Monthly Bulletin

MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Baa2 / BBB+ / BBB+ / AL
Núm. 263 October 2016
MARKET OVERVIEW
CENTRAL GOVERNMENT FINANCING PROGRAM
[JANUARY-OCTOBER 2016]
Effective amounts in billion Euros
250
221.3
Annual Forecast
191.4
200
Execution
160,000
50
35.0
140,000
120.3
100,000
107.0
84.3
2
60,000
1
40,000
24.2
20,000
Letras del
Tesoro Issuance
(*) Includes foreign currency issues and other debts
Source: General Secretariat of the Treasury and Financial Policy
Bonos &
Obligaciones
Issuance (*)
0
0
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
2046
2064
2066
Total Net
Issuance
October 31, 2015
September 30, 2016
October 31, 2016
3
80,000
0
Total Gross
Issuance
%
4
Letras
Bonos and Obligaciones
Foreign Currency
Other Debt
120,000
100
5
Nominal amounts in million Euros
180,000
150
101.0
SPANISH CENTRAL GOVERNMENT YIELD CURVE
ANNUAL DEBT REDEMPTIONS (*)
0.25
0.5
1
3
5
10
15
-1
(*) Year 2016: Redemptions November-December
Source: General Secretariat of the Treasury and Financial Policy
30
Years
Source: Bloomberg
ACUTIONS
OCTOBER AUCTION RESULTS
5-year
5-year
10-year
Nominal amounts in million Euros
%
Bonos
Bonos
Obl.
Obl.
10,000
4
€i0,30%
0,75%
1,30%
4,20%
11/30/2021
7/30/2021
10/31/2026
1/31/2037
October 6
October 6
October 6
October 6 October 11 October 11 October 18 October 18 October 20 October 20 October 20
1,459.0
2,449.2
2,822.3
1,485.8
2,931.8
8,657.9
2,656.1
5,070.1
3,123.5
3,133.3
2,000.6
1,459.0
2,413.7
2,822.3
1,293.1
2,931.8
8,086.7
2,656.1
5,070.1
2,957.0
2,812.7
1,760.0
Second round
-
35.4
-
192.8
-
571.2
-
-
166.5
320.6
240.6
Amount allotted
752.0
1,634.2
1,542.3
1,094.8
550.0
5,252.2
405.0
2,255.0
1,320.2
1,801.3
1,366.6
Auction (2)
752.0
1,598.7
1,542.3
902.1
550.0
4,681.0
405.0
2,255.0
1,153.8
1,480.7
1,126.0
-
35.4
-
192.8
-
571.2
-
-
166.5
320.6
240.6
Stop-out price (excoupon)(*)
104.680
103.090
102.020
140.860
-
-
-
-
100.830
144.740
120.400
Stop-out price
BID (1st ROUND + 2nd ROUND)
ALLOTED (1st ROUND + 2nd ROUND)
ALLOTED (2nd ROUND)
STOP-OUT-RATE (%)
AVERAGE RATE (%)
8,000
Auction date
2.699
3
Auction (1)
2.688
1.783
6,000
1.052
4,000
-0.122
1.770
1
1.072
0
0.088 -0.594
Source: General Secretariat of the Treasury and Financial Policy
O 3,45%
7/30/2066
October 20
O 4,20%
1/31/2037
October 6
O 1,30%
10/31/2026
October 6
O 5,90%
7/30/2026
October 20
-0.620
B €i0,30%
11/30/2021
October 6
L12
10/13/2017
October 11
L9
7/14/2017
October 18
L6
4/7/2017
October 11
0
L3
1/20/2017
October 18
-0.248
-0.387 -0.326 -0.299
-0.116
2
0.104
B 0,75%
7/30/2021
October 6
-0.245
-0.386 -0.325 -0.296
B 0,25%
1/31/2019
October 20
2,000
1.043
1.086
Amount bid
-1
Second round
6-month
12-month
3-month
9-month
3-year
Letras
Letras
Letras
Letras
Bonos
Obl.
Obl.
