With the National Pension Service's deferral of asset-allocation rebalancing expected to end next month, analysts said the KOSPI crossing 9,000 points could prompt the fund to sell as much as 74.4 trillion won of domestic stocks. If the KOSPI tops 9,500 points, it is expected to have to sell up to 97.7 trillion won of domestic stocks.
Shinyoung Securities published a report on the 25th titled "Estimating the scale and impact of National Pension Service rebalancing."
Cho Yong-gu, a Shinyoung Securities researcher, estimated that when the KOSPI recently was above 8,175 points, the National Pension Service's domestic stock weight likely exceeded the maximum 28.8% allowed by combining the ranges for strategic asset allocation (SAA) and tactical asset allocation (TAA).
He estimated the National Pension Service's domestic stock weight at 29.6% when the KOSPI passed 8,500 points and 30.8% when it broke through 9,000, exceeding the allowed range.
Reflecting the SAA and TAA allowance ranges, he estimated the scale of the National Pension Service's rebalancing by KOSPI level. According to the estimate, if the SAA and TAA allowances are not used at all (domestic stock allowance of 26.8%), the KOSPI exceeding 8,500 points would require selling 51.2 trillion won. Even if both the SAA and TAA allowance ranges are fully applied, 14.7 trillion won would need to be sold.
If the KOSPI exceeds 9,000 points and the SAA and TAA allowances are not applied, the National Pension Service is expected to sell 74.4 trillion won worth of domestic stocks. Even applying the maximum domestic stock allowance (28.8%), it is projected to sell 37.3 trillion won.
Cho said, "The National Pension Service is known to use TAA conservatively, so it may use only about half and keep its domestic stock weight at 27.8%."
Cho said, "When the KOSPI is at 9,500 points or higher, the necessary scale of National Pension Service domestic stock sales increases significantly," adding, "However, to minimize the impact on the market, it is expected to reduce the annual, monthly and daily rebalancing caps."
He also noted that all information on the National Pension Service's actual rebalancing execution scale, partitioning sales, and the pace in terms of number of months is nonpublic, and analyzed that as stock prices continue to rise and the necessary sale scale increases, it is likely to slow the pace and consider additionally raising the year-end domestic stock weight.
Meanwhile, it was assessed that the National Pension Service's domestic stock weight adjustment will be a somewhat positive factor for domestic bond supply and demand in the second half, likely capping the upper bound of market interest rates at a certain level.