CENTRAL GOVERNMENT DEBT INCLUDING ON-LENDING AND ASSETS UNDER MANAGEMENT

Transcription

1 29 July 26 CENTRAL GOVERNMENT DEBT from previous month Outstanding amount, A. Nominal amount, incl. assets under management Accrued inflation compensation (uplifting amount) Exchange rate effect B. Nominal uplifted amount at current exchange rate incl. assets under management Assets under management, current exchange rate Official measure of the central government's gross debt: C. CENTRAL GOVERNMENT DEBT CENTRAL GOVERNMENT DEBT INCLUDING ONLENDING AND ASSETS UNDER MANAGEMENT from previous month Outstanding amount, Onlendning Assets under management D. CENTRAL GOVERNMENT DEBT INCLUDING ONLENDING AND ASSETS UNDER MANAGEMENT The Central government debt is calculated as the value of outstanding debt instruments, mainly bonds and treasury bills, at the reporting date, calculated in accordance with established principles, see below. Within the framework of debt management are also certain assets. There are funds temporarily invested in the money market until they are used to pay expenses in the state budget or maturing loans. The assets mean that the actual liability is less than the sum of outstanding debt instruments. This report presents both the liabilities and assets since our aim is to achieve a fair and transparent reporting of government indebtedness. Nominal (face value) amount (in A above) is the sum of the amounts that the Debt Office is committed to paying when a debt instrument matures and receives at if it is an asset. The amount is reported in at the exchange rate at the time of borrowing. The next step in the calculation of public debt (in B above) is to report the nominal amounts at the current exchange rate and add the accrued inflation compensation for outstanding inflationlinked government bonds (this measure is called the uplifted amount at current exchange rate). These measures show the government debt when assets under management is taken into account. The official measure of government debt (in C above) is defined based on principles laid down at EU level. It accounts for the Central government gross debt, without regard to the assets. To obtain this measurement, we add the financial assets to measure B. The Debt Office also reports "Central government debt including onlending and assets under management" (under D above). This includes not only the assets under management but also certain other financial assets, namely onlending to the Riksbank and foreign states. This measure is used in the management of government debt in accordance with guidelines adopted by the government and in our internal risk management. Onlending is a government claim, but not in the same manner as assets under management available for payment of government spending. Liabilities are reported with a positive sign and assets with a negative. refers to a change of the nominal amount from the previous month. The account is based on business day.

2 CAPITAL MARKET Bond SGB 5 3% 2 Jul 6 SGB % 2 Aug 7 SGB % 2 Mar 9 SGB 47 5% Dec 2 SGB % Jun 22 SGB 57.5% 3 Nov 23 SGB % 2 May 25 SGB 59.% 2 Nov 26 SGB % Jun 32 SGB % 3 Mar 39 Date of Issue Time to Duration Nominal amount, ,, ,6 2, ,3 3, ,8 5, ,3 6, ,8 8, ,3 9, ,9 3, ,7 7, ,9 6, Inflationlinked bonds Bond SGB IL 37.5% Jun 7 SGB IL 3.25% Jun 9 SGB IL 32 4% Dec 2 SGB IL 38.25% Jun 22 SGB IL 39 % Jun 25 SGB IL 32.25% Jun 26 SGB IL % Dec 28 SGB IL % Dec 28 SGB IL 3.25% Jun 32 Date of Issue Time to Duration Inflation compensation Including inflation Nominal amount, compensation,8, ,8 2, ,3 4, ,8 5, ,8 8, ,8 9, ,4, ,4, ,9 5, , 6, Public bonds in foreign currencies Bond EUB.625% 9 Sep 6 EUB % 5 Nov 6 EUB.75% 2 Apr 7 EUB.875% 5 Aug 7 EUB % 3 Nov 7 EUB.875% 23 Jan 8 EUB % 27 Feb 8 EUB.25% 5 May 8 EUB % 5 Oct 8 EUB,25% 5 Mar 9 EUB,625% 24 Mar 2 EUB,25% 27 Nov 6 EUB.3% 25 Jun 7 EUB.875% 3 Jan 8 EUB.75% 2 May 9 EUB.5% 2 Feb 2 ESB 9.45% 28 Dec 26 Date of Issue Time to Duration Foreign currencies Current exchange rate Nominal amount,,, ,3, ,7, ,, ,3, ,5, ,6, ,8, ,2 2, ,6 2, ,7 3, ,3, ,9, ,5, ,8 2, ,4 7, ,6, Private placements in foreign currencies etc. Instrument EUB.75% 6 Mar 7 Private placements, foreign currencies Time to Duration Inflation compensation Current exchange rate incl. infl. compensation Nominal amount,,6, ,6, ,6, Sum: Capital market

