Open Market Weekly Report - February 17 to 21

Transcription

1 Open Market Weekly Report - February 17 to 21 PRIMARY MARKET Auctions On the February 18 regular auction, the National Treasury increased again the amount of LFT offered, to 5.0 million from 4.0 million, due to increasing demand for these securities. The auction offered the same maturities as in the previous week. The sale totaled R$7.7 billion and the average tenure was 344 days. The growth in demand can be explained by the maturity of R$22.3 billion of LFT in the following day, by the new approach followed by the Banco Central s trading desk at the open market (carrying out longer than one-day tenure repos), and the continuity of net fund raising by investment funds (R$9.1 billion in January and R$4.1 billion up to February, 19). Date Security Maturity Settlement Table 1 Primary Market Auctions Tenure (days) Offered Amount (thousand) Accepted Amount (thousand) Auction (% p.a.) Andima 1 (% p.a.) Consensus (% p.a.) 2/18/03 LFT 9/17/03 2/19/ Up to 5, /18/03 LFT 12/17/03 2/19/ Up to 5,000 2, /18/03 LFT 5/19/04 2/19/ Up to 5,000 1, Market Prices Auctions scheduled this week The Treasury reduced to 3.5 million from 5.0 million the offered amount of LFT in the February 25 auction. For the third consecutive auction, the same maturities will be offered. The Treasury will also carry out a LTN auction. These securities have not been offered since November 5, and their last primary placement was on October 8, exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 1

2 Date of the Event Table 2 Scheduled Auctions Security Maturity Settlement Tenure (days) Amount (thousand) 2/25/03 LTN 10/1/03 2/26/ /25/03 LFT 9/17/03 2/26/ Up to 3,500 2/25/03 LFT 12/17/03 2/26/ Up to 3,500 2/25/03 LFT 5/19/04 2/26/ Up to 3,500 Source: Portaria National Treasury n. 71 and 72 from 2/24/03. SECONDARY MARKET In the week, LFT traded volume reached 90% of total trading of public securities in the secondary market, with a daily average of R$7.5 billion (increase of 13.1% compared to the previous week). This growth reflected the Treasury larger offer and the higher demand for short-termsecurities. Without ant NTN-C auction, these securities trade in the secondary market remained low. The average daily trading volume fell to R$137 million in the week (a decrease of 28.5%). In the LTN market, the average daily trading volume was R$70 million (a decrease of 47.7%). With only the LTN maturing on 4/2/03 and 1/7/04 in the market, trading remains concentrated in the shorter security. The trading with securities linked to the FX rate also fell to R$610 million/day (a decrease of 19.3%). In aggregate, secondary market trading average volume increased 7.8% compared to the previous week, influenced exclusively by the increase in the LFT trading. The average daily turnover was R$8.4 billion. Table 3 Financial Volume at the Secondary Market (R$ billion) Date LTN LFT FX Others Total 2/17/ /18/ /19/ /20/ /21/ Average Volume Share 0.83% 90.20% 7.32% 1.64% % exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 2

3 OPEN MARKET OPERATIONS Adding to its strategy to lengthen the tenure of its repo operations, to make its interventions less predictable and not to stimulate the overnight operations, Banco Central resumed operations to balance end-of-day banking liquidity. In this operation, a pre-defined spread is released either to drain or to add liquidity for a two working day tenure (on February 19, Copom s decision eve, this operation was overnight). Due to this new strategy, in the morning interventions, Banco Central has only drained resources, for 1 to 5 working days. On February 19, a repo operation with one-month tenure (19 working days) was carried out, withdrawing R$9.0 billion from the market with yield of % of the Over-Selic rate. Table 4 Interventions in the Money Market Repo Operations up to 1 week Date Tenure Subtraction Rate Cut Impact (working days) (R$ million) (% p.a.) (%) (R$ million) 2/17/ , (6,878) 2/18/ , * 0 (33,538) 2/19/ , * 0 (2,442) 2/19/ (251) 2/20/ , (16,125) * Percentage of the Over-Selic rate Long Repo Operations Tenure Subtraction Rate Cut Impact Date (working days) (R$ million) (% p.a.) (%) (R$ million) 2/19/ , * 0 (8,997) * Percentage of the Over-Selic rate Balancing Operations Date Tenure Subtraction Rate Cut Addition Rate Cut Impact (working days) (R$ million) (% p.a.) (%) (R$ million) (% p.a.) (%) (R$ million) 2/18/ , , (7,801) 2/19/ , ,934 2/20/ , (1,431) 2/21/ , (271) exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 3

