GOVERNMENT SECURITIES MARKET

Transcription

1 MONTHLY REPORT SEPTEMBER 218 The net issuance was HUF 1,453. billion; out of which net HUF-denominated issuance was HUF 2,54.5 billion and net foreign currency denominated redemption was HUF 61.6 billion in 218. CENTRAL GOVERNMENT DEBT Change () December HUF denominated debt 2, , , Loans 1, , Government bonds 11, , Retail securities 6, , Discount treasury bills 1, , Foreign exchange denominated debt 5, , Total 26, , , Other obligations Total central government debt 26, , , The HUF denominated debt of the central government increased by HUF 2,54.5 billion in 218. The increase in domestic debt was the result of the net government bond issuance of HUF billion, the amount of discount Treasury bills increased by HUF billion and the total amount of retail government securities increased by HUF billion. The stock of nonmarketable government bonds hasn t changed. The volume of HUF loans increased by HUF 76.9 billion in 218. The foreign currency debt of the central government decreased by HUF 35 billion in 218. The three-year samurai bond issue increased the debt by HUF 71.3 billion, the domestic P MAK bond issuance was HUF 25.2 billion, while the redemptions of foreign currency bonds worth HUF billion and the HUF148.9 billion foreign currency loan repayment decreased the debt. The exchange rate revaluations totalling HUF billion increased the Hungarian Forint value of the foreign currency debt in 218. The total amount of other liabilities decreased by HUF 3.2 billion in 218. BENCHMARK YIELDS Maturity Change in basis point 3-month month year year year year year Monthly OTC turnover of government securities decreased by 4 to HUF 4,229.3 billion in. Primary dealers, who account for the decisive part of all secondary government securities trading, made 67 of their secondary government securities deals with non-resident. The volume of non-residents holdings of Hungarian government securities increased altogether by HUF 39.4 billion in and amounted to HUF 3,749.1 billion at the end of the month. This volume represented 17.3 of the total amount of domestic government securities. The EUR/HUF exchange rate according to the National Bank of Hungary was on the last working day of. The credit rating of the long-term foreign currency debt of Hungary is as follows on the last working day of : BBB- (Standard & Poor s); Baa3 (Moody s); BBB- (Fitch). 1 Government securities market MONTHLY REPORT

2 CENTRAL GOVERNMENT GROSS DEBT HUF BILLION Forint denominated debt 12, , , ,43.9 2, , , , Loans ,41.1 1,118. 1,118. 1, Government securities 12, , , , , , , , Public issues 12, , , , , , , , Bonds 8, , , , , , , , Discount T-bills 1,94.9 1, ,39.2 1,5.7 1, , Retail securities 1, , , ,67.9 6,82.9 7, , , Private placements Foreign currency denominated debt* 8,94.9 8, , , ,78 5, , , Loans 2, , , , Foreign loans 2,4.2 1, , , Domestic loans Government securities 6, , ,39. 5, ,85 4, ,67.1 4, Issued abroad 5, , , , , ,87.5 3, , Issued domestically Total 21, , , , , , , ,174. Other liabilities Total central government debt 21, , , ,43. 26, , , ,418.1 Marketable HUF debt ( ) 1, , , , , , , ,257.6 Gross debt/gdp *Foreign exchange debt is recorded at the mid exchange rate of the NBH at the end of the year/month. Benchmark yields Benchmark yield curves Percent month 1-year 3-year 1-year Percent Maturity in years * * The maturity of the reference bond is 2 years instead of 15 years from year Hungarian and eurozone benchmark yields The exchange rate of the Hungarian Forint Percent year Hungarian sovereign benchmark yield 1-year euro benchmark yield 1-year Hungarian sovereign yield spread HUF/EUR exchange rate HUF/USD exchange rate 2 Government securities market MONTHLY REPORT

3 DISCOUNT TREASURY BILL AUCTION RESULTS 3-month Discount T-bills 12-month Discount T-bills Code of T-bills D D D D1912 D19731 D19925 ISIN code HU52223 HU HU HU HU52218 HU Maturity in days Date of auction Date of financial settlement Redemption date Maximum yield () - ISMA Minimum yield () - ISMA Average yield () - ISMA Maximum yield () - EHM Minimum yield () - EHM Average yield () - EHM Average selling price () Amount offered for sale (HUF million) 4,. 5,. 5,. 25,. 3,. 3,. Amount of bids submitted (HUF million) 88,4. 124,6. 89, ,14. 55, ,714.2 Amount of bids accepted (HUF million) 39, , , ,. 39, , Bid-to-cover ratio Bids submitted (pcs) Bids accepted (pcs) Market sales* (HUF million) 39, , , ,. 39, , Retained on ÁKK s own account (HUF million) 12,.4 7,5.4 13,6.1 7,5..1 3,.5 Total amount issued (HUF million) 52,. 82,5. 81,6. 32,5. 4,. 6,. * Without issuance onto ÁKK s own account 3-month Discount Treasury Bill and Liquidity Discount Treasury Bill auctions month Discount Treasury Bill auctions Government securities market MONTHLY REPORT

