CENTRAL GOVERNMENT DEBT

CENTRAL GOVERNMENT DEBT
www.tesoro.es
BLOOMBERG: TESO
REUTERS: TESORO
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 235 June 2014
Baa2 / BBB / BBB+
MARKET OVERVIEW
CENTRAL GOVERNMENT FINANCING
PROGRAM [january-JUNE 2014 (*)]
Nominal amounts in million Euros
Effective amounts in billion Euros
300
SPANISH CENTRAL GOVERNMENT YIELD CURVE
ANNUAL DEBT REDEMPTIONS (*)
6.0
160,000
Letras
232.2
Bonos and Obligaciones
250
120,000
200
135.5
129.3
4.0
Foreign Currency
100,000
150
5.0
140,000
PERFORMANCE
ANNUAL FORECAST
Other Debt
3.0
80,000
102.9
60,000
86.3
100
55.0
May 31st 2014
40,000
49.2
42.0
50
1.0
(*) Includes 23 billion euros to be transferred to the Regional Liquidity Fund (FLA) .
(**)Includes foreign currency issues and other medium and long termdebt and excludes additional
issuance for early redemptions.
Source: General Secretariat of the Treasury and Financial Policy.
0.0
2044
2041
2040
2037
2036
2034
2033
2032
2031
2030
2029
2028
2027
2026
2025
2024
2023
2022
2021
2020
2019
2018
0
Bonos & Obligaciones
Issuance (**)
2017
Letras del Tesoro
Issuance
2016
Total Net
Issuance
2015
Total Gross
Issuance
2014
20,000
0
June 30th 2013
2.0
(*) Year 2014: Redemptions July-December
Source: General Secretariat of the Treasury and Financial Policy.
June 30th 2014
years
0.25
0.50
1
3
5
10
15
30
Source: Bloomberg.
AUCTIONS
JUNE AUCTIONS RESULTS
Nominal amounts in million Euros
BID (1st ROUND and 2nd ROUND)
STOP-OUT-RATE (%)
ALLOTED (1st ROUND and 2nd ROUND)
AVERAGE RATE (%)
ALLOTED (2nd ROUND)
3-year
Bonos
2.10%
04/30/17
%
6.5
10,000
6.0
9,000
5.5
8,000
5.0
June 17
June 17
June 18
June 18
June 24
June 24
4,655.0
8,556.5
3,130.3
3,639.4
3,533.3
6,673.6
Auction (1)
4,298.4
4,226.0
4,615.0
8,052.3
3,130.3
3,600.9
3,533.3
6,306.1
1,000
0
440.6
513.6
40.0
504.2
-
38.4
-
367.4
2,584.0
2,919.6
950.0
4,601.5
1,525.3
1,589.4
933.3
2,963.6
2,143.4
2,406.0
910.0
4,097.3
1,525.3
1,550.9
933.3
2,596.1
440.6
513.6
40.0
504.2
-
38.4
-
367.4
Stop-out price (excoupon)
103.140
105.650
-
-
103.370
115.570
-
-
1.5
Stop-out price
103.380
105.960
99.923
99.603
103.690
119.720
99.970
99.774
1.0
Stop-out rate (%)
0.987
1.540
0.160
0.395
0.893
1.412
0.131
0.316
0.5
Weighted average rate (%)
0.968
1.520
0.144
0.384
0.876
1.402
0.110
0.307
3.5
3.0
2.5
0.131
0.110
0.160
0.144
0.316
0.307
0.395
0.987
0.893
0.968
0.876
1.520
1.402
0.384
L3
L6
L9
L12
B 2.10%
B 2.10%
B 2.75%
O 4.60%
09/19/14
June 24
12/12/14
June 17
03/13/15
June 24
06/19/15
June 17
04/30/17
June 5
04/30/17
June 18
04/30/19
June 5
07/30/19
June 18
9-month
Letras
03/13/15
June 5
Second round
2,000
3-month
Letras
09/19/14
4,739.6
Amount allotted
1.412
Obligaciones
4.60%
07/30/19
June 5
4.0
1.540
3-year
Bonos
2.10%
04/30/17
4,739.0
4.5
3,000
12-month
Letras
06/19/15
Auction date
6,000
4,000
6-month
Letras
12/12/14
Amount bid
7,000
5,000
5-year
Bonos
2.75%
04/30/19
2.0
0.0
Auction (2)
Second round
Previous stop-out rate (%)
1.055
1.671
0.370
0.608
0.987
1.540
0.318
0.560
Bid to cover ratio (1)/(2)
2.005
1.756
5.072
1.965
2.052
2.322
3.786
2.429
Source: General Secretariat of the Treasury and Financial Policy.
MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
JUNE 2014
1
Num. 235 June 2014
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
TURNOVER
CENTRAL GOVERNMENT TURNOVER evolution
Turnover MAY 2014
Daily average in million Euros
2012
0.90% vs April 2014
2013
8.72% vs May 2013
2014
80,000
70,000
DISTRIBUTION BY COUNTERPARTY
DISTRIBUTION BY TRANSACTION TYPE
Daily average as at 05/31/2014
Daily average as at 05/31/2014
60,000
Transactions between Account Holders: 30,766 mill. Euros
Outright transactions: 27,688 mill. Euros
Transactions with Third parties: 37,944 mill. Euros
Repo transactions: 41,021 mill. Euros
50,000
55.22 %
59.70 %
40,000
30,000
40.30 %
44.78 %
20,000
10,000
0
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Source: Bank of Spain.
OUTRIGHT TRANSACTIONS IN BONOS AND
OBLIGACIONES BETWEEN ACCOUNT HOLDERS
OUTRIGHT TRANSACTIONS IN LETRAS
BETWEEN ACCOUNT HOLDERS
Nominal amounts in million Euros
Nominal amounts in million Euros
Electronic market
160,000
Second tier
140,000
35,000
120,000
30,000
100,000
25,000
80,000
20,000
60,000
15,000
40,000
10,000
20,000
5,000
0
J13
J
Source: Bank of Spain.
A
S
O
N
D
Electronic market
40,000
J
F
M
A
M14
0
J13
J
Source: Bank of Spain.
A
S
STRIPPING ACTIVITY
Nominal amounts in million Euros
Gross stripping
Second tier
O
N
D
J
F
M
A
M14
Strips outstanding
(right hand scale)
Reconstitution
3,500
70,000
3,000
60,000
2,500
50,000
2,000
40,000
1,500
30,000
1,000
20,000
500
10,000
0
J13
J
A
S
O
N
D
J
F
M
A
M14
0
Source: Bank of Spain.
MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
JUNE 2014
2
Núm. 223 Junio 2013
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 235 June 2014
DEBT PORTFOLIO
0.3%
BONOS AND OBLIGACIONES DEL ESTADO
DISTRIBUTION BY HOLDERS
Nominal amounts in million Euros as at 06/30/14,
except non resident holdings
Registered holdings of non stripped Central Government Debt
(*) As at 05/31/14
5.7%
Maturity date
Outstanding
volume (stripped
principals are
included)
Stripped
volume (only
stripped
principals)
Market
value
Third
parties
holdings
Nonresident
holdings
(*)
100%
12098 O 4.75
07/30/14
16,395.1
702.3
16,451.6
8,964.9
5,773.5
Bonos and Obligaciones del Estado
80%
121P3 B 3.30
10/31/14
21,800.5
345.6
22,038.1
9,232.9
5,791.3
Non-marketable Debt & others (*)
12916 O 4.40
01/31/15
20,975.8
617.7
21,491.8
8,698.5
4,064.1
122G0 B. Int. Vble.(**)
03/17/15
1,500.0
--
1,500.0
955.6
306.1
60%
123T1 B 2.75
03/31/15
10,540.3
--
10,734.7
5,375.2
3,689.4
122F2 B 3.0
04/30/15
18,827.9
350.2
19,249.7
8,451.6
5,660.3
50%
123L8 B 4.0
07/30/15
19,575.9
247.3
20,345.6
9,700.1
7,095.1
123P9 B 3.75
