Modelo de Apresentação Power Point STN 2016

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Modelo de Apresentação Power Point STN 2016
Annual Debt Report 2015
Annual Borrowing Plan 2016
January 2016
Summary
1. Annual Debt Report 2015 – ADR 2015 ........................................................ 3
2. Annual Borrowing Plan – ABP 2016 ............................................................. 12
2
Results for the Federal Public Debt - FDP
Annual Public Debt Report
Evolution of Federal Public Debt (FPD) Indicators
Indicators
Dec-14
Dec-15
ABP-2015
Minimum
Maximun
FPD Stock (R$ bn)
FPD
2,295.9
2,793.0
2,650.0
2,800.0
Fixed Rate (%)
41.6
39.4
40.0
44.0
Inflation Linked (%)
34.9
32.5
33.0
37.0
Floating Rate (%)
18.7
22.8
17.0
22.0
Exchange Rate (%)
4.9
5.3
4.0
6.0
% Maturing in 12 months
24.0
21.6
21.0
25.0
Average Maturity (years)
4.4
4.6
4.4
4.6
Average Life (years)
6.6
6.6
-
-
Profile
The National Treasury revised the
FPD outstanding volume limits set
in the ABP 2015:
•
Initial ABP: BRL 2.45 to BRL
2.60 bn
•
Revised ABP: BRL 2.65 to BRL
2.80 bn
Maturity Structure
» Issuances greater than the need for financing, helping to reduce the excess liquidity
» Expansion of debt cushion to levels of almost six months of maturities
» Lower cost through increased issuance of floaters (LFT) (do not add DV01 (risk) to the market)
Source: National Treasury
3
Domestic Federal Public Debt (DFPD) increase refinancing percentage
Annual Public Debt Report
DFPD Refinancing %
DFPD Issuances and Redemptions (BRL bn)
856
119,95
89,09
83,53
(%)
74,15
70,68
72,48
205%
704
478 441
78,57
152
136 142
69%
37
120%
278
108%
61,52
100 128
-28
Fixed Rate
2008
2009
2010
2011
2012
2013
2014
2015
Issuances
Inflation Linked
Redemptions
Floating Rate
Net Issuances
DFPD*
Percentage of Refinancing
» The 120% refinancing percentage of maturity was the highest in the last 8 years**
» Floating rates bonds had 205% of roll-over ratio (refinancing)
» Fixed rate bonds accounted for 57.7% of total issuances of DFPD, reaching BRL 478 billion
» The NTN-F amount issued in public offerings reached BRL 70.7 billion in 2015, exceeding by almost 50.8% the
amount issued in 2014.
Notes: * The refinancing percentage represents the ratio between issuances and redemption (principal and interest), considering only the financial transactions, i.e., with an impact on
liquidity. **The issuance of additional securities for this purpose does not affect the Public Sector Net Debt and Gross General Government Debt. This is because, other things being
equal, net issues of FPD are offset the reduction in the volume of repo operations of the Central Bank responsibility.
4
Pension Funds Increase Significantly participation in Domestic Debt
Treasury’s bond outstanding volume evolution held by
Open-end Pension Funds and Insurance – BRL bn
Domestic Debt Holders (%)
dec/14
29,8%
Annual Public Debt Report
dec/15
297,1
300,0
25,0%
20,3%
19,6%
250,0
21,4%
18,8%
18,6%
17,1%
200,0
154,0
150,0
5,7% 5,8%
4,9%
4,1% 4,6% 4,4%
100,0
121,2
88,8
Open-end Pension Funds
dez/15
nov/15
out/15
set/15
ago/15
jul/15
jun/15
mai/15
abr/15
mar/15
fev/15
jan/15
Others
Insurance
Gov't
Pension
Funds
Nonresidents
Mutual
Funds
Financial
Institutions
50,0
Insurance
» Pension funds participation increased relative to 2014
» Open-end pension funds stands out
» Participation of non-residents has remained relatively stable
5
Improvement of the yield curve in dollars
Annual Public Debt Report
Results of strategy adopted for the External Federal Public Debt - EFPD
between 2006 and 2015 ($ bn)
10,0%
8,0%
6,0%
» Absence of issuances in 2015
» Usage of cushion in US$
» Market volatility throughout the year
» Benchmarks of 10 and 30 years are wellestablished and with good liquidity
0,4
3,6
Issuances - Benchmarks
1,6
2,0
» Full redemption of the Global 2040 bond, worth $ 1.1
billion in face value (exercise of the call option)
-2,0%
5.00% 45
5.625% 41
-4,0%
7.125% 37
12.25% 30
0,0%
2,5
0,4
10.125% 27
2.625% 23
4.875% 21
12.58% 20
Outstanding - Dec/2015
0,1
0,9
8.75% 25
0,7
0,1
1,1
4.250% 25
0,8
1,2
1,4
2,0%
0,6
1,3
2,2
0,9
8.875% 24
1,9
0,9
8.25% 34
2,9
5.875% 19 N
A-Bond 8.00%*
6.00% 17
0,3
1,0
8.875% 24 B
0,7
2,1
2,1
4,3
0,4
8.875% 19
0,4
4,2
Yield % p.y.
