Chart Pack
Review of the Commonwealth Government
Securities market
Discussion Paper, October 2002
Chart 1: Commonwealth general
government net debt
Per cent of GDP
Per cent of GDP
20
20
18
18
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
1991-92
1993-94
1995-96
Net debt
1997-98
1999-00
2001-02
CGS on issue
Source: Commonwealth of Australia Budget Strategy and Outlook 2002-03, Budget Paper No. 1; Commonwealth of Australia
Final Budget Outcome 2001-02; and Australian Office of Financial Management, 2002.
Chart 2: Fixed coupon bonds
outstanding by issuer type (June 2002)
State/Territory
31%
Corporate
36%
Source: Reserve Bank of Australia, 2002 (unpublished).
Commonw ealth
33%
Chart 3: Benchmark Treasury Fixed
Coupon Bonds outstanding (June 2002)
$billion
$billion
8
8
6
6
4
4
2
2
0
0
10%
Oct 02
9.5%
Aug 03
9%
Sep 04
7.5%
Jul 05
6.75%
Nov 06
Source: Australian Office of Financial Management, 2002.
10%
Oct 07
8.75%
Aug 08
7.5%
Sep 09
5.75%
Jun 11
6.5%
May 13
6.25%
Apr 15
Chart 4: Treasury Indexed Bonds
outstanding (June 2002)
$billion
$billion
3
3
2
2
1
1
0
0
4%
Aug 05
4%
Aug 10
Source: Australian Office of Financial Management, 2002.
4%
Aug 15
4%
Aug 20
Chart 5: Net short-term assets and
Treasury Notes outstanding in 2001
$billion
$billion
18
18
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
-2
-2
-4
-4
Jan-01 Feb-01 Mar-01 Apr-01 May-01 Jun-01 Jul-01 Sep-01 Oct-01 Nov-01 Dec-01
Treasury Notes
Net short-term assets
Source: Australian Office of Financial Management, 2002 (unpublished).
Chart 6: State and Territory bonds
outstanding (June 2002)
$billion
$billion
16
16
14
14
12
12
10
10
8
8
6
6
4
4
2
2
0
0
1-3 year
3-5 year
5-7 year
7-10 year
years to maturity
Source: Salomon Smith Barney (2002) AusBIG Profile Report, August 2002, Australia.
10+ year
Chart 7: Corporate bonds outstanding
by issuer
Property
8%
Industrial/
Transport Mining
Other Media 4%
3%
Utilities
1%
2%
Retail 6%
2%
Telecos
4%
Non-residents
32%
Source: Reserve Bank of Australia, 2002 (unpublished).
Financials
38%
Chart 8: Maturity profile of corporate fixed
coupon bonds outstanding (June 2002)
$billion
$billion
25
25
20
20
15
15
10
10
5
5
0
0
1-3 year
3-5 year
5-7 year
7-10 year
years to maturity
Source: Salomon Smith Barney (2002) AusBIG Profile Report, August 2002, Australia.
10+ year
Chart 9: History of outstanding bonds
$billion
$billion
120
120
Commonw ealth
100
100
80
80
60
60
State
40
40
20
0
1990 1991
Corporate
1992 1993
1994 1995
1996 1997 1998
20
1999 2000
0
2001 2002
Note: The figures for the Commonwealth include indexed bonds and exclude the Commonwealth's own holdings. Corporate e
include floating-rate bonds but exclude asset-back securities.
Source: Reserve Bank of Australia, 2002.
Chart 10: Turnover in Australian fixed
coupon debt markets
$billion
$billion
800
800
700
700
600
600
500
500
400
400
300
300
200
200
100
100
0
0
1997-98
1998-99
Corporate
State
1999-00
2000-01
Commonw ealth
Source: Australian Financial Markets Association (2001) Australian Financial Market Report, AFMA-SIRCA, Australia.
Chart 11: Turnover of Treasury bonds
and Treasury bond futures contracts
$billion
$billion
2000
1800
1600
1400
1200
1000
800
600
400
200
0
2000
1800
1600
1400
1200
1000
800
600
400
200
0
1996-97
1997-98
Treasury bonds
1998-99
1999-00
2000-01
Treasury bond futures
Source: Australian Financial Markets Association (2001) Australian Financial Market Report, AFMA-SIRCA, Australia.
Chart 12: Turnover of Treasury bonds
and interest rate swaps
$billion
$billion
1200
1200
1000
1000
800
800
600
600
400
400
200
200
0
0
1996-97
1997-98
Treasury bonds
1998-99
1999-00
2000-01
Interest rate sw aps
Source: Australian Financial Markets Association (2001) Australian Financial Market Report, AFMA-SIRCA, Australia.
Chart 13: Turnover in the repurchase
market by instrument
$billion
$billion
4500
4500
4000
4000
3500
3500
3000
3000
2500
2500
2000
2000
1500
1500
1000
1000
500
500
0
0
1998-99
Corporate
1999-00
State
2000-01
Commonw ealth
Source: Australian Financial Markets Association (2001) Australian Financial Market Report, AFMA-SIRCA, Australia.
