CENTRAL GOVERNMENT DEBT

CENTRAL GOVERNMENT DEBT
www.tesoro.es
BLOOMBERG: TESO
REUTERS: TESORO
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 234 May 2014
Baa2 / BBB / BBB+
MARKET OVERVIEW
CENTRAL GOVERNMENT FINANCING
PROGRAM [january-May 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
129.3
112.4
4.0
Foreign Currency
100,000
150
5.0
140,000
PERFORMANCE
ANNUAL FORECAST
Other Debt
3.0
80,000
102.9
60,000
55.0
39.8
32.4
(*) Includes 23 billion euros to be transferred to the Regional Liquidity Fund (FLA)
(**) Includes foreign currency issues and other debts
Source: General Secretariat of the Treasury and Financial Policy.
May 31st 2014
years
0.0
2044
2041
2040
2037
2036
2034
2033
2032
2031
2030
2029
2028
2027
2026
2025
2024
2023
2022
2021
2020
2019
2018
2017
0
Bonos & Obligaciones
Issuance (**)
2016
Letras del Tesoro
Issuance
2015
Total Net
Issuance
1.0
20,000
2014
Total Gross
Issuance
April 30 th 2014
40,000
50
0
May 31st 2013
2.0
72.5
100
(*) Year 2014: Redemptions June-December
Source: General Secretariat of the Treasury and Financial Policy.
0.25
0.50
1
3
5
10
15
30
Source: Bloomberg.
AUCTIONS
MAY 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)
%
8,000
7,000
3.524
5,000
2.988
4,000
2.968
3,000
1.671
1.055
2,000
0
0.318
0.295
0.370
0.362
0.560
0.552
0.608
1.648
3.514
0.598
L3
L6
L9
L12
B 2.10%
B 2.75%
O 4.0%
O 3.80%
O 5.15%
08/22/14
May 20
11/21/14
May 13
02/20/15
May 20
05/15/15
May 13
04/30/17
May 8
04/30/19
May 22
04/30/20
May 8
04/30/24
May 22
10/31/28
May 8
9-month
Letras
02/20/15
5-year
Bonos
2.75%
04/30/19
10-year
Obligaciones
3.80%
04/30/24
May 8
May 8
May 13
May 13
May 20
May 20
May 22
May 22
2,982.9
4,999.8
9,101.7
3,274.6
6,340.0
3,259.4
3,797.6
5.5
Auction (1)
3,164.7
4,839.7
2,749.5
4,836.4
8,568.0
3,274.6
6,065.7
2,934.8
3,362.5
5.0
Second round
27.3
548.6
233.3
163.4
533.7
-
274.3
324.6
435.1
1,027.0
3,012.0
1,327.6
1,363.4
3,846.7
924.6
2,865.0
1,861.4
2,428.6
1,993.5
4.0
Amount allotted
3.5
Auction (2)
999.7
2,463.5
1,094.3
1,200.0
3,313.0
924.6
2,590.7
1,536.8
3.0
Second round
27.3
548.6
233.3
163.4
533.7
-
274.3
324.6
435.1
Stop-out price (excoupon)
103.030
111.640
118.160
-
-
-
-
105.060
106.880
Stop-out price
103.100
111.780
120.900
99.807
99.389
99.920
99.578
105.260
107.160
1.0
Stop-out rate (%)
1.055
1.916
3.524
0.370
0.608
0.318
0.560
1.671
2.988
0.5
Weighted average rate (%)
1.039
1.900
3.514
0.362
0.598
0.295
0.552
1.648
2.968
Previous stop-out rate (%)
1.036
2.139
3.869
0.380
0.565
0.340
0.482
1.678
3.073
Bid to cover ratio (1)/(2)
3.166
1.965
2.513
4.030
2.586
3.542
2.341
1.910
1.687
CENTRAL GOVERNMENT DEBT
MAY 2014
1.5
1.039
3-month
Letras
08/22/14
5,388.3
2.0
1.900
12-month
Letras
05/15/15
May 8
2.5
1.916
6-month
Letras
11/21/14
3,192.0
4.5
6,000
Obligaciones
5.15%
10/31/28
Amount bid
6.0
9,000
Obligaciones
4.0%
04/30/20
Auction date
6.5
10,000
1,000
3-year
Bonos
2.10%
04/30/17
0.0
Source: General Secretariat of the Treasury and Financial Policy.
MONTHLY BULLETIN, no. 234. May 2014. Note: Data compiled as at 05/31/2014, unless otherwise specified
1
Num. 234 May 2014
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
TURNOVER
CENTRAL GOVERNMENT TURNOVER evolution
Turnover APRIL 2014
Daily average in million Euros
2012
2.80% vs March 2014
2013
16.75% vs April 2013
2014
80,000
70,000
DISTRIBUTION BY COUNTERPARTY
DISTRIBUTION BY TRANSACTION TYPE
Daily average as at 04/30/2014
Daily average as at 04/30/2014
60,000
Transactions between Account Holders: 32,909 mill. Euros
Outright transactions: 24,963 mill. Euros
Transactions with Third parties: 34,336 mill. Euros
Repo transactions: 42,283 mill. Euros
50,000
51.06 %
62.88 %
40,000
30,000
37.12 %
48.94 %
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
M13
J
Source: Bank of Spain.
