GOVERNMENT SECURITIES MARKET - AKK · 3 Government securities market MONTHLY REPORT GOVERNMENT...
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1 Government securities market MONTHLY REPORT GOVERNMENT SECURITIES MARKET 2015 2016 Change (HUF billion) December % January % HUF billion % HUF denominated debt 16,207.9 65.6% 16,649.8 66.1% 441.9 2.7% Loans 694.1 2.8% 736.6 2.9% 42.5 6.1% Government bonds 11,094.9 44.9% 11,001.9 43.7% -93.0 -0.8% Retail securities 3,517.4 14.2% 3,707.0 14.7% 189.6 5.4% Discount treasury bills 901.6 3.7% 1,204.2 4.8% 302.7 33.6% Foreign exchange denominated debt 7,735.8 31.3% 7,727.1 30.7% -8.7 -0.1% Total 23,943.7 96.9% 24,376.9 96.8% 433.2 1.8% Other obligations 756.0 3.1% 803.4 3.2% 47.4 6.3% Total central government debt 24,699.7 100.0% 25,180.3 100.0% 480.6 1.9% Maturity 30.11.2015 30.12.2015 29.01.2016 Change in December basis point 3-month 0.79 0.80 0.93 13 6-month 0.8 0.87 0.95 8 1-year 0.95 0.93 0.96 3 3-year 1.91 2.11 1.93 -18 5-year 2.47 2.55 2.44 -11 10-year 3.29 3.33 3.48 15 15-year 3.87 3.88 3.71 -17 BENCHMARK YIELDS The net issuance was HUF 450.6 billion; out of which net HUF-denominated issuance was HUF 441.9 billion and net foreign currency denominated issuance was HUF 8.7 billion in 2016. The HUF denominated debt of the central government increased by HUF 441.9 billion in 2016. The increase in domestic debt was the result of net government bond redemption of HUF 84.0 billion, the amount of discount Treasury bills increased by HUF 302.7 billion and the total amount of retail government securities increased by HUF 189.6 billion. The stock of non-marketable government bonds decreased by HUF 9.0 billion. The volume of HUF loans increased by HUF 42.5 billion in 2016. The foreign currency debt of the central government decreased by HUF 8.7 billion in 2016. The domestic P€MAK and residence bond issuance was HUF 9.4 billion, while the redemptions of foreign currency debt worth HUF 0.7 billion decreased the debt. The exchange rate revaluations totalling HUF 17.4 billion decreased the Hungarian Forint value of the foreign currency debt in January. The total amount of other liabilities increased by HUF 47.4 billion in 2016. Monthly OTC turnover of government securities decreased to HUF 3,458.7 billion in January. Primary dealers, who account for the decisive part of all secondary government securities trading, made 79% of their secondary government securities deals with non-resident investors. The volume of non-residents’ holdings of Hungarian government securities decreased altogether by HUF 61.8 billion in January and amounted to HUF 3,834.3 billion at the end of the month. This volume represented 24.1% of the total amount of domestic government securities. The EUR/HUF exchange rate according to the National Bank of Hungary was 312.42 on the last working day of January. The credit rating of the long-term foreign currency debt of Hungary is as follows on the last working day of January: BB+(Standard & Poor’s); Ba1 (Moody’s); BB+ (Fitch). MONTHLY REPORT JANUARY 2016
Transcript of GOVERNMENT SECURITIES MARKET - AKK · 3 Government securities market MONTHLY REPORT GOVERNMENT...
1 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKET
2015 2016 Change
(HUF billion) December % January % HUF billion %
HUF denominated debt 16,207.9 65.6% 16,649.8 66.1% 441.9 2.7%
Loans 694.1 2.8% 736.6 2.9% 42.5 6.1%
Government bonds 11,094.9 44.9% 11,001.9 43.7% -93.0 -0.8%
Retail securities 3,517.4 14.2% 3,707.0 14.7% 189.6 5.4%
Discount treasury bills 901.6 3.7% 1,204.2 4.8% 302.7 33.6%
Foreign exchange denominated debt 7,735.8 31.3% 7,727.1 30.7% -8.7 -0.1%
Total 23,943.7 96.9% 24,376.9 96.8% 433.2 1.8%
Other obligations 756.0 3.1% 803.4 3.2% 47.4 6.3%
Total central government debt 24,699.7 100.0% 25,180.3 100.0% 480.6 1.9%
Maturity 30.11.2015 30.12.2015 29.01.2016 Change in December basis point
3-month 0.79 0.80 0.93 13
6-month 0.8 0.87 0.95 8
1-year 0.95 0.93 0.96 3
3-year 1.91 2.11 1.93 -18
5-year 2.47 2.55 2.44 -11
10-year 3.29 3.33 3.48 15
15-year 3.87 3.88 3.71 -17
BENCHMARK YIELDS
The net issuance was HUF 450.6 billion; out of which net HUF-denominated issuance was HUF 441.9 billion and net foreign currency denominated issuance was HUF 8.7 billion in 2016.