3 MONEY MARKET Tbills Tbill Issue date Time to Duration STB 2 Jul 6 STB 7 Aug 6 STB 2 Sep 6 STB 9 Oct 6 STB 2 Dec 6 Nominal amount, ,, ,, ,2,2 2663,4,4 7 5,2, Commercial paper Instrument Time to Duration Foreign currencies Current exchange rate Nominal amount, instruments Instrument Bank accounts, foreign currencies Bank accounts, Deposits, Deposits, accounts Repos, Repos, Inflationlinked bonds Repos, Tbills Repos, Swedish government papers Certificate Riksbanken, holdings Securities holdings Gross debt, Nominal amount, Instrument Gross debt, Nominal amount, Credit Support Annex to ISDA, foreign currencies Credit Support Annex to ISDA, Margins, CCP Margins, Futures Sum: Money market RETAIL MARKET Lottery bonds Bond Date of Issue Time to Duration Issued Retained Nominal amount, SLB 22:.8% 9 Apr 7 SLB 25:.% 9 Apr 7 SLB 25:2.% Nov 7 SLB 23:.7% 6 Maj 8 SLB 26:.% 6 Maj 8 SLB 23:2.% 3 Nov 8 SLB 24:.8% 7 Maj 9 SLB 24:2.6% 2 Dec ,7, ,7, ,3, ,8, ,8, ,3 2, ,8 2, ,3 5, ,4 2, National debt savings Form of account Nominal amount, National debt savings, inflationlinked National debt savings, nominal Sum: Retail market ALL MARKETS INCL. ASSETS UNDER MANAGEMENT Nominal amount Sum of nominal amounts. Under A on page

4 APPENDICE Different debt classes, including onlending and assets under management Debt class Nominal amount Current exchange rate and Time to Duration Share uplifting amount Inflationlinked debt Nominal krona debt ,54,24 4, ,2 6,93 8, ,28 4,73 67, ,59 4,6, Nominal debt, including assets under management Instrument Tbills Foreign exchange forwards, Retail market Swaps between and foreign currencies Nominal amount, Inflationlinked debt Instrument Nominal amount, Inflation compensation, Inflationlinked debt, Inflationlinked bonds National debt savings, inflationlinked , incl. onlendning and money market assets Instrument Nominal amount, Exchange rate effects, Foreign curr. debt, Public bonds, foreign currencies Swaps between and foreign currencies Other foreign currency debt Foreign exchange forwards, Onlending excluding onlending Swaps, nominal amount with fixed interest in Maturity year Interest rate swaps Cross currency swaps between Interest rate swaps in and foreign currencies, total, Debt and assets in liquidity management and payments of collateral Instrument Nominal amount Gross debt Assets Current exchange rate Credit Support Annex to ISDA Deposits, accounts Margins, CCP Margins, Futures Repos, Swedish government papers

5 Overview of central government's debt, mn Nivå2 Inflationlinked bonds Public bonds, foreign currencies Private placemens, foreign currencies Capital market Tbills Money market Lottery bonds National debt savings Retail market Foreign exchange derivates Interest rate derivatives Derivatives market Onlending Nominellt A. Nominal B. Aktuella Current Share Maturity Duration C. Govern D. Incl. Inkl. on Share Marknadsvä D. Market Andel Löptid Duration Statsskuld Andel belopp amount exchange kurser rate % year year ment debt vidareutlå lending % value rde ,7 6,9 6, , ,6 7, 6, , ,6,6, , ,,6, , ,9 5,4 5, , ,,2, , ,7,, , ,,, , ,7,, , , 2,4 2, , ,,4, , ,2 2,4 2, , ,2 33, ,3 454, 42,7, ,2 38, , , , , 4,6 4, , D. Central government debt including onlending and assets under management, mn Public bonds, foreign currencies Inflationlinked bonds Tbills Retail market Private placements, for. currencies Foreign exchange derivates Onlending Central government debt and Debt including onlending and assets under management, bn C. Central government debt D. Debt including onlending

