Relatrio Mensal da Dvida Pblica Federal

Federal Public Debt

Monthly Report
June/2012

Braslia

MINISTER OF FINANCE
Guido Mantega
EXECUTIVE SECRETARY
Nelson Henrique Barbosa Filho
NATIONAL TREASURY SECRETARY
Arno Hugo Augustin Filho
NATIONAL TREASURY SUBSECRETARIES
Cleber Ubiratan de Oliveira
Eduardo Coutinho Guerra
Gilvan da Silva Dantas
Lscio Fbio de Brasil Camargo
Marcus Pereira Auclio
Paulo Fontoura Valle
TECHNICAL TEAM
Public Debt Subsecretary
Paulo Fontoura Valle
Coordinator: Public Debt Operations
Fernando Eurico de Paiva Garrido
Coordinator: Public Debt Strategic Planning
Otavio Ladeira de Medeiros
Coordinator: Public Debt Control
Antnio de Pdua Ferreira Passos
Information:
Gerncia de Relacionamento Institucional - GERIN
Tel: (61) 3412-3188; Fax: (61) 3412-1565
Secretaria do Tesouro Nacional (National Treasury Secretariat)
Edifcio Sede do Ministrio da Fazenda, Esplanada dos Ministrios, Bloco P, 2 andar
70048-900 - Braslia DF
Correio Eletrnico: [email protected]
Home Page: http://www.tesouro.fazenda.gov.br
The Federal Public Debt Monthly Report is published by the National Treasury Secretariat. Total or partial reproduction is permitted, mentioned its source.

Contents
1
1.1
1.2

Primary Market Transactions

1.3
1.4

FPD Issuances and Redemptions

Domestic Federal Public Debt DFPD
DFPD Issuances and Redemptions
Treasury Direct Program
Direct Issuances and Cancellations
External Federal Public Debt EFPD
EFPD Buyback Program

5
6
6
8
9
10
11

Outstanding Federal Public Debt FPD

12

2.1
2.2

2.3

Evolution
Profile
Indexes
Holders
Variation Factors

12
13
13
14
15

Federal Public Debt - FPD Maturity Profile

16

3.1
3.2
3.3

Maturities
Average Maturity
Average Life

16
17
18

Federal Public Debt FPD Average Cost

19

Secondary Market of Federal Public Securities

20

5.1
5.2

Secondary Market Turnover

Public Securities Rate of Return

20
22

TABLES
Table 1.1
Table 1.2
Table 1.3
Table 1.4
Table 1.5
Table 1.6
Table 1.7
Table 2.1
Table 2.2
Table 2.3
Table 2.4
Table 3.1
Table 3.2
Table 3.3
Table 3.4
Table 3.5
Table 4.1
Table 5.1
Table 5.2

FPD Issuances and Redemptions Held by the Public

FPD Issuances and Redemptions Held by the Public, by index
Issuances and Redemptions of DFPD Public Securities
Treasury Direct Program
DFPD Non-competitive Issuances
EFPD Issuances and Redemptions
EFPD Buyback Program - May-June 2012 period
Outstanding FPD Held by the Public
FPD Profile Held by the Public
DFPD Public Securities Holders
FPD Variation Factors Held by the Public
FPD Maturities Held by the Public
Federal Public Debt Held by the Public Due in 12 Months, by index
FPD Average Maturity
Average Maturity of DFPD Issuances - Public Offerings, by index
FPD Average Life Held by the Public
FPD Average Cost
Secondary Market Turnover, by Security
Top 5 Maturities Turnover in the Secondary Market, by index

5
5
6
8
9
10
11
12
13
14
15
16
16
17
17
18
19
20
21

GRAPHS
Graph 1.1
Graph 1.2
Graph 1.3
Graph 1.4
Graph 1.5
Graph 2.1
Graph 2.2
Graph 2.3
Graph 3.1
Graph 4.1
Graph 5.1
Graph 5.2
Graph 5.3