The HUF denominated debt of the central government increased by HUF 441.9 billion in 2016. The increase in domestic debt was the result of net government bond redemption of HUF 84.0 billion, the amount of discount Treasury bills increased by HUF 302.7 billion and the total amount of retail government securities increased by HUF 189.6 billion. The stock of non-marketable government bonds decreased by HUF 9.0 billion. The volume of HUF loans increased by HUF 42.5 billion in 2016.
The foreign currency debt of the central government decreased by HUF 8.7 billion in 2016. The domestic P€MAK and residence bond issuance was HUF 9.4 billion, while the redemptions of foreign currency debt worth HUF 0.7 billion decreased the debt. The exchange rate revaluations totalling HUF 17.4 billion decreased the Hungarian Forint value of the foreign currency debt in January. The total amount of other liabilities increased by HUF 47.4 billion in 2016.
Monthly OTC turnover of government securities decreased to HUF 3,458.7 billion in January. Primary dealers, who account for the decisive part of all secondary government securities trading, made 79% of their secondary government securities deals with non-resident investors.
The volume of non-residents’ holdings of Hungarian government securities decreased altogether by HUF 61.8 billion in January and amounted to HUF 3,834.3 billion at the end of the month. This volume represented 24.1% of the total amount of domestic government securities.
The EUR/HUF exchange rate according to the National Bank of Hungary was 312.42 on the last working day of January.
The credit rating of the long-term foreign currency debt of Hungary is as follows on the last working day of January: BB+(Standard & Poor’s); Ba1 (Moody’s); BB+ (Fitch).
MONTHLY REPORT JANUARY 2016
2 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKETCENTRAL GOVERNMENT GROSS DEBT HUF BILLION
2010 2011 2012 2013 2014 2015November
2015December
2016January
1. Forint denominated debt 10,978.2 10,362.2 12,042.4 12,976.4 14,612.0 16,372.2 16,207.9 16,649.81.1. Loans 540.8 590.8 566.8 603.6 623.3 697.1 694.1 736.61.2. Government securities 10,437.4 9,771.4 11,475.6 12,372.8 13,988.7 15,675.1 15,513.8 15,913.2 1.2.1. Public issues 10,019.6 9,368.1 11,077.1 12,182.3 13,847.7 15,536.6 15,462.3 15,870.7 1.2.1.1. Bonds 7,965.8 7,353.4 8,184.1 8,588.8 9,848.0 10,965.4 11,043.4 10,959.4 1.2.1.2. Discount T-bills 1,618.2 1,540.9 1,906.5 1,904.9 1,588.6 1,234.9 901.6 1,204.2 1.2.1.3. Retail securities 435.7 473.8 986.6 1,688.5 2,411.1 3,336.3 3,517.4 3,707.0 1.2.2. Private placements 417.8 403.2 398.5 190.5 141.0 138.5 51.5 42.52. Foreign currency denominated debt* 8,842.8 10,170.4 8,326.6 8,904.9 8,957.9 8,219.2 7,735.8 7,727.12.1. Loans 4,292.8 4,458.1 3,312.5 2,735.6 2,164.3 1,719.7 1,696.8 1,692.3 2.1.1. Foreign loans 4,292.8 4,337.9 3,229.0 2,400.2 1,889.9 1,636.3 1,614.2 1,610.0 2.1.2. Domestic loans 3,526.9 0.0 83.5 335.4 274.4 83.3 82.6 82.32.2. Government securities 4,550.0 5,712.3 5,014.1 6,169.3 6,793.6 6,499.5 6,039.0 6,034.9 2.2.1. Issued abroad 4,550.0 5,712.3 4,924.2 5,736.9 5,844.6 5,385.1 5,198.9 5,187.4 2.2.2. Issued domestically 0.0 0.0 89.9 432.5 948.9 1,114.4 840.1 847.5Total 19,821.0 20,532.6 20,369.0 21,881.4 23,569.9 24,591.4 23,943.7 24,376.9Other liabilities 220.01 422.89 351.10 117.30 311.20 913.70 756.00 803.40Total central government debt 20,041.0 20,955.5 20,720.1 21,998.6 23,881.1 25,505.1 24,699.7 25,180.3Marketable HUF debt (1.2.1.1+1.2.1.2+1.2.2) 10,001.8 9,297.6 10,489.1 10,684.2 11,577.6 12,338.8 11,996.5 12,206.1Gross debt/GDP 74.4% 74.7% 72.6% 73.7% 74.9%*Foreign exchange debt is recorded at the mid exchange rate of the NBH at the end of the year/month.