10/31/15
14,569.8
86.0
15,219.7
10,135.9
7,627.0
120G4 O 3.15
01/31/16
20,638.5
562.2
21,529.1
10,924.1
6,718.1
122X5 B 3.25
04/30/16
21,221.2
1,156.7
22,287.6
11,965.7
8,169.3
123W5 B 3.30
07/30/16
17,107.6
--
18,072.9
10,451.7
8,193.1
123J2 B 4.25
10/31/16
21,181.9
341.6
22,949.3
10,261.3
6,495.6
120J8 O 3.80
01/31/17
21,453.4
1,226.9
23,169.9
12,025.5
7,810.0
7.00
124I2 2.10
04/30/17
20,290.6
--
21,042.2
13,104.6
9,419.1
6.50
12783 O 5.50
07/30/17
20,085.8
1,547.3
22,923.3
13,366.2
7,061.7
123R5 B 4.75 (**)
09/30/17
3,902.4
--
--
--
--
123Q7 B 4.50
01/31/18
19,491.9
939.6
21,907.1
14,470.1
7,833.1
121A5 O 4.10
07/30/18
18,942.4
883.9
21,232.9
12,435.6
7,293.7
124B7 3.75
10/31/18
19,477.7
238.0
21,581.9
14,745.7
8,598.7
124V5 2.75
04/30/19
22,405.2
--
23,921.3
12,490.7
7,718.8
121L2 O 4.60
07/30/19
19,699.1
1,424.1
22,840.6
11,665.8
5,579.7
121O6 O 4.30
10/31/19
21,161.1
911.0
24,303.6
10,925.3
6,021.8
122D7 O 4.00
04/30/20
22,584.7
939.5
25,675.7
12,651.1
8,702.9
122T3 O 4.85
10/31/20
18,387.2
1,380.0
21,888.1
9,556.6
5,948.2
123B9 O 5.50
04/30/21
24,001.9
570.7
29,548.5
12,886.4
9,201.2
123K0 O 5.85
01/31/22
19,001.9
376.8
23,937.6
14,311.1
10,164.8
123U9 O 5.40
01/31/23
17,435.5
5.1
21,431.7
12,695.4
9,418.0
123X3 O 4.40
10/31/23
17,859.0
--
20,525.3
12,829.7
8,677.4
121G2 O 4.80
01/31/24
15,050.9
341.8
17,863.3
7,303.2
4,834.1
ES0L01407185
07/18/14
7,797.7
7,797.7
6,792.2
5,917.8
124W3 O 3.80
04/30/24
21,185.8
--
23,234.3
13,826.9
10,611.4
ES0L01408225
08/22/14
7,757.7
7,756.9
6,582.7
4,787.4
126B2 O 2.75 (**)
10/31/24
9,000.0
--
9,000.8
4,474.6
--
ES0L01409199
09/19/14
7,441.9
7,439.8
5,773.7
3,788.5
126A4 O€i 1.80 (**)(1)
11/30/24
5,020.2
--
5,230.6
3,367.2
2,778.1
ES0L01410171
10/17/14
7,900.2
7,896.9
4,699.9
3,793.0
122E5 O 4.65
07/30/25
14,241.2
636.1
16,662.1
7,521.2
3,984.3
123C7 O 5.90
07/30/26
13,968.3
179.4
17,950.7
7,769.8
3,661.5
124C5 O 5.15
10/31/28
10,861.9
--
13,106.8
7,404.1
4,829.4
11868 O 6.00
01/31/29
18,263.6
3,655.8
23,983.6
10,787.8
4,460.7
197.3
12411 O 5.75
07/30/32
14,853.4
2,737.2
19,378.8
8,631.1
4,838.5
12932 O 4.20
01/31/37
15,994.4
3,091.6
17,255.5
10,451.6
6,405.0
120N0 O 4.90
07/30/40
13,373.9
2,788.4
15,803.2
7,901.9
4,367.0
121S7 O 4.70
07/30/41
11,807.3
4,628.3
13,481.6
6,636.5
3,533.4
ES0L01505152
05/15/15
3,846.7
124H4 O 5.15 (**)
10/31/44
4,807.2
--
5,814.2
3,961.7
2,477.9
ES0L01506192
06/19/15
4,601.5
678,942.6
32,911.1
74,639.7
74,567.1
6.36
6.00
5.50
5.00
4.50
2014
2013
2012
2011
2009
2010
2008
2007
2006
2005
2003
2004
2002
2001
2000
4.00
Source: General Secretariat of the Treasury and Financial Policy.