- DFPD Issuances and Redemptions

- Treasury Direct - Cumulative Sales
- Treasury Direct - Registered Investors
- EFPD Issuances and Redemptions
- EFPD Buyback Program - Reduction in Interest Payments
- FPD Profile, by index
Portfolio Profile, by holder
Average Maturity Profile, by holder
- Average Maturity of DFPD Issuances on Public Offerings Vs Outstanding Average Maturity
- FPD, DFPD and EFPD Average Cost and Selic Rate over the past 12 months
- Secondary Market of Public Securities Daily Turnover as Percentage of Respective Outstanding Volume
Public Securities Yield
Public Securities Yield Evolution Overall IMA

7
8
8
10
11
13
14
14
17
19
20
22
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1. Primary Market Transactions

1.1.

FPD Issuances and Redemptions

In June, Federal Public Debt - FPD1 issuances closed at R$

85.52 billion, while redemptions totaled R$ 51.29 billion,
resulting in net issuances of R$ 34.22 billion. Analysis of this
total indicates that R$ 34.77 billion refer to net issuances of
Domestic Federal Public Debt - DFPD and R$ 0.55 billion to
net redemptions of External Federal Public Debt - EFPD.

All data in this report refer to FPD held by the public.

5

1.2.

Domestic Federal Public Debt DFPD

DFPD Issuances and Redemptions

Issuances of DFPD securities totaled R$ 85.36 billion: R$ 47.36 billion
(55.48%) in fixed rate bonds; R$ 37.35 billion (43.76%) in inflationlinked securities and R$ 0.62 billion (0.72%) in floating rate bonds. A
breakdown of total issuances shows that R$ 22.30 billion occurred in
traditional auctions and R$ 3.32 billion in exchange auctions, coupled
with R$ 57.65 billion in direct issuances and sales through the
Treasury Direct Program.
In the case of LTN auctions, issuances totaled R$ 19.68 billion,
maturing between October 2012 and January 2016, including R$ 16.80
billion with cash payments and R$ 2.88 billion in exchanges for
shorter-term securities.

As regards NTN-B auctions (IPCA-linked securities), issuances totaled

R$ 5.45 billion, maturing between 2016 and 2050, including R$ 2.92
billion with cash payments and R$ 2.53 billion in exchanges for
shorter-term securities. Issuances through NTN-F auctions closed at R$
2.05 billion, maturing between January 2018 and January 2023, with
payments in cash. LFT auctions (SELIC-linked securities) generated
issuances of R$ 0.52 billion in securities maturing in March 2018, with
cash payment.

Total DFPD redemptions reached R$ 50.58 billion, with R$ 0.43 billion

maturing in the month.

GRAPH 1.1

DFPD ISSUANCES AND REDEMPTIONS - JUNE/2012

Treasury Direct Program

June issuances through the Treasury Direct Program2 totaled R$ 266.54 million.
Investor demand was centered primarily on inflation-linked securities, with 69.26%
of total sales. In its turn, the share of fixed rate securities closed at 27.22%, while
floating rate securities accounted for 3.52%.
With regard to the number of investors, 4,801 new participants registered with the
Treasury Direct Program in June. As a result, the overall number of investors
registered since the program first began increased to 305,619, for 23.67% growth
in the last 12 months.

GRAPH 1.2

TREASURY DIRECT - CUMULATIVE SALES

GRAPH 1.3

TREASURY DIRECT - REGISTERED INVESTORS

Program involving public security sales over the Internet to individual buyers.
8

Direct Issuances and Cancellations

Direct issuances of DFPD bonds totaled R$ 57.38 billion, with cancellations amounting to R$ 44.20 billion, generating net issuances of R$ 13.19 billion.

1.3.

External Federal Public Debt EFPD

In the month of June, EFPD redemptions totaled R$ 0.71 billion,

including R$ 0.40 billion in payments of principal and R$ 0.31
billion in payments of interest, premiums and charges.