10-year Hungarian and eurozone benchmark yields
Benchmark yields
The exchange rate of the Hungarian Forint
Benchmark yield curves
0.0
0.5
1.0
1.5
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10-year Hungarian sovereign benchmark yield10-year euro benchmark yield10-year Hungarian sovereign yield spread
Perc
ent
280
285
290
295
300
305
310
315
320
02.1
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25.0
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HUF/EUR exchange rate HUF/USD exchange rate
0.0
0.5
1.0
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2.0
2.5
3.0
3.5
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3-month 1-year
3-year 10-year
Perc
ent
0.5
1.0
1.5
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2.5
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0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Maturity in years
30.12.2015 29.01.2016
Perc
ent
3 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKETDISCOUNT TREASURY BILL AUCTION RESULTS
Liuquidity Discount T-bills
3-month Discount T-bills
12-month Discount T-bills
Code of T-bills D160224 D160224 D160413 D160420 D160427 D160504 D161228 D161228ISIN code HU0000520770 HU0000520770 HU0000520572 HU0000520861 HU0000520879 HU0000520887 HU0000520853 HU0000520853
Maturity in days 49 42 91 91 91 91 343 329Date of auction 04.01.2016 11.01.2016 05.01.2016 12.01.2016 19.01.2016 26.01.2016 14.01.2016 28.01.2016Date of financial settlement 06.01.2016 13.01.2016 13.01.2016 20.01.2016 27.01.2016 03.02.2016 20.01.2016 03.02.2016Redemption date 24.02.2016 24.02.2016 13.04.2016 20.04.2016 27.04.2016 04.05.2016 28.12.2016 28.12.2016Maximum yield (%) - ISMA 1.30 1.20 1.17 1.13 0.95 1.04 0.96 1.05Minimum yield (%) - ISMA 0.98 1.15 1.03 1.04 0.82 0.89 0.85 0.94Average yield (%) - ISMA 1.27 1.18 1.13 1.10 0.93 0.98 0.93 1.00Maximum yield (%) - EHM 1.32 1.22 1.19 1.15 0.96 1.05 0.97 1.06Minimum yield (%) - EHM 0.99 1.17 1.04 1.05 0.83 0.90 0.86 0.95Average yield (%) - EHM 1.29 1.20 1.15 1.12 0.94 0.99 0.94 1.01Average selling price (%) 99.8274 99.8625 99.7152 99.7227 99.7655 99.7529 99.1217 99.0944Amount offered for sale (HUF million) 40,000.00 40,000.00 40,000.00 40,000.00 40,000.00 40,000.00 40,000.00 40,000.00 Amount of bids submitted (HUF million) 143,672.00 155,780.00 101,454.00 124,790.00 93,790.00 48,900.00 100,040.00 48,670.00 Amount of bids accepted (HUF million) 48,999.96 54,999.98 43,999.97 47,999.92 45,999.93 34,999.98 49,999.95 39,999.97 Bid-to-cover ratio 2.93 2.83 2.31 2.60 2.04 1.40 2.00 1.22 Bids submitted (pcs) 115.00 107.00 121.00 126.00 126.00 74.00 122.00 78.00 Bids accepted (pcs) 50.00 45.00 60.00 62.00 65.00 66.00 94.00 69.00 Market sales* (HUF million) 48,999.96 54,999.98 43,999.97 47,999.92 45,999.93 34,999.98 49,999.95 39,999.97 Retained on ÁKK’s own account (HUF mil- 0.04 0.02 13,200.03 14,400.08 13,800.07 10,500.02 50,000.05 12,000.03 Total amount issued (HUF million) 49,000.00 55,000.00 57,200.00 62,400.00 59,800.00 45,500.00 100,000.00 52,000.00
* Without issuance onto ÁKK’s own account
3-month Discount Treasury Bill and Liquidity Discount Treasury Bill auctions
12-month Discount Treasury Bill auctions
0.30.40.50.60.70.80.91.01.11.21.31.41.51.61.71.8
0
20
40
60
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.2015
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.2016
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.2016
%
Bids submitted Accepted amount Average yield
HUF
billio
n
0.30.40.50.60.70.80.91.01.11.21.31.41.51.61.71.81.92.0
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Bids submitted Accepted amount Average yield
HUF
billio
n
4 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKET
Government Bond 2019/C 2021/B 2027/A 2019/D 2019/C 2021/B 2027/A 2021/A
