LEBACS V2

WEEKLY REPORT OF DOMESTIC BILL AND NOTE AUCTIONS
29 June - 03 July
LOCAL OPERATIONS MANAGEMENT - B.C.R.A.
2015
•
The Central Bank of Argentina called for tender for LEBAC bills denominated in pesos and US dollars on June 30th, 2015. In the peso segment, bids reached NV
$10.382 billion, out of which NV $9.796 billion were awarded; the remaining bills for NV $586 million were rejected. In turn, on the dollar side, bids for series ‘V’ and
‘N’ LEBAC bills amounted to NV US$225 million and NV US$11.3 million, respectively, and were awarded in full.
•
As regards peso-denominated domestic LEBAC bills with residual terms of 98 and 119 days, and predetermined cut-off yields of 26.04% and 26.39%, the amounts of
NV $527 million and NV $519 million were awarded, respectively. This decision has been adopted based on the growth in fixed-term deposits raised by each privatesector financial institution from May 22nd, 2015 to June 19th, 2015 both in terms of total deposits in the financial system and in the retail segment.
•
The remaining peso-denominated LEBAC bills were auctioned as under the Dutch system, their cut-off yields standing at 26.96% for 161 days, 27.64% for 210 days
and 28.25% for 252 days.
•
In the case of series ‘V’ LEBAC bills in US dollars with residual terms of 35, 91, 182 and 357 days, and predetermined cut-off yields of 3.25%, 3.9%, 4.0% and 4.2%,
awards amounted to NV US$131.2 million, NV US$77.8 million, NV US$4.3 million, and NV US$11.6 million, respectively.
•
In turn, series ‘N’ LEBAC bills in US dollars with residual terms of 35, 91, 182 and 357 days and predetermined cut-off yields of 3.75%, 4.4%, 4.5% and 4.7%, were
awarded for NV US$1.3 million, NV US$7 million, NV US$2.4 million and NV US$0.7 million, respectively.
•
The average duration of the portfolio fell from 128 to 127 days.
Chart 1
YIELD CURVES
30,0
27,64
28,25
Annual Yield
26,96
26,04
LEBAC Fixed Rate
26,39
25,0
0
2
4
6
8
10
12
14
-Term (months)-
Chart 2
BILL RATE TRENDS in PESOS
Chart 3
BILL MATURITIES, BID and RENEWAL AMOUNTS
Millions
- annual yield (%) -
35
LEBAC 3m
LEBAC 6m
30
25.000
25.000
Bill Maturities
20.000
LEBAC 9m
Market Renewal Amount
20.000
Market Bid Amount
LEBAC 12m
25
20
15
15.000
15.000
10.000
10.000
5.000
5.000
10
-
-
- Auction dates - Auction dates -
Chart 5
DURATION and AVERAGE COST
400
400
Overall Stock LEBAC/NOBAC
30,0%
350
TNA
Billions
Chart 4
OUTSTANDING BILL TREND
300
300
26,0%
250
250
200
200
150
150
100
100
50
50
350
Stock LEBAC $
400
28,0%
350
Duration
days
Average Cost
Stock NOBAC $
300
24,0%
250
22,0%
200
20,0%
150
18,0%
100
16,0%
0
0
14,0%
50
12,0%
0
- Auction dates - Auction dates -
Chart 6
CURRENT STOCK of OUTSTANDING BILLS by MATURITY
1-2 years; 0%
less than 1
month; 12%
1-3 months;
24%
Chart 7
CURRENT STOCK of OUTSTANDING BILLS by SEGMENT
Pesos Floating
0%
6-12 months;
27%
3-6 months;
38%
Pesos Fixed
100%