CENTRAL GOVERNMENT DEBT www.tesoro.es BLOOMBERG: TESO REUTERS: TESORO MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS Num. 235 June 2014 Baa2 / BBB / BBB+ MARKET OVERVIEW CENTRAL GOVERNMENT FINANCING PROGRAM [january-JUNE 2014 (*)] Nominal amounts in million Euros Effective amounts in billion Euros 300 SPANISH CENTRAL GOVERNMENT YIELD CURVE ANNUAL DEBT REDEMPTIONS (*) 6.0 160,000 Letras 232.2 Bonos and Obligaciones 250 120,000 200 135.5 129.3 4.0 Foreign Currency 100,000 150 5.0 140,000 PERFORMANCE ANNUAL FORECAST Other Debt 3.0 80,000 102.9 60,000 86.3 100 55.0 May 31st 2014 40,000 49.2 42.0 50 1.0 (*) Includes 23 billion euros to be transferred to the Regional Liquidity Fund (FLA) . (**)Includes foreign currency issues and other medium and long termdebt and excludes additional issuance for early redemptions. Source: General Secretariat of the Treasury and Financial Policy. 0.0 2044 2041 2040 2037 2036 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 2022 2021 2020 2019 2018 0 Bonos & Obligaciones Issuance (**) 2017 Letras del Tesoro Issuance 2016 Total Net Issuance 2015 Total Gross Issuance 2014 20,000 0 June 30th 2013 2.0 (*) Year 2014: Redemptions July-December Source: General Secretariat of the Treasury and Financial Policy. June 30th 2014 years 0.25 0.50 1 3 5 10 15 30 Source: Bloomberg. AUCTIONS JUNE AUCTIONS RESULTS Nominal amounts in million Euros BID (1st ROUND and 2nd ROUND) STOP-OUT-RATE (%) ALLOTED (1st ROUND and 2nd ROUND) AVERAGE RATE (%) ALLOTED (2nd ROUND) 3-year Bonos 2.10% 04/30/17 % 6.5 10,000 6.0 9,000 5.5 8,000 5.0 June 17 June 17 June 18 June 18 June 24 June 24 4,655.0 8,556.5 3,130.3 3,639.4 3,533.3 6,673.6 Auction (1) 4,298.4 4,226.0 4,615.0 8,052.3 3,130.3 3,600.9 3,533.3 6,306.1 1,000 0 440.6 513.6 40.0 504.2 - 38.4 - 367.4 2,584.0 2,919.6 950.0 4,601.5 1,525.3 1,589.4 933.3 2,963.6 2,143.4 2,406.0 910.0 4,097.3 1,525.3 1,550.9 933.3 2,596.1 440.6 513.6 40.0 504.2 - 38.4 - 367.4 Stop-out price (excoupon) 103.140 105.650 - - 103.370 115.570 - - 1.5 Stop-out price 103.380 105.960 99.923 99.603 103.690 119.720 99.970 99.774 1.0 Stop-out rate (%) 0.987 1.540 0.160 0.395 0.893 1.412 0.131 0.316 0.5 Weighted average rate (%) 0.968 1.520 0.144 0.384 0.876 1.402 0.110 0.307 3.5 3.0 2.5 0.131 0.110 0.160 0.144 0.316 0.307 0.395 0.987 0.893 0.968 0.876 1.520 1.402 0.384 L3 L6 L9 L12 B 2.10% B 2.10% B 2.75% O 4.60% 09/19/14 June 24 12/12/14 June 17 03/13/15 June 24 06/19/15 June 17 04/30/17 June 5 04/30/17 June 18 04/30/19 June 5 07/30/19 June 18 9-month Letras 03/13/15 June 5 Second round 2,000 3-month Letras 09/19/14 4,739.6 Amount allotted 1.412 Obligaciones 4.60% 07/30/19 June 5 4.0 1.540 3-year Bonos 2.10% 04/30/17 4,739.0 4.5 3,000 12-month Letras 06/19/15 Auction date 6,000 4,000 6-month Letras 12/12/14 Amount bid 7,000 5,000 5-year Bonos 2.75% 04/30/19 2.0 0.0 Auction (2) Second round Previous stop-out rate (%) 1.055 1.671 0.370 0.608 0.987 1.540 0.318 0.560 Bid to cover ratio (1)/(2) 2.005 1.756 5.072 1.965 2.052 2.322 3.786 2.429 Source: General