0,25%
5,90%
3,45%
1/31/2019
7/30/2026
7/30/2066
4/7/2017
10/13/2017
1/20/2017
7/14/2017
50-year
104.852
103.240
102.290
143.770
100.159
100.249
100.098
100.220
101.020
146.150
121.220
Stop-out rate (%)
-0.594
0.104
1.086
1.783
-0.325
-0.245
-0.386
-0.296
-0.116
1.052
2.699
Weighted average rate (%)
-0.620
0.088
1.072
1.770
-0.326
-0.248
-0.387
-0.299
-0.122
1.043
2.688
Previous stop-out rate (%)
-0.087
0.163
1.138
2.537
-0.258
-0.197
-0.421
-0.269
-0.085
1.086
3.493
Bid to cover ratio (1)/(2)
1.94
1.51
1.83
1.43
5.33
1.73
6.56
2.25
2.56
1.90
1.56
(*) Ex-coupon and ex-inflation
MONTHLY BULLETIN nº 263 October 2016. Note: Data compiled as at 10/31/2016, unless otherwise specified
CENTRAL GOVERNMENT DEBT
OCTOBER 2016
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Núm. 263 October 2016
TURNOVER
CENTRAL GOVERNMENT TURNOVER EVOLUTION
TURNOVER SEPTEMBER 2016
Daily average in million Euros
13.25% vs AUGUST 2016
90,000
2014
80,000
2015
10.07% vs SEPTEMBER 2015
2016
DISTRIBUTION BY COUNTERPARTY
Daily average as at 09/30/2016
70,000
60,000
41.72%
Transactions
between Account
Holders: 19,046
mill euros
50,000
40,000
DISTRIBUTION BY TRANSACTION TYPE
Daily average as at 09/30/2016
48.14%
Outright
transactions:
23,061 mill Euros
Transactions with
Third parties:
20,522 mill euros
30,000
20,000
10,000
Repo transactions:
16,508 mill Euros
51.86%
0
58.28%
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Source: Bank of Spain
OUTRIGHT TRANSACTIONS IN BONDS AND
OBLIGACIONES BETWEEN ACCOUNT HOLDERS
OUTRIGHT TRANSACTIONS IN LETRAS
BETWEEN ACCOUNT HOLDERS
Nominal amounts in million Euros
Nominal amounts in million Euros
STRIPPING ACTIVITY
Nominal amounts in million Euros
80,000
160,000
Electronic market
Second tier
140,000
120,000
60,000
100,000
50,000
80,000
40,000
60,000
30,000
40,000
20,000
20,000
10,000
0
O15 N
Fuente: Bank
Source:
Bancoofde
Spain
España
D
E
F
M
A
M
J
J
A S16
Electronic market
70,000
Second tier
4,000
Reconstitution
Gross stripping
Strips outstanding (right-hand scale)
3,000
60,000
2,000
40,000
1,000
20,000
0
0
O15 N
D
J
F
M
A
M
J
Source: Bank of Spain
MONTHLY BULLETIN nº 263 October 2016. Note: Data compiled as at 10/31/2016, unless otherwise specified
J
A S16
80,000
0
O15 N D
J
F M A M
J
J
A S16
Source: Bank of Spain
CENTRAL GOVERNMENT DEBT
OCTOBER 2016
2
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Núm. 263 October 2016
DEBT PORTFOLIO
BONOS AND OBLIGACIONES DEL ESTADO
6.5
6.45
6.0
5.5
2015
*2016
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
5.0
(*) As at 10/31/2016
Source: General Secretariat of the Treasury and Financial Policy
INTERNATIONAL ISSUES FOREING CURRENCY
Security
Notas
Notas
Notas
Notas
Notas
Notas
Total
Millions
Coupon Maturity Next coupon Annual
%
date
payment coupons
Outstanding
€ Eqv. US$ Eqv.