Chart 14: Commonwealth Government
Securities yield curve (June 2002)
Yield (per cent)
Yield (per cent)
6.2
6.2
6.0
6.0
5.8
5.8
5.6
5.6
5.4
5.4
5.2
5.2
5.0
5.0
1
2
3
4
5
6
Years to maturity
Source: Bloomberg, 2002.
7
9
11
13
Chart 15: Outstandings and turnover in
the Australian corporate debt market
$billion
$billion
100
250
80
200
60
150
40
100
20
50
0
0
Jun-97
Jun-98
Jun-99
Outstanding (LHS)
Jun-00
Jun-01
Turnover (RHS)
Note: Includes floating rate bonds but excludes asset-back securities.
Source: Reserve Bank of Australia (2002) Bulletin Statistical Tables; Australian Financial Markets Association (2001)
Australian Financial Market Report, AFMA-SIRCA, Australia.
Chart 16: The interest rate swap curve
(June 2002)
Yield (per cent)
Yield (per cent)
6.6
6.6
6.4
6.4
6.2
6.2
6.0
6.0
5.8
5.8
5.6
5.6
5.4
5.4
5.2
5.2
5.0
5.0
1
2
3
4
5
6
Years to maturity
Source: Bloomberg, 2002.
7
8
9
10
Chart 17: Spread of corporate bonds to
Treasury bonds
Basis points
Basis points
120
120
100
100
80
80
60
60
40
40
20
20
0
Jul-97
0
Mar-98
Nov-98
AAA
Jul-99
Mar-00
AA
Note: Bonds with three years to maturity.
Source: Reserve Bank of Australia (2002) Bulletin Statistical Tables.
Nov-00
Jul-01
Mar-02
A
Chart 18: US corporate-government
bond spread and Dow Jones Index
Percentage points
Index
3.6
11000
3.5
10500
3.4
3.3
10000
3.2
Enron
9500
3.1
3
9000
2.9
8500
2.8
2.7
03/09/2001
03/11/2001
03/01/2002
03/03/2002
Credit spread (LHS)
Note: Credit spread = ten-year BAA minus ten-year US Treasuries.
Source: Datastream, 2002.
03/05/2002
8000
03/07/2002
Dow Jones (RHS)
Chart 19: Australia’s current account
balance
Per cent of GDP
Per cent of GDP
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3
-4
-4
-5
-5
-6
-6
-7
1960-61
1965-66
1970-71
1975-76
1980-81
1985-86
1990-91
1995-96
Source: Australian Bureau Statistics (2002) Australian System of National Accounts, Cat. No. 5204, AusStats Time
Series Spreadsheets, ABS, Canberra.
-7
2000-01
Chart 20: CGS outstanding if retired at
maturity and no further issuance
$billion
$billion
80
80
Outcomes
Projections
60
60
40
40
20
20
0
0
1996-97
1998-99
2000-01
2002-03
2004-05
2006-07
Note: Refers to Treasury bonds outstanding.
Source: Australian Office of Financial Management and Treasury projections, 2002 (unpublished).
2008-09
Chart 21: Growing the CGS market in
line with nominal growth in GDP
$billion
$billion
80
80
Outcomes
Projections
60
60
40
40
20
20
0
0
1996-97
1998-99
2000-01
2002-03
Additional financial assets
2004-05
2006-07
CGS on issue
Note: Refers to Treasury bonds outstanding.
Source: Australian Office of Financial Management and Treasury projections, 2002 (unpublished).
2008-09
Chart 22: Growing the CGS market in line
with growth in financial assets
$billion
$billion
120
120
Outcomes
Projections
100
100
80
80
60
60
40
40
20
20
0
0
1996-97
1998-99
2000-01
2002-03
Additional financial assets
2004-05
2006-07
2008-09
CGS on issue
Note: Refers to Treasury bonds outstanding.
Source: Australian Office of Financial Management and Treasury projections, 2002 (unpublished).
Chart 23: Australia’s financial asset
market size (June 2002)
$billion
$billion
800
800
700
700
600
600
500
500
400
400
300
300
200
200
100
100
0
0
State bonds
State & AAA All investment ASX100 &
ASX 200 &
ASX 300 &
corporate
grade bonds investment
investment
investment
bonds
grade bonds grade bonds grade bonds
Debt
Equity
Note: Investment grade bonds refer to debt securities with a credit rating of BBB or higher.
Source: Salomon Smith Barney (2002) AusBIG Profile Report, August 2002, Australia; and Bloomberg, 2002.
Chart 24: Size of Government investment
possible with investment limits
$billion
$billion
50
45
40
50
45
40
35
30
25
20
15
35
30
25
20
15
10
5
0
10
5
0
State bonds
State & AAA All investment ASX100 &
ASX 200 &
ASX 300 &
corporate grade bonds investment
investment
investment
bonds
grade bonds grade bonds grade bonds
Source: Salomon Smith Barney (2002) AusBIG Profile Report, August 2002, Australia; and Bloomberg, 2002.
Chart 36: Singapore Government
securities on issue
Per cent of GDP
Per cent of GDP
40
40
30
30
20
20
10
10
0
0
1983
1985
1987
Source: CEIC Asia Database, 2002.