Secretariat of the Treasury and Financial Policy. MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified CENTRAL GOVERNMENT DEBT JUNE 2014 1 Num. 235 June 2014 MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS TURNOVER CENTRAL GOVERNMENT TURNOVER evolution Turnover MAY 2014 Daily average in million Euros 2012 0.90% vs April 2014 2013 8.72% vs May 2013 2014 80,000 70,000 DISTRIBUTION BY COUNTERPARTY DISTRIBUTION BY TRANSACTION TYPE Daily average as at 05/31/2014 Daily average as at 05/31/2014 60,000 Transactions between Account Holders: 30,766 mill. Euros Outright transactions: 27,688 mill. Euros Transactions with Third parties: 37,944 mill. Euros Repo transactions: 41,021 mill. Euros 50,000 55.22 % 59.70 % 40,000 30,000 40.30 % 44.78 % 20,000 10,000 0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Source: Bank of Spain. OUTRIGHT TRANSACTIONS IN BONOS AND OBLIGACIONES BETWEEN ACCOUNT HOLDERS OUTRIGHT TRANSACTIONS IN LETRAS BETWEEN ACCOUNT HOLDERS Nominal amounts in million Euros Nominal amounts in million Euros Electronic market 160,000 Second tier 140,000 35,000 120,000 30,000 100,000 25,000 80,000 20,000 60,000 15,000 40,000 10,000 20,000 5,000 0 J13 J Source: Bank of Spain. A S O N D Electronic market 40,000 J F M A M14 0 J13 J Source: Bank of Spain. A S STRIPPING ACTIVITY Nominal amounts in million Euros Gross stripping Second tier O N D J F M A M14 Strips outstanding (right hand scale) Reconstitution 3,500 70,000 3,000 60,000 2,500 50,000 2,000 40,000 1,500 30,000 1,000 20,000 500 10,000 0 J13 J A S O N D J F M A M14 0 Source: Bank of Spain. MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified CENTRAL GOVERNMENT DEBT JUNE 2014 2 Núm. 223 Junio 2013 MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS Num. 235 June 2014 DEBT PORTFOLIO 0.3% BONOS AND OBLIGACIONES DEL ESTADO DISTRIBUTION BY HOLDERS Nominal amounts in million Euros as at 06/30/14, except non resident holdings Registered holdings of non stripped Central Government Debt (*) As at 05/31/14 5.7% Maturity date Outstanding volume (stripped principals are included) Stripped volume (only stripped principals) Market value Third parties holdings Nonresident holdings (*) 100% 12098 O 4.75 07/30/14 16,395.1 702.3 16,451.6 8,964.9 5,773.5 Bonos and Obligaciones del Estado 80% 121P3 B 3.30 10/31/14 21,800.5 345.6 22,038.1 9,232.9 5,791.3 Non-marketable Debt & others (*) 12916 O 4.40 01/31/15 20,975.8 617.7 21,491.8 8,698.5 4,064.1 122G0 B. Int. Vble.(**) 03/17/15 1,500.0 -- 1,500.0 955.6 306.1 60% 123T1 B 2.75 03/31/15 10,540.3 -- 10,734.7 5,375.2 3,689.4 122F2 B 3.0 04/30/15 18,827.9 350.2 19,249.7 8,451.6 5,660.3 50% 123L8 B 4.0 07/30/15 19,575.9 247.3 20,345.6 9,700.1 7,095.1 123P9 B 3.75 10/31/15 14,569.8 86.0 15,219.7 10,135.9 7,627.0 120G4 O 3.15 01/31/16 20,638.5 562.2 21,529.1 10,924.1 6,718.1 122X5 B 3.25 04/30/16 21,221.2 1,156.7 22,287.6 11,965.7 8,169.3 123W5 B 3.30 07/30/16 17,107.6 -- 18,072.9 10,451.7 8,193.1 123J2 B 4.25 10/31/16 21,181.9 341.6 22,949.3 10,261.3 6,495.6 120J8 O 3.80 