MONTHLY BULLETIN - N 240 May 2010

Transcription

1 MONTHLY BULLETIN - N 24 May 21 DEBT GENERAL DATA... 1 PRIMARY MARKET... 2 SECONDARY MARKET... 4 TRIBUNE THE FRENCH ECONOMY... 7 INTERNATIONAL COMPARISONS... 8 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING Bloomberg TRESOR <Go> - Reuters TRESOR - Pages Bridge Menu 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 April 3, 21 nominal value of each line, BTAN OAT linked Auction indicative calendar Non-resident holdings of French government negotiable debt securities as a % of negotiable debt outstanding , 8,4 8,7 8,7 8/27** 9/27** 1/27** 6, 6,6 61, 63,7 6, 6,3 6,7 66, 67,9 11/27** 12/27** 3/28* 6/28* 9/28* 12/28* 3/29* 6/29* 9/29* 12/29* Source: Banque de France (*) figures revised quarterly (**) figures revised annually BTF BTAN / index linked OAT OAT May 21 auction date settlement date June 2 11 June 21 auction date settlement date July anticipated or delayed auctions (bank holidays, etc.) Monthly bulletin N 24 May 21

2 NEWS A secure information system to ensure business continuity The banking regulations (CRBF 24-2)applicable to the AFT under the Cost of Debt Service and State s Cash Position programme require to have a Business Continuity Plan (BCP), as investment services providers do. For the AFT, this BCP has three components: - local assistance to minimise downtime when incidents arise through equipment redundancy (power supplies, air-conditioning systems, telecoms servers and lines), - close assistance to overcome any risk of temporary unavailability of the main site, - remote regional assistance primarily intended to deal with major disasters. This regional assistance includes technical hosting at the National Security Site of the Public Finances General Directorate (DGFiP), as well as a recovery site for users which is hosted by the DGFiP s computer department located in Tours. 29 was also the year in which the agency s Business Continuity Plan was adapted to take account of the risk posed by the influenza A(H1N1)v pandemic. For this purpose, the agency adopted the secure telecommuting solution made available to the staff of the Ministry for the Economy, Industry and Employment. In just a few weeks, it installed equipment that enabled its staff members to work from home, as and when necessary, with optimal security. PRIMARY MARKET Long- and medium-term financing over the year on April 3, realized medium-term realized long-term Cumulative total on April 3, 21 : 82.2 billion Jan. Feb. March Apr. May June July Aug. Sept. Oct. Nov. Dec. OATs and BTANs issues and cumulative total on April 3, 21 BTAN 3,7% 1/212 OAT % 4/212 BTAN 4,% 7/212 OAT 4,7% 1/212 BTAN 3,7% 1/213 BTAN 4,% 7/213 BTAN 2,% 1/214 BTAN 3% 7/214 BTAN 2,% 1/21 OAT i 1,6% 7/21 OAT 3% 1/21 OAT % 1/216 OAT 4% 4/218 OATi 1,3% 7/219 OAT 3,7% 1/219 OAT 3,% 4/22 OAT i 2,2% 7/22 OAT 3,7% 4/221 OATi 2,1% 7/223 OAT 4,2% 1/223 OAT 6% 1/22 OAT,7% 1/232 OAT 4,7% 4/23 OAT i 1,8% 7/24 OAT 4,% 4/241 OAT 4% 4/ * nominal value issued before 21 issued in 21 OATs and BTANs: indicative repayment schedule on April 3, 21 interest redemption 1 1 /1 6/1 7/1 8/1 9/1 1/1 11/1 12/1 1/11 2/11 3/11 4/11 Source : Agence France Trésor Monthly bulletin N 24 May 21 2

