DECEMBER 2013 No 14 / 2013

Transcription

1 DECEMBER 213 No 14 / 213 > The domestic money market volumes decreased in December, especially in the segment of the repo-deals; interest rate levels showed some increase at the end of the month. > The Euro with a high against the dollar in December. > The main index of the BSE-Sofia, SOFIX reached a 4.9% growth in December, approaching its levels of the end of 28.

2 DEBT MARKETS Benchmark yield curves in the euro area and annual yield (%) o/n 1w 1m 3m 12m bill instrument 3y 5y 7y 1y Benchmark yield curves in Bulgaria and annual yield (%) o/n 1w 1m 3m 12m bill instrument 3y 5y 7y 1y Bulgaria and euro area benchmark yield curves annual yield (%) Bulgaria euro area -1 o/n 1w 1m 3m 12m bill 3y 5y 7y 1y instrument Middle of Sofibid and Sofibor 2

3 Yields on EUR-denominated govt securities in Bulgaria and on the euro area curve annual yield (%) m 12m bill 2y 3y 4y 5y 6y 7y 8y 9y 1y 15y BG domestic BG global euro area instrument SOFIBOR and 3M T-bill issuance, January - December 213 (%) MONEY MARKET M SOFIBID 3M SOFIBOR 3M T-bill LEONIA BIR In December the interbank money market volume moved lower, returning to the levels from May. The fall was particularly visible in the repo-deals, while the sit lending remained with a minimal decrease. Plamen Petrunov (+359 2)

4 Interest rates inched higher at the end of the month, and the trade was traditionally concentrated mainly in the overnight maturity. 7 Interbank Money Market, volumes (BGN mln) July 213 August 213 September 213 October 213 November 213 December 213 sit deals repo deals The monthly volume of the domestic money market decreased, showing a fall by 24.2 per cent to BGN million. The sit deals volume decreased by 8.9 per cent to BGN million (almost the same as the volume in October), while the repo-deals volume dropped by more than Substantial decrease in BGN repo-deals volumes in December two times (by 62.9 per cent) to BGN million. The monthly volume of the euromoney market term transactions decreased by 11.4 per cent, and reached BGN million. In the sit lending deals (in all traded currencies: EUR, USD and GBP) the fall is by 1.5 per cent to The repo-deals remained with their minimum market share, showing significant decrease in volumes - by more in combination with a new drop in the total euromoney market turnover than 79 per cent to BGN 9.4 million Interbank Euromoney Market, volumes (BGN equivalent in mln) EUR EUR EUR USD USD USD Other Other Other October 213 November 213 December 213 October 213 November 213 December 213 October 213 November 213 December 213 sit deals repo deals 4

5 The banking system remained highly liquid. Тhe average daily excess reserves in December increased substantially and reached BGN 51.1 million, following BGN 4.7 million in November (excess reserves are here calculated taking into account a calendar month, and not the actual maintenance period from the 4 th of each month till the 3 rd of the next). There was two days in December with negative excess reserves for the system. The liquidity in the banking system remained substantial 1,4 1,2 excess reserves Interbank money market and excess reserves, December 213 (BGN mln) money market 1, Liquidity in the banking system is also influenced every month by: (1) monetary flows through government securities (bills and s of the Ministry of Finance), which in December resulted in a net outflow from banks of BGN million; and (2) pension transfers, which in December led to an increase in resources by BGN million. 5

6 3 Deposit Deals, December 213 (BGN mln) all sit deals unsecured of which overnight secured Interbank market: sit lending and repotransactions Deposit lending maintained a prevailing share in the interbank money market volume (sit lending and repodeals), as for December this share increased to 86.3 per cent of the interbank transactions, following 71.9 per cent in November - resulting mainly from the substantial drop in the repo-deals volume. Unsecured market In December term unsecured sit lending between market participants amounted to BGN million and 83.7 per cent of these (BGN 316. million) were overnight deals. This share decreased compared to November, where 89.3 per cent (BGN million) of the deals were overnight. 6

7 Maturity breakdown of the unsecured interbank trades 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % ` Dec'12 Feb'13 Apr'13 Jun'13 Aug'13 Oct'13 Dec'13 ON up to 1W above 1W up to 1M above 1M up to 3M above 3M 3 Unsecured Deposit Market, December 213 (BGN mln) overnight other Overnight Market Rates, December Effective overnight rate - unsecured sit deals SOFIBID ON SOFIBOR ON

