Sovereign Debt Holdings Monthly Report July 20, 2021

I. The current amount of Peruvian sovereign debt outstanding was 127 BN PEN (32 BN USD) at the end of June of 2021. The most liquid points are still the ones maturing in
28, 29,31,32 and 37 with outstandings over 15BN PEN each (approx. 20 BN USD Total). During June, daily liquidity decreased to PEN 446 MM on average (112 MM USD) -
50% lower than May.

II. During March, the MoF issued 4 BN USD and 825 MM EUR in order to meeting financing needs due to the fiscal deficit of 8.9% at 2020 close. The remaining 40% of
financing needed was announced to be issue in the local market (4.4 BN USD), notably higher than previous years´ issuances. Until the end of May it has issued just 4 BN
PEN (1.2BN USD) in its market makers program.

Peruvian Sovereign Debt evolution as of June-21 (BN PEN - not including VAC)
Amount issued for each bond (BN PEN)*

18,000 Most Liquid Tenors Δ2019 Δ2020 Δ2021

2019 2020 2021 SB12SEP23 -4,429 - -
15,000 SB12AGO24 -4,291 0 0
SB12AGO26 1 - -
12,000
SB12AGO28 1 - -
SB12FEB29 3,932 1,185 1,253
9,000 S/. 8Bn. SB12AGO31 325 300 861
6,000 SB12AGO32 2,265 525 -
SB12AGO34 10,126 881 226
3,000 SB12AGO37 4,574 - 1,069
SB12AGO40 8,261 - 682
0 SB12FEB42 - - -
23 24 26 28 29 31 32 34 37 40 42 55
SB12FEB55 - - 305
Total 20,765 2,891 4,398 -81%
* Negative amounts means that MoF, in net, has bought the debt.

III. Despite the uncertainty of the second round results, Pfunds finished the registration of the withdrawls, reduced their positions in sovs in order to have liquidity. As a result,
PFs were the main sellers last month, indexing around 18% hold on sovs vs. their portfolio from 20% at the end of the April. Additionally the Central Bank announced on May
27 that they will buy bonds in discretional auctions.

Evolution of participation by investor type: Local debt holdings (June - 21):

Others
4%
60%

50%
44.57% Banks
40%
27%
30%
26.56% Offshore
20% Investor
18.09%
45%
10%

0% Insurance C.
Jul-2019

Jul-2020
Aug-2019

May-2020

Aug-2020

May-2021
Jun-2019

Oct-2019

Jun-2020

Oct-2020

Jun-2021
Mar-2020
Sep-2019

Feb-2020

Apr-2020

Sep-2020

Mar-2021

Apr-2021
Nov-2019

Dec-2019

Jan-2020

Nov-2020

Dec-2020

Feb-2021
Jan-2021

6%

Pension Funds
Offshore Investor Insurance C. Banks Pension Funds 18%

IV. The recently proclaimed President Castillo has moderated his speech. Castillo´s intent to keep BCRP President Velarde in his seat provided relief to the market.
Nevertheless, Castillo´s intention of continuing with the constitutional assembly hit the curve 120bps, its highest levels since the begining of the pandemic.
Debt Holdings and Variation by Investor type and by Tenor (BN PEN) as of June 2021

Offshore Investors Banks Local Real Money

Jun-20 May-21 Jun-21 ∆ vs 'JUNIO20 ∆ MoM Jun-20 May-21 Jun-21 ∆ vs 'JUNIO20 ∆ MoM Jun-20 May-21 Jun-21 ∆ vs 'JUNIO20 ∆ MoM
SB12SEP23 108 57 130 22 73 SB12SEP23 1,021 1,072 999 -22 -73 SB12SEP23 37 38 38 1 -
SB12AGO24 1,429 1,025 1,224 -205 199 SB12AGO24 5,214 5,544 5,355 141 -189 SB12AGO24 32 59 55 22 -5
SB12AGO26 8,016 6,592 6,612 -1,403 20 SB12AGO26 3,632 5,343 5,381 1,749 38 SB12AGO26 397 116 61 -335 -55
SB12AGO28 9,331 9,800 9,744 413 -57 SB12AGO28 2,729 3,725 3,887 1,158 162 SB12AGO28 2,108 1,922 1,821 -287 -101
SB12FEB29 8,881 9,069 9,205 324 136 SB12FEB29 3,918 5,273 5,379 1,461 106 SB12FEB29 1,126 1,604 1,382 252 -235
SB12AGO31 9,422 6,720 6,921 -2,500 201 SB12AGO31 1,760 3,062 3,913 2,153 851 SB12AGO31 2,863 4,532 3,446 669 -1,041
SB12AGO32 9,127 8,799 8,721 -406 -78 SB12AGO32 1,049 828 1,444 395 616 SB12AGO32 3,277 5,356 4,826 1,486 -539
SB12AGO34 4,628 5,002 4,718 90 -284 SB12AGO34 1,452 1,471 2,136 684 665 SB12AGO34 3,817 4,644 4,257 474 -381
SB12AGO37 5,837 5,333 5,287 -550 -46 SB12AGO37 1,924 2,006 3,160 1,236 1,154 SB12AGO37 6,033 6,309 5,201 -832 -1,108
SB12AGO40 3,805 3,808 3,741 -64 -68 SB12AGO40 820 720 952 131 231 SB12AGO40 3,529 3,827 3,646 117 -181
SB12FEB42 813 405 414 -399 9 SB12FEB42 126 474 585 459 112 SB12FEB42 2,241 2,281 2,156 -85 -125
SB12FEB55 78 62 62 -16 - SB12FEB55 17 258 259 241 1 SB12FEB55 2,143 1,920 1,919 -224 -0
56,673 56,779 -4,695 106 TOTAL 29,776 33,449 9,787 3,674 TOTAL 32,654 28,883 1,258 -3,770

