Summary of Government of Canada Direct Securities and Loans
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Summary of Government of Canada Direct Securities and Loans Outstanding as at 31 December 2014 Encours au 31 décembre 2014 décembre 31 au Encours émis par le gouvernement du Canada du gouvernement le par émis Résumé des titres et emprunts et titres des Résumé 978-0-662-47879-9 FB2-13/2007-1E-PDF © Bank of Canada 2015 Canada of Bank © E-mail: [email protected] E-mail: 1 800 303-1282 (toll free in North America) North in free (toll 303-1282 800 1 Telephone: 613 782-8111; 613 Telephone: Ottawa, Ontario K1A 0G9 K1A Ontario Ottawa, 234 Laurier Avenue West Avenue Laurier 234 Bank of Canada of Bank Communications Department Communications Public Information Public For information about other publications, please contact: please publications, other about information For Pour obtenir des renseignements sur les publications de la Banque, s’adresser à : Information publique Département des Communications Banque du Canada 234, avenue Laurier Ouest Ottawa (Ontario) K1A 0G9 Téléphone : 613 782-8111; 1 800 303-1282 (sans frais en Amérique du Nord) Adresse électronique : [email protected] © Banque du Canada 2015 FB2-13/2007-1E-PDF 978-0-662-47879-9 Summary of Government of Canada Direct Securities and Loans Outstanding as at 31 December 2014 Table of Contents Part 1 - General Tables Table 1 - Summary of Outstanding Domestic and Foreign Pay Securities and Loans of Government of Canada .............................................................................................. 1 Table 2 - Government of Canada Cdn.$/U.S.$ Swaps .............................................................................. 2 Table 3 - Government of Canada Cdn.$/Euro Swaps ............................................................................... 12 Table 4 - Government of Canada Cdn.$/Yen Swaps ................................................................................ 15 Table 5 - Government of Canada Cdn.$/GBP Swaps ............................................................................... 16 Part 2 - Marketable Securities Section 2.1 - Treasury Bills ..................................................................................................................... 17 General Characteristics ............................................................................................................................. 17 Listed by Maturity Date and Outstanding Amount ...................................................................................... 18 Section 2.2 - Marketable Bonds .............................................................................................................. 19 General Characteristics ............................................................................................................................. 19 Listed by Series, ISIN and Outstanding Amount ........................................................................................ 20 Listed by Maturity Date .............................................................................................................................. 21 Information by Maturity Date ...................................................................................................................... 23 Section 2.3 - Foreign Currency Securities ............................................................................................. 58 General Characteristics ............................................................................................................................. 58 Listed by Maturity Date and Outstanding Amount ...................................................................................... 59 Bond Information by Maturity Date ............................................................................................................. 60 Part 3 - Non-Marketable Securities Section 3.1 - Canada Savings Bonds ..................................................................................................... 66 General Characteristics ............................................................................................................................. 66 Listed by Series ...................................................................................................................................... 68 Information by Series ................................................................................................................................. 70 Section 3.2 - Canada Premium Bonds ................................................................................................... 90 General Characteristics ............................................................................................................................. 