4,0%
» Redemption in the amount of $ 0.456 billion (face
value) through the Buyback Program of external debt
bonds, which contributes to improvement of the yield
Buyback
Yield % p.y. (Dec/15)
curve and mitigate refinancing risks
Note: anticipated redemptions (dotted edges in the graph) reflect the cumulative buyback
since the program's inception in 2006.
» Annual Borrowing Plan 2015, stated the Treasury already had dollars in an amount sufficient to cover the principal and
interest payments in 2015
Source: National Treasury
6
Evolution of the DFPD Average Cost of Debt (accumulated rate in 12 months)
Annual Public Debt Report
20,0
17,0
16,07
(%)
14,24
14,0
11.44
13.29
11,0
10.72
8,0
Average Cost FPD
Source: National Treasury and Central Bank
Average Cost DFPD
dez/15
jul/15
fev/15
set/14
abr/14
nov/13
jun/13
jan/13
ago/12
mar/12
out/11
mai/11
dez/10
jul/10
fev/10
set/09
abr/09
nov/08
jun/08
jan/08
ago/07
mar/07
out/06
mai/06
dez/05
5,0
Average Selic Rate
7
Advances and Innovations in Debt Management - Dealers System
Annual Public Debt Report
Growth Monthly Volume Screen (BRL Billion) and Secondary Market
Total Percentage
6%
5,0%
5%
» Dealers System change, obeying Portaria STN nº74:
4%
3%
19
16
15
5
8
8
7
markets of Treasury’s bonds
17
14
» Exclusive focus on primary and secondary
2%
8
1%
» Emphasis on increasing liquidity in the
3
Financial Volume
Nov-15
Oct-15
Sep-15
Aug-15
Jul-15
Jun-15
May-15
Apr-15
Mar-15
Feb-15
Jan-15
0%
electronic market
Eletronic Trading System
Source: National Treasury and Central Bank
» The share of secondary market operated in the electronic trading system rose from 1.4% before the changes to
5.0% in November 2015.
» Increased price transparency in the markets of Treasury’s bonds
8
Tesouro Direto (TD) - The Internet Based Retail Sales Program
Annual Public Debt Report
» First Wave TD improvements was launched in 2015, resulting of intensive labor and research :
 New names of the bonds;
 TD's site redesign;
 Financial Advisor;
 Implementation of daily liquidity;
 New transaction environment;
 Reformulation of the Incentive Program of BVMF with financial institutions;
 Introduction of Fixed long-term bonds;
 Updating the visual identity of the TD.
Old Name
New Name
LFT 2021
LTN 2019
NTN-F 2027
NTN-C 2031
NTN-B 2035
NTN-B Principal 2024
Tesouro Selic 2021
Tesouro Prefixado 2019
Tesouro Prefixado com Juros Semestrais 2027
Tesouro IGPM+ com Juros Semestrais 2031
Tesouro IPCA+ com Juros Semestrais 2035
Tesouro IPCA+ 2024
» Second wave: in 2016 will be implemented a number of improvements that will make the Tesouro Direto program even more
accessible to current and potential investors.
