MONTHLY BULLETIN - N 215 April 2008

Transcription

1 MONTHLY BULLETIN - N 1 April 8 DEBT GENERAL DATA... 1 PRIMARY MARKET... SECONDARY MARKET... 4 TRIBUNE THE FRENCH ECONOMY... 7 INTERNATIONAL COMPARISONS... 8 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING Bloomberg TRESOR <Go> - Reuters TRESOR - Pages Bridge Menu 1 78 Available in French and English Publication manager: Philippe Mills Editor: Agence France Trésor DEBT GENERAL DATA French government long- and medium-term negotiable debt on March 31, 8 nominal value of each line, BTAN OAT OATi & OAT i BTAN i >17 Non-resident holdings of French government negotiable debt securities as a % of negotiable debt outstanding /6** 1/7* /7* 3/7* 4/7* /7* 6/7* 7/7* 8/7* 9/7* 1/7* 11/7* 1/7* 1/8 /8 Source: balance of payments Note: following the revised figures of the French securities held by non-residents at the end of 6, the Banque de France has readjusted the outstanding amount related to the negotiable Government debt securities held by non-residents in 6 (**). (*) figures revised quarterly (**) figures revised annually Auction indicative calendar BTF BTAN / index linked OAT OAT April 8 auction date settlement date May 8 auction date Apr. settlement date anticipated or delayed auctions (bank holidays, etc.)

2 NEWS A joint presentation of the euro market by the main sovereign issuers Agence France Trésor and the monthly magazine Institutional Investor organised a seminar in Washington on April dealing with euro fixed-income markets as part of the promotion of government securities. This action complemented the conventional roadshows and it was aimed at investors that have yet to enter the market for government securities denominated in euros. To help them take such a step in order to achieve international diversification of their bond portfolios, AFT invited its German and Italian counterparts to take part in the event so that US institutional investors could have an opportunity to meet with the leading sovereign issuers in the euro area. The half-day seminar attracted decision-makers from the major institutional investors on both the east and west coasts. John Lipsky, First Deputy Managing Director of the International Monetary Fund, agreed to open the seminar with a keynote talk about the overall economic situation in the world and in the euro area. We felt that an approach involving the three leading governments issuing eurodenominated securities was needed to demonstrate the homogeneity of the market for sovereign bonds denominated in euros, which is similar to that found in the US market, and that this homogeneity is real, despite the fact that each government in the euro area still has its own borrowing programme. Following the introduction of the euro, operating conditions on the fixed-income markets gradually became more harmonised. Even though different governments issuance policies still have certain distinctive individual features, such as the mix of short-, medium- and long-term issues, or the proportion of inflation-linked securities, investors should see these differences as opportunities. By speaking with one voice, the three sovereign issuers also helped to create a better understanding of the dynamics of economic and fiscal developments in Europe compared to the other major economic areas of the world. Given the success of the seminar, AFT is likely to repeat this type of operation in other regions. PRIMARY MARKET Long- and medium-term financing over the year on March 31, 8 Long and medium-term financing forecast for the year 8 (State and CDP) 116. billion Cumulative realized long and medium-term financing billion on March 31, realized BTAN realized OAT Jan. Feb. March Apr. May June July Aug. Sept. Oct. Nov. Dec. OATs and BTANs issues and cumulative total on March 31, 8 BTAN 3% 7/8 BTAN i BTAN.% 1/1 BTAN 3.% 7/11 BTAN 3.7% 1/13 OAT 3% 1/1 OATi 1% 7/17* OAT 4.% 1/17 OAT 4.% 4/19 OAT i.% OATi.1% 7/3* OAT 4.% 1/3 OAT 4% 1/38 OAT 4% 4/ * nominal value 1 1 issued before 8 issued in 8 OATs and BTANs: indicative repayment schedule on March 31, interest redemption 3/8 4/8 /8 6/8 7/8 8/8 9/8 1/8 11/8 1/8 1/9 /9 Source : Agence France Trésor