6 Capital market maturities, uplifted valaues at current exchange rates, bn Bonds, for. currencies Inflationlinked bonds on capital markets including swaps, current exchange rates, bn Cross currency swaps between and other currencies Bonds in foreign currencies , nominal, bn , 95, 9, Inflationlinked bonds, nominal, bn ,5 76, 62,9 57, 2, 44, ,6 5, 34,2 29,2 2,7 2, 3,2 7, % 2 Aug % 2 Mar % Dec % Jun % 3 Nov % 2 May % 2 Nov % Jun % 3 Mar % Jun % Jun % Jun % Dec % Jun % Jun % Jun % Dec 28 Currency exposure, debt and assets in onlending, net, % Currency exposure in the foreign currency debt, debt and assets in onlending, net, % Financing of the foreign currency debt, including financing of onlending, gross, % 6,8% 85,4% CHF 27,8% 46,9% 49,% CHF GBP 4,%,5%,9% GBP,2% 6,5% 29,5% CAD JPY,9%,4% CAD JPY 6,% 2,6% 2,4% % 5% % % 2% 4% % 2% 4% Note: Financing in refers to debt combined with swaps to obtain foreign currency exposure. 6

7 Maturities for the total debt, current exchange rate incl. assets undere management, bn F. Tbills E., CP and D. Retail market C. Bonds in foreign currencies B. Inflationlinked government bonds A Publ. bonds, euro and dollar, curr. exchange rate, bn Publ. bonds in foreign currencies, bn in resp. currency , 25,6 9 Sep 6 5 Nov 6 Onlending 9,5 7, 4,8 2,8 25,6 2,3 27 Nov 6 2 Apr 7 25 Jun 7 5 Aug 7 3 Nov 7 38,2 25,6 9,2 8,5 23 Jan 8 3 Jan 8 27 Feb 8 5 May 8 5 Oct 8 5 Mar 9 2 May 9 2,5 7, 7, 4,3 2 Feb 2 24 Mar 2 4,5 4, 3, 2,5 2,,5,,5, 2, 3, 9 Sep 6 5 Nov 6, 2,,5,5 3, 2,5 27 Nov 6 2 Apr 7 25 Jun 7 5 Aug 7 3 Nov 7 4, 3, 2,3, 23 Jan 8 3 Jan 8 27 Feb 8 5 May 8 5 Oct 8 5 Mar 9 2 May 9 2, 2,3,5 2, 2 Feb 2 24 Mar 2 Institution Nominal amount Current exchange rate Onlending to Irland Onlending to the Riksbank, capital market Onlending to the Riksbank, redemptions Current exchange rate, Money market Capital market Amount, Maturity date Dollar Euro Nominal amount, Money market Capital market Amount, Nominal amount, respective currency

8 , inflationlinked bonds and Tbills, nominal amounts, bn incl. onlending grouped by instruments, nominal amount, bn Tbills 7 IL bonds Bonds and CP Incl. derivatives Onlending 5 Incl. onlending Debt shares, including onlending, per cent Duration for the total debt and respective debt class, including onlending, years Inflationlinked debt Total Nominal debt Inflationlinked debt Time to, excluding onlending, years Central government debt and Debt including onlending, bn and per cent of GDP 4 Total Nominal debt Inflationlinked debt C. Central gov. debt LA D.Incl. onlending LA C. Central gov. debt, % RA 5 D. Incl. onlending, % RA Note: Time to for the foreign currency debt concerns only bonds and Commercial paper

