MONTHLY BULLETIN - N 205 June 2007

Size: px

Start display at page:

Download "MONTHLY BULLETIN - N 205 June 2007"

Gregory Anderson
5 years ago
Views:

1 MONTHLY BULLETIN - N 2 June 27 DEBT GENERAL DATA... 1 PRIMARY MARKET... 2 SECONDARY MARKET... 4 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: Benoît Coeuré Editor: Agence France Trésor DEBT GENERAL DATA French government long- and medium-term negotiable debt on May 31, 27 nominal value of each line, >217 BTAN OAT OATi & OAT i BTAN i 2 Non-resident holdings of French government negotiable debt securities as a % of negotiable debt outstanding /26** 3/26** 4/26** /26** 6/26** 7/26** 8/26** 9/26** 1/26** 11/26** 12/26** 1/27 2/27 3/27 4/27 Source: balance of payments Note: following the revised figures of the French securities held by non-residents at the end of 26, the Banque de France has readjusted the outstanding amount related to the negotiable Government debt securities held by non-residents in 26 (**). (*) figures quarterly revised (**) figures annually revised Monthly bulletin N 2 June 27

PRIMARY MARKET Auction indicative calendar BTF BTAN / index linked OAT OAT June 27 auction date 4 11 18 2-21 7 settlement date 7 14 21 28-26 12 July 27 auction date 2 9 16 23 3 19 settlement date 12

2 PRIMARY MARKET Auction indicative calendar BTF BTAN / index linked OAT OAT June 27 auction date settlement date July 27 auction date settlement date Aug anticipated or delayed auctions (bank holidays, etc.) Long- and medium-term financing over the year on May 31, 27 Long and medium-term financing forecast for the year 27 (State and CDP) 12. billion Cumulative realized long and medium-term financing 6.7 billion on May 31, realized BTAN realized OAT Jan. Feb. March Apr. May OATs and BTANs issues and cumulative total on May 31, 27 OATs and BTANs: indicative repayment schedule on May 31, 27 BTAN 3.% 1/29 BTAN 3.% 7/29 BTAN 4% 9/29 BTAN i 1.2% BTAN 3.7% 1/212 OATi 1.6% 7/211 * OATi 1.6% 7/21 * OAT 3.7% 4/217 OATi 1% 7/217 * OATi 2.2% OAT 4.2% 4/223 OAT 3.7% 4/221 OAT 4% 1/238 OATi 1.8% 7/24 OAT 4% 4/ issued before 27 issued in interest redemption /7 6/7 7/7 8/7 9/7 1/7 11/7 12/7 1/8 2/8 3/8 4/8 * nominal value Monthly bulletin N 2 June 27 2

3 m OAT and BTAN auctions May 27 OAT 1 years BTAN 2 years BTAN years BTAN i 3 years OATi 1 years 1/2/223 9/12/29 1/12/212 7/2/21 7/2/ % 4.% 3.7% 1.2% 1.% Auction date /3/27 /16/27 /16/27 /16/27 /16/27 Settlement date /9/27 /22/27 /22/27 /22/27 /22/27 Amount announced <4,2 ---4,7> <4,2 ---4,7> <1,2 ---1,7> Bid amount 1,43 7,91 8,761 2,1 2,22 Amount served 4,466 1,476 3,36,72,82 of which: NCTs before auction NCTs after auction,464 Total issued amount 4,93 1,476 3,36,72,82 Bid-to-cover ratio 2,34,3 2,89 3,47 2,96 Weighted average price 98,36% 99,43% 97,8% 97,68% 88,6% Yield to maturity 4,39% 4,2% 4,28% 2,1% 2,27% Indexation coefficient* ,3236 1,237 BTF auctions May 27 m BTF BTF BTF BTF BTF Short term 1 month 3 month 6 month 1 year Auction date /7/27 /7/27 Settlement date /1/27 /1/27 Maturity 8/9/27 /7/28 Total issued amount 2,48 1,864 Weighted average rate 3.916% 4.172% Auction date /14/27 /14/27 Settlement date /16/27 /16/27 Maturity 8/9/27 /7/28 Total issued amount 1,94 1,7 Weighted average rate 3.913% 4.162% Auction date /21/27 /21/27 Settlement date /24/27 /24/27 Maturity 8/23/27 12/6/27 Total issued amount 1,871 1,8 Weighted average rate 3.948% 4.86% Auction date /29/27 /29/27 Settlement date /31/27 /31/27 Maturity 8/23/27 12/6/27 Total issued amount 1,77 1,77 Weighted average rate 3.91% 4,12% Monthly bulletin N 2 June 27 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 insurance companies credit institutions UCITS other non-resident investors yr yrs 1 years 2 years 3 years years /26 4/27 / Source: Bloomberg Source: Banque de France Breakeven inflation daily quotes in % /1/4 1/1/4 1/1/ 4/1/ 7/1/ 1/1/ 1/1/6 4/1/6 7/1/6 1/1/6 1/1/7 4/1/7 France 1 years (1) Euro zone 1 years (2) France 3 years (3) Euro zone 3 years (4) 7/1/7 (1) difference between the yield of the OAT 4% April 213 and the yield of the OATi 2.% July 213 (2) difference between the yield of the OAT % April 212 and the yield of the OAT i 3% July 212 (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 Negotiable government debt outstanding end end end end end end end April May OAT BTAN BTF Swaps outstanding /// Average maturity of the negotiable debt before swaps 6 years 6 years years years 6 years 6 years 7 years 7 years 7 years 64 days 47 days 343 days 297 days 79 days 267 days 4 days 13 days 77 days after swaps /// years years years 6 years 6 years 7 years 7 years 7 years /// 38 days 266 days 23 days 33 days 228 days 16 days 7 days days Monthly bulletin N 2 June 27 4