GRAPH 1.4

EFPD ISSUANCES AND REDEMPTIONS JUNE/2012

10

1.4.

EFPD Buyback Program

Buyback operations in the months of May and June 2012 came to an overall face
value of R$ 226.88 million (US$ 113.87 million) in EFPD bonds. Total financial
outlays in that period came to R$ 283.17 million (US$ 142.11 million).
One should stress that buyback operations had no impact on the outstanding
external debt, since the cancellation process had not yet been effectively
concluded.
The graph below shows the reduction in the flow of interest payments on the
External Federal Public Securities Debt through 2041, as a result of 2012 buyback
operations. The overall reduction in interest during that period closed at R$ 2.41
billion at current values (US$ 1.19 billion).

GRAPH 1.5

EFPD BUYBACK PROGRAM

REDUCTION IN INTEREST PAYMENTS

40,0

R$ Bn

30,0

1200
1.073,0
1000
29,0 27,9
800

681,7
22,1 21,4

25,0

208,0
15,5 15,3

20,0
15,0

600
159,0
9,0

10,0

8,8

400

159,0
6,6 6,4

5,0

R$ Mn (Reduction)

35,0

127,2
200
3,2

3,1

0
2012-2016

2017-2021
Original

2022-2026

2027-2031

After buyback

2032-2036

2037-2041

Reduction

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2. Outstanding Federal Public Debt FPD

2.1 Evolution
Outstanding FPD registered nominal growth of 2.53%, moving from R$
1,922.03 billion in May to R$ 1,970.70 billion in the month of June.
Outstanding DFPD expanded 2.65%, shifting from R$ 1,833.12 billion to
R$ 1,881.65 billion, due to net issuances in the amount of R$ 34.77
billion and positive appropriation of interest worth R$ 13.76 billion.
As far as outstanding EFPD is concerned, compared to the month of
May, overall volume increased 0.16%, ending the month of June at R$
89.05 billion (US$ 44.06 billion), with R$ 77.19 billion (US$ 38.19
billion) involving securities debt and R$ 11.86 billion (US$ 5.87 billion)
referring to contractual debt.

12

2.2 Profile
Indexes
As to the FPD profile, DFPD share expanded slightly, moving
from 95.37% in May to 95.48% in June. In contrast, EFPD share
declined from 4.63% to 4.52%.
The share of fixed-rate FPD securities expanded from 38.13% in
May to 39.45% in June. The share held by floating rate securities
diminished from 25.77% to 23.37% in June. The share of
inflation-linked securities expanded from 31.62% to 32.82%.

GRAPH 2.1

FPD PROFILE BY INDEX JUNE/2012

13

Holders
The category of Financial Institutions posted an increase, in absolute

TABLE 2.3

DFPD PUBLIC SECURITIES HOLDERS

(R$ Bn)

share, from R$ 546.62 billion to R$ 573.18 billion. Relative share

expanded from 29.82% to 30.46%. The stock of Investment Funds

Dec/11
1

May/12

Jun/12

561,16

31,47%

546,62

29,82%

573,18

30,46%

dropped from R$ 501.05 billion to R$ 478.12 billion. Their relative

Funds 2

451,11

25,30%

501,05

27,33%

478,12

25,41%

Pensions 3

274,84

15,41%

253,09

13,81%

306,42

16,28%

share shifted from 27.33% to 25.41%.

Nonresidents 4

202,33

11,35%

224,67

12,26%

230,39

12,24%

Government 5

157,00

8,81%

157,91

8,61%

157,99

8,40%

Insurers 6

72,91

4,09%

77,66

4,24%

63,75

3,39%

The Pensions grouping posted positive variation in its stock, shifting

Other 7

63,71

3,57%

72,12

3,93%

71,81

3,82%

from R$ 253.09 billion to R$ 306.42 billion. The share of

Total

1.783,06

100,0%

1.833,12

100,0%

1.881,65

100,0%

Nonresidents in DFPD decreased from 12.26% to 12.24%, while the

outstanding volume expanded R$ 5.72 billion. The category of
Government decreased its relative share from 8.61% to 8.40%.

