GDM Central Bank of Iceland Kalkofnsvegi Reykjavík Web: lanamal.is

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GDM Central Bank of Iceland Kalkofnsvegi 1 15 Reykjavík Web: lanamal.is E-mail: lanamal@lanamal.is Vol. 15 - No.

1 GDM Central Bank of Iceland Kalkofnsvegi 1 15 Reykjavík Web: lanamal.is lanamal@lanamal.is Vol No. 7 uly 1 Quarterly Government Debt Management Prospect, Q3/1 According to the Quarterly Government Debt Management Prospect for Q3/1, published on 3 une, the main emphases during the quarter will be as follows: Benchmark Treasury bonds will be sold in the amount of 5-15 b.kr. It is planned to issue Treasury bonds in the following series: , 5, and Issuance of Treasury bonds in conventional auctions during the year will take into account sales of RIKS in connection with Central Bank of Iceland foreign currency auctions. The total amount of accepted bids in each foreign currency auction is limited to m.kr. In the Government Debt Management Prospect for 1, it was announced that Treasury bonds would be issued in the amount of 5 b.kr. during the year. Issuance in the first two quarters totalled 3.8 b.kr. (market value), including 5.8 b.kr. in conventional auctions and 5 b.kr. in Central Bank of Iceland foreign currency auctions. Treasury bill auctions On 1 une, three- and six-month Treasury bills were auctioned in series RIKV and RIKV The auction was structured in the conventional manner, with the lowest accepted price (highest flat yield) determining the sale price. For the three-month bills, a total of 1 valid bids were submitted, in the nominal amount of,5 m.kr., and bids totalling,9 m.kr. were accepted at a price of (.15 flat interest). For the six-month bills, a total of six valid bids were submitted, in the nominal amount of 585 m.kr., and bids totalling 385 m.kr. were accepted at a price of (. flat interest). According to information from primary dealers, a diversified group of domestic investors bought all of the securities sold in the auction. Treasury bond auctions An auction was held on 6 une, and 5, was offered. The terms were conventional, with the lowest accepted price (highest accepted yield) determining the sale price for the auction. A total of eight valid bids were submitted for 1,3 m.kr. nominal value. In this instance, all bids were rejected. The auction scheduled for une was cancelled. Foreign currency auctions On une, the Central Bank of Iceland held a foreign currency auction in which it offered to purchase euros versus payment in bonds from the indexed Treasury series RIKS Bonds sold in the series had a total nominal value of 31.7 m.kr. The next auction is scheduled for September 1. Contents Benchmark issues, attributes Central government debt Investors Securities lending facility, redemtion profile and turnover Auction of Treasury bills Yield curves Yield for Treasury bonds Auctions of Nominal T-Bonds and T-Bills Auctions of Treasury Bonds Exchange rate developement State Guarantees Treasury bond issuance in Q/1 Bond series Amounts in b.kr. Maximum Treasury bond issuance as of 3 une 1 Regular auctions Bond series Amounts in b.kr. Actual Total 6 Foreign exchange auctions Bond series Amounts in b.kr. Actual New series Actual RIKS Total 5 Total issued for the year 31 Balance of Treasury guarantees At the end of May 1, the balance of Treasury guarantees was 1,33 b.kr. Further information on Treasury guarantees can be found on page 11. Change in public announcements of auctions On 3 une, Government Debt Management announced, following consultation with primary dealers, that it would announce auctions with at least one business day s notice instead of the previous notice of two business days. For example, an auction to be held on a Friday will be announced after the market close on Wednesday instead of on Tuesday, as was previously done. Information presented in this publication is from the Central Bank of Iceland and from other sources considered reliable. Cut-off date for information was the end of last month unless stated otherwise.

