DKK: foreign investors bought government bonds and treasury bills in August Jens Nærvig Pedersen Analyst Danske Bank Markets jenpe@danskebank.dk +45 45 12 8 61 27 September 213 Important disclosures and certifications are contained from page 12 of this report. Investment Research
Overview of foreign portfolio investments and securities statistics in August In August Danish investors bought foreign shares and bonds and foreign investors bought Danish shares and bonds. It was mainly euro investors who purchased Danish bonds, while Swiss investors sold off. Despite the net purchase of Danish bonds, the foreign ownership share dropped slightly in August to 17.4% from 18.1% in July. Foreign investors bought government bonds and treasury bills and sold mortgage bonds. The past two months net purchase of treasury bills by foreign investors has more or less evened out the June sell-off. Of the total stock 85.9% is now held abroad up from 65.6% in June. Of the total stock of mortgage bonds 12.9% is held by foreign investors. It makes up 54% of the portfolio of DKK-denominated bonds held by foreign investors an increase from 47% one year ago. Foreign investors mainly hold bonds with a low remaining maturity. Bonds with a remaining maturity of less than one year make up 43.2% of the total portfolio. Hence, foreign investors appetite for Danish bonds looks more or less unchanged, which is supportive for DKK and may help explain why there has not been pressure on the Danish peg since January. See details on the following slides. 2
Danish investors bought foreign assets and foreign investors bought Danish assets in August 2 15 1 5-5 -1-15 -2 Danish investors net purchase of foreign shares Source: Nationalbanken 4 3 2 1-1 -2-3 Danish investors net purchase of foreign bonds Source: Nationalbanken 1 8 6 4 2-2 -4-6 -8 Foreign investors net purchase of Danish shares Source: Nationalbanken 6 4 2-2 -4-6 Foreign investors net purchase of DKK denom. Danish bonds Foreign investors net purchase of Danish bonds denom. in other curr. Source: Nationalbanken 3
Euro investors purchased bonds Swiss investors sold off 14 12 1 8 6 4 2-2 -4 Euro investors net purchase of DKK denom. bonds flow acc. since Jan-12 3 2 1-1 -2 Swedish investors net purchase of DKK denom. bonds -3 flow acc. since Jan-12 4 35 3 25 2 15 1 5-5 US investors net purchase of DKK denom. bonds flow acc. since Jan-12 6 5 4 3 2 1-1 -2-3 -4 Other investors net purchase of DKK denom. bonds flow acc. since Jan-12 4
Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Foreign investors bought Danish bonds in August 5 4 3 2 1-1 -2 Foreign investors net purchased DKK denominated bonds in August for the second consecutive month. Foreign investors now hold 17.4% of the total stock up from 16% last year. % of total stock 19 18 17 16 15 14 13-3 12 Stock of DKK denom. bonds held by foreign investors (l.a.) Netpurchase by foreign investors of DKK denom. bonds (r.a.) 5
Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Thousands Increase in foreign ownership share of government bonds 3 2 1 % of total stock 38 36 34 32 3-1 -2-3 Foreign investors net purchased government bonds for the third month in a row. Foreign investors now hold 33.7% of the total share up from 32.4% in January. 28 26 24 22-4 2 Netpurchase by foreign investors of government bonds (l.a.) Stock of government bonds held by foreign investors (r.a.) 6
Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Foreign investors are buying t-bills again 15 1 % of total stock 12 11 5 1 9-5 8-1 7-15 -2-25 Foreign investors have net purchased treasury bills the past two months, which has more or less evened out the June sell-off. Of the total stock 85.9% is now held abroad up from 65.6% in June. 6 5 4 Netpurchase by foreign investors of treasury bills (l.a.) Stock of treasury bills held by foreign investors (r.a.) 7
Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Foreigners sold mortgage bonds in August 25 2 15 1 5 % of total stock 15 14 13 12-5 -1-15 -2 Foreign investors net sold mortgage bonds in August and now own 12.9% of the total stock up from 1.2% in August last year. 11 1 9 8 Netpurchase by foreign investors of DKK denom. mortgage bonds (l.a.) Stock of DKK denom. mortgage bonds held by foreign investors (r.a.) 8
Share of mortgage bonds has increased 7 6 5 4 Stock of DKK denom. bonds held by foreign investors on bond type Foreign investors now hold DKK331bn in mortgage bonds, DKK227bn in government bonds and DKK3bn in treasury bills. Of the portfolio 54% is thus mortgage bonds compared to 47% last year. 3 2 1 28 29 21 211 212 213 Government bonds Treasury bills DKK denom. mortgage bonds 9
Mainly bonds with short remaining maturity held abroad 8 7 6 5 Stock Danish bonds held by foreign investors on remaining maturity Foreigners mainly hold bonds with a remaining maturity of less than one year. It makes up 43.2% of the total stock. 4 3 2 1 28 29 21 211 212 213 Remaining maturity < = 1 year 1 year < remaining maturity < = 5 years 5 years < remaining maturity Source: Nationalbanken. Danske Bank Markets Note: the chart includes bonds in all currencies 1
Foreign ownership share not high from historical perspective 22 2 18 16 14 12 1 % of total stock The foreign ownership share is currently only slightly higher compared to pre-crisis and lower compared to early s. 8 2 22 24 26 28 21 212 Stock of DKK denom. bonds held by foreign investors 3M m.a. 11
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