124I2 B 2,10
04/30/17
21,582.3
103.0
21,838.0
12,865.6
12783 O 5,50
07/30/17
20,085.8
1,029.2
20,983.6
12,671.0
123R5 B 4,75 (**)
09/30/17
3,902.3
--
126V0 B 0,50
10/31/17
16,810.3
22.0
16,936.3
9,837.6
123Q7 B 4,50
01/31/18
19,491.9
842.9
20,617.1
12,292.3
127D6 B 0,25
04/30/18
16,824.6
--
16,943.4
11,592.4
121A5 O 4,10
07/30/18
20,813.4
894.5
22,385.1
14,145.9
124B7 B 3,75
10/31/18
20,417.5
587.2
22,047.9
9,748.3
128A0 B 0,25 (**)
01/31/19
14,950.9
--
15,045.3
11,358.2
124V5 B 2,75
04/30/19
22,405.2
49.8
23,953.4
13,000.0
121L2 O 4,60
07/30/19
20,758.4
779.7
23,365.6
12,985.5
121O6 O 4,30
126W8 B€i 0,55% (**)(1)
126C0 B 1,40
10/31/19
11/30/19
01/31/20
122D7 O 4,00
04/30/20
21,161.1
8,973.5
21,243.0
23,365.0
1,033.1
-67.6
1,083.6
23,859.4
9,358.7
22,177.7
26,654.6
12,325.0
5,728.4
15,125.9
14,791.4
127H7 B 1,15
07/30/20
17,457.6
--
18,164.6
11,420.7
122T3 O 4,85
10/31/20
18,387.2
2,259.7
21,863.0
11,734.5
123B9 O 5,50
04/30/21
24,001.9
2,500.0
29,736.2
16,776.8
128B8 B 0,75(**)
07/30/21
16,842.8
--
17,271.5
9,634.5
128D4 B€i 0,30% (**)(1)
11/30/21
2,975.1
--
3,110.2
1,719.4
123K0 O 5,85
01/31/22
22,927.1
3,032.3
29,579.4
15,944.2
123U9 O 5,40
01/31/23
21,666.7
498.2
28,206.3
13,767.3
123X3 O 4,40
10/31/23
20,107.6
799.2
25,229.8
9,557.4
121G2 O 4,80
01/31/24
16,868.9
571.2
21,684.2
8,716.3
124W3 O 3,80
04/30/24
21,185.8
974.9
25,797.1
14,515.2
126B2 O 2,75
10/31/24
23,500.0
1,221.4
27,488.0
14,890.8
126A4 O€i 1,80 (**)(1)
11/30/24
10,096.3
--
11,700.3
5,011.0
126Z1 O 1,60
04/30/25
19,795.1
143.2
20,870.2
8,988.7
122E5 O 4,65
07/30/25
21,731.5
2,156.0
28,400.1
11,538.0
127G9 O 2,15
10/31/25
20,665.9
--
22,626.1
10,746.4
127Z9 O 1,95
04/30/26
19,626.6
3.6
20,946.5
8,821.9
ES0L01611182
11/18/16
123C7 O 5,90
07/30/26
17,100.1
933.5
24,453.1
10,341.5
ES0L01612099
12/09/16
128H5 O 1,30 (**)
10/31/26
10,298.6
--
10,332.2
5,792.8
ES0L01701207
124C5 O 5,15
10/31/28
13,672.5
3.1
19,217.8
6,609.8
11868 O 6,00
01/31/29
22,123.3
3,524.9
33,590.9
127A2 O 1,95
07/30/30
18,024.0
20.0
127C8 O€i 1,00 (**)(1)
11/30/30
5,028.7
60%
50%
40%
30%
20%
10%
2015
Non-residents
Spanish official institutions
Households & non-financials
Pension & Mutual Funds
Insurance Companies
Bank of Spain
Resident Credit Institutions
(*) As at 09/30/2016
LETRAS DEL TESORO
Nominal amounts in million Euros as at 10/31/2016.