3 m OAT and BTAN auctions March 8 OAT 1 years OAT 1 years OAT 3 years BTAN years BTAN years BTAN years BTAN i years OATi 1 years 1//1 1//17 1//38 1/1/1 7/1/11 1/1/13 7//1 7//17 3,% 4,% 4,% 3,% 3,% 3,7% 1,% 1,% Auction date 3/6/8 3/6/8 3/6/8 3//8 3//8 3//8 /3/8 /3/8 Settlement date 3/11/8 3/11/8 3/11/8 3/6/8 3/6/8 3/6/8 3/6/8 3/6/8 Amount announced Bid amount 3,3 3,,77, 4,1 6,,74 1,9 Amount served,3 1,39 1,94 1,8 1,39,94,93,474 of which: NCTs before auction NCTs after auction Total issued amount,61 1,7 1,381 1,8 1,39,94,93,474 Bid-to-cover ratio 1,,3,3 3,6 3, 6,6,9 3,9 Weighted average price 94,3% 11,4% 89,3% 99,9% 99,9% 1,43% 1,48% 93,36% Yield to maturity 3,84% 4,7% 4,68% 3,3% 3,3% 3,6% 1,4% 1,78% Indexation coefficient* ,88 1,46 * as of the settlement date <, ---, > < > < > m BTF auctions March 8 BTF BTF BTF BTAN BTF BTF Short term month 3 month 3 month 6 month 1 year Auction date 3/3/8 3/3/8 3/3/8 Settlement date 3/6/8 3/6/8 3/6/8 Maturity /9/8 8/14/8 /1/9 Total issued amount,3 1,64 1,63 Weighted average rate 3.867% 3.83% 3.73% Auction date 3/1/8 3/1/8 Settlement date 3/13/8 3/13/8 Maturity /7/8 6/1/8 Total issued amount,1,74 Weighted average rate 3.96% 3.93% Auction date 3/17/8 3/17/8 3/17/8 Settlement date 3//8 3//8 3//8 Maturity 6//8 6/1/8 3/1/9 Total issued amount 1,1,83 1,63 Weighted average rate 3.84% 3.84% 3.6% Auction date 3//8 3//8 3//8 Settlement date 3/7/8 3/7/8 3/7/8 Maturity 6/6/8 7/1/8 9/11/8 Total issued amount,66 1, 1,44 Weighted average rate 3.97% % 3.943% Auction date 3/31/8 3/31/8 3/31/8 Settlement date 4/3/8 4/3/8 4/3/8 Maturity //8 6/6/8 3/1/9 Total issued amount 1,69,43 1,64 Weighted average rate 3.89% 3.87% 3.8% 3

4 SECONDARY MARKET French government yield curve quote at end of the month, in % structure in % OAT ownership by type of holder third quarter non-resident investors 4 french insurance companies 3 1 yr yrs 1 years years 3 years years 4 9 french credit institutions UCITS (french money funds) 1 3/7 /8 3/8 others (french) Source: Bloomberg Source: Banque de France Breakeven inflation daily quotes in % /1/ 7/1/ 1/1/ 1/1/6 4/1/6 7/1/6 1/1/6 1/1/7 4/1/7 7/1/7 1/1/7 1/1/8 France 1 years (1) Euro zone 1 years () France 3 years (3) Euro zone 3 years (4) 4/1/8 (1) difference between the yield of the OAT 4% April 13 and the yield of the OATi.% July 13 () difference between the yield of the OAT % April 1 and the yield of the OAT i 3% July 1 (3) difference between the yield of the OAT.% April 9 and the yield of the OATi 3.4% July 9 (4) difference between the yield of the OAT.7% October 3 and the yield of the OAT i 3.1% July 3 Source: Bloomberg Negotiable government debt and swaps Negotiable government debt outstanding OAT BTAN BTF Swaps outstanding Average maturity of the negotiable debt end end end end end end end end of February end of March before swaps 6 years years years 6 years 6 years 7 years 7 years 7 years 7 years 47 days 343 days 97 days 79 days 67 days 4 days 1 days 63 days 4 days after swaps years years years 6 years 6 years 7 years 7 years 7 years 7 years 38 days 66 days 3 days 33 days 8 days 16 days 9 days 43 days 3 days 4