3 m OAT and BTAN auctions April 21 OAT years OAT 1 years OAT 11 years OAT 1 years OAT 2 years BTAN 3 years BTAN 4 years BTAN years OAT i 1 years OATi 13 years 1/2/21 4/2/22 4/2/221 1/2/22 4/2/212 1/12/213 7/12/214 1/1/21 7/2/22 7/2/223 3.% 3.% 3.7% 6.%,% 3,7% 3,% 2,% 2,2% 2,1% Auction date 4/1/21 4/1/21 4/1/21 1/4/21 4/1/21 4/1/21 4/1/21 4/1/21 4/1/21 4/1/21 Settlement date 4/7/21 4/7/21 4/7/21 4/7/21 4/2/21 4/2/21 4/2/21 4/2/21 4/2/21 4/2/21 Amount announced < 7, --- 8, > < 7, --- 8, > < 1, ,8 > Bid amount 3,8 6,63 4,4 3,31,8 4,8 4,79 4,441 2,4 1,62 Amount served 1,7 3,12 1,9 1,36 1,9 1,96 2,42 2,221,98,67 of which: NCTs before auction,,,,,,,,,, NCTs after auction,,,1,68,7,12 Total issued amount 1,7 3,12 1,9 1,36 1,9 1,96 2,93 2,829 1,61,79 Bid-to-cover ratio 2,41 1,89 2,32 2,43 3,19 2,47 1,98 2, 2,8 2,4 Weighted average price 12,7% 1,79% 12,17% 12,3% 18,2% 16,4% 13,88% 11,8% 18,9% 17,2% Yield to maturity 2,47% 3,41% 3,1% 3,81%,96% 1,3% 2,3% 2,26% 1,3% 1,47% Indexation coefficient* , ,34 * as of the settlement date m BTF auctions April 21 BTF BTF BTF BTF BTF BTF BTF 1 month 2 month 3 month 4 month 6 month 9 month 1 year Auction date 4/6/21 4/6/21 4/6/21 Settlement date 4/8/21 4/8/21 4/8/21 Maturity 7/8/21 9/23/21 4/7/211 Total issued amount 4,362 1,68 2,216 Weighted average rate,31%,48%,61% Auction date 4/12/21 4/12/21 4/12/21 Settlement date 4/1/21 4/1/21 4/1/21 Maturity 7/8/21 1/7/21 4/7/211 Total issued amount 4, 2,697 1,12 Weighted average rate,284%,43%,6% Auction date 4/19/21 4/19/21 4/19/21 Settlement date 4/22/21 4/22/21 4/22/21 Maturity 7/22/21 1/7/21 4/7/211 Total issued amount 4,979 1,643 1,1 Weighted average rate,269%,41%,64% Auction date 4/26/21 4/26/21 4/26/21 Settlement date 4/29/21 4/29/21 4/29/21 Maturity 7/22/21 1/7/21 4/7/211 Total issued amount 4,367 2,64 1,13 Weighted average rate,234%,362%,64% Monthly bulletin N 24 May 21 3

4 SECONDARY MARKET French government yield curve quote at end of the month, in % structure in % OAT ownership by type of holder fourth quarter non-resident investors 3 french insurance companies french credit institutions UCITS (french money funds) 1 yr yrs 1 years 2 years 3 years years 4/29 3/21 4/21 others (french) Source: Bloomberg Source: Banque de France Breakeven inflation daily quotes in % /1/8 9/1/8 1/1/9 /1/9 9/1/9 1/1/1 /1/1 France 1 years (1) Euro zone 1 years (2) France 3 years (3) Euro zone 3 years (4) (1) difference between the yield of the OAT 3.7% April 217 and the yield of the OATi 1% July 217 (2) difference between the yield of the OAT 4.2% April 219 and the yield of the OAT i 2.2% July 22 (3) difference between the yield of the OAT.% April 229 and the yield of the OATi 3.4% July 229 (4) difference between the yield of the OAT.7% October 232 and the yield of the OAT i 3.1% July 232 Source: Bloomberg Negotiable government debt and swaps end end end end end end end end of March end of April Negotiable government debt outstanding ,17 1,148 1,184 1,189 OAT BTAN BTF Swaps outstanding Average maturity of the negotiable debt before swaps years 6 years 6 years 7 years 7 years 6 years 6 years 6 years 6 years 297 days 79 days 267 days 4 days 1 days 292 days 246 days 32 days 362 days after swaps years 6 years 6 years 7 years 7 years 6 years 6 years 6 years 6 years 23 days 34 days 228 days 16 days 29 days 276 days 233 days 342 days 32 days Monthly bulletin N 24 May 21 4