J
A
S
O
N
Electronic market
40,000
D
J
F
M
A14
0
M13
J
Source: Bank of Spain.
J
A
STRIPPING ACTIVITY
Nominal amounts in million Euros
Gross stripping
Second tier
S
O
N
Strips outstanding
(right hand scale)
Reconstitution
3,000
D
J
F
M
A14
60,000
2,500
50,000
2,000
40,000
1,500
30,000
1,000
20,000
500
10,000
0
M13
J
J
A
S
O
N
D
J
F
M
A14
0
Source: Bank of Spain.
MONTHLY BULLETIN, no. 234. May 2014. Note: Data compiled as at 05/31/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
MAY 2014
2
Núm. 223 Junio 2013
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 234 May 2014
DEBT PORTFOLIO
DISTRIBUTION BY HOLDERS
Nominal amounts in million Euros as at 05/31/14,
except non resident holdings
Registered holdings of non stripped Central Government Debt
(*) As at 04/30/14
Market
value
Third
parties
holdings
Nonresident
holdings
(*)
100%
80%
90%
12098 O 4.75
07/30/14
16,395.1
763.1
16,510.7
8,081.6
5,695.3
Bonos and Obligaciones del Estado
121P3 B 3.30
10/31/14
21,800.5
345.6
22,065.4
8,783.8
6,046.1
Non-marketable Debt & others (*)
12916 O 4.40
01/31/15
20,975.8
637.8
21,526.4
7,023.8
4,311.2
Int’l issues in euro-legacy currencies
& foreign currency debt
122G0 B. Int. Vble.(**)
03/17/15
1,500.0
--
1,500.0
977.6
448.2
60%
123T1 B 2.75
03/31/15
10,540.3
--
10,736.4
5,535.0
4,062.9
50%
122F2 B 3.0
04/30/15
20,971.3
350.2
21,442.7
10,204.1
5,171.6
123L8 B 4.0
07/30/15
20,180.3
247.3
20,972.3
9,745.1
7,822.8
70%
40%
123P9 B 3.75
10/31/15
15,484.6
86.0
16,162.2
9,103.0
8,270.0
30%
120G4 O 3.15
01/31/16
20,638.5
573.8
21,501.2
10,275.4
6,933.9
20%
AVERAGE LIFE OF THE DEBT PORTFOLIO
122X5 B 3.25
04/30/16
21,221.2
1,158.7
22,231.7
11,395.4
7,456.2
123W5 B 3.30
07/30/16
17,107.6
--
18,017.9
10,502.8
7,741.4
YEARS
123J2 B 4.25
10/31/16
21,181.9
--
22,872.2
10,120.3
6,604.2
120J8 O 3.80
01/31/17
21,453.4
1,227.9
23,075.1
11,370.8
8,015.1
124I2 2.10
04/30/17
16,181.4
--
16,679.9
11,431.9
8,217.9
12783 O 5.50
07/30/17
20,085.8
1,552.9
22,826.9
11,372.0
7,056.5
123R5 B 4.75 (**)
09/30/17
3,902.4
--
0.0
--
--
123Q7 B 4.50
01/31/18
19,491.9
950.1
21,761.5
12,447.6
8,551.3
121A5 O 4.10
07/30/18
18,942.4
890.7
21,052.6
11,067.2
7,272.4
Insurance Companies
124B7 3.75
10/31/18
19,477.7
236.8
21,401.0
14,488.7
8,748.2
Credit Institutions
124V5 2.75
04/30/19
19,485.6
--
20,592.0
9,551.2
6,189.6
121L2 O 4.60
07/30/19
18,109.8
1,340.6
20,808.2
9,924.7
5,748.3
121O6 O 4.30
10/31/19
21,161.1
914.0
24,054.9
9,388.1
5,813.0
122D7 O 4.00
04/30/20
22,584.7
781.6
25,351.6
11,614.3
8,164.4
122T3 O 4.85
10/31/20
18,387.2
1,403.0
21,513.8
8,518.1
6,445.3
123B9 O 5.50
04/30/21
24,001.9
559.7
29,081.0
12,154.7
9,291.4
123K0 O 5.85
01/31/22
19,001.9
353.9
23,569.9
13,860.0
9,657.5
123U9 O 5.40
01/31/23
17.435,5
--
21.166,2
12.765,0
9.694,3
123X3 O 4.40
10/31/23
17.859,0
--
20.178,0
12.443,2
9.353,2
121G2 O 4.80
01/31/24
15,050.9
335.3
17,580.7
7,728.7
4,858.4
6.50
6.35
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
144.6
196.7
Note
¥ (*) 20,000
3.100
04/21/17
04/21/15
1
144.6
196.7
Note
¥ (*) 20,000
2.915
12/02/30
06/02/14
2
144.6
196.7
Note
$ (*) 2,000
4.000
03/06/18
03/06/15
1
1,469.8
2,000.0
Note
£ (*) 200
5.250
04/06/29
04/06/15
1
246.0
334.7
Total
(*) Swapped
Source: General Secretariat of the Treasury and Financial Policy.