2 Contributors Audur Gustafsdottir Bjorgvin Sighvatsson David Sigurjonsson Hafsteinn Hafsteinsson Laufey B. Ómarsdottir Oddgeir Gunnarsson Editor Sturla Pálsson

3 Benchmark issues, attributes Domestic marketable debt Date of Maturity Type of Years to Issues ISIN issue (d.m.y) date Interest, bond Duration* maturity T - bills RIKV IS Bullet.. RIKV IS Bullet RIKV IS Bullet.1.1 RIKV IS Bullet.3.9 RIKV IS Bullet RIKV IS Bullet.7.6 Nominal T-bonds 15 8 IS Bullet IS Bullet IS Bullet IS Bullet IS Bullet IS Bullet IS Bullet RIKH IS Fl. rate Bullet.8.8 Inflation-linked T-bonds RIKS IS Zero coupon Bullet RIKS 1 1 IS Bullet RIKS 3 71 IS Bullet RIKS IS Bullet Average of benchmark series * Macaulay. Foreign marketable debt Date Maturity Type Years to Issues ISIN of issue date Interest, of bond Duration* maturity GBP an 16 GB Bullet USD un 16 USX36PDH Bullet USD May USX365AA Bullet EUR Euribor Mar 5 XS Euribor+75bp Amort Average of benchmark series * Macaulay. 3

4 Government debt Domestic central government debt in 3 une 1 Nominal Issue/ Inc. inflation Market of amount, beg. Inflation buybacks compensation, Years to value domestic Issues of month compensation nominal end of month maturity (m.isk) debt T-bills RIKV 1 616,75 -,75.. RIKV 1 715,3,3.,3. RIKV ,67 7, ,67.7 RIKV 1 915,76,9 6, ,93.7 RIKV RIKV ,75 3, ,691.3 RIKV Total 3,515 3, ,65. Nominal T-bonds 15 8,95,95.77, ,3 69,3.9 69, ,73 87, , ,93 15, , ,613 58, , ,63 87, , ,36 66, ,73 6. RIKH 18 19* 1,911 1, , Total 6,98 6, , Inflation-linked T-bonds RIKS ,8 15, , ,35. RIKS 1 1 6,93 1,6 7, , RIKS ,38 7,1 69, ,1 6.5 RIKS ,66, , , Total 167,58 35,, , Bond issued to Central Bank of Iceland ** 17, Other central government debt *** 55, Total domestic debt 1,73, * Capital contribution from the state to financial institutions. ** Change in terms from Indexed linked to nominal bond. *** Mostly government debt due to the National Power Company, (Landsvirkjun) and assumed gov. Guarantees. Foreign central government debt Issued nominal Remaining Nominal amount Years to Issues amount (millions) nominal amount ISK (m.kr.) maturity Foreign bonds GBP an , USD un 16 (MTN) 1, 1, 113, USD May 1, 1, 113, EUR Euribor Mar 5 (MTN) 3,99 5. Total 66,9.88 Foreign bilateral loans PLN Wibor Sept 63 7, EUR Euribor Dec 1 (DK) , EUR Euribor Dec 1 (FIN) 3 13, EUR Euribor Dec 1 (SWE) , Total 9, Total foreign debt 356,

5 Central government debt, total Changes in central government debt Nominal inc./ inflation compensation Weighted time to maturity Nominal debt 81, Inflation-linked debt 58, Foreign currency debt 356, Total 1,9, Total debt as percentage of GDP* 75.9 * GDP is from the latest edition of Monetary Bulletin published by Central bank of Iceland. B.kr Net debt Nominal incl./ inflation compensation On-lending and cash at the Central bank Nominal on - lending 3,611 Inflation-linked on - lending 1,61 Foreign currency on - lending 6, Cash ISK 73,18 Cash FX 39,58 Total 58,5 Net debt Nominal debt 738,73 Inflation-linked debt 156,59 Foreign currency debt -1,878 Net central government debt 881,5 Total net debt as percentage of GDP 6.8 Central Government total debt Central Government net debt (net of On-lending and current accounts) Total market value of benchmark issues Foreign marketable loans 18.6 Other domestic loans 15.9 Foreign unmarketable loans 6.3 Treasury Bills 1.7 Inflation-linked Treasury bonds 1. Nominal Treasury bonds 3. Government debt from -1 Average Time to Maturity Average time Foreign currency debt Nominal debt Inflation linked debt Total debt Domestic nominal debt Domestic indexed debt Foreign debt 5

