraliaHong Kong
JapanNew Zealand
SingaporeIceland
DenmarkNorwaySweden
SwitzerlandUK
CanadaUS
Total (Selected Non Eurozone)
% AUM PAST QUARTER
0 1 2 3 4 5
AustriaBelgium
CyprusFinlandFrance
GermanyGreeceIreland
ItalyNetherlands
PortugalSpainTotal…
% AUM PAST YEAR
0 1 2 3 4 5 6 7 8
AustraliaHong Kong
JapanNew Zealand
SingaporeIceland
DenmarkNorwaySweden
SwitzerlandUK
CanadaUS
Total…% AUM PAST YEAR
Global debt flows March 2020
19
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