ISIN code HU0000403092 HU0000403100 HU0000403118 HU0000403126 HU0000403092 HU0000403100 HU0000403118 HU0000402995Maturity (in years) 3 5 10 3 3 5 10 5Coupon (%) 2.00% 2.50% 3.00% 1.35% 2.00% 2.50% 3.00% 1.35%Auction 1. auction 1. auction 1. auction 1. auction 2. auction 2. auction 2. auction 12.auctionDate of auction 07.01.2016 07.01.2016 07.01.2016 14.01.2016 21.01.2016 21.01.2016 21.01.2016 28.01.2016Date of financial settlement 13.01.2016 13.01.2016 13.01.2016 20.01.2016 27.01.2016 27.01.2016 27.01.2016 03.02.2016Redemption date 30.10.2019 27.10.2021 27.10.2027 28.08.2019 30.10.2019 27.10.2021 27.10.2027 23.06.2021Maximum annual yield (%) - ISMA 2.51 2.86 3.54 2.32 2.77 3.64Minimum annual yield (%) - ISMA 2.44 2.79 3.48 2.27 2.70 3.55Average annual yield (%) - ISMA 2.47 2.83 3.52 2.30 2.74 3.60Maximum annual yield (%) - EHM 2.51 2.86 3.54 2.32 2.77 3.64Minimum annual yield (%) - EHM 2.44 2.79 3.48 2.27 2.70 3.55Average annual yield (%) - EHM 2.47 2.83 3.51 2.30 2.74 3.60Maximum price (%) 98.4271 98.4782 95.4308 99.7100 99.0407 98.9552 94.7965 98.6600Minimum price (%) 98.1794 98.1133 94.8767 99.4000 98.8640 98.5903 93.9756 98.2500Average price (%) 98.3038 98.2701 95.0867 99.5500 98.9293 98.7452 94.3396 98.4400Amount offered for sale (HUF million) 20,000.00 20,000.00 12,000.00 10,000.00 20,000.00 20,000.00 10,000.00 8,000.00Amount of bids submitted (HUF million) 37,650.00 38,400.00 24,670.00 23,400.00 75,935.00 37,395.00 15,595.00 11,700.00Amount of bids accepted (HUF million) 19,999.99 20,000.00 12,999.99 9,999.99 30,000.00 24,999.97 9,999.99 7,999.99Bid-to-cover ratio 1.88 1.92 1.90 2.34 2.53 1.50 1.56 1.46Bids submitted (pcs) 52 50 49 48 73 54 44 18Bids accepted (pcs) 24 24 30 18 31 30 35 13Tail (average price - minimum price) 0.12 0.16 0.21 0.15 0,07 0.15 0.36 0.19Market sales (HUF million) 19,999.99 20,000.00 12,999.99 9,999.99 30,000.00 24,999.97 9,999.99 7,999.99Non-competitive offer (HUF million) 20,000.01 20,000.00 13,000.01 10,000.01 30,000.00 25,000.03 10,000.01 3,200.01Total amount sales (HUF million) 40,000.00 40,000.00 26,000.00 20,000.00 60,000.00 50,000.00 20,000.00 11,200.00
3-year government bond auctions
GOVERNMENT BOND AUCTION RESULTS
10-year government bond
5-year government bond auctions
15-year government bond auctions
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%
Bids submitted Accepted amount Average yield
HUF
billio
n
2.0
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0
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40
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2015
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2015
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2015
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2015
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2015
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Bids submitted Accepted amount Average yield
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%
Bids submitted Accepted amount Average yield
HUF
billio
n
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40
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2015
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2015
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2015
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2015
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2015
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2015
19.0
8.20
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9.20
1501
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2015
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12.1
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1526
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2015
10.1
2.20
1507
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2016
21.0
1.20
16
%
Bids submitted Accepted amount Average yield
HUF
billio
n
5 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKET
Government bond Date of interest rate reset Interest period Date of interest
paymentReset interest