6 Investors Owners of T-bonds and bills 3 une 1* Nominal value Total in m.kr RIKH 18 RIKS 1 RIKS 3 RIKS 33 Total bills Domestic investors Banks & Saving Banks 713 1,17 3,51 1,9,98 1,3 1, ,671, ,3 5 Banks undergoing winding-up proceedings 6,569,886 9,859 15,6 Miscellaneous credit untertakings 1 1 1,733 3,16 11,55 1,59 3,3 Mutual and inv. funds 1, , 7,13 9,39 5,567,555 1,75 19,7 9, ,6,85 Pension Funds ,35,5 31,5 69,6 57, ,86 39,357 5,187 39,8 Firms 1,839,8 9,,3 1,91 1,893 1,735 3,7,38 9 1,37 3,59,578 Households 86, ,87 1, , ,63 1,911 9 Other,5 3,93, ,73 5,7 717,87 86,16 7, Foreign investors 8,56 63,31 1,1,51 11,58,997 1,19,735 7,53 1,37 7,96 17, Total ,51 88,863 17,6 6,5 87,756 67,67 1,911 6,18 6,38 33, ,5 3,65 * Included securities lending from the issuer to the primary dealers. Owners of T-bonds 3 une 1* Owners of T-bills 3 une 1* 9, 8, Others. Foreign investors. 7, 6, 5,, Pension Funds 1.8 Mutual and inv. funds 1. Banks undergoing winding-up proceedings 66. 3,, Banks & Saving Banks 1.1 1, une uly Aug. Sept. Oct. Nov. Dec. an. Feb. Mar. April May une 13 1 Foreign investors Pension Funds Banks & Saving Banks Others Mutual- and investment funds Owners of marketable T-bonds and bills 3 une 1* Time to maturity of non-residents holdings in T-bond and -bills 3 une 1* 9, 5. 8, 7, 6,. 5,, ,, 1, RIKV RB 15 RB 16 RB 19 RB RB RB 5 RB 31 RS Foreign investors Banks & Saving Banks Others Pension Funds Mutual- and investment funds Banks undergoing winding-up proceedings Foreign holdings in T-bonds (left) Time to maturity of foreign holdings in T-bonds (right) * Information is based on the most recent data from the Icelandic Securities Depository and banks. 6

7 Securities lending facility, redemtion profile and turnover Average amount in the security lending facility of GDM at market value Outstanding amount in the securities lending facility by series at the end of last month 6, 5,, 3,, 1, une uly Aug. Sep. Oct. Nov. Dec. an. Feb. Mar. Apr. May une B.kr RIKS 1 1 Redemption profile of government debt Monthly trading volume in T-Bonds on NASDAQ OMX Iceland Exchange 5,, 15, 1, 5, Foreign debt Inflation-linked Treasury bonds T-bills and Nominal T-bond RIKH 18 Non-Marketable loans, 18, 16, 1, 1, 1, 8, 6,,, une uly Aug. Sept. Oct. Nov. Dec. an. Feb. Mar. Apr. May une RIKH RIKS 1 RIKS 3 Auction of Treasury bills Auction of 3 months T-bills Auction of 6 months T-bills 1,.6 1,.3 8,. 6, 3.7, 3., 3.1 5,.6,.3 3,., 3.7 1, 3. une uly Aug. Sept. Oct. Nov. Dec. an. Feb. Mar. Apr. May une une uly Aug. Sept. Oct. Nov. Dec. an. Feb. Mar. Apr May une 3.1 Accepted bids Rejected bids Accepted interest rate Accepted bids Rejected bids Accepted interest rate 7

8 Yield curves Yield curve inflation-linked T-bonds Yield curve Treasury bills and nominal T-bonds year 5 year 1 year 15 year year Iceland USA UK France Sweden year 5 year 1 year 15 year year Iceland US UK Germany Sweden Yield for Treasury bonds Yield for short term nominal T-bonds Yield for medium term nominal T-bonds A S 13 O N D F M A M A S O N D F M A M Yield for long term nominal T-bonds Yield for inflation linked T-bonds A S O N D F M A M A S O N D F M A M RIKS 1 1 8

9 Auctions of Treasury bonds and bills Auction in 1, in m.kr. Offers No. Acc. bids Non comp. Market Nominal No. of of acc. Market Nominal auction Total Date value value bids bids Yield value value nominal v. value Nominal T-Bonds ,7 1, ,675 6, , ,67 3, ,8,1, ,565 5, ,655,6, ,895 3, ,19 3,165 3, , 7, 7.6 6,71 6,5 6, ,699 1, ,399 1, 1 1, ,399 1, ,399 1, 1, ,3 8. Total 35,139 36,3 5,13, ,88 Indexed T-Bonds Indexed value..1 RIKS 33 31,666,117 Foreign exchange auction.8,666,117, RIKS Foreign exchange auction RIKS Foreign exchange auction Total 5,195,63 5,195,63 5,75 T-Bills RIKV ,61 3, ,168 3, RIKV 1 715,16, ,15, RIKV ,89 1, RIKV 1 815,578, ,11 3, RIKV ,6 3, ,1 3, RIKV ,1 3, ,699, RIKV , RIKV 1 115,67, RIKV 1 815,89, ,53, RIKV ,769 3, ,671 3, RIKV 1 915,97, ,185, RIKV Total 36,88 3,9 3,571 31,5 Total price 3,883 9

