MONTHLY BULLETIN - N 214 March 2008

Transcription

1 MONTHLY BULLETIN - N 1 March 8 DEBT GENERAL DATA... 1 PRIMARY MARKET... SECONDARY MARKET... 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 February 9, 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** 1/6** 1/7* /7* /7* /7* /7* 6/7* 7/7 8/7 9/7 1/7 11/7 1/7 1/8 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 March 8 auction date settlement date Apr April 8 auction date settlement date anticipated or delayed auctions (bank holidays, etc.) Monthly bulletin N 1 March 8

2 NEWS AFT bolsters operational security The SIFT computer system has been fully operational since late 7. Designed to support the work of Agence France Trésor, it includes three main inter-related software applications. The first one, SIFT-Marché ( SIFT Trading ), covers the cycle of market transactions carried out by AFT, from initial trading all the way to government accounting. The second one, SIFT- Trésorerie ( SIFT Cash Management ), is the tool for managing financial flows of both the central government and the so-called Treasury correspondents (chiefly stateowned entities and local governments). It does not cover activity in the interbank market and short-term government issues (BTFs), which are handled by SIFT- Marché. The third one, SIFT-Infocentre, collects all of the Agency s internal and external data and renders it usable for historical accounting and forecasting. SIFT is the outcome of the major IT system overhaul decided upon in. The SIFT project itself started up in early, following an initial call for tenders in. SIFT provides the Agency with a number of significant benefits. To begin with, it allows for enhanced integration of AFT s activities. All of Agence France Trésor ss market transactions, for example, are represented throughout their life cycle by a single transaction object in AFT s information system. SIFT likewise ensures transaction traceability. AFT and its accounting unit possess an audit trail spanning all stages in any debt or cash management market transaction, and for all major business objects such as counterparties and payment paths. In addition, SIFT offers enhanced flexibility, as the new financial instruments, the new approaches to valuation or risk control and, broadly speaking, the new financial techniques leveraged by AFT can be rapidly incorporated into the system. Last of all, SIFT makes cash monitoring a more granular process. It enables the Treasury to manage financial flows at the finest level, due to the automatic flow processing capabilities of SIFT-Trésorerie. Now that this far-reaching four-year project has been carried through without any significant hitches thanks to the dedicated work of all involved AFT has an up-todate, tailor-made, scalable information system that guarantees long-term operational security. PRIMARY MARKET Long- and medium-term financing over the year on February 9, 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 February 9, realized BTAN realized OAT Jan. Feb. March Apr. May June July Aug. Sept. Oct. Nov. Dec. OATs and BTANs issues and cumulative total on February 9, 8 BTAN i 1,%7/1 * BTAN.% 1/1 BTAN.% 7/11 BTAN.7% 1/1 OAT.% 1/17 OAT.% /19 OAT i.% 7/* OATi.1% 7/* OAT.% 1/ OAT % 1/8 OAT % / * nominal value 1 1 issued before 8 issued in 8 OATs and BTANs: indicative repayment schedule on February 9, interest redemption /8 /8 /8 /8 6/8 7/8 8/8 9/8 1/8 11/8 1/8 1/9 Source : Agence France Trésor Monthly bulletin N 1 March 8

3 m OAT and BTAN auctions February 8 OAT 1 years OAT 1 years OAT 1 years BTAN years BTAN years BTAN years 1//17 //19 1// 7/1/1 7/1/11 1/1/1.%.%.%.%.%.7% Auction date /7/8 /7/8 /7/8 /1/8 /1/8 /1/8 Settlement date /1/8 /1/8 /1/8 /6/8 /6/8 /6/8 Amount announced <, ---,7 > <, ---, > Bid amount 7,,,88,86,6 6,17 Amount served,7 1,6 1,6 1, 1,9,87 of which: NCTs before auction NCTs after auction,9,11,9 Total issued amount,7 1,71 1,897 1, 1,9,87 Bid-to-cover ratio,,67,,1,6,16 Weighted average price 11,87% 11,6% 99,11% 97,89% 99,86% 1,1% Yield to maturity,1%,1%,%,%,%,68% Indexation coefficient* * as of the settlement date m BTF auctions February 8 BTF BTF BTF BTF BTF short term month month 6 month 1 year Auction date //8 //8 //8 Settlement date /7/8 /7/8 /7/8 Maturity /6/8 //8 7/17/8 Total issued amount,,8,18 Weighted average rate.9%.88%.8% Auction date /11/8 /11/8 Settlement date /1/8 /1/8 Maturity /1/8 1/1/9 Total issued amount,81, Weighted average rate.86%.97% Auction date /18/8 /18/8 /18/8 Settlement date /1/8 /1/8 /1/8 Maturity /1/8 /1/8 8/1/8 Total issued amount 1,8,81 1,6 Weighted average rate.89%.891%.79% Auction date //8 //8 //8 Settlement date /8/8 /8/8 /8/8 Maturity /7/8 /9/8 /1/9 Total issued amount 1,1,618 1,6 Weighted average rate Monthly bulletin N 1 March 8