International issues foreing
currency denominated
Millions
Security
Coupon Maturity
(%)
date
Next
coupon
payment
Annual
coupons
Outstanding
€ Equiv. US $ Equiv.
Note
¥ (*) 20,000
3.133
04/17/17
10/01/14
1
144.5
197.3
Note
¥ (*) 20,000
3.100
04/21/17
04/21/15
1
144.5
197.3
Note
¥ (*) 20,000
2.915
12/02/30
06/02/14
2
144.5
Note
$ (*) 2,000
4.000
03/06/18
03/06/15
1
1,464.3
2,000.0
Note
£ (*) 200
5.250
04/06/29
04/06/15
1
249.5
340.8
Total
(*) Swapped
Source: General Secretariat of the Treasury and Financial Policy.
2,147.3
2,932.7
Total
Duration of outstanding strippable debt (in years): 5.27
(*) Non residents third parties holdings as at 05/31/14
(**) As at 05/31/14 the stripping has not been authorised
(***) Updated by inflation as at 06/30/2014
756,565.5 395,314.6
245,813.1
20%
2013
2012
2011
2010
2009
2008
0%
2007
10%
2006
YEARS
30%
2005
AVERAGE LIFE OF THE DEBT PORTFOLIO
40%
2004
(*) Includes loans and assumed debt in euros and euro-legacy currencies
70%
2003
Int’l issues in euro-legacy currencies
& foreign currency debt
84.7%
90%
2002
Letras del Tesoro
2001
Security
2000
9.3%
*2014
Central Government
Outstanding Debt
Non-residents
Spanish official institutions
Households & non-financials
Pension & Mutual Funds and other financial entities
Insurance Companies
Credit Institutions
Source: Bank of Spain.
letras del tesoro
Nominal amounts in million Euros as at 06/30/14,
except non resident holdings
Security
Maturity date
Outstanding
volume
Market value
Third parties
holdings
Non-resident
holdings(*)
ES0L01411211
11/21/14
7,304.5
7,299.7
5,661.3
4,403.4
ES0L01412128
12/12/14
5,721.6
5,717.2
4,239.9
2,590.3
ES0L01501235
01/23/15
5,078.9
5,074.1
3,083.4
2,353.2
ES0L01502209
02/20/15
7,053.5
7,043.4
5,135.5
4,068.3
ES0L01503132
03/13/15
6,485.0
6,474.4
4,047.6
1,655.1
ES0L01504106
04/10/15
3,650.3
3,642.8
2,184.9
1,233.0
3,837.1
2,711.5
1,589.6
4,587.1
3,414.6
--
54,327.2
36,179.6
Total
Duration of outstanding Letras (in years): 0.45
(*) Non residents third parties holdings as at 05/31/14
MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
JUNE 2014
3
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 235 June 2014
TECHNICAL CHARACTERISTICS OF SPANISH CENTRAL GOVERNMENT DEBT
Main features of Letras del Tesoro, Bonos and Obligaciones del Estado
3, 6, 9 & 12-month Letras
Face value
Interest
3 & 5-year Bonos
10, 15 & 30-year Obligaciones
€ 1,000
€ 1,000
At a discount
Annual coupon
Method of issuance
Auction
Auction
Minimum bid
€ 1,000
€ 1,000
FINAL DATE FOR BIDS:
Market members
Auction date
Auction date
Non members
One trading day before the auction
One trading day before the auction
Settlement date
Three trading days after the auction
Three trading days after the auction
PAYMENT DATE
Market members
Settlement date
Settlement date
One trading day before settlement
One trading day before settlement
The yield (difference between the transfer/redemption and acquisition/subscription price) is taxed as savings
income at a rate of 21%(1) and no withholding tax is applied.
The coupon is taxed as savings at 21%(1). A withholding tax of 21% is applied. The yield (difference between the transfer/redemption and
acquisition/subscription price) is taxed as savings at 21%(1) and no withholding tax is applied, except in the “coupon washing” case.
Taxation
Non members
Residents
Personal
income tax
Corporate
income tax
Yield of all Treasury securities is taxed according to the “accrued interest” principle and no withholding tax is applied with the exception of “coupon washing” cases to which will be applied a withholding tax of 21%.
Non residents
(1)
Income obtained from Spanish Debt instruments by non-resident individuals or by legal entities that do no operate through a permanent establishment in Spain, will not be subject to tax in Spain.