5 Turnover on the most liquid OATs and the 4 most liquid BTANs daily average () Primary dealers, monthly fixed-rate repo transactions 3 2 OAT BTAN days 4-11 days 12-3 days > 3 days /9 /9 6/9 7/9 8/9 9/9 1/9 11/9 12/9 1/1 2/1 3/1 4/1 3/8 /8 7/8 9/8 11/8 1/9 3/9 /9 7/9 9/9 11/9 1/1 3/1 Source: Euroclear France Source: primary dealers Primary dealers, repo outstanding at end of month /8 /8 7/8 9/8 11/8 1/9 3/9 /9 7/9 9/9 11/9 1/1 3/1 fixed-rate repos floating-rate repos others Source: primary dealers Stripping and reassembly activity 4 stripping reassembly strips outstanding (right-hand scale) See tab on page 9 for more details on stripped bonds Source: Euroclear France Monthly bulletin N 24 May 21

6 TRIBUNE Euro zone: bond issuance programmes well advanced By Mathilde Lemoine, Economist, HSBC Governments ran up debt in order to limit the effects of the financial crisis on economic activity and to support the banks. In 29, euro zone gross issuance amounted to 876 billion and interest rates stayed at their lows. In 21, and apart from stimulus packages, automatic stabilisers could mean higher overall government borrowing. According to HSBC Global Fixed Income Strategy calculations, gross issuance could amount to 989 billion this year, mainly because of increased supply from the major euro zone countries. Variation of Euro area Government Debt Securities outstanding, Bln, Bln Autres pays France Allemagne Italie Espagne Zone euro Source : EFFA,Bloomberg, HSBC. 21: HSBC Global Fixed Income Strategy forecast Total issuance could increase by 4% in Germany, 12% excluding buybacks in France (% with buybacks) and 11% in Italy. Austria may step up its own issuance by 17%. Taken together, other euro zone countries will issue about as much in 21 as they did in 29, but that owes a great deal to a 27% decline in supply from Ireland and a 9% drop in Spain. These amounts and recent developments might have unnerved the bond market last year, but it remains liquid and all euro zone countries, with the exception of Greece in recent weeks, have been able to issue as much as they needed so far this year. Indeed, the aggregate euro zone issuance programme is already well advanced. By 2 May, 41% of it had been completed, which is more or less in line with where we were at the same point in 29. Spain and Italy have already covered 41% and 34%, respectively, of their issuance planned for 21, while Germany is at 43%. France, the Netherlands, Belgium and Ireland have completed at least half of their programmes (% in the case of France). Despite everything, Greece has succeeded in issuing 18 billion so far this year, but of course will no longer need to tap the market directly in 21. The 7 billion EU-IMF plan and fresh intervention on the part of the European Central Bank is also intended to reduce the risks of refinancing difficulties for other countries, notably the peripherals. Within this total, the first 6 billion to be disbursed will be made up of loans financed with bond issues to which all EU countries will affix their signatures. The IMF will add 3 billion to this first mechanism. If it needs to be complemented, euro zone countries will establish a special investment vehicle for a 3-year period that they will guarantee and that could raise up to 44 billion, to which the IMF could add up to 22 billion. The interest rates on the loans are likely to be determined in the same way as those in the Greek aid plan. Lastly, structural factors point to robust demand for government bonds, notably new prudential rules for banks and insurers, increased savings on the part of European households and purchases by emerging country central banks. All these factors and recent developments suggest the euro zone s issuance programme will be completed. At the same time, investors appetite for the securities deemed the soundest and the most liquid, such as German and French bonds, will probably keep intra-european spreads high 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. Monthly bulletin N 24 May 21 6