8 The monthly average interest rate of the overnight unsecured sit lending in December remained without change at the level of.2%. The monthly average of the LEONIA, a reference rate based on the unsecured overnight sit lending by a panel of banks remained unchanged at a level of.2%. Hence the size of the BNB base interest rate for January 214 was set at.2%. LEONIA was moving in a wide range during the month (.1-.7%), as there were a noticeable increase at the end of the month, repeating the general interest rate movement of the interbank market. The rises were mainly due to the higher Euro interest rates in the Eurosystem at the end of the year, resulting also from longer overnight periods around Christmas and the New Year..25 LEONIA EONIA LEONIA / EONIA, December

9 The money market yield curve remained without significant changes The money market yield curve reflects the average value of SOFIBID and SOFIBOR ON SW 2W 3W Secured market 1M 2M 3M 4M 5M 6M 7M 8M 9M 1M 11M 12M There were no secured sit lending deals in December and the repo-deals share was 13.7 per cent of the total interbank money market transactions volume (BGN million). In November their share was 28.1 per cent (BGN million). BULGARIAN INTERBANK MONEY MONEY MARKET AND EUROMONEY MARKET DEALS BETWEEN BULGARIAN BANKS, DECEMBER 213 (in millions of the respective currencies) MARKETS: interbank money market euromoney market deals between Bulgarian banks deals in BGN deals in EUR deals in USD deals in other currencies value in equivalent in value in equivalent in value in equivalent in equivalent in equivalent in equivalent in millions of BGN millions of EUR millions of EUR millions of BGN millions of USD millions of BGN millions of EUR millions of BGN millions of EUR TYPES OF DEALS: unsecured sit deals secured sit deals repo of Bulgarian govt securities* outright purchases of short-term BGN Bulgarian govt securities outright purchases of long-term** BGN Bulgarian govt securities* outright purchases of long-term** forex Bulgarian govt securities* * at market value; for repos - only the security purchase (money lending) leg ** s of over 1 year in original maturity Source: BNB, from commercial banks' daily reports 9

10 1.2. Outright interbank purchases of securities on the secondary market On the interbank secondary market for government securities, the market value of the outright purchases of all maturities in December reached BGN million (minimal change compared to BGN million in November). 3 Outright deals in Bulgarian government securities, December 213 (BGN mln) BGN-denominated securities up to 12M forex-denominated securities BGN-denominated securities over 12M On the euromoney market in December the volume of outright purchases of government securities decreased and reached BGN 96.9 million, after BGN million in November. 1

11 2. CAPITAL MARKET The following primary auctions of government securities were carried out by the Bulgarian National Bank as an agent of the Ministry of Finance in December: Boris Malinchev (+359 2) on 2 December for a batch of issue BG (3Y government securities) with maturity date 3 January 216, to the amount of BGN 4 million and interest rate 1.5%; for participation in the auction were admitted orders to the amount of BGN ; the Ministry of Finance approved bids at the amount of BGN 71.4 million; - on 9 December for a batch of issue BG (7Y government securities) with maturity date 16 January 22, to the amount of EUR 2 million and interest rate 3.5%; for participation in the auction were admitted orders to the amount of EUR ; the Ministry of Finance approved bids at the amount of EUR 2 million; - on 14 December for a batch of issue BG (1Y6M government securities) with maturity date 9 July 223, to the amount of BGN 5 million and interest rate 4.%; for participation in the auction were admitted orders at the amount of BGN 8 39 ; the Ministry of Finance approved bids at the amount of BGN 5 million. The monthly secondary market stock-exchange turnover of corporate s marked a multiple increase in December, amounting to BGN 49.3 million (a daily average of BGN 2.9 million) after BGN 7.8 million in November. The main turnover was completed with the issue of NURTS Bulgaria AD (BGN 45 million). Out of stock exchange were concluded deals to the amount of BGN 19,3 million, for a consecutive month almost all of them with s of Starkom Holding AD Etropole. 11

12 1 BSE transactions with s, December 213 (date T; BGN mln) Bonds Segment Bonds / OTC The prices of EUR-denominated 217 globals went up to the 18% level. The USD-denominated 215 globals kept staying around the 18% mark. On the secondary market the price of the compensation instruments showed some fluctuations in December, starting from BGN.53 at the beginning, reaching BGN.58 in the middle and again BGN.53 at the month s end. The compensation instruments segment increased by 4% and was BGN 2.1 million (a daily average of BGN.12 million) compared with the BGN 1.5 million in November. In December the trade in units in DF Real Finans Balansiran Fond Varna amounted to BGN 3.1 million BSE transactions with compensatories, December 213 (date T; BGN thousand) Compens.instruments Segment compens.instruments / OTC privatis.segment (comp) 12