Financial Institutions

Includes its own portfolio of commercial banks and foreign banks and domestic and foreign investment banks. It also includes state-owned banks and BNDES, as well as FGTS

accounts operated by the Caixa Economica. The funds' investment banks are also linked to this category.
2

Includes investment funds regulated by CVM Instruction 409, dated 18/08/2004, and other funds. Does not include applications to banks, pension funds, non-resident

investors and insurers that are allocated in their respective categories.

3

Includes investment funds and its own portfolio of open and closed pension and RPPS.

Includes accounts of nonresident created by Circular Letter No. 3278 of 18.6.2007. Are considered non-resident investors natural persons or legal entities and funds and

other collective investment entities resident, domiciled or headquartered abroad. This includes securities held by non-residents through investment funds.

It is important to understand that 78.5% of the portfolio of

Nonresidents is concentrated in fixed rate securities, while 72.0% of
the Pensions portfolio is composed of inflation-linked securities.

Includes funds and resources administered by the Federal Government, such as FAT, FGTS, Extramarket Funds, the Sovereign Fund and Guarantee Funds.

Includes insurers and reinsurers;

Includes accounts of resident natural person, its own portfolio of domestic and foreign distributor/broker, capitalization companies, others of own portfolio.

Obs.1: Database includes only securities registered in the SELI C system, representing approximately 98% of the DFPD stock provided by the BACEN and grouped according to
the classification established by the National Treasury. It is ongoing work to include CETIP data.
Obs. 2: Values ??based on portfolio position measured by the price curve of the intrinsic yield of the securities.
Historical Data: Annex 2.7

GRAPH 2.2

PORTFOLIO PROFILE, BY HOLDER JUNE/2012

GRAPH 2.3

AVERAGE MATURITY PROFILE, BY HOLDER JUNE/2012

14

2.3 Variation Factors

The Federal Public Debt - FPD registered nominal expansion of
2.53%, moving from R$ 1,922.03 billion in May to R$ 1,970.70
billion in June. This variation was due to net issuances of R$
34.22 billion and positive interest appropriations totaling R$
14.45 billion.

15

3. Federal Public Debt - FPD Maturity Profile

3.1 Maturities
FPD maturities in the coming 12 months registered growth from
27.45% in May to 28.01% in June.
The volume of DFPD securities scheduled to mature in up to 12
months increased from 28.23% in May to 28.73% in June. Fixed rate
securities accounted for 57.91% of this total, followed by inflationlinked securities, with share of 22.88% of the total.
In the case of EFPD, the percentage maturing in 12 months moved
from 11.32% in May to 12.72% in June, with securities denominated
in American Dollar accounting for 63.81% of this total. Here, one
should note that maturities of more than 5 years account for
48.32% of outstanding EFPD.

16

3.2 Average Maturity

FPD average maturity registered a decrease from 3.81 years in May to
3.78 years in June.
DFPD average maturity shifted from 3.67 years in May to 3.65 years in
June.
In its turn, EFPD average maturity diminished from 6.59 years in May
to 6.56 years in June.

GRAPH 3.1

AVERAGE MATURITY OF DFPD ISSUANCES ON PUBLIC OFFERINGS VS

OUTSTANDING AVERAGE MATURITY

17

3.3 Average Life

FPD average life3, which reflects only the remaining maturity of public debt
principal, decreased from 6.05 years in May to 6.04 years in June.