4 GOVERNMENT BOND AUCTION RESULTS Government Bond 223/B 221/C 224/C 227/A 223/B 221/C 224/C 238/A ISIN code HU43456 HU43464 HU43571 HU43118 HU43456 HU43464 HU43571 HU43555 Maturity (in years) Coupon Auction 17th auction 17th auction 7th auction 54th auction 18th auction 18th auction 8th auction 5th auction Date of auction Date of financial settlement Redemption date Maximum annual yield () - ISMA Minimum annual yield () - ISMA Average annual yield () - ISMA Maximum annual yield () - EHM Minimum annual yield () - EHM Average annual yield () - EHM Maximum price () Minimum price () Average price () Amount offered for sale (HUF million) 6,. 2,. 2,. 15,. 6,. 2,. 2,. 1,. Amount of bids submitted (HUF million) 16, ,21. 35, , ,8. 71, ,79. 1,4. Amount of bids accepted (HUF million) 6, , , , , , , ,. Bid-to-cover ratio Bids submitted (pcs) Bids accepted (pcs) Tail () (average price - minimum price) Market sales (HUF million) 6, , , , , , , ,. Non-competitive offer (HUF million) 2, , , , , , Total amount sales (HUF million) 9, , , , , , , ,. 3-year government bond auctions 5-year government bond auctions year government bond auction 15-year government bond auctions Government securities market MONTHLY REPORT

5 GOVERNMENT SECURITIES BUY-BACK AUCTION RESULTS Government bond 219/A 219/B 219/A 219/B ISIN code HU42433 HU42649 HU42433 HU42649 Coupon () Date of reverse auction Date of financial settlement Redemption date Minimum annual yield () Average annual yield- ISMA () Average annual yield - EHM () Amount of bids submitted (HUF million) 42, , , , Amount of bids accepted (HUF million) 3, , , , INTEREST RATE RESETS OF FLOATING RATE GOVERNMENT BONDS IN SEPTEMBER 218 Government bond Date of interest rate reset Interest period Date of interest payment Reset interest rate Interest payable 22/Q /A /N /N /J OUTSTANDING AMOUNT OF RETAIL SECURITIES Retail securities 1-year Hungarian Government Security / 1MÁP Half-year Hungarian Government Security / FMÁP Change HUF billion 3,19.7 3, Treasury Saving Bills / KTJ Premium and Bonus Hungarian Government Securities / PMÁP, BMÁP 2-year Hunagrian Government Security / 2MÁP 2, , Babybond Debt structure at HUF denominated loans HUF denominated bonds Discount treasury bills Retail treasury bills Retail bonds Foreign currency denominated loans Foreign currency denominated bonds Other liabiliites Total 6,82.9 7, ,5 Outstanding amount of retail securities 3,9 Non-residents holdings of Hungarian government securities and the MAX index 74 7, 6,5 6, 3,85 3,8 3, ,5 3,7 68 5, 3, ,5 4, 3,5 3, 3,6 3,55 3,5 3, points 2,5 3,4 58 2, 1,5 1, 3,35 3,3 3,25 Non-residents' holdings (LHS) ,2 MAX Composite index (RHS) 52 October 217 November December January 218 February March April May June 3, MÁP FMÁP KTJ PMÁP, BMÁP 2MÁP Babybond 5 Government securities market MONTHLY REPORT

6 HUNGARIAN GOVERNMENT SECURITIES INDICES MAX index RMAX index MAX Composite index ZMAX index Value as at Changes compared to the end of the month before Annual yield earned on the index portfolio () BENCHMARK INDICES 3 years 5 years 1 years 15 years BMX-index value as at Changes compared to the end of the month before Reference yield () Annuel yield earned on the index portfolio () Government bonds with the highest secondary market turnover in 218 Government bond Date of redemption Turnover () 227/A /A /B /D /A /B /C /B /C /C The outstanding volume of government bonds with benchmark status at the end of 218 Government bond /C /C /A , /A The outstanding volume of the three largest government bonds at the end of 218 Government bond 225/B 1, /B 1, /A 1, , 6, 5, 4, 3, 2, 1, Secondary market trading of Hungarian government securities (OTC) October 217 November December January 218 February March April May June 1, Secondary market trading of Hungarian government securities (MTS Hungary trading) October 217 November December January 218 February March April May June Bonds (left scale) Discount T-bills (right scale) Bonds (left scale) Discount T-bills (right scale) Breakdown of primary dealers secondary market turnover in Government Bonds by investor groups in 218 Foreign 67.2 Households 1.1 Credit institutions 17.6 Brokerage firms 2. Primary dealers Institutional 9. Companies.6 Public sector.4 Breakdown of primary dealers secondary market turnover in Discount Treasury Bills by investor groups in 218 Public sector.8 Companies 6.5 Institutional 45.5 Foreign 2.4 Households 9.2 Credit institutions 11.7 Brokerage firms 5.6 Primary dealers.4 6 Government securities market MONTHLY REPORT