Rising to 25% on the portion of taxable income between € 6,000 and € 24,000 and to 27% on the portion of taxable income over € 24,000.Source: General Secretariat of the Treasury and Financial Policy.
PRIMARY DEALERS AND REFERENCE PAGES FOR SPANISH GOVERNMENT DEBT
ENTITY
TYPE OF PRIMARY
DEALER (PD)
BONDS AND
STRIPS MARKET
LETRAS
MARKET
BLOOMBERG REUTERS
PAGE
PAGE
BANCO COOPERATIVO
ESPAÑOL
Letras PD
BANKINTER
Bonos, Obligaciones and
Letras PD
34-91-339-78-42
34-91-339-78-42
BKT
BARCLAYS
Bonos, Obligaciones and
Letras PD
44 207 773 8940
44 207 773 9631
BXEG
BBVA
Bonos, Obligaciones and
Letras PD
34-91-537-82-37
B.N.P. PARIBAS
Bonos, Obligaciones and
Letras PD
33 142 980 868
BANKIA
Bonos, Obligaciones and
Letras PD
34-91-423-50-21
CAIXABANK
Bonos, Obligaciones and
Letras PD
93-404-63-05
CRÉDIT AGRICOLE
Bonos, Obligaciones and
Letras PD
44 207 214 6133
CECABANK
Bonos, Obligaciones and
Letras PD
CITIGROUP
Bonos, Obligaciones and
Letras PD
CREDIT SUISSE
Bonos, Obligaciones and
Letras PD
34-91-595-67-33
34-91-532-92-29
44 207 986 9340
44 207 888 6451
34-91-537-82-85
BBGX
BPET
34-91-423-92-85
44 207 214 6133
34-91-596-57-01
BARCEGB
0#E4TSY=BPGL
ENTITY
TYPE OF PRIMARY DEALER BONDS AND STRIPS
MARKET
(PD)
LETRAS
MARKET
BLOOMBERG
PAGE
DEUTSCHE BANK
Bonos, Obligaciones and
Letras PD
44 207 545 6451
49 69 9103 2853
DABB
COMMERZBANK. AG
Bonos, Obligaciones and
Letras PD
44 207 475 6707
49 69 136 87 732
CBET
GOLDMAN SACHS
Bonos, Obligaciones and
Letras PD
44 207 774 8112
GSGB
HSBC FRANCE
Bonos, Obligaciones and
Letras PD
33 1 40 70 71 72
HSED 16
JP MORGAN
Bonos, Obligaciones and
Letras PD
44 207 779 3400
33 1 53 40 10 93
REUTERS PAGE
EUROGOV
HSBCBONO1
HSBCBONO2
JPMES01/02
CAJM
CAJAMADRID
NATIXIS
Bonos, Obligaciones and
Letras PD
CAIXA
CAIXA
NOMURA
Bonos, Obligaciones PD
44 207 103 56 09
CALY
CALYON
BANCO SANTANDER
Bonos, Obligaciones and
Letras PD
34-91-257-20-40
34-91-257-20-65
BSGB
BSST
ROYAL BANK OF SCOTLAND
Bonos, Obligaciones and
Letras PD
44 207 085 2214
44 207 678 4254
RBSS
ABNSPAST01
SSBEURO01
SOCIETÉ GÉNÉRALE
Bonos, Obligaciones and
Letras PD
33 1 42 13 46 34
33 1 42 13 71 02
SXGV
SGGOVT
CSBONDAA
MORGAN STANLEY & CO.
INTERNATIONAL PLC
Bonos, Obligaciones and
Letras PD
44 2076779335
MSEG
MSXL
CECA
CGEG
CSEG
CECA
33 1 58 55 13 21
NXIG4
IXISBONOS1
IXISBONOS2
NOMX
NOEB
• Spanish Tresuary pages in: Bloomberg: TESO Reuters: TESORO • For further information, please contact: Mr. José Miguel Ramos
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This Bulletin refers exclusively to marketable debt issued by the Central Government, except otherwise indicated. The information included in this booklet has been compiled and verified
to the best of our knowledge. The possibility of any factual mistake can, however, not be excluded.
MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
JUNE 2014
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