Market
value
Third
parties
holdings
8,305.5
8,307.2
7,465.1
7,035.9
7,038.9
6,536.3
01/20/17
8,282.4
8,289.0
7,189.7
ES0L01702171
02/17/17
6,971.5
6,978.4
5,735.8
12,628.3
ES0L01703104
03/10/17
8,458.7
8,468.7
7,413.7
18,790.9
8,622.9
ES0L01704078
04/07/17
7,137.2
7,146.2
5,175.9
--
5,329.9
3,119.2
ES0L01705125
05/12/17
7,318.9
7,331.0
6,247.9
Security
Maturity Outstanding
date
volume
20.000 Y(*)
3.133
04/17/17
04/17/17
1
174.0
190.4
12411 O 5,75
07/30/32
19,428.5
3,093.5
30,598.0
10,787.6
ES0L01706164
06/16/17
6,827.2
6,838.9
5,558.6
20.000 Y(*)
3.100
04/21/17
04/21/17
1
174.0
190.4
12932 O 4,20
01/31/37
18,325.3
3,649.3
27,518.0
11,541.8
ES0L01707147
07/14/17
6,687.8
6,700.6
5,594.3
20.000 Y(*)
2.915
12/02/30
12/02/16
2
174.0
190.4
120N0 O 4,90
07/30/40
15,402.3
2,394.1
23,219.0
8,081.5
ES0L01708186
08/18/17
4,282.8
4,292.0
3,651.4
2.000 $(*)
4.000
03/06/18
03/06/17
1
1,827.2
2,000.0
121S7 O 4,70
07/30/41
14,394.8
6,035.8
21,184.1
7,704.0
ES0L01709150
09/15/17
4,477.2
4,487.0
2,967.8
300 $(*)
5.010
11/21/44
11/21/16
1
274.1
300.0
124H4 O 5,15
10/31/44
11,750.4
656.4
18,695.8
7,004.6
ES0L01710133
10/13/17
5,252.2
5,264.1
3,511.9
200 ₤(*)
5.250
04/06/29
04/06/17
1
222.1
243.1
128C6 O 2,90(**)
10/31/46
8,216.4
--
9,322.1
5,567.9
2,845.2
3,114.4
126D8 O 4,00 (**)
10/31/64
1,000.0
--
1,437.6
468.3
128E2 O 3,45 (**)
07/30/66
4,366.6
--
5,196.3
2,762.6
909,412
455,827
(*) Swapped
Source: General Secretariat of the Treasury and Financial Policy
Total
771,206
41,959
*2016
2014
0%
2013
218.0
2012
--
70%
2011
6.92
Years
80%
21,453.4
2010
7.0
12,325.8
01/31/17
2009
AVERAGE LIFE OF THE DEBT PORTFOLIO
21,686.4
120J8 O 3,80
2008
(*) Includes loans and assumed debt in euros and euro-legacy currencies
996.5
90%
2007
(84.1%)
Third
parties
holdings
2006
Int'l issues in Euro-legacy
currencies & Foreign
currency debt
Market
value
stripped
principals)
2005
Non-marketable
Debt & others (*)
(stripped
principals are
included)
2004
Bonos and Oblig. del
Estado
Maturity
date
2003
(9.1%)
Security
Registered holdings of non stripped Central Government Debt
100%
2002
Letras del Tesoro
Outstandin Stripped
g volume volume (only
2001
(0.4%)
(6.4%)
DISTRIBUTION BY HOLDERS
Nominal amounts in million Euros as at 10/31/2016, except non resident holdings.
2000
CENTRAL GOVERNMENT OUTSTANDING DEBT
Total
81,037
81,142
67,048
Duration of outstanding Letras (in years): 0,44
Duration of outstanding strippable debt (in years): 6,36
(**) As at 10/31/2016 the stripping has not been authorised
(1) Updated by inflation as at 10/31/2016
MONTHLY BULLETIN nº 263 October 2016. Note: Data compiled as at 10/31/2016, unless otherwise specified
CENTRAL GOVERNMENT DEBT
OCTOBER 2016 3
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Núm. 263 October 2016
TECHNICAL CHARACTERISTICS OF SPANISH CENTRAL GOVERNMENT DEBT
MAIN FEATURES OF LETRAS DEL TESORO, BONOSANDY OBLIGACIONES DEL ESTADO
3, 6, 9 & 12-month Letras
Face value
Interest
Method of issuance
Minimum bid
Final date for bids:
Market members
Non members
Settlement date
Payment date
Market members
Non members
10, 15, 30-year Obligaciones
€ 1,000
At a discount
Annual coupon
Auction
Auction
€ 1,000
€ 1,000
Auction date
Auction date
One trading day before the auction
One trading day before the auction
Three trading days after the auction
Three trading days after the auction
Settlement date
Settlement date
One trading day before settlement
One trading day before settlement
- Personal income
The yield (difference between the transfer/redemption and
(1)
acquisition/subscription price) is taxed as savings income at a rate of 19.5% and
no withholding tax is applied.