01/31/17 21,453.4 1,226.9 23,169.9 12,025.5 7,810.0 7.00 124I2 2.10 04/30/17 20,290.6 -- 21,042.2 13,104.6 9,419.1 6.50 12783 O 5.50 07/30/17 20,085.8 1,547.3 22,923.3 13,366.2 7,061.7 123R5 B 4.75 (**) 09/30/17 3,902.4 -- -- -- -- 123Q7 B 4.50 01/31/18 19,491.9 939.6 21,907.1 14,470.1 7,833.1 121A5 O 4.10 07/30/18 18,942.4 883.9 21,232.9 12,435.6 7,293.7 124B7 3.75 10/31/18 19,477.7 238.0 21,581.9 14,745.7 8,598.7 124V5 2.75 04/30/19 22,405.2 -- 23,921.3 12,490.7 7,718.8 121L2 O 4.60 07/30/19 19,699.1 1,424.1 22,840.6 11,665.8 5,579.7 121O6 O 4.30 10/31/19 21,161.1 911.0 24,303.6 10,925.3 6,021.8 122D7 O 4.00 04/30/20 22,584.7 939.5 25,675.7 12,651.1 8,702.9 122T3 O 4.85 10/31/20 18,387.2 1,380.0 21,888.1 9,556.6 5,948.2 123B9 O 5.50 04/30/21 24,001.9 570.7 29,548.5 12,886.4 9,201.2 123K0 O 5.85 01/31/22 19,001.9 376.8 23,937.6 14,311.1 10,164.8 123U9 O 5.40 01/31/23 17,435.5 5.1 21,431.7 12,695.4 9,418.0 123X3 O 4.40 10/31/23 17,859.0 -- 20,525.3 12,829.7 8,677.4 121G2 O 4.80 01/31/24 15,050.9 341.8 17,863.3 7,303.2 4,834.1 ES0L01407185 07/18/14 7,797.7 7,797.7 6,792.2 5,917.8 124W3 O 3.80 04/30/24 21,185.8 -- 23,234.3 13,826.9 10,611.4 ES0L01408225 08/22/14 7,757.7 7,756.9 6,582.7 4,787.4 126B2 O 2.75 (**) 10/31/24 9,000.0 -- 9,000.8 4,474.6 -- ES0L01409199 09/19/14 7,441.9 7,439.8 5,773.7 3,788.5 126A4 O€i 1.80 (**)(1) 11/30/24 5,020.2 -- 5,230.6 3,367.2 2,778.1 ES0L01410171 10/17/14 7,900.2 7,896.9 4,699.9 3,793.0 122E5 O 4.65 07/30/25 14,241.2 636.1 16,662.1 7,521.2 3,984.3 123C7 O 5.90 07/30/26 13,968.3 179.4 17,950.7 7,769.8 3,661.5 124C5 O 5.15 10/31/28 10,861.9 -- 13,106.8 7,404.1 4,829.4 11868 O 6.00 01/31/29 18,263.6 3,655.8 23,983.6 10,787.8 4,460.7 197.3 12411 O 5.75 07/30/32 14,853.4 2,737.2 19,378.8 8,631.1 4,838.5 12932 O 4.20 01/31/37 15,994.4 3,091.6 17,255.5 10,451.6 6,405.0 120N0 O 4.90 07/30/40 13,373.9 2,788.4 15,803.2 7,901.9 4,367.0 121S7 O 4.70 07/30/41 11,807.3 4,628.3 13,481.6 6,636.5 3,533.4 ES0L01505152 05/15/15 3,846.7 124H4 O 5.15 (**) 10/31/44 4,807.2 -- 5,814.2 3,961.7 2,477.9 ES0L01506192 06/19/15 4,601.5 678,942.6 32,911.1 74,639.7 74,567.1 6.36 6.00 5.50 5.00 4.50 2014 2013 2012 2011 2009 2010 2008 2007 2006 2005 2003 2004 2002 2001 2000 4.00 Source: General Secretariat of the Treasury and Financial Policy. International issues foreing currency denominated Millions Security Coupon Maturity (%) date Next coupon payment Annual coupons Outstanding € Equiv. US $ Equiv. Note ¥ (*) 20,000 3.133 04/17/17 10/01/14 1 144.5 197.3 Note ¥ (*) 20,000 3.100 04/21/17 04/21/15 1 144.5 197.3 Note ¥ (*) 20,000 2.915 12/02/30 06/02/14 2 144.5 Note $ (*) 2,000 4.000 03/06/18 03/06/15 1 1,464.3 2,000.0 Note £ (*) 200 5.250 04/06/29 04/06/15 1 249.5 340.8 Total (*) Swapped Source: General Secretariat of the Treasury and Financial Policy. 