2,149.6
2,924.8
124W3 O 3.80
04/30/24
21,185.8
--
22,868.2
13,761.5
9,936.8
126A4 O€i 1.80 (**)
11/30/24
5011.25 (***)
--
5,145.0
3,556.2
--
122E5 O 4.65
07/30/25
14,241.2
636.1
16,389.7
6,964.5
3,722.1
123C7 O 5.90
07/30/26
13,968.3
168.7
17,742.8
7,018.1
4,430.1
124C5 O 5.15
31/10/28
10,861.9
--
12,895.2
7,790.2
4,027.1
11868 O 6.00
01/31/29
18,263.6
3,694.8
23,600.2
7,521.1
4,638.2
*2014
Households & non-financials
Pension & Mutual Funds and other financial entities
Source: Bank of Spain.
letras del tesoro
Nominal amounts in million Euros as at 05/31/14,
except non resident holdings
Maturity date
Outstanding
volume
Market value
ES0L01406203
06/20/14
13,949.3
13,947.5
8,308.0
7,118.7
ES0L01407185
07/18/14
7,797.7
7,794.6
6,878.1
5,994.5
Security
Third parties
holdings
Non-resident
holdings(*)
ES0L01408225
08/22/14
7,757.7
7,753.5
6,332.7
3,618.9
ES0L01409199
09/19/14
6,508.6
6,504.3
4,757.9
3,386.0
ES0L01410171
10/17/14
7,900.2
7,891.8
4,769.1
4,044.7
ES0L01411211
11/21/14
7,304.5
7,294.2
5,036.5
3,693.7
ES0L01412128
12/12/14
4,771.6
4,763.2
3,340.9
2,470.7
ES0L01501235
01/23/15
5,078.9
5,065.7
3,062.0
1,528.7
07/30/32
14,853.4
2,766.2
19,168.5
6,501.0
4,726.1
01/31/37
15,994.4
3,091.6
16,955.5
8,513.2
6,951.8
120N0 O 4.90
07/30/40
13,373.9
2,801.4
15,550.3
5,887.1
4,399.5
121S7 O 4.70
07/30/41
11,807.3
4,634.3
13,295.3
5,388.0
3,568.3
ES0L01504106
04/10/15
3,650.3
124H4 O 5.15 (**)
31/10/44
4,807.2
--
5,755.7
3,975.7
2,615.8
ES0L01505152
05/15/15
3,846.7
659,966.7
32,502.1
735,598.7
358,750.5
242,656.1
79,140.6
79,015.8
Duration of outstanding strippable debt (in years): 5.27
2013
Spanish official institutions
12411 O 5.75
(*) Non residents third parties holdings as at 04/30/14
(**) As at 05/31/14 the stripping has not been authorised
(***) Updated by inflation as at 05/31/2014
2012
Non-residents
12932 O 4.20
Total
2011
2003
2002
0%
2001
7.00
10%
2000
(*) Includes loans and assumed debt in euros and euro-legacy currencies
2010
83.9%
Outstanding
Stripped
volume (stripped volume (only
principals are
stripped
included)
principals)
2009
Letras del Tesoro
Maturity date
2008
Security
2007
10%
2006
5.8%
2005
0.3%
BONOS AND OBLIGACIONES DEL ESTADO
2004
Central Government
Outstanding Debt
ES0L01502209
02/20/15
7,053.5
7,028.6
4,634.7
1,112.0
ES0L01503132
03/13/15
3,521.4
3,509.3
2,334.4
1,406.6
3,635.2
2,288.8
900.5
3,827.8
1,914.5
--
53,657.3
35,274.9
Total
Duration of outstanding Letras (in years): 0.40
(*) Non residents third parties holdings as at 04/30/14
MONTHLY BULLETIN, no. 234. May 2014. Note: Data compiled as at 05/31/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
MAY 2014
3
MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS
Num. 234 May 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: Mrs. Concepción Aldea del Pozo
• E-mail: [email protected] • Address: Pº del Prado, 6 - 28014 Madrid • Tel.: +34 91 209 96 89 • Web: http://www.tesoro.es
Baa2 / BBB / BBB+
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. 234. May 2014. Note: Data compiled as at 05/31/2014, unless otherwise specified
CENTRAL GOVERNMENT DEBT
MAY 2014
4