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Fixed Income & Economics Daily July 7, 2010 ECONOMICS Economics Research Ernest W. (Chip) Brown, Head 212-583-4663 [email protected] BRAZIL Who Wants to Be a Millionaire? Alexandre Schwartsman 5511-3012-5726 [email protected] • Those who follow the evolution of fiscal accounts in Brazil closely surely have noticed something about the interest payments on the public sector debt. After a significant (and more or less steady) decline from about 9.5% of GDP in 3Q03 to little less than 5% of GDP in 3Q09, interest payments have started to increase again, standing at 5.4% of GDP during the 12-month period ended in May 2010. • The implicit cost of net domestic federal debt used to follow quite closely the movements of the Selic rate, but the correlation broke down in the past two years: while the policy rate declined, the implicit debt cost has gone up. This development, however, has occurred against a backdrop of lower interest rates and a reduced net debt, which is something of a puzzle. • In order to solve this puzzle we put forward the following hypothesis: the rise in interest payments results from the negative spread between the interest rates received by the government and the interest rate it pays on its debt. This spread was less important until 2008, when government assets were smaller, but has become more relevant in the last two years, as government lending to BNDES jumped from 0.5% to more than 6% of GDP. • An alternative explanation could be the change in the debt profile, resulting from a higher share of fixed interest rate and inflation linked securities at the expense of Selic-linked notes. Yet, once we include the Central Bank repos in the picture we cannot find a significant difference between the debt profile in 2004-2007 (when the correlation between the debt cost and the Selic rate was positive and high) and during the 2008-2010 period, when the correlation broke down. • With the help of a simple example we find that the implicit debt cost would be close to the Selic rate if one of the two conditions is valid: (1) the spread between the Selic rate and the return on government is small; or (2) the ratio between government assets and the net debt is small. The first condition is typically not true, but it was the second one that ceased to be valid in 2008-2010 on the back of the fast expansion of National Treasury credits to BNDES, which rose from about 1% of the net debt to 12% of the net debt in that period. • The negative correlation between the Selic rate and the implicit debt cost observed in the past two years is not, however, a structural feature. As the spread between the Selic rate and the rate at which the government lends to BNDES rises, the implicit cost should go up as well, an effect now likely to be magnified by a higher share of BNDES credits relative to net debt. • Our calculations do not take into consideration an additional channel. Given that increased funding leads to BNDES leads to higher lending, it should expand domestic demand, requiring an additional effort in terms of the Selic rate than it would be necessary in the absence of such policy. Hence, the spread between the Selic rate and the rate at which the government lends to BNDES is likely to rise even more, leading to a further increase in the interest bill. Those who follow closely the evolution of fiscal accounts in Brazil surely have noticed something about the interest payments on the public sector debt. After a significant (and more or less steady) decline from about 9.5% of GDP in 3Q03 to little less than 5% of GDP in 3Q09, interest payments have started to increase again, standing at 5.4% of GDP during the 12-month period ended in May 2010. This development is hard to square with the slight decline of the net debt relative to the levels U.S. investors’ inquiries should be directed to Santander Investment at (212) 350-0707. observed in 3Q09 and the stability of the Selic from 3Q09 until the beginning of 2Q10. when interest payments rise while the debt has declined and interest rates barely budged. 