Note: First Wave was the winning project of category MAGIS Product Excellence Award Professional Public Debt. The Award was established by the STN in order to reward and
recognize projects that stand out is the novelty or for the significant contribution in terms of image, financial or time on issues related to public debt.
9
Tesouro Direto - Records
Annual Public Debt Report
Main Tesouro Direto Records in 2015
Indicators Records
Gross Sales (BRL Million)
Net Sales (BRL Million)
Number of Sales
Registred Investors Added per month
Positioned Investors Added per month
Best
Number
2.411,0
(may)
1.246,5
(december)
136.631
(december)
20.056
(december)
13.263
(december)
Average of Subsequent Average of Subsequent
6 Months to March
6 Months to March
2015 (inclusive)
2015 (exclusive)
Growth (%)
(A)
(B)
(A/B)
1,331.40
464.00
186.9%
585.15
183.69
218.6%
83,702
40,290
107.7%
13,410
8,778
52.8%
8,650
3,184
171.7%
» In 2015, the number of registered and positioned investors grew by 37% and 81% compared to 2014, respectively
» Comparing only the numbers concerning to the monthly increase in new registered and positioned investors,
December 2014 against December 2015, the increase was of 190% and 260%, respectively
Source: National Treasury
10
Tesouro Direto – Outstanding Volume and Sales Numbers
Annual Public Debt Report
Gross Sales (BRL million) and Average Sales Growth (%)
2400
2000
1600
1,204.8
+190.5%
1200
+35.4%
800
414.8
306.5
400
Sales
Average Sales 2013
Average Sales 2014
dez/15
nov/15
out/15
set/15
ago/15
jul/15
jun/15
mai/15
abr/15
Mar/15
Fev/15
Jan/15
Dez/14
Nov/14
Out/14
Set/14
Ago/14
Jul/14
Jun/14
Mai/14
Abr/14
Mar/14
Fev/14
Jan/14
Dez/13
Nov/13
Out/13
Set/13
Ago/13
Jul/13
Jun/13
Mai/13
Abr/13
Mar/13
Fev/13
0
Average Sales 2015
» The outstanding volume reached BRL 25.6 billion, compared to BRL 15.23 billion in 2014, significant growth of 67%.
Source: National Treasury
11
Summary
1. Annual Debt Report 2015 – ADR 2015 ........................................................ 3
2. Annual Borrowing Plan – ABP 2016 ............................................................. 12
12
Objective and Guidelines of Federal Public Debt Management
Annual Borrowing Plan
Objective
The Federal Public Debt Management objective is to provide federal government borrowing requirements efficiently and
at the lowest long-term cost, respecting the maintenance of prudent risk levels and, additionally, seeking to contribute for
the smooth operation of the Brazilian government bond market.
Guidelines
• Gradually replacing floating rate bonds with fixed rate and inflation-linked instruments;
• Consolidating the current share of exchange rate-linked instruments, in accordance with their long-term
indicative intervals.
• Smoothing of the maturity structure, with special attention to debt maturing in the short term;
• Lengthening the average maturity of outstanding debt;
• Developing interest rate term structure on both domestic and external markets;
• Increasing the liquidity of federal government bonds in the secondary market;
• Broadening of the investor base; and
• Improving the External Federal Public Debt (EFPD) profile by means of issuances of benchmark bonds,
buyback, and structured operations.
13
Around 51% of 2016’s maturities are concentrated in the first 4 months
DFPD Maturities in 2016 (R$ 613.2 billion)
Annual Borrowing Plan
EFPD Maturities in 2016 (R$ 16.1 billion)
Financial Value (R$ billion)
Principal
EFPD
Bonds
BRL
Dollar
Euro
Contractual Debt
6.6
3.0
2.9
0.1
3.7
Interest
9.5
8.7
1.2
7.2
0.3
0.8
Total
16.1
11.7
4.1
7.3
0.3
4.5
Source: National Treasury
» In January, the National Treasury paid the Global BRL 2016 in
51%
Source: National Treasury
» Initial maturity reaches R$ 613.2 billion, of which R$ 139.3
billion matured in January (22.7%).
» Fixed rate represent about 74.6% of FPD´s 2016 total
the amount of R$ 3.54 billion.