7 THE FRENCH ECONOMY Macro-economic forecast Real growth rate as a % French GDP,2-2,6 1,4 Household consumption,,6 1,4 Business investment 2,4-8,,6 Exports -, -12,4 3,7 Imports,6-1,7 3,6 Consumer prices 2,8,1 1,2 (on an annual average basis) Recent economic indicators Industrial output*, year-on-year 6.2% 3/21 Household consumption*, year-on-year 2.% 3/21 Unemployment rate (ILO) 9.6% 12/29 Consumer prices, year-on-year all items 1.7% 4/21 all items excluding tobacco 1.6% 4/21 Trade balance, fob-fob, sa -4.7 EUR bn 3/21 " " -3.6 EUR bn 2/21 Current account balance, sa -4.8 EUR bn 3/21 " " -3. EUR bn 2/21 1-year constant maturity rate (TEC1) 3.33% 4/3/21 3-month interest rate (Euribor).663% 4/3/21 EUR / USD /3/21 EUR / JPY /3/21 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 % Euro exchange rate Daily quotes quarterly (left-hand scale) year on year (right-hand scale) /1/7 3/1/8 Euro/dollar (left-hand scale) Euro/y en (right-hand scale) 6/1/8 9/1/8 12/1/8 3/1/9 6/1/9 9/1/9 12/1/9 3/1/ Source: Insee, quarterly national accounts Source: European Central Bank Government budget monthly position end of March level General budget balance -6,99-129,91-13,3-3,7-24,6 revenue 291,12 237,22 69,1 1, 61,6 expenditure 348,11 367,13 82,4 86,7 86,16 Balance of special Treasury accounts,72-8,12-9,33-1,62-4,28 General budget outturn -6,27-138,3-22,36-46,32-28,88 Source: Ministry of the Budget, Public Accounts and State Reform for more information: Public finance: general government deficit and debt As a % of GDP deficit (left-hand scale) , debt (right-hand scale) , , ,1 8, 7, 6, 4,6 3, Source: according to Maastricht Treaty, Insee and Ministry of the Economy, Industry and Employment Monthly bulletin N 24 May 21 7

8 Timetable for the release of French economic indicators 7 Foreign trade in March 7 Central government budget: statement at end of March 1 Industrial output in March 12 Balance of payments in March 12 Industrial investments: quarterly April survey 12 Consumer prices: index for April 12 Quarterly national accounts: first results Q Payroll employment: provisional results Q Household consumption of manufactured goods in April 26 New building starts in April 26 Industrial trends: monthly survey for May 26 New building starts in April 27 Household confidence survey: May survey 28 Job seekers in April (Pôle Emploi) May 21 June 21 Harmonized index of consumer prices Eurozone (Eurostat) Index for April: May 18 Index for May: June 16 3 Job seekers Q1-21 (BIT) 8 Foreign trade in April 8 Central government budget: statement at end of April 1 Industrial output in April 1 Payroll employment: final results Q Consumer prices: index for May 11 Balance of payments in April 23 Industrial trends: monthly survey for June 24 Household consumption of manufactured goods in May 2 Quarterly national accounts: final results Q Household confidence survey: June survey 29 New building starts in May 3 General government debt Q1-21 INTERNATIONAL COMPARISONS Consumer price index General government debt in 29 Year-on-year % change As a % of GDP Japan U.K. -2 USA euro zone France -3 3/8 9/8 3/9 9/9 3/ U.K. France Germany Italy euro zone USA Japan Source: statistical institutes Source: Eurostat, OECD Monthly bulletin N 24 May 21 8