5 Turnover on the most liquid OATs and the 4 most liquid BTANs daily average () Primary dealers, monthly fixed-rate repo transactions OAT BTAN 3/7 4/7 /7 6/7 7/7 8/7 9/7 1/7 11/7 1/7 1/8 /8 3/ days 4-11 days 1-3 days > 3 days /6 4/6 6/6 8/6 1/6 1/6 /7 4/7 6/7 8/7 1/7 1/7 /8 Source: Euroclear France Source: primary dealers Primary dealers, repo outstanding at end of month /6 4/6 6/6 8/6 1/6 1/6 /7 4/7 6/7 8/7 1/7 1/7 /8 fixed-rate repos floating-rate repos others Source: primary dealers Stripping and reassembly activity stripping 4 reassembly 3 strips outstanding (righthand scale) See tabs on pages 9 and 1 for more details on stripped bonds Source: Euroclear France

6 TRIBUNE Credit market: ignorance sparks fear By Dominique Barbet, BNP Paribas The loan crisis brought on by US mortgages is on everyone s mind. Beyond the losses suffered on loans granted to insolvent or high-risk borrowers, this crisis has also led to an increase in risk aversion. 3-month swap spread : Euribor - OIS (bp) 1 8 Dec. 7 April 8 The difference between the stances of the two main central bankers on the planet is 6 blatant. On one hand, Jean-Claude Trichet refuses to ease monetary policy as 4 Jan. 8 the ECB has assigned clear objectives for each of its instruments: liquidity to combat the financial crisis and interest rates to fight inflation. Ben Bernanke, on the other June 7 hand, has slashed rates and the United spot forward 3m forward 6m forward 9m States has opted for wide-ranging stimulus measures. Cutting rates will Source : BNP Paribas reduce the debt servicing shouldered by US households. The purpose of these measures is to curb the number of defaults and safeguard household purchasing power, and thus their level of consumption a full-scale stimulus package based on both fiscal policy and exchange rates. In light of the objectives laid out by the two central banks and given the origin of the crisis, these differences are completely justified. Today, overnight rates on both sides of the Atlantic show that the necessary liquidity is available. However, confidence is lacking, no one knows how high the final cost for the financial system will be, nor who will have to foot the bill. The risks redistribution process, which include securitisations, collateralised debt, credit derivatives and other special vehicles have distributed the risks to such a great extent that no one really knows where they are, or their amount. Ignorance sparks fear and the risks are no longer spread out as previously believed, but compounded in the balance sheets of banks, funds and investors. This is how higher losses may be recorded now than what will eventually be incurred, reaching an estimated USD 94 billion according to the IMF. Given the lack of confidence, liquidity is circulating inadequately, as can be witnessed in the interbank market. The graph shows the gap between the 3 months Euribor swap (which includes bank risk) and the 3 months OIS swap (which is a virtually risk-free rate, based on the EONIA) for spot and forward maturities. The June curve shows a "normal" market situation; the December curve illustrates a crisis situation with an expected gradual return to normal; today s curve reveals a situation that would deteriorate further. Nonetheless, the central banks will stay in the game and with time, the situation will eventually normalise. This apparent lack of rationality stems from the risks and losses limits that market operators have. Companies and financial institutions alike are seeing their funding costs skyrocket as banks tighten lending conditions. But companies continue to draw on their credit lines in fear that they will not be able to obtain funding later on. Everyone is scrambling to secure financing. All of this leads to a sharp increase in loans, which is undoubtedly misleading in view of the actual vigour of the economy. NB: this Agence France Trésor forum offers economists an opportunity to express their personal opinion. Thus, the above article strictly reflects the author s view, and should not be construed as expressing the viewpoints of Agence France Trésor or the Ministry of the Economy, Industry and Employment. 6