Monthly Variation in Holdings: (BN PEN)

SB12AGO31 May-21 Jun-21 ∆ SB12AGO34 May-21 Jun-21 ∆ SB12AGO37 May-21 Jun-21 ∆

Offshore Investor 6,720 6,921 201 Offshore Investor 5,002 4,718 -284 Offshore Investor 5,333 5,287 -46
Local Real Money 4,564 3,524 -1,041 Local Real Money 4,711 4,330 -381 Local Real Money 6,309 5,201 -1,108
Banks 3,062 3,913 851 Banks 1,471 2,136 665 Banks 2,006 3,160 1,154
Others 627 617 -10 Others 506 506 - Others 1,051 1,051 -
TOTAL 14,974 14,975 0 TOTAL 11,689 11,689 - TOTAL 14,699 14,699 -

V. What do we expect for July / August 2021 in terms of holding variations?

In terms of holdings we expect non resident investors to increase positions at currents levels. These levels seem attractive to enter and the prices of the Long end bonds
lower than 90 can incentivize buying. We expect Pedro Castillo to announce his cabinet in the next few days and are positive on a pro market cabinet, and the relief it could
bring to the curve.

Local Soberano Curve ( 1 week ago, 1 year ago)

Bofore 2nd round One year

Bond 20-07-21 One week ago 7.50
elections ago 7.00
6.50
PERU24 2.40 2.31 1.87 1.36 6.00
5.50
PERU26 3.70 3.75 2.75 2.67 5.00
PERU28 4.79 4.88 3.87 3.61 4.50
4.00
PERU29 4.89 5.06 4.00 3.73 3.50
PERU31 5.63 5.92 4.65 4.35 3.00
2.50
PERU32 5.85 6.05 4.85 4.48 2.00
PERU34 6.29 6.48 5.25 4.74 1.50

PERU37 6.63 6.78 5.75 5.03

PERU40 6.63 6.86 5.81 5.18 Today Before 2nd round Presidential elections One year ago One week
PERU42 6.67 6.91 5.92 5.34
PERU55 6.77 6.96 6.12 5.40
200

150

100

50

9
0 -20
-5 -9
-17 Weekly Annual
-19 -15
VS 4.07.21 -19
-29 -23 -24
-50
PERU24

PERU26

PERU28

PERU29

PERU31

PERU32

PERU34

PERU37

PERU40

PERU42

VI. We believe market liquidty will continue to recover on the back of yesterday´s announcement that Pedro Castillo will be the next president. The offer in the market must PERU55
stop and the incentive of a rally on Peru's sovs will appear when Castillo announced his cabinet and especially if Velarde continues with his current post as the President of
the BCRP.

Peruvian Sovereign Debt Heat Map

Info from last 180 days.
Z-SCORE Sob 23 Sob 24 Sob 26 Sob 28 Sob 29 Sob 31 SOB 32 SOB 34 Sob 37 Sob 40 Sob 42 Sob 55
Sob 23 2.90 3.10 1.57 1.53 1.54 1.53 1.46 1.44 1.32 1.74 1.53
Sob 24 -2.90 2.23 0.55 0.40 0.47 0.30 -0.03 -0.56 -0.91 -0.08 -0.47
Sob 26 -3.10 -2.23 -0.72 -0.95 -0.70 -1.06 -1.75 -2.74 -3.03 -2.14 -2.38
Sob 28 -1.57 -0.55 0.72 -1.06 -0.21 -0.65 -1.07 -1.52 -1.66 -0.98 -1.40
Sob 29 -1.53 -0.40 0.95 1.06 0.43 -0.29 -0.92 -1.44 -1.63 -0.82 -1.29
Sob 31 -1.54 -0.47 0.70 0.21 -0.43 -0.57 -0.94 -1.36 -1.56 -0.85 -1.29
Sob 32 -1.53 -0.30 1.06 0.65 0.29 0.57 -0.70 -1.26 -1.53 -0.62 -1.12
Sob 34 -1.46 0.03 1.75 1.07 0.92 0.94 0.70 -1.19 -1.81 -0.06 -0.64
Sob 37 -1.44 0.56 2.74 1.52 1.44 1.36 1.26 1.19 -1.56 2.47 0.27
Sob 40 -1.32 0.91 3.03 1.66 1.63 1.56 1.53 1.81 1.56 3.07 0.99
Sob 42 -1.74 0.08 2.14 0.98 0.82 0.85 0.62 0.06 -2.47 -3.07 -1.14
Sob 55 -1.53 0.47 2.38 1.40 1.29 1.29 1.12 0.64 -0.27 -0.99 1.14

Pension Funds local rates sovereign holdings

AFP
7,000
6,000
5,000
4,000
3,000
2,000
1,000
0
mayo-20 junio-20 julio-20 agosto-20 septiembre-20 octubre-20 noviembre-20 diciembre-20 enero-21 febrero-21 marzo-21 abril-21 mayo-21 junio-21

SB12SEP23 SB12AGO24 SB12AGO26 SB12AGO28 SB12FEB29 SB12AGO31

SB12AGO32 SB12AGO34 SB12AGO37 SB12AGO40 SB12FEB42 SB12FEB55
5,000
4,000
3,000
2,000
1,000
0
mayo-20 junio-20 julio-20 agosto-20 septiembre-20 octubre-20 noviembre-20 diciembre-20 enero-21 febrero-21 marzo-21 abril-21 mayo-21 junio-21

SB12SEP23 SB12AGO24 SB12AGO26 SB12AGO28 SB12FEB29 SB12AGO31

SB12AGO32 SB12AGO34 SB12AGO37 SB12AGO40 SB12FEB42 SB12FEB55