French government debt news

Size: px

Start display at page:

Download "French government debt news"

Marjorie Gallagher
6 years ago
Views:

1 OAT 7,% 4-2 OATi % 7-29 OAT,2% 4-28 OAT TEC OAT 4% 1-29 OAT % OAT 8,% 4-22 OAT,% OAT 4% 1-29 OAT,% 4-21 OATi,4% BTAN 4% 1-22 BTAN 4,% 7-22 BTAN,% 7-24 BTAN % 7-2 OAT 4% 4-29 BTAN % 1-26 BTAN 4,% 7-2 BTAN,% 7-24 OAT 7,% 4-2 BTF //21 BTF 21/6/21 BTF 2/8/ 21 BTF 29//21 OATi % 7-29 OAT,2% 4-28 OAT TEC OAT 6,% OAT 8,% 4-22 OAT,% BTAN 4% 1-22 BTAN 4,% 7-22 BTAN,% 7-24 BTAN % 7-2 OAT 4% 4-29 BTAN % 1-26 BTAN 4,% 7-2 OAT 8,% OAT 7,% 4-2 BTF //21 BTF 21/6/21 BTF 2/8/ 21 BTF 29//21 OATi % 7-29 OAT,2% 4-28 OAT TEC OAT 4% 1-29 OAT,% 4-21 OATi,4% OAT 6,% OAT 8,% 4-22 OAT,% BTAN 4% 1-22 BTAN 4,% 7-22 BTAN,% 7-24 BTAN % 7-2 OAT 4% 4-29 BTAN 4,% OAT 4% 1-29 OAT,% 4-21 OATi,4% OAT 7,% 4-2 OATi % 7-29 OAT,2% 4-28 OAT TEC OAT 4% 1-29 OAT % OAT 8,% 4-22 OAT,% OAT 4% 1- n 167 April 24 Bloomberg TRESOR <GO> Reuters <TRESOR> m o n t h l y b u l l e t i n Imprimerie de Montligeon - Dépôt légal 1 er trimestre 24 / N ISSN / Certificat d inscription à la CPPAP n 97 B 474 French government debt news Creation of OAT 4.7% 2 April 2 (French government treasury bond). The Agence France Trésor has issued a new -year bond, the OAT 4.7% 2 April 2. This new issue is part of AFT's policy to keep pace with investor demand by means of long-term securities. The previous -year bond was the OAT.7% 2 October 22. This new OAT was auctioned for the first time on 1st April 24 - the settlement date being set for 6 April 24 - for.7 billion euros, at the weighted average rate of 4.78%. Total demand during the auction came to 9.7 billion euros, thus ensuring a coverage rate of 2.6. The bond is eligible for stripping operations. This new OAT will be regularly auctioned in order to meet investor demand and ensure liquidity comparable to that of other OATs. French government long- and medium-term negotiable debt on March 1, 24 nominal value of each line, Source : Agency France Trésor BTAN OAT > 21 OATi & OAT i Non-resident holdings of French government negotiable debt securities as a % of negotiable debt outstanding / /6 /7 /8 /9 /1 /11 /12 4/1 4/2 Source : balance of payments Note : A more accurate census of the securities held by custodians has enabled Banque de France to revise the ratios of French Government Negotiable Debt held by non-residents, and particular for shorterterm notes. 22