10 Auctions of Treasury bonds Latest auction results of Treasury bonds at market value Exchange rate developement Euro exchange rate versus 7 days collateralised lending rate 16, 1, 1, 1, 8, 6,,, RB RB RB RB RB RB RB RB RB RB RB RB RB RB RB RB RB RB RB uly Aug. Sept. N D February M A May Accept bids Unaccept bids Bid to cover ratio Kr A S O N D F M A M 13 1 Exchange rate - EUR (left) CB s 7 day collateralised lending rate (right) Next planned auction dates: Inflation premium nominal T-bonds 11 uly, 1 Auction of Treasury bills Primary dealers 3..5 Primary dealers in government securities Telephone Bloomberg. A S O N D F M A 13 1 M Islandsbanki +35 ISLA Arion banki KAUP MP banki MPBA Landsbankinn LAIS Straumur Difference 6 Yr. (RB /RS 1) 1 month changes VNV Difference 1 Yr. (RB 31/HFF 3) Nominal yield curves December March 1 3 une 1 1

11 State guarantees State guarantees 9 1 May Outstanding end of year Lending agencies 96, ,65 956, ,18 97,97 91,38 Housing Financing Fund 91,759 93,9 9,169 93,88 91, ,55 Regional Development Fund 1,11 1,153 1,565 16,993 17,38,586 Other Co-operative and Limited Partnerships 3,889 3,8 358,9 5,7 51,55 71,71 National Power Company 88,5 39,531 3,31 33,17 3,85 51,18 RARIK Ltd. (Iceland State Electricity),19,33,638,79 3,63 5, Farice 6,6 6,6 6,88 7,5 7,357 7,56 Isavia Ltd.,3,57,917 3,16 3,639 3,83 RUV Ltd. (National Broadcasting Service) 3,77 3, 3,79 3,553 3,685 3,9 Other Industries/Municipalities 3,666 3,76 3,96 5,357 5, 38,53 Commercial Banks 1,68 1,693 8, NIB - Nordic Investment Bank,889,956 3,11,855,79,813 Other ,9 State Guarantees total 1,33,6 1,6,9 1,319,619 1,17,5 1,18,6 1,11,618 State guarantees - government debt and GDP State guarantees - Maturity profile 1,6, 1,, 1,, 1,, 8, 6,,, Q1 Q Q3 Q 13 Q1 May , 8, 7, 6, 5,, 3,, 1, State guarantees (left) Government debt (left) State guarantees as of GDP (right) Currency ratio Currency ratio FX Interest rate type EUR 3.9 Fixed 8 PY. USD 1. ISK 78.9 PY.7 USD 68. Floating 16 EUR 6.5 Notes: Guarantees shown include accrued interest and indexation at the end of each period. Guarantees in foreign currency are shown at ask exchange rate. Numbers for 1 are preliminary. Numbers for the Housing Financing Fund are at nominal value and include accrued interest and indexation on securities issued, except for Housing Bonds, which are at market value. Included in the position of HFF-bonds are bonds reserved for security lending contracts with Primary Dealers. The Treasury redeemed the contingent liabilities of the Agricultural Lending Fund, Landsbanki hf and Glitnir hf as of the end of 1, amounting to.53 b. ISK. The Treasury redeemed the contingent liabilities of Kaupthing bank hf as of the end of 1, amounting to 1.5 b. ISK. The Statement of the Icelandic Government guaranteeing domestic deposits of Icelandic banks are not included here in government guarantees. 11

Market Information 9. Vol. - No. 4. April 2008

Market Information 9. Vol. - No. 4. April 2008 9. Vol. - No. 4. il 28 Auctions The second auction of Treasury note series RIKB 19 226 was held on ch 13, 28. Bids were solicited for up to 8, m.kr. nominal value. Bids that were accepted amounted to 2,35