90 Listed by Series ...................................................................................................................................... 92 Information by Series ................................................................................................................................. 94 Part 1 - General Tables Table 1 - Summary of Outstanding Domestic and Foreign Pay Securities and Loans of Government of Canada Marketable Securities Domestic Treasury Bills $146,500,000,000 Marketable Bonds 472,119,563,000 Real Return Bonds - Inflation Adjustment 10,046,324,500 $628,665,887,500 Foreign Currency Canada Bills 3,346,721,446 Canada Notes 1,102,095,000 Euro Medium Term Notes 290,025,000 Bonds 9,829,555,142 14,568,396,588 Non-marketable Securities Retail Canada Savings Bonds 3,996,573,791 Canada Premium Bonds 1,789,080,813 Unprocessed Retail Transactions (18,169,677) 5,767,484,927 Total Outstanding including Real Return Bonds - Inflation Adjusted $649,001,769,015 1 Section 1.1 – General Tables Table 2 - Government of Canada Cdn.$/U.S.$ Swaps For the cross currency swaps listed below, the Government's Canadian dollar liability has been swapped into a U.S. dollar liability. Notional Amount Notional Amount Maturity Date Coupon % Basis (Cdn.$) (U.S.$) 2015 Jun. 01 3.7511 92,325,000 3 month LIBOR 75,000,000 Jun. 01 3.8187 123,250,000 3 month LIBOR 100,000,000 Jun. 01 3.8207 92,737,500 3 month LIBOR 75,000,000 Jun. 01 3.8960 124,310,000 3 month LIBOR 100,000,000 Jun. 01 3.9048 121,850,000 3 month LIBOR 100,000,000 Jun. 01 3.9082 121,940,000 3 month LIBOR 100,000,000 Jun. 01 3.9301 121,720,000 3 month LIBOR 100,000,000 Jun. 01 3.9585 122,150,000 3 month LIBOR 100,000,000 Jun. 01 3.9598 121,200,000 3 month LIBOR 100,000,000 Jun. 01 4.0205 117,870,000 3 month LIBOR 100,000,000 Jun. 01 4.0487 95,175,000 3 month LIBOR 75,000,000 Jun. 01 4.0525 126,950,000 3 month LIBOR 100,000,000 Jun. 01 4.1225 93,525,000 3 month LIBOR 75,000,000 Jun. 01 4.1273 85,950,000 3 month LIBOR 75,000,000 Jun. 01 4.1384 85,650,000 3 month LIBOR 75,000,000 Jun. 01 4.1598 93,225,000 3 month LIBOR 75,000,000 Jun. 01 4.17423 62,050,000 3 month LIBOR 50,000,000 Jun. 01 4.1810 92,625,000 Fixed 75,000,000 Jun. 01 4.1850 92,775,000 3 month LIBOR 75,000,000 Jun. 01 4.2002 62,050,000 3 month LIBOR 50,000,000 Jun. 01 4.2103 57,875,000 3 month LIBOR 50,000,000 Jun. 01 4.3380 62,100,000 Fixed 50,000,000 Jun. 01 4.3438 91,875,000 3 month LIBOR 75,000,000 Jun. 01 4.37127 90,150,000 Fixed 75,000,000 Jun. 01 4.3860 90,300,000 Fixed 75,000,000 Jun. 01 4.3960 120,550,000 Fixed 100,000,000 Jun. 01 4.4310 90,487,500 Fixed 75,000,000 Jul. 20 3.5542 76,987,500 3 month LIBOR 75,000,000 Oct. 20 3.3805 104,900,000 3 month LIBOR 100,000,000 2016 Feb. 20 3.2529 80,175,000 Fixed 75,000,000 Apr. 20 3.4474 49,825,000 Fixed 50,000,000 Apr. 20 3.4533 75,150,000 Fixed 75,000,000 May 20 3.4307 74,512,500 Fixed 75,000,000 Jun. 01 4.0098 117,000,000 Fixed 100,000,000 Jun. 01 4.0450 169,050,000 3 month LIBOR 150,000,000 Jun. 01 4.0545 113,150,000 3 month LIBOR 100,000,000 Jun. 01 4.1248 113,250,000 3 month LIBOR 100,000,000 Sep. 20 3.5990 100,080,000 Fixed 100,000,000 Sep. 20 3.6960 101,000,000 Fixed 100,000,000 Oct. 20 3.5212 78,108,750 Fixed 75,000,000 Nov. 20 3.2886 53,260,000 Fixed 50,000,000 2 Section 1.1 – General Tables Notional Amount Notional Amount Maturity Date Coupon % Basis (Cdn.$) (U.S.$) 2016 Nov. 20 4.1631 56,380,000 Fixed 50,000,000 Nov. 20 4.18581 113,000,000 Fixed 100,000,000 Nov. 20 4.2380 52,750,000 Fixed 50,000,000 Nov. 20 4.2877 52,200,000 Fixed 50,000,000 Nov. 20 4.3188 103,690,000 Fixed 100,000,000 Dec. 20 1.4267 102,600,000 Fixed 100,000,000 Dec. 20 1.4368 102,500,000 Fixed 100,000,000 2017 Jan. 20 3.6938 76,237,500 Fixed 75,000,000 Feb. 20 4.4067 80,925,000 Fixed 75,000,000 Feb. 20 4.6263 52,150,000 Fixed 50,000,000 Feb. 20 4.6564 104,860,000 Fixed 100,000,000 Mar. 20 4.4898 79,350,000 Fixed 75,000,000 Mar. 20 4.6458 53,675,000 Fixed 50,000,000 Apr. 20 4.2287 55,150,000 Fixed 50,000,000 Apr. 20 4.2892 54,900,000 Fixed 50,000,000 May 20 4.1826 55,400,000 Fixed 50,000,000 May 20 4.21876 110,800,000 Fixed 100,000,000 May 20 4.5388 104,630,000 Fixed 100,000,000 May 20 4.5433 104,300,000 Fixed 100,000,000 May 20 4.5773 104,200,000 3 month LIBOR 100,000,000 May 20 4.5823 103,700,000 Fixed 100,000,000 May 20 4.5926 104,300,000 Fixed 100,000,000 May 20 4.6273 52,195,000 Fixed 50,000,000 May 20 4.6325 53,350,000 Fixed 50,000,000 Jun. 01 3.9835 117,800,000 Fixed 100,000,000 Jun. 01 4.0122 116,890,000 Fixed 100,000,000 Jun. 01 4.0207 117,530,000 Fixed 100,000,000 Jun. 01 4.0262 117,600,000 Fixed 100,000,000 Jun. 01 4.0313 117,170,000 Fixed 100,000,000 Jun. 01 4.1118 116,140,000 Fixed 100,000,000 Jun. 01 4.1274 115,650,000 Fixed 100,000,000 Jun. 01 4.1763 114,750,000 Fixed 100,000,000 Jun. 01 4.2051 115,190,000 Fixed