2 primary market Auction indicative calendar BTF BTAN/index linked OAT OAT April 24 auction date settlement date May 24 auction date st June 19 6 settlement date June 2 11 Source: Agency France Trésor OAT and BTAN auctions - March 24 EUR million OAT 1 years OATi 1 years OATi years OAT i 1 years BTAN 2 years 4/2/214 7/2/21 7/2/229 7/2/22 /12/26 4.% 2.%.4% 2.2% 2.2% Auction date /4/24 /18/24 /18/24 /18/24 /18/24 Settlement date /9/24 /2/24 /2/24 /2/24 /2/24 Amount announced,-,8 < ,2-1, >,-,8 Bid amount 1,7 2, ,1 Amount served,746 1, ,729 of which: NCTs before auction NCTs after auction Total issued amount 6,62 1, ,8 Bid-to-cover ratio Weighted average price % % % 12.4 % 1.16 % Yield maturity 4.16 % 1.7 % 2.21 % 2.7 % 2.17 % Indexation coefficient Source: Agency France Trésor BTF auctions - March 24 EUR million Source: Agency France Trésor BTF BTF BTF BTF 1 month month 6 month 1 year Auction date /1/24 /1/24 Settlement date /4/24 /4/24 Maturity 6//24 9/2/24 Total issued amount 2, 2,6 Weighted average rate 1.944% 1.929% Auction date /8/24 /8/24 Settlement date /11/24 /11/24 Maturity 6/2/24 9/2/24 Total issued amount 2, 2, Weighted average rate 1.947% 1.98% Auction date /1/24 /1/24 Settlement date /18/24 /18/24 Maturity 6/17/24 /17/2 Total issued amount 2,726 1,817 Weighted average rate 1.9% 1.97% Auction date /22/24 /22/24 Settlement date /2/24 /2/24 Maturity 6/17/24 /17/2 Total issued amount 2,7 2,124 Weighted average rate 1.922% 1.97% Auction date Settlement date Maturity Total issued amount Weighted average rate Long- and medium-term financing over the year on March 1, 24 OATs and BTANs issues and cumulative total on March 1, 24 OATs and BTANs: indicative repayment schedule on March 1, OAT BTAN TOTAL L & M T BTAN % 1/26 BTAN 2.2% /26 BTAN.% 1/29 OATi % 7/29* OAT i % 7/212* OATi 2.% 7/21* OAT 4% 1/21 OAT 4% 4/214 OAT 4.2% 4/219 OAT i 2.2% 7/22* OATi.4% 7/229* OAT i.1% 7/22* OAT.7% 1/ /4 /4 6/4 7/4 8/4 9/4 1/4 11/4 12/4 1/ 2/ / realized forecast issued before 24 issued in 24 interest redemption Source : Agency France Trésor * nominal value Source : Agency France Trésor Source : Agency France Trésor 2

3 secondary market OAT ownership by type of holder third quarter 2 structure in % Turnover on the most liquid OATs and the 4 most liquid BTANs daily average () Negotiable government debt and swaps 42 Source : Banque de France 8 14 third quarter 2 insurance companies credit institutions UCITS other non-resident investors / 4/ / 6/ 7/ 8/ 9/ 1/ 11/ 12/ 1/4 2/4 /4 Source : Euroclear OAT (Euroclear France) BTAN (Euroclear France) end end end end January February March Negotiable government debt outstanding OAT BTAN BTF Swaps outstanding /// Average maturity of the negotiable debt before swaps 6 years 6 years years years 6 years 6 years 6 years French government yield curve quote at end of the month, in % 6 Primary dealers, monthly fixed-rate repo transactions 64 days 47 days 4 days 297 days 1 days 28 days days after swaps /// years years years years years years /// 8 days 266 days 2 days 4 days days 1 days 2 Source: Agency France Trésor Source : Bloomberg 1 year years 1 years 2 years Breakeven inflation daily quotes in % /2 2/24 /24 2/ / 4/ / 6/ 7/ 8/ 9/ 1/ 11/ 12/ 1/4 2/4 Source : primary dealers > days 12- days 4-11 days 1- days Primary dealers, repo outstanding at end of month focus Net foreign purchases of French government securities ( bn, 12m rolling total) /1/2 /1/ 6// 9// 12/1/ /1/4 France 1 years (1) euro zone 1 years (2) France years () euro zone years (4) / / 4/ / 6/ 7/ 8/ 9/ 1/ 11/ 12/ 1/4 2/4 fixed-rate repos floating-rate repos others /1/97 12/1/98 12/1/99 12/1/ 12/1/1 12/1/2 12/1/ Total (left scale) By Japanese investors (right scale, %) (1) difference between the yield of the OAT 4% April 21 and the yield of the OATi 2.% July 21 (2) difference between the yield of the OAT % April 212 and the yield of the OAT i % July 212 () difference between the yield of the OAT.% April 229 and the yield of the OATi.4% July 229 (4) difference between the yield of the OAT.7% October 22 and the yield of the OAT i.1% July 22 Source : Bloomberg Source : primary dealers Source : Bank of France ; Japanese Ministry of Finance. N.B. The figure for Japanese investors includes net purchases of all French bonds, although we estimate that the vast majority of these will have been government bonds