» That bond had costs defined in Real and the amount paid
represents 22% of external debt payments scheduled for
the year.
maturity.
14
National Treasury Borrowing Requirements (as of 12/31/2015)
Gross Borrowing
Requirements
R$ 698.2 billion
External Debt
R$ 16.1 billion
+
Domestic Debt Held
by the Public
R$ 613.2 billion
Annual Borrowing Plan
-
Budget Resources
R$ 108.5 billion
+
Interest Due to
Central Bank
R$ 68.8 billion
=
Net Borrowing
Requirements
R$ 589.7 billion
Source: National Treasury
» As a consequence of article 39 of the Fiscal Responsibility Law (Law no. 101, dated May 4, 2000), charges on the National Treasury
bonds held by the Central Bank can not be refinanced and must be paid with budgetary resources (mainly the primary result or bond
issuances in the market).
» The budgetary sources presented do not include revenue forecast associated with the positive result of the Central Bank balance
sheet (source 152) estimated in the amount of R$ 152.46 billion.
15
Strategy for the Domestic Debt – DFPD
Annual Borrowing Plan
Reference Bonds (benchmarks) to be offered
Yield
Bond*
Oct./16 and Apr./17
Apr./17 and Oct./17
Medium-term
(24 and 48
months)
Apr./18 and Oct./18
Jan./20 and July/20
NTN-F
(Fortnightly
auction)
Long Term
(6 and 10 years)
Jan./23 and Jan./27
LFT
(Fortnightly
auction)
6 years
Mar./22 and
Sept./22
Group I: Short and
Medium-term
(5 and 10 years)
May/21 and Aug./26
Group II: Long
term
(20 and 40 years)
May/35 e May/55
Fixed rate
Inflationlinked
(IPCA)
Maturity **
Short term
(6 and 12
months)
LTN
(Weekly auction)
Floating
rate
Benchmark
NTN-B
(Fortnightly
auction)
* For more details on the characteristics of DFPD government bonds, see Decree nº. 3,859 dated July 04, 2001.
** For more information, see the 2016 Annual Securities Auction Schedule at: http://www.tesouro.gov.br/resultados-dos-leiloes
Source: National Treasury
16
Strategy for the External Debt - EFPD
Annual Borrowing Plan
» Improvement of benchmarks in the external market yield curve;
» Maintenance of the buyback program;
» Possibility of carrying out external liability management operations with the objective of enhancing the efficiency of the
external yield curve;
» Monitoring the External Contractual Debt in search of alternative operations that generate financial gains for the National
Treasury; and;
» Improvement and diversification of the investor base.
» The National Treasury has full access to international markets, and can act not only issuing a new bond, but also carrying out
public liability management operations (buyback or buyback associated with a new bond issuance), depending on what it
considers most appropriate. Additionally, the buyback program is always also available.
» The National Treasury monitors and constantly evaluates market conditions and stands ready to enter the foreign market.
Currently, there is a lot of flexibility to choose the best time for a new operation, as the Treasury already has foreign currency
resources to cover all the 2016 external maturities.
17
Expected Results
Annual Borrowing Plan
Indicators
2015
Limits for 2016
Long Term Limits
Minimum Maximum Reference
Interval
Stock of FPD (R$ Billion)
FPD
2,793.0 3,100.0
3,300.0
Composition - %
Fixed Rate
39.4
31.0
35.0
45.0
+/- 2.0
Inflation Linked
32.5
29.0
33.0
35.0
+/- 2.0
Floating Rate
22.8
30.0
34.0
15.0
+/- 2.0
Exchange Rate
5.3
3.0
7.0
5.0
+/- 2.0
% Maturing in 12 months
21.6
16.0
19.0
20.0
+/- 2.0
Average Maturity (years)
4.6
4.5
4.7
5.5 years
+/- 0.5
Average Life (years)*
6.6
_
_
_
_
% Amortization in 12 months**
18.0
Maturity Profile
Source: Nacional Treasury
» For 2016, the External Debt maturity (principal plus interests) has been fully financed.
» The budgetary resources deposited in the Federal Government Single Account exclusively available for payment of the FPD are around 6
months of services related to this debt in the market.