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 french insurance companies 1 yr yrs 1 years years years years 9 french credit institutions UCITS (french money funds) 1 /7 1/8 /8 others (french) Source: Bloomberg Source: Banque de France Breakeven inflation daily quotes in % /1/ 6/1/ 9/1/ 1/1/ /1/6 6/1/6 9/1/6 1/1/6 /1/7 6/1/7 9/1/7 1/1/7 France 1 years (1) Euro zone 1 years () France years () Euro zone years () /1/8 (1) difference between the yield of the OAT % April 1 and the yield of the OATi.% July 1 () difference between the yield of the OAT % April 1 and the yield of the OAT i % July 1 () difference between the yield of the OAT.% April 9 and the yield of the OATi.% July 9 () difference between the yield of the OAT.7% October and the yield of the OAT i.1% July Source: Bloomberg Negotiable government debt and swaps end end end end end end end end of January end of February Negotiable government debt outstanding OAT BTAN BTF Swaps outstanding Average maturity of the negotiable debt before swaps 6 years years years 6 years 6 years 7 years 7 years 7 years 7 years 7 days days 97 days 79 days 67 days days 1 days 96 days 6 days after swaps years years years 6 years 6 years 7 years 7 years 7 years 7 years 8 days 66 days days days 8 days 16 days 9 days 76 days days Monthly bulletin N 1 March 8

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

6 TRIBUNE Rising inflation uncertainty and the demand for inflation-linked bonds By Markus Heider, Inflation strategy, Deutsche Bank AG London The market for inflation-linked assets has experienced significant growth over the past five years, with breadth and depth in terms of players and instruments increasing strongly. At the beginning, investors were mainly buy and hold domestic financial institutions. Then the growing liquidity of inflation-linked bonds (ILB) and the completion of real-yield curves particularly into the year maturity have opened the door to more speculative investors. Today all G7 governments issue ILB (or linkers) and more and more emerging markets do so as well; the total market value of outstanding industrial country sovereign linkers is around EUR1trn EUR1bn of which are French government bonds, while corporate issuers have started to enter the market as well, in particular in the UK. Perhaps paradoxically this growth has A real need to hedge 6 US CPI EUR HICP JP CPI ILB, outstanding (rhs) % y/y USDbn Source : Deutsche Bank occurred in a stable and low inflation environment.. But given linkers attractive risk/return profile, various theoretical and empirical studies have pointed to the benefits of holding linkers as part of a diversified portfolio, creating a structural and global demand for ILB. The recent acceleration in global inflation rates and perceived increase in inflation uncertainty is now spurring the demand from investors looking more to hedge the inflation risk than to add diversification in their portfolio. If the primary reason to save is to secure future consumption and linkers offer real value certainty, they must be an asset of choice; arguably, ILB are the only asset class that provides a true protection against the risk of inflation as the inflation-hedging qualities of other so-called real assets such as real estate or equity generally do not stand up to empirical verification. While money-illusion may lead savers to underestimate the inflation risks in a low inflation environment, with inflation uncertainty rising retail demand for inflation protection has been growing in the last six months. Besides, Asset-Liability Management (ALM) driven demand is rising significantly. For investors with inflation-indexed liabilities such as pension funds and insurance companies, linkers represent a very convenient instrument for assetliability matching purposes. Pension funds started slowly to re-allocate their assets into ILB mainly encouraged by changing regulations rather than the perception of an inflation risk. Today s high inflation uncertainty is raising the awareness of such a risk and may accelerate the demand for inflation hedges. Such potential demand is large. In, a working group of the Euro Debt Market Association (AMTE, ) estimated that a (conservative) asset allocation of % would put the potential size of pension fund demand at EUR6bn for six euro area countries, which compares to a total size of the euro area ILB market of currently roughly EURbn. Moreover, demographic factors like ageing societies and changes in longevity assumptions tend to increase pension funds inflation exposure providing further arguments for more active demand for inflation-linked assets. In a nutshell, there are good reasons to believe that demand for inflation protection will remain strong if not strengthen; the outlook for inflation-linked markets remains promising, indeed. AMTE (): "Inflation-linked products in the Euroe area: An AMTE working group to standardise, develop and promote the asset class" 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 1 March 8 6