4 Forum Japanese demand for OATs remains strong Japanese investors owned more French long-term debt securities (~EUR7bn) than any other overseas country at the outset of 2 according to the IMF s latest Coordinated Portfolio Investment Survey. Separately, the French balance of payments show that 17% of the EUR19.6bn net inflow from non-residents into OATs during 22 was from Japan. We estimate that this share was larger still in 2. Data published by the Japanese Ministry of Finance show that net purchases of French bonds by Japanese investors totalled JPY897.2bn (EUR6.4bn) in 2 compared to JPY18.bn (EUR4.1bn) in 22. The accompanying chart compares total net overseas purchases of French government securities according to French balance of payments data with net purchases of French bonds by Japanese investors according to Japanese Ministry of Finance data. Such a comparison is complicated by the fact that the Japanese data include purchases of all French bonds, not just those issued by the French government, and also by the fact that they exclude purchases by the Bank of Japan of overseas bonds. Nonetheless, our findings still suggest that Japanese investors are a very important force in the French government bond market. We can see that over the past five years total net overseas purchases of French government securities have fluctuated between EUR2bn and EURbn as a rolling 12 month total. With the exception of 2, Japanese net purchases of French bonds have traced a very similar directional path. This appears to confirm that Japanese investors play a key role in determining the direction and magnitude of overall overseas inflows into the French bond market. Although Japan is now enjoying an export-led recovery, corporate demand for funds remains extremely weak and cross-shareholdings are still being unwound. As a result, Japanese banks still have few options but to continue to buy Japanese government bonds and to seek out better returns overseas. Insurance companies, too, still need higher yields than those available at home to match the guaranteed rates of return on their liabilities. As a result, we expect to see renewed demand from Japanese institutional investors for overseas bonds in the new financial year, including those issued by the French government. John Higgins Head of Economic Research Nomura Notice: This Agency 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 Agency France Trésor or the Ministry of the Economy, Finance and Industry.

5 international comparisons Consumer prices index year on year % change General government debt in 22 as a % of GDP /2 8/2 2/ 8/ 2/4 Japan U.-K. USA euro zone France ,4 18, 69,2 8,6 6,8 6,8 8, U.-K. France Germany Italy euro zone USA Japan Source : statistical instituts Source : Eurostat, OECD Timetable for the release of French economic indicators April 24 1 Household confidence survey: March survey 6 Central government budget: statement at end of February 7 Gross foreign exchange reserves in March 9 Industrial output in February 9 Cost-of-construction: index Q Consumer prices: provisional index for March 14 Foreign trade in February 19 Balance of payments in February 22 Household consumption of manufactured goods in March 2 Consumer prices: final index for March 27 Quarterly national accounts: final results Q Annual national accounts: results 2 27 New building starts in March 29 Industrial trends: April survey Industrial producer prices: March index Job seekers in March Net foreign exchange reserves in March May 24 4 Household confidence survey: April survey 6 Central government budget: statement at end of March 6 Industrial trends: quarterly survey for April 7 Gross foreign exchange reserves in April 11 Industrial output in March 12 PIB flash estimate Q Foreign trade in March 1 Consumer prices: provisional index for April 14 Industrial investments: April survey 14 Payroll employment: provisional results Q Wages: provisional statistics Q Balance of payments in March 19 Quarterly national accounts: first results Q Household consumption of manufactured goods in April 2 Consumer prices: final index for April 27 Industrial trends: monthly survey for May 28 Household confidence survey: May survey 28 Industrial producer prices: April index 28 Job seekers in April 28 Net foreign exchange reserves in April Harmonized index of consumer prices (Eurostat): Index for March: April 16 Index for April: May 16 4