13 ASSET MARKETS. BG4 and SOFIX BG4 SOFIX (right scale) NET ASSETS: equity Real Estate Prices (BGN per sq. m.) 84 GROSS ASSETS: real estate (National Statistical Institute quarterly data) Gold (XAU/BGN) commodities forex FOREX (USD/BGN)

14 EQUITY CAPITAL (NET ASSETS) Boris Malinchev (+359 2) MARKETS Premium Equities Segment DEALING IN SECURITIES REGISTERED ON THE BSE-SOFIA : STOCK-EXCHANGE AND OTC TURNOVER (in millions of BGN) DECEMBER 213 MAIN MARKET ALTERNATIVE MARKET Standard Bonds Segment UCIT's Compensatio Structured Subscription Equities Equities Segment n Instruments Products Rights Segment Segment Segment Segment Segment Special Purpose Vehicles Segment municipal s corporate s Special Purpose Vehicles Segment Trade in equities not registered on the BSE- Sofia of public companies of nonpublic companies BSE deals of which: regular deals privatis. segment deals (cash) Privatis. Segm. (compensative)* Initial Public Offering Segment* OTC deals (purchases and sales, repo, tender purchases, redemption, registration etc.)** Source: BSE-Sofia daily reports * Not included in the above totals ** reported through BSE trading platform The Bulgarian Stock Exchange Sofia (BSE-Sofia) monthly turnover in December made a multifold increase amounting to BGN million (a daily average of BGN 12.1 million) after BGN 36.5 million in November. More significant turnover was completed with shares in Petrol AD (BGN 133 million), Monbat AD, Delta Kredit ADSIZ and Agro Finance ADSIZ. The turnover in deals concluded off-stock-exchange (reported through the stock-exchange platform) was BGN 52.7 million. More considerable deals were concluded with shares of TB Korporativna targovska banka AD, Investor BG AD and Delta Kredit ADSIZ BSE transactions with shares, December 213 (date T; BGN mln) AltM/SPV/OTC AltM/SPV AltM /Equities/OTC AltM/Equities priv atis.(bgn) SPV/OTC SPV Standard/OTC Standard Equities Premium/OTC Premium Equities

15 In December the main index of the equity prices of the Bulgarian stock exchange market SOFIX (an increase by 4.9%) showed for a consecutive month clearly expressed upward movement (with some fluctuations during the month), outrunning in general the pace of the German index DAX (an increase by 1.6%) and the Rumanian index BET (an increase by.9%). DAX, SOFIX and BET, December DAX BET SOFIX (right scale) BGTR3, BGREIT and CGIX in December 213 г BG REIT CGIX BGTR 3 15

16 Pension fund price indices, December 213 (1 July 24 BGN 1) VOLIDEX PROFIDEX UNIDEX Prices of the bank shares in Bulgaria, eurozone and emerging markets, January - December BG4 and the equity price index s of Bulgarian banks, listed on the BSE - Sofia, December BANKS BSE BANKS EMU BANKS EM BGBX4 (от ) BANKS BSE (right scale) 16

17 The index of the equity prices of the banks listed on the BSE- Sofia was stable during the month but continued slowing form the upward movement of the emerging market banks and the eurozone banks indices. There were no placements of shares or s on the IPO segment of the BSE-Sofia in December. 3. FOREIGN EXCHANGE MARKET The exchange rate of the euro against the dollar rose in early December, holding to levels reached at the end of the Lubomir Tonev (+359 2) Pavlina Babunova (+359 2) previous month. To this has contributed a better riskappetite on financial markets after better-than-expected news on the labour market in the U.S. and positive data about the decline of unemployment in Spain. On the last meeting for 213, the ECB left its main refinancing operations interest rate unchanged at the level of.25%, and the president of the institution said that the euro area monetary policy will remain unchanged for an indefinite period of time. In the middle of the month the dollar rose against other major currencies, and against the yen it reached nearly a 5-years peak after the FED's decision to cut the securities purchase programme by 1 billion to 75 billion monthly. The decline of the euro was influenced by the news that credit agency S & P reduced the credit rating of the EU by one notch from AAA to AA +. At the end of the month the single currency managed to advance against the dollar, reaching almost a two-years high after market participants adjusted their positions at the end of the year. During the last month of the year the exchange rate of the dollar against the lev continued its downward movement started by the end of November, almost to the middle of December. The maximum value against the lev, the dollar registered on 2.12, when the rate was BGN and the lev was strongest against the dollar on the penultimate working day of the year when the registered ratio was BGN for one dollar. The official average exchange 17