7 THE FRENCH ECONOMY Macro-economic forecast Real growth rate as a % Recent economic indicators French GDP 1.9 < > <1 3/4-1/4 > Euro zone GDP Household consumption..1.4 Business investment Exports Imports Consumer prices 1.. (year-on-year) Industrial output*, year-on-year.9% 1/8 Household consumption*, year-on-year 3.7% /8 Unemployment rate (ILO) 7.% 1/7 Consumer prices, year-on-year all items.8% /8 all items excluding tobacco.8% /8 Trade balance, fob-fob, sa -3. EUR bn 1/8 " " -4.3 EUR bn 1/7 Current account balance, sa -. EUR bn 1/8 " " -1.8 EUR bn 1/7 1-year constant maturity rate (TEC1) 4.17% 3/31/8 3-month interest rate (Euribor) 4.77% 3/31/8 EUR / USD /31/8 EUR / JPY /31/8 Source: Ministry of the Economy, Industry and Employment *manufactured goods Source: Insee; Ministry of the Economy, Industry and Employment; Banque de France Gross domestic product at chain-linked previous year prices Variation in % quarterly (left-hand scale) year on year (right-hand scale) Euro exchange rate Daily quotes Euro / dollar (left-hand scale) Euro / yen (right-hand scale) /1/7 7/1/7 1/1/7 1/1/8 4/1/8 Source: Insee, quarterly national accounts Source: European Central Bank Government budget monthly position end of February level General budget balance revenue expenditure Balance of special Treasury accounts General budget outturn Public finance: general government deficit and debt As a % of GDP deficit (left-hand scale) 6.9 debt (right-hand scale) , 64, Source: Ministry of the Budget, Public Accounts and the Civil Service for more information: uelle/index.php Source: according to Maastricht Treaty, Insee and Ministry of the Economy, Industry and Employment 7

8 Timetable for the release of French economic indicators April 8 May 8 7 Central government budget: statement at end of March 4 Central government budget: statement at end of February 7 Foreign trade in March 4 Cost-of-construction: index Q4-7 9 Gross foreign exchange reserves in April 7 Gross foreign exchange reserves in March 9 Industrial output in March 7 Foreign trade in February 13 Balance of payments in March 1 Balance of payments in February 14 Industrial investments: quarterly April survey 1 Industrial output in February 14 Consumer prices: final index for April 1 Consumer prices: index for March 1 Quarterly national accounts: first results Q1-8 3 Household consumption of manufactured goods in March 1 Annualy national accounts: first results 7 4 Industrial trends: April survey 16 Payroll employment: provisional results Q1-8 9 Household confidence survey: April survey 16 Wages: provisional statistics Q1-8 9 Job seekers in March 3 Household consumption of manufactured goods in April 9 Industrial trends: quarterly survey for April 7 New building starts in April 3 Net foreign exchange reserves in March 7 Industrial trends: monthly survey for May 8 Household confidence survey: May survey 9 Job seekers in April 3 Net foreign exchange reserves in April Harmonized index of consumer prices Eurozone (Eurostat) Index for March: April 16 Index for April: May 1 INTERNATIONAL COMPARISONS Consumer price index General government debt in 6 Year-on-year % change As a % of GDP Japan U.K. USA euro zone France - /6 8/6 /7 8/7 /8 Source: statistical institutes U.K. France Germany Italy euro zone USA Japan Source: Eurostat, OECD 8

