CENTRAL GOVERNMENT DEBT INCLUDING ON-LENDING AND MONEY MARKET ASSETS

Transcription

1 29 August 214 CENTRAL GOVERNMENT DEBT from previous month Outstanding amount, A. Nominal amount, incl. money market assets Accrued inflation compensation Exchange rate effect B. Nominal amount at current exchange rate incl. money market assets and inflation compensation Assets on the money market, current exchange rate Official measure of the central government's gross debt: C. CENTRAL GOVERNMENT DEBT CENTRAL GOVERNMENT DEBT INCLUDING ONLENDING AND MONEY MARKET ASSETS from previous month Outstanding amount, Onlendning Money market assets D. CENTRAL GOVERNMENT DEBT INCLUDING ONLENDING AND MONEY MARKET ASSETS 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 shows the government debt when assets managed within debt 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 money market assets" (under D above). This includes not only the assets in debt 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 debt due to the government, but are not in the same manner as assets in money market available for the 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. 1

2 CAPITAL MARKET Bond SGB % 12 Aug 15 SGB 15 3% 12 Jul 16 SGB % 12 Aug 17 SGB % 12 Mar 19 SGB 147 5% 1 Dec 2 SGB % 1 Jun 22 SGB % 13 Nov 23 SGB % 12 May 25 SGB % 1 Jun 32 SGB % 3 Mar 39 Date of Issue Time to Duration Nominal amount, 1,, ,9 1, , 2, ,5 4, ,3 5, ,8 6, ,2 8, ,7 9, ,8 14, ,6 17, , 6, Inflationlinked bonds Bond SGB IL % 1 Dec 15 SGB IL 317.5% 1 Jun 17 SGB IL 312 4% 1 Dec 2 SGB IL % 1 Jun 22 SGB IL 319 1% 1 Jun 25 SGB IL % 1 Dec 28 Date of Issue Time to DurationInflation compensation Including inflation Nominal amount, compensation 1,3 1, ,8 2, ,3 5, ,8 7, ,8 1, ,3 11, ,4 7, Public bonds in foreign currencies Bond EUB.375% 18 May 15 EUB.375% 22 Dec 15 EUB,375% 29 Mar 16 EUB 1% 15 Nov 16 EUB.75% 12 Apr 17 EUB.875% 15 Aug 17 EUB 1% 27 Feb 18 EUB.625% 2 Feb 15 EUB,25% 27 Nov 16 EUB.13% 25 Jun 17 EUB.875% 31 Jan 18 EUB.75% 2 May 19 EUB AUD 5.75% 3 Mar 15 Date of Issue Time to Duration Foreign currencies Current exchange rate Nominal amount,,7, ,3 1, ,6 1, ,2 2, ,6 2, , 2, ,5, ,2 2, ,8 2, ,4 3, ,7 4, ,5, ,6 2, Other capital market debt Instrument Assigned inflationlinked bonds Assigned bonds EUB.25% 16 Oct 14 EUB.25% 13 Nov 14 EUB.25% 15 Jan 15 EU FRN 14 Mar 15 EUB 8.763% 1 Jun 15 Private placements, foreign currencies GBB GBP 9.75% 15 Sep 14 USB % 1 Jun 15 ESB 9.45% 28 Dec 26 Publ. bonds, for. currencies, smaller size SGB IL % 1 Dec 28 Time to Duration Inflation compensation Current exchange rate incl. infl. compensation Nominal amount, 1,3 1, ,3 1, ,1, ,2, ,4, ,5, ,8, ,3, ,, ,8, ,3 8, ,7 3, ,3 11, ,5, Sum: Capital market

3 MONEY MARKET Tbills Tbill Issue date Time to Duration STB 2 Aug 14 STB 17 Sep 14 STB 15 Oct 14 STB 19 Nov 14 STB 17 Dec 14 Nominal amount, ,1, ,1, ,2, ,3,3 1 35,2, Commercial paper Instrument Euro Commercial paper, Time to Duration Foreign currencies Current exchange rate Nominal amount,,1, ,1, instruments Instrument Bank accounts, foreign currencies Bank accounts, Deposits, Deposits, accounts Repos, Repos, Inflationlinked bonds Repos, Swedish government papers 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 21:2 1% 1 Nov 14 SLB 211:1 1.5% 8 Apr 15 SLB 29:2 1.6% 1 Nov 15 SLB 21:1 1.6% 6 Apr 16 SLB 212:1.8% 19 Apr 17 SLB 213:1.7% 16 Maj 18 SLB 213:2 1.% 13 Nov 18 SLB 214:1.8% 7 Maj ,2, ,6, ,2 1, ,6 1, ,6 2, ,7 3, ,2 4, ,7 4, ,7 1, National debt savings Form of account Nominal amount, National debt savings, inflationlinked National debt savings, nominal Sum: Retail market ALL MARKETS INCL. MONEY MARKET ASSETS Nominal amount Sum of nominal amounts. Under A on page