2,147.3 2,932.7 Total Duration of outstanding strippable debt (in years): 5.27 (*) Non residents third parties holdings as at 05/31/14 (**) As at 05/31/14 the stripping has not been authorised (***) Updated by inflation as at 06/30/2014 756,565.5 395,314.6 245,813.1 20% 2013 2012 2011 2010 2009 2008 0% 2007 10% 2006 YEARS 30% 2005 AVERAGE LIFE OF THE DEBT PORTFOLIO 40% 2004 (*) Includes loans and assumed debt in euros and euro-legacy currencies 70% 2003 Int’l issues in euro-legacy currencies & foreign currency debt 84.7% 90% 2002 Letras del Tesoro 2001 Security 2000 9.3% *2014 Central Government Outstanding Debt Non-residents Spanish official institutions Households & non-financials Pension & Mutual Funds and other financial entities Insurance Companies Credit Institutions Source: Bank of Spain. letras del tesoro Nominal amounts in million Euros as at 06/30/14, except non resident holdings Security Maturity date Outstanding volume Market value Third parties holdings Non-resident holdings(*) ES0L01411211 11/21/14 7,304.5 7,299.7 5,661.3 4,403.4 ES0L01412128 12/12/14 5,721.6 5,717.2 4,239.9 2,590.3 ES0L01501235 01/23/15 5,078.9 5,074.1 3,083.4 2,353.2 ES0L01502209 02/20/15 7,053.5 7,043.4 5,135.5 4,068.3 ES0L01503132 03/13/15 6,485.0 6,474.4 4,047.6 1,655.1 ES0L01504106 04/10/15 3,650.3 3,642.8 2,184.9 1,233.0 3,837.1 2,711.5 1,589.6 4,587.1 3,414.6 -- 54,327.2 36,179.6 Total Duration of outstanding Letras (in years): 0.45 (*) Non residents third parties holdings as at 05/31/14 MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified CENTRAL GOVERNMENT DEBT JUNE 2014 3 MONTHLY BULLETIN ABOUT CENTRAL GOVERNMENT DEBT MARKETS Num. 235 June 2014 TECHNICAL CHARACTERISTICS OF SPANISH CENTRAL GOVERNMENT DEBT Main features of Letras del Tesoro, Bonos and Obligaciones del Estado 3, 6, 9 & 12-month Letras Face value Interest 3 & 5-year Bonos 10, 15 & 30-year Obligaciones € 1,000 € 1,000 At a discount Annual coupon Method of issuance Auction Auction Minimum bid € 1,000 € 1,000 FINAL DATE FOR BIDS: Market members Auction date Auction date Non members One trading day before the auction One trading day before the auction Settlement date Three trading days after the auction Three trading days after the auction PAYMENT DATE Market members Settlement date Settlement date One trading day before settlement One trading day before settlement The yield (difference between the transfer/redemption and acquisition/subscription price) is taxed as savings income at a rate of 21%(1) and no withholding tax is applied. The coupon is taxed as savings at 21%(1). A withholding tax of 21% is applied. The yield (difference between the transfer/redemption and acquisition/subscription price) is taxed as savings at 21%(1) and no withholding tax is applied, except in the “coupon washing” case. Taxation Non members Residents Personal income tax Corporate income tax Yield of all Treasury securities is taxed according to the “accrued interest” principle and no withholding tax is applied with the exception of “coupon washing” cases to which will be applied a withholding tax of 21%. Non residents (1) Income obtained from Spanish Debt instruments by non-resident individuals or by legal entities that do no operate through a permanent establishment in