7 THE FRENCH ECONOMY Macro-economic forecast Real growth rate as a % French GDP < -. > < -. > < -. > Euro zone GDP.8.6. Household consumption.1.. Business investment.1..8 Exports..6.7 Imports Consumer prices (year-on-year) Recent economic indicators Industrial output*, year-on-year 1.% 1/7 Household consumption*, year-on-year.% 1/8 Unemployment rate (ILO) 7.% 1/7 Consumer prices, year-on-year all items.8% 1/8 all items excluding tobacco.8% 1/8 Trade balance, fob-fob, sa -. EUR bn 1/7 " " -.7 EUR bn 11/7 Current account balance, sa -.7 EUR bn 1/7 " " -.6 EUR bn 11/7 1-year constant maturity rate (TEC1).9% /9/8 -month interest rate (Euribor).8% /9/8 EUR / USD /9/8 EUR / JPY 18. /9/8 Source: Ministry of the Economy, Industry and Employment Draft Budget Bill 8 *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 6/1/7 9/1/7 1/1/7 /1/8 Source: Insee, quarterly national accounts Source: European Central Bank Government budget monthly position end of January 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) ,. 6, 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 Monthly bulletin N 1 March 8 7

8 Timetable for the release of French economic indicators March 8 April 8 6 Central government budget: statement at end of January 7 Gross foreign exchange reserves in February Central government budget: statement at end of February 1 Industrial output in January Cost-of-construction: index Q-7 1 Foreign trade in January 7 Gross foreign exchange reserves in March 1 Consumer prices: final index for February 7 Foreign trade in February 1 Payroll employment: final results Q-7 1 Balance of payments in February 1 Balance of payments in January 1 Industrial output in February 1 Household consumption of manufactured goods in February 1 Consumer prices: index for March 1 Wages: final statistics Q-7 Household consumption of manufactured goods in March 6 Industrial trends: monthly survey for March Industrial trends: April survey 6 New building starts in February 9 Household confidence survey: April survey 8 Quarterly national accounts: final results Q-7 9 Job seekers in March 8 Household confidence survey: March survey 9 Industrial trends: quarterly survey for April 1 Industrial producer prices: February index Net foreign exchange reserves in March 1 Net foreign exchange reserves in February Harmonized index of consumer prices Eurozone (Eurostat) Index for February: March 1 Index for March: April 16 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 - 1/6 7/6 1/7 7/7 1/8 Source: statistical institutes U.K. France Germany Italy euro zone USA Japan Source: Eurostat, OECD Monthly bulletin N 1 March 8 8