4 APPENDICE Different debt classes, including onlending and money market assets Debt class Nominal amount Current exchange rate and Time to Duration Share inflation compensation Inflationlinked debt Nominal krona debt ,62,14 17, ,4 7,16 18, ,43 4,8 63, ,73 4,1 1, Nominal debt, including money market assets 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 Assigned inflationlinked bonds SGB IL % 1 Dec , incl. onlendning and money market assets Instrument Nominal amount, Exchange rate effects, Foreign curr. debt, Public bonds, foreign currencies Swaps between and foreign currencies Commercial paper, 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 Other captal market debt Capital market Tbills Commercial paper, foreign currencies 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 E. Market Andel Löptid Duration Statsskuld Andel belopp amount exchange kurser rate % year year ment debt vidareutlå lending % value rde ,2 7, 6, , ,6 7,4 7, , ,5 2,6 2, , ,3,5, , ,5 6, 5, , ,5,2, , ,2,1, , ,3,, , ,5,, , ,5,1, , ,2 1,7 1, , ,1 1,4 1, , ,4 1,6 1, , ,4 28, , , 51,3, ,4 37, , , , , 4,7 3, , D. Central government debt including onlending and money market assets, mn Inflationlinked bonds Public bonds, foreign currencies Tbills Commercial papeer Retail market Other captal market debt Foreign exchange derivates Onlending Central government debt and Debt including onlending and money market assets, bn C. Central government debt D. Debt including onlending

6 Capital market maturities, current exchange rate incl. inflation compensation, bn on capital markets including swaps, current exchange rates, bn Bonds, for. currencies Inflationlinked bonds Cross currency swaps between and other currencies Bonds in foreign currencies , nominal, bn , Inflationlinked bonds, nominal, bn ,5 53,2 62, 63,3 62,1 61,5 45,3 43, , ,3 28, 28, , , % 12 Aug % 12 Jul % 12 Aug % 12 Mar % 1 Dec % 1 Jun % 13 Nov % 12 May % 1 Jun % 3 Mar % 1 Jun % 1 Dec % 1 Dec % 1 Jun % 1 Jun % 1 Dec 28 Foreign currency exposure including onlending, % Currency exposure in the foreign currency debt, including onlending, % Financing of the foreign currency debt, including onlending, % 82,5% 44,6% 54,6% 7,8% CHF 2,3% CHF 3,6% JPY 15,7% 22,8% JPY 2,7% 1,6% 9,3% 22,3% GBP,9% GBP 5,3% CAD,8% CAD 4,8% GBP,2% % 5% % 2% 4% % 2% 4% 6% Note: Financing in refers to debt combined with swaps or currency forwards to obtain foreign currency exposure. 6