» Another important guideline relies on the smoothing of the maturity structure, with special attention to debt maturing in the short term,
which is expected to reach a new minimum in 2016.
18
Expected Results
•
Low LFT maturity in 2016
•
•
Annual Borrowing Plan
•
Increase in the share of floating rate bonds
Total DFPD issuances in amounts higher than its maturity in
2016
•
Reduction in the percentage of debt maturing in
the short term (12 months)
More LFT issuances, with the objective of contributing to the
reduction of the banking system's liquidity excess
•
Increase in the average maturity
» LFT is important for managing the cost of debt in situations of higher interest rates, reducing the issuances of other securities with
high risk premiums;
» The long-term composition model shows that floating rate bonds are preferable to short-term fixed rate bonds;
» The demand for fixed rate instruments, including longer term securities, remains high: Demand for new NTN-F (maturing in 2027)
was 3 times the amount offered
» The Treasury acts to avoid pressures that could increase the volatility in the government bond market.
» Loyo (2006) shows that from a sample of 12 euro zone countries, only three of them treat the wealth effect in their models. All
these three models present insignificant impact in the transmission of monetary policy;
» For the USA, a piece of research presented by the FED NY (2002) also suggests that the effect is irrelevant;
» An exercise applied to Brazil shows that the wealth effect in the debt due to LFT does not interfere in the transmission of the
monetary policy.
19
Indicatives for Medium-Term FPD
Annual Borrowing Plan
Source: National Treasury
» In the short term there will be an increase in the proportion of floating rate bonds in the FPD, followed by a reduction
of fixed rate and inflation-linked bonds, especially in the next three years.
» After this initial period, the trajectories return to converge to the desired structure in the long term.
20
Indicatives for Medium-Term FPD
Annual Borrowing Plan
» Developments in the FPD maturity structure:
» % maturing in 12 months converging to values under 20% of the FPD (under 10% of the GDP);
» Maintaining or increasing the average maturity.
% of Debt Maturing in 12 months
Source: National Treasury. The projection for 2016 is based on the midpoint of the indicative limits of this ABP
FPD Average Maturity and Average Life (years)
21
National Treasury Directive number 29, dated 01/21/2016
Annual Borrowing Plan
» The National Treasury Directive number 29, dated 01/21/2016, defines the Federal Public Debt (FPD) Management objective, sets
the reports to be published regularly and establishes the Federal Public Debt Management Committee (COGED).
Cash flow
management
Domestic
Market
Short term
strategy
COGED
Debt Committee
External
Market
Undersecretary of Debt
General
Coordinator
of CODIV
Medium-term
strategy
General
Coordinator
of COGEP
Auctions
General
Coordinator
of CODIP
Technical
Staff
Benchmark
Risk
management
National Treasury
Secretary
Benchmark
Until 30/Oct.
Mediun-term
strategy
Until 30/Oct.
ABP
Until 30/Dec.
ABP revaluation
Until 30/Apr.
And until
31/Aug.
Monitoring
indicators
» The directive also provides coordination between debt management and fiscal management, setting the interaction
between the COGED and Fiscal Policy Committee - COPOF, newly introduced.
22
National Treasury Directive number 29, dated 01/21/2016 – Reports description
ABP - Annual Borrowing Plan
Annual Borrowing Plan
Until January 31 of the reference year
It presents the objectives and guidelines, the market strategy for internal and external Federal Public Debt (FPD)
and reference limits for the main debt indicators at the end of the year.
ADR - Annual Debt Report
Until January 31 of the year following the reference
It presents accountability of the FPD evolution over the year based on the reference limits set out in the Annual
Borrowing Plan.
MDR - Monthly Debt Report
Until the last business day of the month following the reference
It presents the monthly monitoring of the FPD and its indicators.
Annual Securities Auction Schedule
Until December 31 of the previous year following the reported
It presents at least auction dates, types of auctions to be held on each date, the securities to be offered in each
auction and the maturity dates of these securities.
23
To further information, see :
http://www.tesouro.fazenda.gov.br/en/homeen
Or contact the Investor Relations Office:
TESOURO DIRETO – Retail Sales
Program
[email protected]
www.tesourodireto.gov.br
Investor Relations Office
Brazilian Debt Management Office

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