9 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING - DETTE NEGOCIABLE DE L ETAT OAT au 9 février 8 / fungible Treasury bonds at February 9, 8 En euros CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale/ démembré face value / stripped CODE ISIN Euroclear France Libellé de l'emprunt / Bond Encours / Outstanding Coefficient d'indexation / indexation coefficient Valeur nominale/ face value démembré / stripped Échéance FR76 OAT,% avril FR766 OAT 8,% octobre Échéance FR767 V OAT TEC1 janvier FR71 OAT % avril FR71 I OATi % juillet (1) 1,16 ( ) FR OAT % octobre Échéance FR1866 OAT,% avril FR187 OAT,% octobre Échéance FR771 OAT 6,% avril FR197 I OATi 1,6% juillet (1) 1,878 (1 98 ) FR18787 OAT % octobre Échéance FR1888 OAT % avril FR1881 I OAT i % juillet (1) 1,1111 (1 9 ) FR18869 OAT,7% octobre FR778 OAT 8,% 6 décembre Échéance FR OAT % avril FR1889 I OATi,% juillet (1) 1,117 ( ) FR1111 OAT % octobre Échéance FR161 OAT % avril FR111 OAT % octobre Échéance FR116 OAT,% avril FR11 I OAT i 1,6% juillet (1) 1,89 (1 88 ) FR11681 OAT % octobre Échéance 16 8 FR1887 OAT,% avril FR18761 OAT % octobre Échéance FR111 OAT,7% avril FR1176 I OATi 1% juillet (1) 1,78 (1 16 ) FR11717 OAT,% octobre Échéance FR18911 OAT,% avril FR791 OAT 8,% octobre FR79 C ETAT 9,8% 1 décembre () (6 69 1) Échéance 1 99 FR19 I OAT i,% juillet 1 99 (1) 1,18 (1 67 ) Échéance FR OAT,7% avril Échéance FR71 OAT 8,% avril Échéance 19 9 FR718 OAT 8,% avril FR1891 I OATi,1% juillet 6 (1) 1,1 ( ) FR16698 OAT,% octobre Échéance FR711 OAT 6% octobre Échéance FR716 C OAT zéro coupon 8 mars () (6 6) Échéance FR7118 OAT,% avril FR1861 I OATi,% juillet (1) 1,17 (6 9 1 ) Échéance FR I OAT i,1% juillet (1) 1,11886 (8 79 ) FR1876 OAT,7% octobre Échéance 1 61 FR176 OAT,7% avril Échéance FR1711 OAT % octobre Échéance 6 9 FR1767 I OAT i 1,8% juillet 6 9 (1) 1,6 ( 81 ) Échéance 1 96 FR OAT % avril (1) Encours OAT indexées = valeur nominale x coefficient d'indexation / indexed bonds outstanding = face value x indexation coefficient () y compris intérêts capitalisés au 1/1/7 / including coupons capitalized at 1/1/7 ; non offerte à la souscription / not open to subscription () valeur actualisée au 1//7 / actualized value at /1/7 ; 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) 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 7,8 % Durée de vie moyenne Average maturity 9 ans et jours 9 years and 1 days Monthly bulletin N 1 March 8 9

10 BTAN au 9 février 8 Treasury notes at February 9, 8 BTF au 9 février 8 Treasury bills at February 9, 8 En euros CODE ISIN Emprunt / Bond Encours / Outstanding Échéance FR BTAN,7% 1 mars FR17611 BTAN % 1 juillet FR BTAN,% 1 septembre 8 11 Échéance FR16897 BTAN,% 1 janvier 9 16 Coefficient d'indexation / indexation coefficient Valeur nominale / face value FR BTAN,% 1 juillet FR BTAN % 1 septembre Échéance FR BTAN % 1 janvier FR17676 BTAN,% 1 juillet FR1866 I BTAN i 1,% juillet (1) 1, Échéance FR1886 BTAN % 1 janvier FR18879 BTAN,% 1 juillet Échéance 1 98 FR BTAN,7% 1 janvier FR BTAN,% 1 juillet Échéance FR BTAN,7% 1 janvier En euros Échéance / Maturity Encours / Outstanding BTF 6 mars 8 6 BTF 1 mars 8 1 BTF 7 mars 8 8 BTF avril 8 1 BTF 1 avril BTF 17 avril 8 BTF avril 8 BTF avril 8 6 BTF 7 mai 8 6 BTF 1 mai 8 61 BTF 9 mai BTF juin 8 67 BTF 19 juin 8 78 BTF juillet BTF 17 juillet 8 7 BTF 1 juillet 8 81 BTF 1 août BTF 8 août 8 76 BTF octobre 8 1 BTF novembre 8 7 BTF 18 décembre 8 1 BTF 1 janvier 9 9 BTF 1 février Total BTAN / total Treasury notes Total BTF / total Treasury bills 9 18 Durée de vie moyenne des BTAN ans et jours Durée de vie moyenne des BTF 11 jours Average maturity of BTANs years and days Average maturity of BTFs 11 days Dette négociable de l Etat au 9 février 8 / French government negotiable debt at February 9, 8 Encours total / total outstanding néant / void Durée de vie moyenne 7 ans et 6 jours Average maturity 7 years and 6 days Réserve de titres de la Caisse de la dette publique au 9 février 8 / Securities held in reserve by Caisse de la dette publique at February 9, 8 Monthly bulletin N 1 March 8 1