9 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING - DETTE NEGOCIABLE DE L ETAT OAT au 3 avril 21 / fungible Treasury bonds at April 3, 21 En euros CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale/ face value démembré / stripped CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale/ face value démembré / stripped Échéance FR18723 OAT,% 2 octobre Échéance FR7731 OAT 6,% 2 avril FR19437 OATi 1,6% 2 juillet (1) 1, FR OAT % 2 octobre Échéance FR OAT % 2 avril FR18813 OAT i 3% 2 juillet (1) 1, FR18869 OAT 4,7% 2 octobre FR778 OAT 8,% 26 décembre Échéance FR OAT 4% 2 avril FR1889 OATi 2,% 2 juillet (1) 1, FR11113 OAT 4% 2 octobre Échéance FR OAT 4% 2 avril FR11122 OAT 4% 2 octobre Échéance FR OAT 3,% 2 avril FR1132 OAT i 1,6% 2 juillet (1) 1, FR OAT 3% 2 octobre Échéance FR OAT 3,2% 2 avril FR OAT % 2 octobre Échéance FR OAT 3,7% 2 avril FR OATi 1% 2 juillet (1) 1, FR OAT 4,2% 2 octobre Échéance FR OAT 4% 2 avril Échéance FR OAT 3,% 2 avril FR19 OAT i 2,2% 2 juillet (1) 1, Échéance FR OAT 3,7% 2 avril Échéance FR7144 OAT 8,2% 2 avril Échéance FR718 OAT 8,% 2 avril FR1891 OATi 2,1% 2 juillet (1) 1, FR OAT 4,2% 2 octobre Échéance FR711 OAT 6% 2 octobre Échéance FR71226 OAT zéro coupon 28 mars (3) Échéance FR71218 OAT,% 2 avril FR OATi 3,4% 2 juillet (1) 1, Échéance FR OAT i 3,1% 2 juillet (1) 1, FR18763 OAT,7% 2 octobre Échéance FR176 OAT 4,7% 2 avril Échéance FR OAT 4% 2 octobre Échéance FR OAT i 1,8% 2 juillet (1) 1, Échéance FR OAT 4,% 2 avril FR OAT 4,2% 2 octobre Échéance FR18911 OAT 4,2% 2 avril FR1832 OATi 1,3% 2 juillet (1) 1, FR7921 OAT 8,% 2 octobre FR OAT 3,7% 2 octobre FR794 OAT cap. 9,82% 31 décembre (2) (1) Encours OAT indexées = valeur nominale x coefficient d'indexation / indexed bonds outstanding = face value x indexation coefficient (2) y compris intérêts capitalisés au 31/12/29 / including coupons capitalized at 12/31/29 ; non offerte à la souscription / not open to subscription (3) valeur actualisée au 28/3/29 / actualized value at 3/28/29 ; non offerte à la souscription / not open to subscription OATi : OAT indexée sur l'indice français des prix à la consommation (hors tabac) / OAT indexed 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 (hors tabac) / OAT indexed on the eurozone harmonized index of consumer price (excluding tobacco) Échéance FR OAT 4% 2 avril Échéance 26 FR18796 OAT 4% 2 avril Total OAT / total fungible Treasury bonds Encours démembré /stripped outstanding En % des lignes démembrables As a % of strippable bonds 6,4 % Durée de vie moyenne Average maturity 1 ans et 8 jours 1 years and 8 days Monthly bulletin N 24 May 21 9

10 BTAN au 3 avril 21 Treasury notes at April 3, 21 BTF au 3 avril 21 Treasury bills at April 3, 21 En euros En euros CODE ISIN Emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale / face value Échéance FR BTAN 2,% 12 juillet FR18664 BTAN i 1,2% 2 juillet (1) 1, FR BTAN 3,7% 12 septembre Échéance FR BTAN 3% 12 janvier FR BTAN 3,% 12 juillet FR BTAN 1,% 12 septembre Échéance FR BTAN 3,7% 12 janvier FR BTAN 4,% 12 juillet Échéance FR BTAN 3,7% 12 janvier FR BTAN 4,% 12 juillet Échéance FR BTAN 2,% 12 janvier FR BTAN 3% 12 juillet Échéance FR BTAN 2,% 1 janvier (1) Encours BTAN indexés = valeur nominale x coefficient d'indexation / indexed bonds outstanding = face value x indexation coefficient Échéance / Maturity Encours / Outstanding BTF 6 mai BTF 12 mai BTF 2 mai BTF 27 mai BTF 3 juin BTF 1 juin BTF 17 juin BTF 24 juin BTF 1 juillet BTF 8 juillet BTF 1 juillet BTF 22 juillet BTF 29 juillet BTF 12 août BTF 26 août BTF 9 septembre BTF 23 septembre BTF 7 octobre BTF 21 octobre BTF 18 novembre BTF 16 décembre BTF 13 janvier BTF 1 février BTF 1 mars BTF 7 avril Total BTAN / total Treasury notes Total BTF / total Treasury bills Durée de vie moyenne des BTAN 2 ans et 62 jours Durée de vie moyenne des BTF 123 jours Average maturity of BTANs 2 years and 62 days Average maturity of BTFs 123 days Dette négociable de l Etat au 3 avril 21 / French government negotiable debt at April 3, 21 Encours total / total outstanding néant / void Durée de vie moyenne 6 ans et 362 jours Average maturity 6 years and 362 days Réserve de titres de la Caisse de la dette publique au 3 avril 21 / Securities held in reserve by Caisse de la dette publique at April 3, 21 Monthly bulletin N 24 May 21 1