rate (%)Interest payable
(%)
2018/D 21.01.2016 24.01.2016 24.04.2016 25.04.2016 1.35% 0.34%2033/S 29.01.2016 01.02.2016 01.02.2017 01.02.2017 3.00% 3.00%2034/S 29.01.2016 01.02.2016 01.02.2017 01.02.2017 3.00% 3.00%2035/S 29.01.2016 01.02.2016 01.02.2017 01.02.2017 3.00% 3.00%
INTEREST RATE RESETS OF FLOATING RATE GOVERNMENT BONDS IN JANUARY 2016
Retail securitiesHUF billion Change
31.12.2015 31.01.2016 HUF billion
1-year Interest Bearing 1,816.0 1,914.2 98.26-month Interest Bearing 81.0 126.8 45.8Treasury Saving Bills 403.4 409.2 5.7PGB, BGB 1,198.3 1,237.4 39.1Babybond 18.6 19.4 0.7Total 3,517.3 3,707.0 189.6
OUTSTANDING AMOUNT OF RETAIL SECURITIES
Outstanding amount of retail securities during the last year
Non-residents’ holdings of Hungarian government securities during the last year and the MAX index
0
250
500
750
1000
1250
1500
1750
2000
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2500
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3750
Janu
ary
201
5
Feb
ruar
y
Mar
ch
Ap
ril
May
June
July
Aug
ust
Sep
tem
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Oct
ob
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No
vem
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Dec
emb
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Janu
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2016
HU
F b
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n
1-year Interest Bearing Treasury Bill 6-month Interest Bearing Treasury BillTreasury Saving Bills PGB, BGBBabybond
520
530
540
550
560
570
580
590
600
610
620
630
640
650
660
670
3600
3800
4000
4200
4400
4600
4800
5000
5200
5400
05.0
1.20
15
03.0
2.20
15
05.0
3.20
15
07.0
4.20
15
08.0
5.20
15
10.0
6.20
15
10.0
7.20
15
10.0
8.20
15
11.0
9.20
15
13.1
0.20
15
13.1
1.20
15
14.1
2.20
15
18.0
1.20
16
Non-residents' holdings (LHS)
MAX Composite index (RHS)
poin
ts
HU
F b
illio
n
6 Government securities market MONTHLY REPORT
GOVERNMENT SECURITIES MARKET
Government bonds with the highest secondary market turnover in January 2016
Government bond Date of redemption Turnover (HUF billion)
2018/B 25.04.2018 676.62025/B 24.06.2025 386.12018/C 22.06.2018 344.22022/A 24.06.2022 329.62017/A 24.11.2017 321.82019/A 24.06.2019 311.82020/B 24.06.2020 284.32023/A 24.11.2023 251.02020/A 12.11.2020 157.62018/A 20.12.2018 149.5
Government bondHUF billion
31.12.2015 31.01.2016
2019/C 0.00 59.742021/B 0.00 54.252027/A 0.00 24.152031/A 43.16 43.17
The outstanding volume of government bonds with benchmark status at the end of January 2016
MAX index RMAX index MAX Composite index ZMAX index
Value as at 29 January 2016 692.3458 544.1729 662.6575 530.8365Changes compared to the end of the month before 11.0760 0.1291 10.1044 0.1635Annual yield earned on the index portfolio 2.44% 1.44% 2.54% 1.22%
HUNGARIAN GOVERNMENT SECURITIES INDICES
Secondary market trading of Hungarian government securities (MTS Hungary trading)
Breakdown of primary dealers’ secondary market turnover in Discount Treasury Bills by investor groups in January 2016
Secondary market trading of Hungarian government securities (OTC)
Breakdown of primary dealers’ secondary market turnover in Government Bonds by investor groups in January 2016
0
1,000
2,000
3,000
4,000
5,000
6,000
Janu
ary 2
015
Febr
uary
Mar
ch
April
May
June
July
Augu
st
Sept
embe
r
Octo
ber
Nove
mbe
r
Dece
mbe
r
Janu
ary 2
016
Bonds Discount T-bills
HUF
billio
n
Households6.2%
Credit institutions
19.6%
Brokerage firms6.3%
Primary dealers2.4%Institutional
investors53.2%
Companies6.9%
Public sector0.23%
Foreign investors
5.1%
0
10
20
30
40
50
60
70
Janu
ary 2
015
Febr
uary
Mar
ch
April
May
June
July
Augu
st
Sept
embe
r
Octo
ber
Nove
mbe
r
Dece
mbe
r
Janu
ary 2
016
Bonds Discount T-bills
HUF
billio
n
Households0.17%
Credit institutions5.8% Brokerage firms
1.8%Primary dealers
5.4%
Institutional investors5.7%
Companies1.34%
Public sector0.04%
Foreign investors79.4%