This statistic provides more homogeneous information and criteria for comparisons with the data of other countries.
18

4. Federal Public Debt FPD Average Cost

FPD cumulative 12-month average cost decreased 0.04 percentage points,
moving from 12.85% per year in May to 12.81% per year in June.
Parallel to this performance, DFPD cumulative 12-month average cost dropped
from 12.05% per year in May to 11.95% per year in June, as a consequence of
lesser growth in the following indexing factors: i) IPCA (0.08% in June/12,
compared to 0.15% in June/11) and ii) SELIC (0.64% in June/12, against 0.96%
in June/11).
In the case of EFPD, this indicator registered positive growth, from 32.19% per
year in May to 33.46% per year in June, mainly as a result of 0.05%
devaluation of the United States currency against the Brazilian Real in June
2012, compared to devaluation of 1.19% in June 2011.
GRAPH 4.1

FPD, DFPD AND EFPD AVERAGE COST AND SELIC RATE OVER THE
PAST 12 MONTHS

19

5. Secondary Market of Federal Public Securities

5.1

Secondary Market Turnover

The average daily financial volume of bonds negotiated

on the secondary market decreased from R$ 16.19 billion
in May to R$ 15.69 billion in June. The share of fixed rate
securities increased to a level of 57.07% in June, against
43.50% in May. Second place was occupied by inflationindexed securities, with a decrease in share from 38.86%
in May to 24.94% in June. The share of SELIC-indexed
bonds increased to 17.99% in June, against 17.64% in May.

GRAPH 5.1

SECONDARY MARKET OF PUBLIC SECURITIES

DAILY TURNOVER AS PERCENTAGE OF RESPECTIVE
OUTSTANDING VOLUME

20

LTN maturing in July 2012 continue as the fixed-rate security with the largest financial volume, thus preserving the previous month's position. LTN maturing in July
2013 moved up three positions into second place, followed by LTN maturing in January 2016.
With respect to NTN-F, maturities in January 2013 preserved the previous month's position, registering the largest financial volume negotiated. NTN-F maturing in
January 2017 continued in second position. Finally, third place was held by securities maturing in January 2021, which remained in its previous position.
Among LFT, bonds maturing in March 2013 occupied first place, thus preserving the previous month's position. Those maturing in September 2013 continued in second
position, followed by maturities in September 2012, which remained in its previous position.
Finally, NTN-B maturing in August 2016 continued in first place, followed by NTN-B maturing in August 2014, which remained in its previous position. NTN-B maturing in
May 2015 occupied third place, with a gain of one position.

21

5.2

Public Securities Yield

GRAPH 5.2

PUBLIC SECURITIES YIELD JUNE/2012

(CUMULATIVE 12-MONTH %)

GRAPH 5.3

PUBLIC SECURITIES YIELD EVOLUTION OVERALL IMA

(CUMULATIVE 12-MONTH %)

The Anbima Market index - IMA4, created by ANBIMA5 in a partnership with the
National Treasury, verifies the profitability of a theoretical portfolio composed of
public securities in circulation on the market. It is considered an efficient
parameter for purposes of evaluating the evolution of public security
profitability, and has introduced greater dynamics into the primary and
secondary federal public debt markets.
Data for the month of June indicate a drop of 0.4 percentage points in the IMA-S
index, referring to SELIC-linked securities, and a decrease of 0.2 percentage
points in the overall IMA. Data also indicate a growth of 0.5 percentage points in
the yield of fixed rate bonds, represented by the IRF-M. There was a decrease of
2.1 percentage points in IGP-M-linked securities, represented by the IMA-C, and a
drop of 0.4 percentage points in IPCA-linked securities, represented by the IMAB.

IMA Fixed-rate indexes calculated on the basis of the evolution of the market value of portfolios composed of public securities. The overall IMA is the result of weighting of the variations of each
index; the IRF-M is composed of fixed-rate securities (LTN and NTN-F); the IMA-C, of securities tied to the IGP-M (NTN-C); the IMA-B, composed of securities tied to the IPCA (NTN-B); and the IMA-S, of
securities tied to the SELIC rate (LFT). For greater information on the IMA indices, access: http://www.andima.com.br/publicacoes/arqs/edesp_ima_tpf.pdf

Brazilian Association of Financial and Capital Market Entities.

22