6 the French economy Macro-economic forecast Recent economic indicators real growth rate as a % French GDP Euro zone GDP Household consumption Business investment Exports Imports Consumer prices (year-on-year) Industrial output*, year-on-year 1.1% 1/24 Household consumption*, year-on-year.6% 2/24 Unemployment rate (ILO) 9.4% 2/24 Consumer prices, year-on-year all items 1.8% 2/24 all items excluding tobacco 1.1% 2/24 Trade balance, fob-fob, sa.8 EUR bn 1/24 " ".7 EUR bn 12/2 Current account balance, sa.4 EUR bn 1/24 " " 1. EUR bn 12/24 1-year interest rate (TEC1) 4.2% /1/24 -month interest rate (Euribor) 1.98% /1/24 EUR / USD /1/24 EUR / JPY /1/24 Information on Agency France Trésor INTERNET BLOOMBERG TRESOR<GO> REUTERS <TRESOR> BRIDGE Pages Menu source: ministry of the Economy, Finance and Industry * manufactured goods source: Insee; ministry of the Economy, Finance and Industry; Banque de France Contents Gross domestic product at 199 prices variation in % Euro exchange rate daily quotes French government debt news p Primary market p Source : Insee, quarterly national accounts /1/ 7/1/ 1/1/ 1/1/4 4/1/4 11 quarterly (left-hand scale) year on year (right-hand scale) Euro / dollar (left-hand scale) Euro / yen (right-hand scale) Source : European central bank Secondary market Forum p. International comparisons The French economy p. 4 Negotiable government debt outstanding p. and 6 Agency France Trésor monthly bulletin Available in French, English, German and Japanese Publication Manager: Bertrand de Mazières Government budget monthly position Source: ministry of the Economy, Finance and Industry For more information: 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 Source : Insee deficit (left-hand scale) debt (right-hand scale) Editor: Agency France Trésor To subscribe, write to: Agence France Trésor 19, rue de Bercy Télédoc PARIS CEDEX 12 Fax :