9.5% 8.5% 7.5% 6.5% Interest on debt - % GDP 5.5% 4.5% Jan-00 Source: CentralMay- 0Bank.0 Sep-00 Jan-01 The implicit cost May-01 Sep-01 have always been differencesJan- 0between2 the level of the debt cost and the Selic rate, they tended to move in line, in particular when we concentrate on the netMay- domestic02 federal debt cost. As shown below, the observed correlation between the 12-month Sep-02 average of the net domestic federal debtJan-0 3cost and the 12-mont May-03 2007, becoming, however, significantly negativeSep-03 at -0.6 between 2008 and 2010 (actually the 12-month period ended in May 2010). That is, the decline of domestic interest ratesJan- 0since4 late 2008 did not result in a correspondent reduction in the debt 2 May-04 estimates for most of the period after of 2007. net domestic federalSep-04 debt used to follow quite closely the movements of the Selic rate; even though there Jan-05 May-05 Sep-05 Jan-06 May-06 33% 33 Sep-06 Jan-07 May-07 28% 28 Sep-07 1 Jan-08 There must be something odd going on 23% Federal debt cost vs Selic (12-month) May-08 23 Sep-08 Jan-09 Interest rates & net debt May-09 18% 18 Sep-09 Jan-10 Interest rate - % per annum May-10 13% 13 8% 8 Jan-04 Jan-00 May-00 May-04 Sep-00 1 It is true that the 360-daySep-04 swap rate did increase from 9% per annum to about 12% per annum in the period, but note that this Jan-01 between 3Q09 and 2Q10, which would hardly explain the rise in interest payments. May-01 Selic (left) 2 Jan-05 Sep-01 360-day swap (left) The implicit cost of government debt is estimated by the Central Bank. Using the detailed information currently availableNet only federal debt Jan-02 Net debt (right) ratio of interest payments and the debt. MSpecifically,ay-05 in the ca Net domestic federal debt May-02 on the debt deducted interest accrued on the federal Selic Sep-02 Sep-05 h average of the Selic rate approachedJan-03 0.9 between 2004 and May-03 Jan-06 Sep-03 May-06 Jan-04 May-04 Sep-06 Sep-04 60% Jan-05 Jan-07 May-05 Sep-05 55% May-07 Jan-06 Sep-07 May-06 Sep-06 Jan-08 Jan-07 50% May-07 May-08 Sep-07 Jan-08 45% Sep-08 May-08 Jan-09 Sep-08 Jan-09 May-09 May-09 40% Sep-09 Net debt - % GDP government assets) and the net domestic federalSep-09 debt. Jan-10 May-10 Jan-10 35% July 7, 2010 se at hand, the Central Bank calculates the cost of the net dom May-10 cost would have had an impact only in the new prefixed debt issued estic federal debt as the ratio be to the Central Bank, it estimates the implicit debt cost as the tween net interest (interest accrued 2 30 28 26 Domestic federal debt cost x Selic (2004-07) 24 22 20 Domestic18 federal debt cost 16 14 11 13 15 17 19 21 23 Sources: Central Bank and Santander estimates from Central Bank data. In order to solve this puzzle we put forward the following hypothesis: the rise in interest payments results from the negative spread between the interest rates received by the government an important until 2008, when government assets were smaller, but has become more relevant in the last two years, as government lending to BNDES jumped from 0.5% to more than 6% of GDP. Of course, this pattern could have originated from the change in of government securities whose yield is not directly linked to inflation linked debt (NTN-Bs and NTN-Cs) at the expense of Selic linked debt (LFTs). As more debt had been contracted at fixed rates, it would be only natural to observe a lower correlationSelic between the overnight rate and the debt cost. A closer loo however, suggests that this is unlikely to have led to the dramatic change in the correlation observed above. Whereas it is true that the National Treasury has made a substantial effort to reduce the share of Selic-linked securities, a 15 somewhat wider definition of the federal domestic debt, which also includes the repo operations through which the Central 14 Bank regulates the money supply, reveals that the change in the debt structure becomes less impressive once we include the Domestic federal debt cost x Selic (2008-10) repos in the picture. The share of Selic-linked notes indeed re 13 December 2004 and May 2010, but, during the same period, repos jumped from 5.5% to 18% of the debt. Taken jointly, we still 12 observe a reduction in overnight-linked debt, from 55% to 47%, average versus the 2008-20100 average, which would be the relevant comparison to understand the different performance in 11 these periods, we find a very modest reduction in overnight-linked debt (LFTs and repos), from 49% to 48%, while the share of Domestic federal debt cost 10 prefixed and inflation-linked securities rose from 47% to 50%. 9 8 d the interest rate it pays on its9 debt.
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