9 Financing of the government's debt, including and excluding financing of onlending, nominal bn Currency Valuta Instrument Nominal amount, Inflationlinked bonds Tbills Lottery bonds National debt savings Other captal market debt Foreign currency debt Bonds in foreign currencies A. Nominellt belopp Procent Per Exkl. Exluding vidareutlåning onlending Procent Per Vidareutlåning Onlending , , , , ,4 7 5, , , , , , , , , 3, 3, , , , , , , , , , , , , Foreign holdings of central government securities etc., per cent respective bn Tbills Bonds, % Estimated sum securities Bonds, for. currencies, estimated Tbills Note: Figures for bonds in foreign currencies before 27 and liquidity management instruments as well as collateral are estimated. Source: Statistics Sweden and Riksgälden bn , inflationlinked government bonds and bonds in foreign currencies Instrument Bonds Series Currency ISINnumber ISIN US 44A Coupon Issue date Maturity date Initial time Volume rate to resp. currency Instrument Lån Serie Va... ISINnummer ISIN US 44A Kupo... Utgivningsdag Förfallodag Public bonds, foreign currencies Private placement... Inflationlinked bonds ESB 9.45% 28 Dec 26 EUB.875% 3 Jan 8 EUB % 27 Feb 8 EUB % 5 Nov 6 EUB,25% 27 Nov 6 EUB.75% 2 Apr 7 EUB.75% 2 May 9 EUB.875% 5 Aug 7 EUB.3% 25 Jun 7 EUB.625% 9 Sep 6 EUB % 3 Nov 7 EUB.875% 23 Jan 8 EUB.5% 2 Feb 2 EUB,625% 24 Mar 2 EUB.25% 5 May 8 EUB % 5 Oct 8 EUB,25% 5 Mar 9 EUB.75% 6 Mar 7 SGB IL 32 4% Dec 2 SGB IL % Dec 28 SGB IL % Dec 28 SGB IL 37.5% Jun 7 SGB IL 38.25% Jun 22 SGB IL 39 % Jun 25 SGB IL 3.25% Jun 9 SGB IL 3.25% Jun 32 SGB IL 32.25% Jun 26 SGB 47 5% Dec 2 SGB % 2 Aug 7 SGB % 2 Mar 9 SGB % 3 Mar 39 SGB % Jun 22 SGB % Jun 32 SGB 57.5% 3 Nov 23 SGB % 2 May 25 SGB 59.% 2 Nov ES XS XS XS XS XS XS XS XS XS8489 XS XS XS XS XS XS338 XS XS22592 SE37943 SE SE SE SE4284 SE57355 SE SE SE8462 SE493 SE8399 SE22483 SE SE SE45729 SE48697 SE SE XS US872DAF5 US872DAL82 US872DAM65 US872DAN49 US872DAP96 US872DAQ79 US872DAR52 XS US872DAT9 US872DAU8 US872DAV64 US872DAS36 9,45,875,25,75,75,875,3,625,875,5,625,25,25,75 4,5,25,25,25,25 5 3,75 4,25 2,25,5 2, Denomineringsv... 3, , 4 5, 3 3,2 3 3, 3, 2 5, ,2 5 3, 5 2, 2 3, 3 3, 2 5 5, 5 5, 2 3, , 3, 2 2, 5 24, , , ,7 29 2, , , 7 34, , , , , , ,2 2, , ,

10 DEBT SHARES AND TIME TO MATURITY AS MEASURED IN RISK MANAGEMENT The government decides on guidelines for central government debt and the distribution between types of debt: Nominal krona debt, Inflationlinked debt and Foreign currency Debt. The measure of debt used in risk managment is the central government's uplifted amount at current exchange rate including claims in onlending and assets under management. Positions taken with derivatives to actively manage exposure in the debt is not included. Derivative transactions affecting the allocation between different debt classes is on the other hand included. The is measured with duration (Macauly). The duration for the nominal krona debt does not include bonds with maturities longer than twelve years. The table shows the central government debt and the debt measure used in risk management respectively at the last banking day of the month and the monthly average for debt shares and duration for the two measures of debt. Debrt shares and duration in Riksgaldens risk management Goverrnment debt Shares Duration Debt measure Shares Duration monthly average risk management monthly average Inflationlinked debt Nominal krona debt ,7, ,7, ,4 6, ,4 6, ,9 4, ,9 3, , 4, , 3,77 Duration, year, monthly average Debt shares, %, monthly average The targets (duration) are from 26: Nominal debt shorter than 2 years, within the interval: 2,63,6 years Inflationlinked debt, within the interval: 69 years : year Nominal debt, years Higher target, years Lower, target, years 4 3 2,5 Duration for nominal krona debt The targets for the debt shares from 26 are: Inflationlinked debt: 2 % : Max 3 bn lower debt in and JPY compared to the year before excl. exchange rate changes Target value for Inflationlinked debt Inflationlinked debt, % Share of inflationlinked debt Higher target, years Lower, target, years Inflationlinked debt, years at initial exchange rate, bn at initial exchange rate, bn Exposure in JPY, bn, fixed exchange rate RHS Exposure in JPY and, bn, fixed exchange rate RHS 9 Duration for Inflationlinked debt