7 Maturities for the total debt, current exchange rate incl. money market assets, bn Publ. bonds, euro and dollar, curr. exchange rate, bn Onlending 13,8 15, , 7, 2,9 9,2 13, ,6 1,5 36,7 2,9 2 Feb May Dec Mar Nov Nov Apr Jun Aug Jan Feb 18 Publ. bonds in foreign currencies, bn in resp. currency 4,5 4, 3, 2,5 2, 1,5 1,,5, 1,5 2 Feb ,3 F. Tbills E., CP and D. Retail market C. Bonds in foreign currencies B. Inflationlinked government bonds A. 1, 1, 3, 1, 18 May Dec Mar Nov Nov 16 2,,5 1,5 4, 3, 12 Apr Jun Aug Jan Feb 18 Institution Nominal amount Current exchange rate Onlending to Irland Onlending to the Riksbank, capital market Onlending to the Riksbank, money 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 14 Total Nominal debt Inflationlinked debt C. Central gov. debt LA D.Incl. onlending LA C. Central gov. debt, % RA 1 4 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 Commercial paper A. Nominellt belopp Procent Per Exkl. Exluding vidareutlåning onlending Procent Per Vidareutlåning Onlending , , , , , , , , , , , , , ,6 68, 68, , , , , , , , , , , , , , , Foreign holdings of central government securities etc., per cent respective bn Estimated total holdings Tbills Bonds in for. currencies, estimated Bonds, Estimated sum securities Bonds, for. currencies, estimated Tbills % 1 bn Note: Figures for bonds in foreign currencies before 27 and liquidity management instruments as well as collateral are estimated. Source: Statistics Sweden and Riksgälden, inflationlinked government bonds and bonds in foreign currencies Instrument Bonds Series Currency ISINnumber ISIN US 144A Coupon Issue date Maturity date Initial time Volume rate Instrument Lån Serie Val ISINnummer ISIN US 144A Kupon Utgivningsdag Förfallodag Public bonds, foreign currencies Private placements, foreign currencies Inflationlinked bonds USB % 1 Jun 15 GBB GBP 9.75% 15 Sep 14 ESB 9.45% 28 Dec 26 EUB AUD 5.75% 3 Mar 15 EUB.625% 2 Feb 15 EUB.375% 18 May 15 EUB.375% 22 Dec 15 EUB.875% 31 Jan 18 EUB 1% 27 Feb 18 EUB,375% 29 Mar 16 EUB 1% 15 Nov 16 EUB,25% 27 Nov 16 EUB.75% 12 Apr 17 EUB.75% 2 May 19 EUB.875% 15 Aug 17 EUB.13% 25 Jun 17 EUB 8.763% 1 Jun 15 EU FRN 14 Mar 15 EUB.25% 16 Oct 14 EUB.25% 13 Nov 14 EUB.25% 15 Jan 15 SGB IL 312 4% 1 Dec 2 SGB IL % 1 Dec 28 SGB IL % 1 Dec 28 SGB IL % 1 Dec 15 SGB IL 317.5% 1 Jun 17 SGB IL % 1 Jun 22 SGB IL 319 1% 1 Jun 25 SGB 147 5% 1 Dec 2 SGB % 12 Aug 15 SGB 15 3% 12 Jul 16 SGB % 12 Aug 17 SGB % 12 Mar 19 SGB % 3 Mar 39 SGB % 1 Jun 22 SGB % 1 Jun 32 SGB % 13 Nov 23 SGB % 12 May GBP AUD US872CA83 GB ES XS XS XS XS XS XS XS XS XS XS XS XS XS XS XS XS XS SE SE SE SE SE SE SE57355 SE SE SE SE SE SE SE SE SE SE US872DAB1 US872DAC83 XS US872DAF15 US872DAG97 US872DAL82 US872DAM65 US872DAN49 US872DAH7 US872DAJ37 US872DAKJ 11,125 9,75 9,45 5,75,625,375,375,875 1,375 1,25,75,75,875,13 8,763 Floating,25,25,25 4,5, ,5 3 3,75 4,25 2,25 1,5 2, to Denomineringsva resp. currency 3, , , , 2 3, 1 5 3, ,1 1 5, 4 5, 3 3, 1 3,2 3 3, 1 3,1 2 5, , , 5 2, , 1 1, , , , , , , , , , , , , , , , , , ,

10 DEBT SHARES AND TIME TO MATURITY AS MEASURED IN STEERING OF 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 is measured by average interest rate refixing period (IRP) for all cash flows including expected inflation compensation. Weighting is made without discounting. The measure for the nominal krona debt does not include bonds with maturities longer than twelve years. The measure is the same as duration with zero interest rate. The calculation of shares is based on all weighted cash flows including expected inflation compensation. Positions in the active management are not included in the calculations. In contrast, assets in liquidity management, payment of collateral and onlending are included. The table shows the cash flows, shares and the interest rate refixing period as calculated in the steering of the national debt. In addition, conventional estimates of nominal debt at foreign exchange rates, shares and duration, but based on the same selection of instruments and maturities. Total cash flows incl. onlending, shares and interest rate refixing period Nominal amount Shares Duration Cash flows Shares IRP incl. onlending monthly average monthly average Inflationlinked krona debt Nominal krona debt ,5, ,, ,8 7, ,7 7, ,6 4, ,2 2, , 4, , 8 Interest rate refixing period as calculated in the internal steering of risk, monthly average Target Nominal debt, LA Nominal debt, LA Inflationlinked debt RA 5 4, , Share of debt as calculated in the internal steering of risk, monthly average Target value foreign curr. debt Target value for Inflationlinked debt Inflationlinked debt The targets (Interest rate refixing period) are from 1 January 212 Nominal debt shorter than 12 years, within the interval: 2,73,2 years Inflationlinked debt, within the interval: 71 years :,125 years The targets for the debt shares are: Nominal debt: 6 % from 1 January 29 Inflationlinked debt: 25 % from 1 January 27 : 15 % (±2 percentage points) from 1 January 29 1