5 Turnover on the most liquid OATs and the 4 most liquid BTANs daily average () Primary dealers, monthly fixed-rate repo transactions OAT BTAN days 4-11 days 12-3 days > 3 days /6 6/6 7/6 8/6 9/6 1/6 11/6 12/6 1/7 2/7 3/7 4/7 /7 4/ 6/ 8/ 1/ 12/ 2/6 4/6 6/6 8/6 1/6 12/6 2/7 4/7 Source: Euroclear France Source: primary dealers Primary dealers, repo outstanding at end of month / 6/ 8/ 1/ 12/ 2/6 4/6 6/6 8/6 1/6 12/6 2/7 4/7 fixed-rate repos floating-rate repos others Source: primary dealers Focus Table: Top bond market movers after 1 mns (bund price future change in cents) Economic indicator (ranked by response) 1m response* 1 US Nn Farm Pay -14,3 2 US GDP -12,8 3 US Manuf. ISM -8,9 4 US Core CPI -7,4 German IFO -6,1 6 German ZEW -6 7 German GDP -,7 8 US Philly Fed -,4 9 US Non Man ISM -,3 1 US Univ of Mich -,3 11 US Retail Sales -4,1 12 Ger Lander CPI -2,8 13 Euro area M3-2,2 14 EA Manuf. PMI -2,1 1 US CPI -2,1 * Average historic price change ten minutes after a typical (one standard deviation) positive forecast error Source: RBS MID Monthly bulletin N 2 June 27

6 TRIBUNE What moves the European bond market: Bond investors typically base investment decisions on priors they have about the future state of an economy. To formulate these views, investors use the latest data available to form a view of how the upcoming economic data should look to validate their baseline scenario. As new information becomes available, investors readjust their priors accordingly depending on whether the data confirm that scenario or not. It is the forecast error (the difference between average expectations and the actual outcome) in the release of economic indicators that moves markets. Because some indicators provide more information about the state of the economy than others, surprises in these indicators have a greater impact on the market than surprises in indicators with lower information contents. We have constructed the RBS Market Impact Database (RBS MID) which includes consensus expectations of economic data and actual outcomes of first releases for a selection of 28 indicators covering the US, UK and euro area from The database includes intra-day bond price movements around the time of each release. To our knowledge, this constitutes the most comprehensive databank of historical data on economic data surprises and market responses (around 1, observations in total). We have focused our attention on the reaction of the ten year German bund future in the first instance. Of 28 indicators considered in this report, surprises in about fifteen have a significant average impact on the price of the bund following the first ten minutes of the release, (see table 1). Of this fifteen, ten have a very significant impact. The euro area bond market is predominantly driven by foreign indicators: of the 1 largest European market movers, 9 are US indicators and only 6 are euro area indicators. Of the top 1, only 3 are from the euro area (table 1). The US non farm payrolls and advance GDP reports top the bond market mover rankings. The largest euro area market mover is the IFO, a touch above the ZEW survey, occupying the th and 6th ranks respectively. German GDP comes in at number seven. Euro area aggregates such as euro area retail sales, industrial production and confidence indicators have the smallest market impact. That US data dominate the European bond market is not a surprise. The US economy has been the engine of growth of the global economy and thus provides some leading indications on the state of the euro area economy. However, the size of the market response seems somewhat exaggerated in our view: for example a forecast error in US GDP will lead to a European market reaction on average over twice as large as a similar surprise in German GDP. A forecast error in the US ISM has an impact 4. times greater than a similar surprise in the euro area PMI. More surprisingly, US indicators have a larger impact than European ones even when they are published later. This is the case with the US ISM, which is published after the euro area PMI or the IFO, or the US CPI report, which is published after the German or Euro area report. While we believe that the US economy leads the euro area, the European market response to some US indicators also seems somewhat disproportionate. In particular, a surprise in US core inflation has more than twice the impact on the European market as a similar surprise in German CPI, which is normally released about 3 weeks earlier. Jacques Cailloux Chief euro area economist Royal Bank of Scotland 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, Finance and Industry. Monthly bulletin N 2 June 27 6