9 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTAND ING - D ETTE NEGOCIABLE DE L ETAT OAT au 31 mars 8 / fungible Treasury bonds at March 31, 8 En euros CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d' indexation / Valeur nominale/ démembré indexation coefficient face value / stripped Échéance FR763 O AT,% avril FR766 O AT 8,% octobre Échéance FR7673 V OAT TEC1 janvier FR7143 OAT 4% avril FR7144 I OATi 3% juillet (1) 1, 161 ( ) FR OAT 4% octobre Échéance FR18663 OAT,% avril FR1873 OAT,% octobre Échéance FR7731 OAT 6,% avril FR19437 I OATi 1,6% juillet (1) 1,8466 (13 98 ) FR OAT % octobre Échéance FR18838 OAT % avril FR18813 I OAT i 3% juillet (1) 1,1369 ( ) FR18869 OAT 4,7% octobre FR778 OAT 8,% 6 décembre Échéance FR OAT 4% avril FR1889 I O ATi,% juillet (1) 1,13 ( ) FR11113 OAT 4% octobre Échéance FR1614 OAT 4% avril FR111 OAT 4% octobre Échéance FR O AT 3,% avril FR113 I OAT i 1, 6% juillet (1) 1, 778 (1 388 ) FR OAT 3% octobre Échéance FR18837 OAT 3,% avril FR OAT % octobre CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale/ face value démembré / stripped Échéance FR OAT 3,7% avril FR13176 I OATi 1% juillet (1) 1,463 ( ) FR OAT 4,% octobre Échéance FR18911 OAT 4,% avril FR791 OAT 8,% octobre FR794 C ETAT 9,8% 31 décembre () ( ) Échéance FR19 I OAT i,% juillet (1) 1,999 (1 673 ) Échéance FR OAT 3,7% avril Échéance FR7144 OAT 8,% avril Échéance FR718 OAT 8,% avril FR1891 I OATi,1% juillet (1) 1,143 (3 ) FR OAT 4,% octobre Échéance FR711 OAT 6% octobre Échéance FR716 C OAT zéro coupon 8 mars (3) ( ) Échéance FR7118 OAT,% avril FR I OATi 3,4% juillet (1) 1,1631 ( ) Échéance FR I OAT i 3,1% juillet (1) 1,1144 (8 739 ) FR18763 OAT,7% octobre Échéance FR176 OAT 4,7% avril Échéance FR OAT 4% octobre Échéance FR I OAT i 1,8% juillet (1) 1,331 (4 831 ) Échéance FR OAT 4% avril (1) Encours OAT indexées = valeur nominale x coefficient d'indexation / indexed bonds outstanding = face value x indexation coefficient () y compris intérêts capitalisés au 31/1/7 / including coupons capitalized at 1/31/7 ; non offerte à la souscription / not open to subscription (3) valeur actualisée au 31/3/7 / actualized value at 3/31/7 ; non offerte à la souscri ption / not open to subscription OATi : OAT indexée sur l'indice français des prix à la consommation (hors tabac) / OAT inde xed on the French consumer price index (excluding tobacco) OAT i : OAT indexée sur l'indice des prix à la consommation harmonisé de la zone euro (hor s tabac) / OAT indexed on the eurozone harmonized index of consumer price (excluding tobacco) TEC 1 : taux de l'échéance constante à 1 ans / yield of 1-year constant maturity Treasury Total OAT / total fungible Treasury bonds Encours démembré /stripped outstanding En % des lignes démembrables As a % of strippable bonds 7,7 % Durée de vie moyenne Average maturity 9 ans et 1 jours 9 years and 1 days 9

10 BTAN au 31 mars 8 Treasury notes at March 31, 8 BTF au 31 mars 8 Treasury bills at March 31, 8 En euros CODE ISIN Emprunt / Bond Encours / Outstanding Échéance FR17611 BTAN 3% 1 juillet FR BTAN 3,% 1 septembre Échéance FR BTAN 3,% 1 janvier FR BTAN 3,% 1 juillet Coefficient d'indexation / indexation coefficient Valeur nominale / face value FR BTAN 4% 1 septembre Échéance FR BTAN 3% 1 janvier FR BTAN,% 1 juillet FR18664 I BTAN i 1,% juillet (1) 1,7 9 3 Échéance FR BTAN 3% 1 janvier FR BTAN 3,% 1 juillet Échéance 1 98 FR BTAN 3,7% 1 janvier FR BTAN 4,% 1 juillet Échéance 13 FR BTAN 3,7% 1 janvier En euros Échéance / Maturity Encours / Outstanding BTF 3 avril BTF 1 avril BTF 17 avril 8 3 BTF 4 avril BTF 3 avril BTF 7 mai BTF 1 mai BTF 9 mai 8 11 BTF juin BTF 1 juin 8 48 BTF 19 juin BTF 6 juin 8 66 BTF 3 juillet BTF 17 juillet BTF 31 juillet BTF 14 août BTF 8 août BTF 11 septembre BTF 3 octobre BTF novembre BTF 18 décembre BTF 1 janvier BTF 1 février BTF 1 mars Total BTAN / total Treasury notes Total BTF / total Treasury bills 99 6 Durée de vie moyenne des BTAN ans et 1 jours Durée de vie moyenne des BTF 16 jours Average maturity of BTANs years and 1 days Average maturity of BTFs 11 days Dette négociable de l Etat au 31 mars 8 / French government negotiable debt at March 31, 8 Encours total / total outstanding néant / void Durée de vie moyenne 7 ans et 4 jours Average maturity 7 years and 4 days Réserve de titres de la Caisse de la dette publique au 31 mars 8 / Securities held in reserve by Caisse de la dette publique at March 31, 8 1