18 rate of the dollar against the lev in December was BGN , more than BGN.2 lower than the average rate for the previous month Daily BNB reference exchange rate for the USD, December 213 (BGN per USD 1) USD mln traded between banks sold to customers average rate for sales to customers Daily USD turnover and exchange rates of banks, December 213 SPOT bought from customers average rate for purchases from customers average interbank rate BGN per USD 1 18

19 The total turnover of the forex market (gross sum of all purchases and sales by reporting entities) in December was EUR 4 983,9 billion. For a consecutive month the total turnover decreased, compared to November the decrease was by about EUR 3 13,7 million. The average daily turnover in December was EUR 2 157,1 million and increased slightly, compared to the previous month. The decrease in turnover was realised in the largest segment of the foreign exchange market, the trade between the BNB and the banks. In the other two segments the trade between the banks and their customers and the interbank trade (without the participation of the central bank) the turnover increased. The trade between the BNB and the banks in December reached EUR 17 53,8 million. Compared to the previous month the turnover decreased by EUR 1 793,8 million. For a month in a row, the central bank was a net seller of exchanged currency to the banks with a negative balance of EUR 4, million. The BNB was a net buyer of foreign exchange in cashless transactions with budget organisations with a positive balance of EUR 84,9 million. In transactions at the counter with citizens and budgetary organisations, the BNB was a net seller of foreign currency for that month. Foreign exchange trading between banks, December 212 to December 213 (in mln of EUR) SPOT December-13 November-13 October-13 September-13 August-13 July-13 June-13 May-13 April-13 March-13 February-13 January-13 December

20 Monthly EUR trading between BNB and banks, December 212 to December 213(EUR mln)spot December-13 November-13 October-13 September-13 August-13 July-13 June-13 May-13 April-13 March-13 February-13 January-13 December bought from banks sold to banks net EUR exchange rate, December 213 (BGN per EUR 1) BNB interbank banks from customers banks to customers

21 4 Daily EUR turnover of banks, December 213 (EUR mln) SPOT traded between banks bought from customers sold to customers The interbank spot trading without the participation of the BNB in December increased, reaching EUR 27,3 million. In December the turnover between the banks and their final customers reached EUR 5 31,3million. The banks sold more foreign currency to their customers than they bought from them, and a negative balance was reached of EUR 164,8 million. 45 Foreign exchange trading of banks with customers - total, December 213 (in mln of EUR) SPOT bought from customers sold to customers net 21

22 2 Foreign exchange trading of banks with nonresidents, December 213 (in mln of EUR) SPOT bought from nonresidents sold to nonresidents net The financial institutions registered in the central bank under Art. 3, Para 2 of the Law on Credit Institutions and reporting daily to the BNB foreign currency trading against levs in the country increased their turnover in December, compared to the previous month. They bought foreign currency to the amount of EUR 81,8 million and sold foreign currency equal to EUR 87,9 million. Foreign exchange market December 213 SPOT (in mln of EUR) Purchases Sales Balance Interbank market (commercial banks) (Commercial) banks with customers of which: with nonresidents BNB total BNB with banks of which: *with banks - SPOT *with banks - TOM *with banks - TODAY *with banks - NOTES... BNB transactions with budgetary organisations BNB notes operations at counters Source: BNB, from banks and BNB s daily reports 22

23 Currency structure of forex trading for some participants, December 213 1% 9% 8% 7% 6% 5% 4% 3% 2% 1% % interbank (without BNB); 2-banks with customers; 3-forex trading of financial institutions Others USD EUR Forex swaps and forwards in EUR terms (estimate) FX swap and forward transactions - banks with final customers (in mln of EUR) Purchases Sales Balance December of which: with nonresidents FX structure (percentage) EUR Others Interbank FX swap and forward transactions banks (in mln of EUR) Purchases Sales Balance December FX structure (percentage) USD The figures for foreign exchange swap deals include both the sales of foreign currecies for BGN and the subsequent purchase operations. Source: BNB, from banks daily reports TENDENCIES Short-term expectations: the interbank money market to show a gradual decrease of the interest rate levels and relative upholding in the activity and the volumes; the SOFIX to move within the interval of points in January; USD/BGN to move within BGN in January. 23