7 THE FRENCH ECONOMY Macro-economic forecast Real growth rate as a % French GDP < 2-2. > < 2-2. > < 2-2. > Euro zone GDP Household consumption Business investment Exports Imports Consumer prices (year-on-year) Source: Ministry of the Economy, Finance and Industry Recent economic indicators Industrial output*, year-on-year 1.1% 3/27 Household consumption*, year-on-year 2.% 4/27 Unemployment rate (ILO) 8.2% 4/27 Consumer prices, year-on-year all items 1.3% 4/27 all items excluding tobacco 1.3% 4/27 Trade balance, fob-fob, sa -1.6 EUR bn 3/27 " " -2.4 EUR bn 2/27 Current account balance, sa -2.1 EUR bn 3/27 " " -3.3 EUR bn 2/27 1-year constant maturity rate (TEC1) 4.43% /31/27 3-month interest rate (Euribor) 4.122% /31/27 EUR / USD /31/27 EUR / JPY /31/27 *manufactured goods Source: Insee; Ministry of the Economy, Finance and Industry; Banque de France Gross domestic product at 2 prices Variation in % quarterly (left-hand scale) year on year (right-hand scale) Source: Insee, quarterly national accounts Euro exchange rate Daily quotes Euro / dollar (left-hand scale) Euro / yen (right-hand scale) /1/6 9/1/6 12/1/6 3/1/7 6/1/7 Source: European Central Bank Government budget monthly position end-of-april level General budget balance revenue expenditure Balance of special Treasury accounts General budget outturn Source: Ministry of the Economy, Finance and Industry for more information: Public finance: general government deficit and debt As a % of GDP , deficit (left-hand scale) debt (right-hand scale) Source: according to Maastricht Treaty, Insee and Ministry of the Economy, Finance and Industry Monthly bulletin N 2 June 27 7

8 Timetable for the release of French economic indicators June 27 July 27 7 Gross foreign exchange reserves in May 6 Central government budget: statement at end of May 8 Central government budget: statement at end of April 6 Gross foreign exchange reserves in June 8 Foreign trade in April 6 Cost-of-construction: index Q Industrial output in April 1 Industrial output in May 13 Consumer prices: index for May 1 Foreign trade in May 14 Payroll employment: final results Q Consumer prices: index for June 19 Balance of payments in April 18 Balance of payments in May 22 Household consumption of manufactured goods in May 24 Household consumption of manufactured goods in June 22 Wages: final statistics Q Industrial trends: monthly survey for July 26 New building starts in May 3 Industrial producer prices: June index 27 Industrial trends: monthly survey for June 3 Industrial trends: quarterly survey for July 29 Industrial producer prices: May index 31 Household confidence survey: July survey 29 Quarterly national accounts: final results Q Job seekers in June 29 Household confidence survey: June survey 31 Net foreign exchange reserves in June 29 Job seekers in May 29 Net foreign exchange reserves in May Harmonized index of consumer prices Eurozone (Eurostat) Index for May: June 14 Index for June: July 16 INTERNATIONAL COMPARISONS Consumer price index General government debt in 26 Year-on-year % change As a % of GDP Japan U.K. USA euro zone France -2 4/ 1/ 4/6 1/6 4/7 2.. U.K. France Germany Italy euro zone USA Japan Source: statistical institutes Source: Eurostat, OECD Monthly bulletin N 2 June 27 8