7 OAT 7, % 4-2 OATi % 7-29 OAT,2 % 4-28 OAT TEC OAT 4 % 1-29 OAT % OAT 8, % 4-22 OAT, % OAT 4 % 1-29 OAT, % 4-21 OATi,4 % BTAN 4 % 1-22 BTAN 4, % 7-22 BTAN, % 7-24 BTAN % 7-2 OAT 4 % 4-29 BTAN % 1-26 BTAN 4, % 7-2 BTAN, % 7-24 OAT 7, % 4-2 BTF //21 BTF 21/6/21 BTF 2/8/ 21 BTF 29//21 OATi % 7-29 OAT,2 % 4-28 OAT TEC OAT 6, % OAT 8, % 4-22 OAT, % BTAN 4 % 1-22 BTAN 4, % 7-22 BTAN, % 7-24 BTAN % 7-2 OAT 4 % 4-29 BTAN % 1-26 BTAN 4, % 7-2 OAT 8, % OAT 7, % 4-2 BTF //21 BTF 21/6/21 BTF 2/8/ 21 BTF 29//21 OATi % 7-29 OAT,2 % 4-28 OAT TEC OAT 4 % 1-29 OAT, % 4-21 OATi,4 % OAT 7, % 4-2 OATi % 7-29 OAT,2 % 4-28 OAT TEC OAT 4 % 1-29 OAT % OAT 8, % 4-22 OAT, % OAT 4 % 1-29 OAT, % 4-21 OATi,4 % BTAN 4 % 1-22 BTAN n 167 avril 24 4, % 7-22 BTAN, % 7-24 BTAN % 7-2 OAT 4 % 4-29 BTAN % 1-26 BTAN 4, % 7-2 BTAN, % 7-24 OAT 7, % 4-2 BTF //21 BTF 21/6/21 BTF dette négociable de l État French government negotiable debt outstanding OAT au 1 mars 24 / fungible Treasury bonds at March 1, 24 en euros Échéance / Maturity FR768 OAT,% 2 avril FR74 OAT 6% 2 avril FR74 OAT 6,7% 2 octobre Échéance / Maturity FR744 OAT 7,% 2 avril FR7467 OAT 7,7% 2 octobre Échéance / Maturity FR7491 OAT 7,2% 2 avril FR79 OAT 7% 2 avril FR7 OAT 6,% 2 octobre FR741 V OAT TEC1 2 octobre Échéance / Maturity FR774 OAT,% 2 avril FR79 OAT,% 2 octobre Échéance / Maturity FR762 OAT,2% 2 avril FR766 OAT 8,% 2 octobre Échéance / Maturity FR767 V OAT TEC1 2 janvier FR7142 OAT 4% 2 avril FR71424 I OATi % 2 juillet (1) (valeur nominale/face value) ( ) FR1941 I OATi % 2 juillet 29 août (1) (valeur nominale/face value) ( ) FR11214 I OATi % 2 juillet 29 sept (1) (valeur nominale/face value) (2 7) FR122 I OATi % 2 juillet 29 oct. 2 8 (1) (valeur nominale/face value) (6 ) FR19 I OATi % 2 juillet 29 nov (1) (valeur nominale/face value) (67 ) FR164 I OATi % 2 juillet 29 déc (1) (valeur nominale/face value) (29 771) (1) valeur nominale x coefficient d indexation au 1//24 (1,7619) / face value x indexation coefficient at /1/24 (1.7619) (2) valeur nominale x coefficient d indexation au 1//24(1,877) / face value x indexation coefficient at /1/24 (1.877) () valeur nominale x coefficient d indexation au 1//24(1,21) / face value x indexation coefficient at /1/24 (1.21) (4) y compris intérêts capitalisés au 1/12/2 / including coupons capitalized at 12/1/2 ; non offerte à la souscription / not open to subscription () valeur nominale x coefficient d indexation au 1//24 (1,24) / face value x indexation coefficient at /1/24 (1.24) (6) valeur actualisée au 28//24 / actualized value at /28/24 ; non offerte à la souscription / not open to subscription (7) valeur nominale x coefficient d indexation au 1//24 (1,716 / face value x indexation coefficient at /1/24 (1.716) 1 euro = 6,97 FRF dont encours CODE ISIN Libellé de l emprunt/ Encours/ démembrés/ Euroclear France Bond Outstanding Stripped bonds dont encours CODE ISIN Libellé de l emprunt/ Encours/ démembrés/ Euroclear France Bond Outstanding Stripped bonds FR1469 I OATi % 2 juillet 29 janv (1) (valeur nominale/face value) (9 4) FR161 I OATi % 2 juillet 29 fév (1) (valeur nominale/face value) (28 412) FR1681 I OATi % 2 juillet 29 mars (1) (valeur nominale/face value) (6 442) FR OAT 4% 2 octobre Échéance / Maturity FR1866 OAT,% 2 avril FR1872 OAT,% 2 octobre Échéance / Maturity FR771 OAT 6,% 2 avril FR OAT % 2 octobre Échéance / Maturity FR18828 OAT % 2 avril FR1881 I OAT i % 2 juillet (2) (valeur nominale/face value) ( ) FR18869 OAT 4,7% 2 octobre FR778 OAT 8,% 26 décembre Échéance / Maturity FR OAT 4% 2 avril FR OAT 4% 2 avril 21 mai FR18919 OAT 4% 2 avril 21 juin FR11 OAT 4% 2 avril 21 juil FR1942 OAT 4% 2 avril 21 août FR1889 I OATi 2,% 2 juillet () (valeur nominale/face value) ( ) FR1111 OAT 4% 2 octobre FR161 OAT 4% 2 octobre 21 nov FR16 OAT 4% 2 octobre 21 déc FR14716 OAT 4% 2 octobre 21 janv FR1649 OAT 4% 2 octobre 21 fév (8) valeur nominale x coefficient d indexation au 1//24 (1,182) / face value x indexation coefficient at /1/24 (1.182) OATi : OAT indexée sur l indice français des prix à la consommation (hors tabac) / OAT indexed on the French consumer prices 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 prices (excluding tobacco) TEC1 : taux de l échéance constante à 1 ans / yield of 1-year constant maturity Treasury dont encours CODE ISIN Libellé de l emprunt/ Encours/ démembrés/ Euroclear France Bond Outstanding Stripped bonds Échéance / Maturity FR OAT 4% 2 avril FR166 OAT 4% 2 avril 214 mars Échéance / Maturity FR18761 OAT % 2 octobre Échéance / Maturity FR18911 OAT 4,2% 2 avril FR7921 OAT 8,% 2 octobre FR794 C 9,82% 1 décembre (4) (valeur nominale/face value) ( ) Échéance / Maturity FR19 I OAT i 2,2% 2 juillet () (valeur nominale/face value) (4 17 ) Échéance / Maturity FR7144 OAT 8,2% 2 avril Échéance / Maturity FR718 OAT 8,% 2 avril Échéance / Maturity FR711 OAT 6% 2 octobre Échéance / Maturity FR71226 C OAT zéro coupon 28 mars (6) (valeur nominale/face value) ( ) Échéance / Maturity FR71218 OAT,% 2 avril FR18641 I OATi,4% 2 juillet (7) (valeur nominale/face value) ( ) Échéance / Maturity FR I OAT i,1% 2 juillet (8) (valeur nominale/face value) (6 144 ) FR1876 OAT,7% 2 octobre Total général EUR encours démembrés / stripped outstandings EUR en % des lignes démembrables 1,9 % as a % of strippable bonds Durée de vie moyenne des obligations : 8 ans et 128 jours Average maturity of OATs: 8 years and 128 days