Spain, will not be subject to tax in Spain. Rising to 25% on the portion of taxable income between € 6,000 and € 24,000 and to 27% on the portion of taxable income over € 24,000.Source: General Secretariat of the Treasury and Financial Policy. PRIMARY DEALERS AND REFERENCE PAGES FOR SPANISH GOVERNMENT DEBT ENTITY TYPE OF PRIMARY DEALER (PD) BONDS AND STRIPS MARKET LETRAS MARKET BLOOMBERG REUTERS PAGE PAGE BANCO COOPERATIVO ESPAÑOL Letras PD BANKINTER Bonos, Obligaciones and Letras PD 34-91-339-78-42 34-91-339-78-42 BKT BARCLAYS Bonos, Obligaciones and Letras PD 44 207 773 8940 44 207 773 9631 BXEG BBVA Bonos, Obligaciones and Letras PD 34-91-537-82-37 B.N.P. PARIBAS Bonos, Obligaciones and Letras PD 33 142 980 868 BANKIA Bonos, Obligaciones and Letras PD 34-91-423-50-21 CAIXABANK Bonos, Obligaciones and Letras PD 93-404-63-05 CRÉDIT AGRICOLE Bonos, Obligaciones and Letras PD 44 207 214 6133 CECABANK Bonos, Obligaciones and Letras PD CITIGROUP Bonos, Obligaciones and Letras PD CREDIT SUISSE Bonos, Obligaciones and Letras PD 34-91-595-67-33 34-91-532-92-29 44 207 986 9340 44 207 888 6451 34-91-537-82-85 BBGX BPET 34-91-423-92-85 44 207 214 6133 34-91-596-57-01 BARCEGB 0#E4TSY=BPGL ENTITY TYPE OF PRIMARY DEALER BONDS AND STRIPS MARKET (PD) LETRAS MARKET BLOOMBERG PAGE DEUTSCHE BANK Bonos, Obligaciones and Letras PD 44 207 545 6451 49 69 9103 2853 DABB COMMERZBANK. AG Bonos, Obligaciones and Letras PD 44 207 475 6707 49 69 136 87 732 CBET GOLDMAN SACHS Bonos, Obligaciones and Letras PD 44 207 774 8112 GSGB HSBC FRANCE Bonos, Obligaciones and Letras PD 33 1 40 70 71 72 HSED 16 JP MORGAN Bonos, Obligaciones and Letras PD 44 207 779 3400 33 1 53 40 10 93 REUTERS PAGE EUROGOV HSBCBONO1 HSBCBONO2 JPMES01/02 CAJM CAJAMADRID NATIXIS Bonos, Obligaciones and Letras PD CAIXA CAIXA NOMURA Bonos, Obligaciones PD 44 207 103 56 09 CALY CALYON BANCO SANTANDER Bonos, Obligaciones and Letras PD 34-91-257-20-40 34-91-257-20-65 BSGB BSST ROYAL BANK OF SCOTLAND Bonos, Obligaciones and Letras PD 44 207 085 2214 44 207 678 4254 RBSS ABNSPAST01 SSBEURO01 SOCIETÉ GÉNÉRALE Bonos, Obligaciones and Letras PD 33 1 42 13 46 34 33 1 42 13 71 02 SXGV SGGOVT CSBONDAA MORGAN STANLEY & CO. INTERNATIONAL PLC Bonos, Obligaciones and Letras PD 44 2076779335 MSEG MSXL CECA CGEG CSEG CECA 33 1 58 55 13 21 NXIG4 IXISBONOS1 IXISBONOS2 NOMX NOEB • Spanish Tresuary pages in: Bloomberg: TESO Reuters: TESORO • For further information, please contact: Mr. José Miguel Ramos • E-mail: jmramos@tesoro.mineco.es • Address: Pº del Prado, 6 - 28014 Madrid • Tel.: +34 91 209 95 34 • Web: http://www.tesoro.es Baa2 / BBB / BBB+ This Bulletin refers exclusively to marketable debt issued by the Central Government, except otherwise indicated. The information included in this booklet has been compiled and verified to the best of our knowledge. The possibility of any factual mistake can, however, not be excluded. MONTHLY BULLETIN, no. 235. June 2014. Note: Data compiled as at 06/30/2014, unless otherwise specified CENTRAL GOVERNMENT DEBT JUNE 2014 4