9 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING - DETTE NEGOCIABLE DE L ETAT OAT au 31 mai 27 / fungible Treasury bonds at May 31, 27 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 FR79 OAT,% 2 octobre Échéance FR7632 OAT,2% 2 avril FR766 OAT 8,% 2 octobre Échéance FR7673 V OAT TEC1 2 janvier FR71432 OAT 4% 2 avril FR71424 I OATi 3% 2 juillet (1) 1,13686 ( ) FR OAT 4% 2 octobre Échéance FR18663 OAT,% 2 avril FR18723 OAT,% 2 octobre Échéance FR7731 OAT 6,% 2 avril FR19437 I OATi 1,6% 2 juillet (1) 1,6191 ( ) FR OAT % 2 octobre Échéance FR OAT % 2 avril FR18813 I OAT i 3% 2 juillet (1) 1,11167 ( ) FR18869 OAT 4,7% 2 octobre FR778 OAT 8,% 26 décembre Échéance FR OAT 4% 2 avril FR1889 I OATi 2,% 2 juillet (1) 1,7891 ( ) FR11113 OAT 4% 2 octobre Échéance FR OAT 4% 2 avril FR11122 OAT 4% 2 octobre Échéance FR OAT 3,% 2 avril FR1132 I OAT i 1,6% 2 juillet (1) 1,417 (1 388 ) FR OAT 3% 2 octobre Échéance FR OAT 3,2% 2 avril FR OAT % 2 octobre Échéance FR OAT 3,7% 2 avril FR I OATi 1% 2 juillet (1) 1,243 (12 8 ) Échéance FR18911 OAT 4,2% 2 avril FR7921 OAT 8,% 2 octobre FR794 C ETAT 9,82% 31 décembre (2) ( ) Échéance FR19 I OAT i 2,2% 2 juillet (1) 1,779 (1 969 ) Échéance FR OAT 3,7% 2 avril Échéance FR7144 OAT 8,2% 2 avril Échéance FR718 OAT 8,% 2 avril FR OAT 4,2% 2 octobre Échéance FR711 OAT 6% 2 octobre Échéance FR71226 C OAT zéro coupon 28 mars (3) ( ) Échéance FR71218 OAT,% 2 avril FR I OATi 3,4% 2 juillet (1) 1,132 ( ) Échéance FR I OAT i 3,1% 2 juillet (1) 1,8999 (8 739 ) FR18763 OAT,7% 2 octobre Échéance FR176 OAT 4,7% 2 avril Échéance FR OAT 4% 2 octobre Échéance FR I OAT i 1,8% 2 juillet (1) 1,968 (4 ) Échéance FR OAT 4% 2 avril (1) Encours OAT indexées = valeur nominale x coefficient d'indexation / indexed bonds outstanding = face value x indexation coefficient (2) y compris intérêts capitalisés au 31/12/26 / including coupons capitalized at 12/31/26 ; non offerte à la souscription / not open to subscription (3) valeur actualisée au 31/3/27 / actualized value at 3/31/27 ; 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 9,4 % Durée de vie moyenne Average maturity 9 ans et 294 jours 9 years and 294 days Monthly bulletin N 2 June 27 9

10 BTAN au 31 mai 27 Treasury notes at May 31, 27 BTF au 31 mai 27 Treasury bills at May 31, 27 En euros CODE ISIN Emprunt / Bond Encours / Outstanding Échéance FR BTAN 4,7% 12 juillet Échéance FR BTAN 3,% 12 janvier FR BTAN 2,7% 12 mars FR BTAN 3% 12 juillet FR BTAN 3,% 12 septembre Échéance FR BTAN 3,% 12 janvier FR BTAN 3,% 12 juillet FR BTAN 4% 12 septembre Échéance Coefficient d'indexation / indexation coefficient Valeur nominale / face value FR BTAN 3% 12 janvier FR BTAN 2,% 12 juillet FR18664 I BTAN i 1,2% 2 juillet (1) 1,3437 (6 48 ) Échéance FR BTAN 3% 12 janvier FR BTAN 3,% 12 juillet Échéance FR BTAN 3,7% 12 janvier En euros Échéance / Maturity Encours / Outstanding BTF 14 juin BTF 21 juin BTF 28 juin BTF juillet BTF 12 juillet BTF 19 juillet BTF 26 juillet BTF 2 août BTF 9 août BTF 23 août BTF 13 septembre BTF 27 septembre BTF 11 octobre BTF 2 octobre BTF 8 novembre BTF 22 novembre BTF 6 décembre BTF 17 janvier BTF 14 février BTF 13 mars BTF 1 avril BTF 7 mai Total BTAN / total Treasury notes Total BTF / total Treasury bills Durée de vie moyenne des BTAN 2 ans et 2 jours Durée de vie moyenne des BTF 132 jours Average maturity of BTANs 2 years and 2 days Average maturity of BTFs 132 days Dette négociable de l Etat au 31 mai 27 / French government negotiable debt at May 31, 27 Encours total / total outstanding néant / void Durée de vie moyenne 7 ans et 77 jours Average maturity 7 years and 77 days Réserve de titres de la Caisse de la dette publique au 31 mai 27 / Securities held in reserve by Caisse de la dette publique at May 31, 27 Monthly bulletin N 2 June 27 1

MONTHLY BULLETIN - N 243 August 2010

MONTHLY BULLETIN - N 243 August 2010 MONTHLY BULLETIN - N August 1 DEBT GENERAL DATA... 1 PRIMARY MARKET... SECONDARY MARKET... THE FRENCH ECONOMY... 6 INTERNATIONAL COMPARISONS... 7 FRENCH GOVERNMENT NEGOTIABLE DEBT OUTSTANDING... 8 http://www.aft.gouv.fr