The coupon is taxed as savings at 19.5%(1). A withholding tax of 19.5% is applied. The yield
(difference between the transfer/redemption and acquisition/subscription price) is taxed as
savings at 19.5%(1) and no withholding tax is applied, except in the "coupon washing" case.
- 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 19.5%
Residents
Taxation
3 & 5-year Bonos
€ 1,000
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.
Non residents
(1) Rising to 21.5% on the portion of taxable income between €6,000 and €50,000 and to 23.5% on the portion of taxable income over €50,000
Source: General Secretariat of the Treasury and Financial Policy
PRIMARY DEALERS (PD) AND REFERENCE PAGES FOR SPANISH GOVERNMENT DEBT
ENTITY
BANCO COOPERATIVO ESPAÑOL
BANKINTER
BARCLAYS BANK
BBVA
B.N.P. PARIBAS
BANKIA
CAIXABANK
CRÉDIT AGRICOLE CIB
CECA
CITIGROUP GLOBAL MARKETS
DANSKE BANK, A/S
TYPE OF
BONDS AND
PRIMARY
STRIPS MARKET
DEALER (PD)
Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
LETRAS
MARKET
BLOOMBERG
PAGE
REUTERS
PAGE
91-595-67-33
91-339-78-42
91-339-78-42
BKT
44 203 134 9798
44 207 773 6419
BXEG
91-537-82-37
91-537-82-85
BBGX
33 142 987 283
44 207 595 8771
BPEG
91-423-50-21
91-423-50-21
BKIA
93-404-63-05
93-404-63-05
44 207 214 6125
44 207 214 7466
ENTIDAD
TIPO DE CM
DEUTSCHE BANK
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos and
Obligaciones PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
Bonos, Obligaciones
and Letras PD
COMMERZBANK
BARCEGB
GOLDMAN SACHS INTERNATIONAL
HSBC FRANCE
0#E4TSY=BPGL
JP MORGAN SECURITIES
CAIXA
CAIXA
NOMURA
CALY
CALYON
BANCO SANTANDER
NATIXIS
91-596-57-14
91-596-57-14
CECA
CECA
ROYAL BANK OF SCOTLAND
44 207 986 9343
44 207 986 9143
CGEG
SSBEURO01
SOCIÉTÉ GÉNÉRALE
45 33 64 81 23
45 33 64 81 23
DM
MORGAN STANLEY & CO.
INTERNATIONAL PLC
BOLETÍN MENSUAL nº 263 Octubre 2016. Nota: los datos de este boletín están actualizados al 31/10/2016, salvo indicación en contrario
Baa2 / BBB+ / BBB+ / AL
MERCADO DE
MERCADO DE
BONOS,
OBLIGACIONES Y
LETRAS
STRIPS
PÁGINA EN
BLOOMBERG
44 207 545 4539
49 69 9103 2853
DABB
44 20 7475 1216
49 69 1362 7029
DRESDNER
44 207 552 0380
44 207 552 8868
GSGB
33 140 702 514
33 153 670 514
HSED 16
44 207 134 1414
44 207 134 1414
JPEX
33 158 558 096
33 158 558 200
44 207 103 56 09
PÁGINA EN REUTERS
EUROGOV
HSBCBONO1
HSBCBONO2
NXIG4
NOMX
NOEB
BSGB
BSST
44 207 085 1872
RBSS
ABNSPAST01
44 207 676 7384
SXGV
SGGOVT
44 207 677 9335
MSEG
MSXL
91-257-20-40
91-257-20-65
44 207 085 2628
33 142 133 139
44 207 425 6247
JUNIO
2015
DEUDA DEL
ESTADO
1