英文【摩根大通】澳元外汇叠加效应

Australia Rates & FX Strategy07 May 2025J P M O R G A Nwww.jpmorganmarkets.comAustralian and New Zealand Interest Rate StrategyBen K Jarman AC(61-2) 9003-7982ben.k.jarman@jpmorgan.comJ.P. Morgan Securities Australia Limited•Australian super funds’ large foreign asset base makes them a potential participant in de-dollarization•The foreign asset position is largely a function of insufficient supply of domestic assets (particularly domestic equities), so is unlikely to change quickly...•...but FX hedge ratios certainly have room to rise, which will be positive for AUD FX if the global diversification to non-USD assets is a low-vol dynamic•...and AUD could also benefit directly from greater inflows into domestic fixed income given attractive fiscal fundamentals, and joint FX/bond valuation After more than 30 years of compulsory superannuation, the Australian pension system has become a significant foreign asset owner. Superannuation assets are approaching AUD 4tn (Figure 1), and on recent growth trajectory, the system is forecast to become the world’s second-largest pension market by the end of the decade. Roughly half of super funds’ incremental investment has been flowing into foreign assets in recent years, particularly into listed equities, where the latest APRA data shows holdings of AUD 870bn (mostly US). Australian super funds are then, on paper, a candidate for significant de-dollarization flows back into the home currency. In our view, there are structural impediments to such a change, but we still see avenues for flow-related AUD support coming from 1) potential increases in super fund FX hedge ratios over time, which under the right circumstances could support spot, and 2) possibility of greater unhedged inflows into AUD government paper, as the rest of the world diversifies within the DM fixed income bucket. See page 7 for analyst certification and important disclosures.AUD FX: Super-imposing2Ben K Jarman AC(61-2) 9003-7982ben.k.jarman@jpmorgan.comAustralia Rates & FX Strategy07 May 2025J P M O R G A NFigure 1: AUD pension fund assets continue to grow, with a significant equity overweightAUD bn01000200030004000Feb 89Feb 94Feb 99Feb 04Mar 09Mar 14Mar 19Mar 24Total financial assetsEquitiesFinancial assets only.Source: ABS. ABS pension fund asset coverage excludes real assets (real estate, infra, etc). APRA data has a narrower classification of the fund universe so understates assets more so, but is more granular on relative asset composition for the major categories. The most exhaustive measure of system size comes from ABS household balance sheet data, which shows A$3.7tn as of 4Q24.Figure 2: Australia’s net international investment (liability) position continues to improve on relative equity performance% of GDP, aggregate net international liability position in blue-2502550758994990409141924Equity (net position): negative is foreign assets > liabilitiesDebt (net position)International liability positionExpressed as liability positions (i