8 BTAN au 1 mars 24 / Treasury notes at March 1, 24 CODE ISIN Libellé de l emprunt / Bond Euros Échéance / Maturity FR18227 BTAN,% 12 juillet Échéance / Maturity FR BTAN,% 12 janvier FR BTAN % 12 juillet Échéance / Maturity FR BTAN % 12 janvier FR BTAN 2,2% 12 mars FR1242 BTAN 4,% 12 juillet Échéance / Maturity FR18498 BTAN,7% 12 janvier FR BTAN 4,7% 12 juillet Échéance / Maturity FR BTAN,% 12 janvier FR BTAN % 12 juillet Échéance / Maturity FR BTAN,% 12 janvier Durée de vie moyenne des BTAN : 2 ans et 144 jours Average maturity of BTANs: 2 years and 144 days Total général EUR EUR BTF au 1 mars 24 / Treasury bills at March 1, 24 Échéance / Maturity Durée de vie moyenne des BTF : 118 jours Average maturity of BTFs: 118 days Euros BTF 1/4/ BTF 8/4/ BTF 1/4/ BTF 22/4/ BTF 29/4/ BTF 6//24 2 BTF 1// BTF 19// BTF 27// BTF /6/24 BTF 1/6/24 9 BTF 17/6/24 46 BTF 24/6/ BTF 8/7/ BTF 22/7/ BTF 19/8/ BTF 2/9/ BTF /9/ BTF 28/1/ BTF 2/11/ BTF 2/12/ BTF 2/1/ BTF 17/2/ BTF 17//2 941 Total général EUR Dette négociable de l État au 1 mars 24/French government negotiable debt, at March 1, 24 Durée de vie moyenne : 6 ans et jours Average maturity: 6 years and days Total général EUR Total outstanding Réserve de titres de la Caisse de la dette publique au 1 mars 24 Securities held in reserve by Caisse de la dette publique at March 1, 24 néant/void 1 euro = 6,97 FRF Source : Agence France Trésor 6

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