Public Debt Report 2017

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Public Debt Report 2017 2017 INDEX I. DEBT MANAGEMENT OBJECTIVES FOR 2017 ............................................... 1 I.1 Treasury's objectives and international debt management practice ...................... 1 I.2 The institutional framework ....................................................................................... 4 I.3 Curbing debt cost while paying attention to cost/risk profile .................................. 8 I.4 Monitoring and managing the Cash Account to stabilise the balance................. 18 II. TREND OF THE ITALIAN GOVERNMENT SECURITIES MARKET IN THE INTERNATIONAL FRAMEWORK ...................................................................... 21 II.1 Monetary policy and the euro area money market ............................................... 21 II.2 Euro area bond markets ......................................................................................... 24 II.3 Trends in the Italian government bond market ..................................................... 28 III. PUBLIC DEBT MANAGEMENT IN 2017 ......................................................... 51 III.1 General government debt’s outstanding amount ................................................. 51 III.2 Activity in government securities ............................................................................ 52 III.3 Derivatives portfolio management ......................................................................... 79 III.4 Debt management results compared to goals ...................................................... 81 III.5 Treasury cash management ................................................................................... 92 ANNEXES ............................................................................................................. 101 Organisational Structure of the Public Debt Directorate at Treasury Department ............................................................................................................ 101 Statistical annexes ................................................................................................ 104 MINISTRY OF ECONOMY AND FINANCE III 2017 PUBLIC DEBT REPORT INDEX OF TABLES Table I.1: Domestic government securities Table III.1: Issues, maturities and funding of Central Government borrowing requirement (€ million) Table III.2 Government securities issued net of debt exchange operations (€ million) Table III.3.a: Debt exchange electronic transaction of 3/17/2017 (€ million) Table III.3.b: Debt exchange electronic transaction of 7/7/2017 (€ million) Table III.3.c: Debt exchange electronic transaction of 10/04/2017 (€ million) Table III.3.d: Debt exchange electronic transaction of 11/17/2017 (€ million) Table III.3.e: Debt exchange electronic transaction of 12/15/2017 (€ million) Table III.4: Debt exchange transaction of 5/25/2017 (€ million) Table III.5: Summary of 2017 buyback transactions (nominal amounts, € million) Table III.6.a: Composition of 2015-2017 issues in absolute and percentage value net of debt exchanges Table III.6.b: Composition of 2015-2017 issues in absolute and percentage value gross of debt exchanges Table III.7: Average life of government bonds stock (years) Table III.8: Duration and ARP trend 2015-2017 for the government bonds stock, before derivatives (years) Table III.9: Duration and ARP trend 2015-2017 for government bonds, after derivatives (years) Table III.10: Market value trend of government bonds stock (€ million) Table III.11: Derivative instruments portfolio - 2016 and 2017 (€ million) Table III.12; Cash Account balances and placements of Treasury liquidity at month- end – 2017 (€ million) IV MINISTRY OF ECONOMY AND FINANCE INDEX INDEX OF CHARTS Chart I.1: Annual profile of maturities - medium-long term securities outstanding as at 31-12-2016 (€ million) Chart I.2: Monthly profile of maturities – medium-long term securities outstanding as at 31-12-2016 (€ million) Chart I.3: Issuance portfolios analysed for 2017 Chart II.1: Interest rate corridor of the ECB monetary policy 2015-17 (percentage values) Chart II.2: Performance of the main money market rates in 2017 (percentage values) Chart II.3: Trend of European government bond yields - 10 years maturity (percentage values) Figure 1: Net monthly purchases under the APP programs Chart II.4: Market rates on government bonds - 2-3-5-10-15-30-50 years (percentage values) Chart II.5: Yield spread between 10-year and 2-year bonds (basis points) Chart II.6: Yield differential between 30-year and 10-year maturity bonds (basis points) Chart II.7: Yield differential between 50-year and 30-year maturity bonds (basis points) Chart II.8: BTP-Bund, OAT-Bund and Bonos-Bund spread - 10-year benchmark (basis points) Chart II.9: Yield curve in secondary market Chart II.10: Monthly traded volumes on the MTS platform (€ million) Chart II.11: Quarterly traded volumes on MTS, by segment (€ million) Chart II.12: Monthly traded volumes on the MTS platform by maturity (€ million) Chart II.13.a: Bid/ask spread in basis points on 10, 15, 20, 30 and 50 years benchmark BTP, recorded on the MTS platform Chart II.13.b: Bid/ask spread in basis points on CTZ, CCTeu, BTP 3, 5 and 7 years benchmark, recorded on the MTS platform Chart II.13.c: Bid/ask spread in basis points on benchmark 5 and 10 year BTP€i, as recorded on the MTS platform Chart II.13.d: Daily slope on 10 years benchmark BTP (logarithmic scale) recorded on the MTS platform Chart II.14: Monthly traded volumes on the MTS platform by contract maturity (€ million) Chart II.15: Annual volumes traded by Specialists on MTS platform (%) Chart II.16: Monthly volumes traded by Specialists on platforms other than MTS (€ millions) Chart II.17: Quarterly volumes traded by Specialists by type of counterparty (€ million) – Fund managers, Banks, Pension and Insurance Funds, Hedge Funds MINISTRY OF ECONOMY AND FINANCE V 2017 PUBLIC DEBT REPORT Chart II.18: Quarterly volumes traded by Specialists by geographical location of the counterparty (€ million) Chart II.19: Price trend of BTP Future and BTP benchmark with 10 years maturity (right-hand reversed scale in%) Chart II.20: Traded amounts and open interest of the BTP Future contract negotiated on the 10-year maturity on the Eurex market Chart II.21: Price trend of CDS ($) on Italian debt at 5 years maturity and of the 5 years BTP-Bund spread (basis points) Chart III.1: Trend of debt-to-GDP ratio Chart III.2: Yields at auction of 6- and 12-m BOTs (percentage points) Chart III.3: 6-m BOTs simple yield and 6-m Euribor Chart III.4: Yields at issuance on CTZs in 2017 (percentage rates) Chart III.5: BTP September 1, 2033 - distribution by type of investor Chart III.6: BTP September 1, 2033 - distribution by geographical area Chart III.7: BTP March 1, 2048 - distribution by type of investor Chart III.8: BTP March 1, 2048 - distribution by geographical area Chart III.9: Yields at 2017 auctions for BTPs maturing between 3 and 10 years (percentages) Chart III.10: Yields at 2017 auctions for long term BTPs (percentages) Figure 2: Composition by type of counterparty of orders placed in the nominal BTPs auctions by government bond Specialists - 2016-2017 Figure 3: Composition by geographic area of orders placed in the nominal BTPs auctions by government bond Specialists - 2016-2017 Chart III.11: Real yields at 2017 BTP€is issuances (percentages) Chart III.12: BTP€i May 15, 2028 - distribution by type of investor Chart III.13: BTP€i May 15, 2028 - distribution by geographical area Chart III.14: Yields at 2017 issuances on CCTeus (percentages) Chart III.15: Amount repurchased in extraordinary transactions – 2013 to 2017 (nominal amounts, € million) Chart III.16: Composition of government bond stock at December 31, 2016 and at December 31, 2017 Chart III.17: Evolution in structure and average life of domestic debt, 1993 to 2017 Chart III.18: Maturities for residual life classes 2015 to 2017 Chart III.19: Euro swap rates and Italian government bonds yield curves Chart III.20: Expected evolution in notional amount of the derivatives portfolio if swaptions are exercised (€ million) Chart III.21: Structure by maturity of the derivatives portfolio if swaptions are exercised (€ million) Chart III.22: Average cost at issuance of government securities –2005 to 2017 Chart III.23: Average cost of government bonds stock, before and after derivatives – 2005 to 2017 Chart III. 24: 2017 average intra-monthly variations in Treasury liquidity: deviations from the monthly low (€ million) VI MINISTRY OF ECONOMY AND FINANCE INDEX Chart III.25: Gap between the monthly high and low of Treasury available cash 2016- 17 (€ million) Chart III.26: Average use at daily OPTES auctions (€ million) Chart III.27: Overnight rates trend on the money market and at OPTES auctions – 2014 to 2017 (percentage rates) Chart III.28: Average lending at daily OPTES auctions – 2014 to 2017 (€ million) Chart III.29: Average liquidity distribution by type of placement – 2017 (€ million and percentage rates) MINISTRY OF ECONOMY AND FINANCE VII 2017 PUBLIC DEBT REPORT VIII MINISTRY OF ECONOMY AND FINANCE I. DEBT MANAGEMENT OBJECTIVES FOR 2017 I.1 TREASURY'S OBJECTIVES AND INTERNATIONAL DEBT MANAGEMENT PRACTICE Debt management objectives and risks in the international practice As already mentioned in previous editions of this report, Treasury's public debt management is in line with international best practices, therefore fully matching main multilateral financial institutions recommendations and practices followed by Debt Management Offices (DMOs) in advanced countries. The international
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