4 YIELD CURVE AND FUTURES MARKET Due to the release of partial price indices above market consensus, the yield curve moved upwards. The longer part of the curve was influenced mainly by the uncertainties regarding the external front and inflation expectations for After the Copom decision, raising the Over-Selic rate target to 26.50% (according to market expectations) and raising the banking reserve requirements on demand deposits from 45% to 60%, the yield curve did not move its short end but the long end shifted downwards. Table 5 Interest Rate Date 2/11/03 2/14/03 2/21/03 DI % 26.65% 26.58% DI % 27.76% 27.58% DI % 28.72% 28.38% DI % 29.84% 29.38% Rate % p.a. Graph 1 Yield Curve* 2/14 2/21 2/11 Working Days *The calculation method used was the Cubic Spline. exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 4

5 28.40 Graph 2 Interest Rate Futures Market (DI) BM&F Rate % p.a /14 2/15 2/16 2/17 2/18 2/19 2/20 2/21 14-Feb 17-Feb 18-Feb 19-Feb 20-Feb 21-Feb DI Jul/ SWAPS - CETIP The average daily trading on Cetip was US$126 million last week, 28.2% lower than the US$176 million registered in the previous week. On February 21, outstanding open contracts reached US$32.7 billion, compared to US$32.5 billion at the end of the previous week. Graph 3 FX Hedge at Cetip Outstanding US$ million 52,500 50,000 47,500 45,000 42,500 40,000 37,500 35,000 32,500 30,000 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, ,500 1/2/2002 1/30/2002 2/28/2002 3/27/2002 4/24/2002 5/22/2002 6/19/2002 7/16/2002 8/12/2002 9/6/ /3/ /30/ /27/ /24/2002 1/22/2003 2/18/2003 Outstanding Traded Volume M i A f 20 Traded Volume US$ million 0 exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 5

6 MATURITY SCHEDULE OF FEDERAL SECURITIES Table 6 Maturity of Federal Securities in the Market: First Semester of 2003 US$ Million Maturity LTN LFT NTN-C Total General Total % Share 3/19/ , ,923 15, /2/ , ,719 11, /9/ , ,554 2, /16/ , ,911 4, /23/ , ,313 6, /7/ , ,415 5, /14/ , ,842 4, /21/ , ,505 14, /11/ , ,845 5, /18/ , ,915 19, /25/ , ,242 2, Up to Jun/03 11,719 79, , , After Jun/ ,548 47, , , Total 12, ,913 47, , , % To calculate the values of the securities to mature, the prices accepted by the Banco Central in its repo operations are used. 22,000 Graph 4 Maturity Schedule of Federal Securities in the Market 20,000 18,000 16,000 14,000 12,000 10,000 8,000 6,000 4,000 2, /19/03 4/2/03 4/9/03 4/16/03 4/23/03 5/7/03 5/14/03 5/21/03 6/11/03 6/18/03 6/25/03 R$ million LTN LFT NTN-C exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 6

7 MATURITY SCHEDULE OF FX INSTRUMENTS Table 7 FX Maturities: First Semester of US$ Million Maturity NBCE NTN-D Swap Total % Share 3/5/ ,348 1, /13/ , /1/ ,782 3, /17/2003 1, /23/ , /7/ ,012 1, /15/ , /12/ , /18/ ,030 1, Up to Jun/03 3,675 1,790 8,644 14, After Jun/03 13,168 12,492 19,594 45, Total 16,843 14,281 28,237 59, % FX swaps were adjusted to the new rollover rule established by Banco Central in January. 3,250 3,000 2,750 2,500 Graph 5 FX Maturities NBCE NTN-D Swap 2,250 2,000 US$ million 1,750 1,500 1,250 1, /5/03 3/13/03 4/1/03 4/17/03 4/23/03 5/7/03 5/15/03 6/12/03 6/18/03 exchange policy actions. Questions and comments to gerin@bcb.gov.br or demab.codem@bcb.gov.br 7