1989
1991
1993
1995
1997
1999
2001
Chart 37: Hong Kong Government
securities on issue
10
Per cent of GDP
Per cent of GDP
10
8
8
6
6
4
4
2
2
0
0
1990
1991
1992
1993
Source: CEIC Asia Database, 2002.
1994
1995
1996
1997
1998
1999
2000
2001
Chart 38: US government, corporate
and agency securities on issue
Per cent of GDP
Per cent of GDP
60
60
50
50
40
40
30
30
20
20
10
10
0
0
1990
1991
1992
1993
Agency Debt
1994
1995
1996
Corporate Debt
1997
1998
1999
Government Debt
Note: Government debt refers to government debt held by the public.
Source: The Bond Market Association, 2002; OECD (2002) Economic Outlook, No. 71, OECD, Paris.
2000
2001
Chart 39: Korean government and
corporate securities on issue
Per cent of GDP
Per cent of GDP
30
30
25
25
20
20
15
15
10
10
5
5
0
0
1987
1989
Treasury Bonds
1991
1993
1995
Total Government Bonds
1997
1999
2001
Corporate Bonds
Note: Total Government bonds comprise of Treasury Bonds, Foreign Exchange Stabilisation Bonds, National Housing Bonds an
Source: Korea National Statistics Office, 2002.
Chart 40: New Zealand Government
asset portfolios: 2002 to 2006
$billion
$billion
10
10
8
8
6
6
4
4
2
2
0
0
Government
Superannuation Fund
Earthquake
Commission
Accident
Compensation
Commission
New Zealand
Superannuation Fund
Note: A number of other substantial asset portfolios are held by the Government, including assets held by the
Reserve Bank of New Zealand, and the New Zealand Debt Management Office.
Source: New Zealand Treasury, (2002) Budget Economic and Fiscal Update.
Chart 41: Accumulated assets in
Norway’s Government Petroleum Fund
Per cent of GDP
Per cent of GDP
70
70
60
60
50
50
40
40
30
30
20
20
10
10
0
0
1996
1997
1998
1999
2000
2001
2002
Note: Data for 2002 and 2003 are projections.
Source: Norges Bank (2001) The Government Petroleum Fund: Annual Report; Ministry of Finance estimates.
2003
Chart 42: Canadian Pension Plan
asset holdings
$billion
$billion
60
60
50
50
40
40
30
30
20
20
10
10
0
0
1999
CPP Investment Board
2000
2001
Canadian Pension Plan (CPP)
2002
Total
Source: Canadian Pension Plan Annual Report, various years, Government of Canada; Canadian Pension Plan
Investment Board, Annual Report, various years.
Chart 43: Accumulated assets in
Ireland’s National Pension Reserve Fund
€ billion
€ billion
10
10
8
8
6
6
4
4
2
2
0
0
2000
Accumulated Government contributions
Source: National Pension Reserve Fund Commission, 2001.
2001
Total assets
Table 1: Commonwealth Government
Securities outstanding
Treasury
Treasury
Treasury
Treasury
Other
Total
Fixed Coupon Bonds (a)
Indexed Bonds
Notes
Adjustable Rate Bonds
1996
$b
77.1
3.7
15.8
7.1
0.3
103.9
1997
$b
79.5
4.5
13.3
8.0
0.8
106.1
1998
$b
70.0
5.2
10.3
4.3
0.8
90.6
30 June
1999
$b
65.2
5.6
7.0
4.3
0.8
82.9
Note: Net of Commonwealth holdings and debt on issue for the States and Territories.
Source: Australian Office of Financial Management, 2002.
2000
$b
59.1
5.9
5.8
2.5
0.5
73.8
2001
$b
53.7
6.2
5.1
0.0
0.3
65.3
2002
$b
51.1
6.4
4.2
0.0
0.4
62.1
Table 2: Correlation of changes in interest
rate swap rate with other debt security yields
Commonw ealth Government
Securities
Interest rate sw ap
AAA
Corporate yields
AA
A
0.990
0.975
0.974
0.969
0.972
0.966
Note: Correlation calculations based on monthly yield data fro three-year fixed coupon bonds over the period August 1997 to June 2002.
Source: Treasury calculations based on data from Bloomberg, 2002.
Table 3: Holdings of CGS by sector
Central bank
Banks and other depository corporations
Life insurance corporations
Other insurance corporations
Pension funds
Financial intermediaries
Households
Central borrow ing authorities
Rest of w orld
Total
1997-98
$b
11.5
10.2
12.4
7.0
15.1
1.8
0.2
1.0
37.8
97.0
1998-99
$b
10.2
7.7
12.4
7.0
13.8
3.4
0.1
1.5
31.5
87.8
1999-00
$b
14.9
6.0
10.0
5.6
14.2
3.2
0.1
1.7
22.3
78.1
2000-01
$b
14.6
3.3
8.5
4.7
12.3
1.9
0.1
0.9
23.0
69.4
Note: Amount outstanding at the end of the June quarter. Estimates for 2001-02 are for the end of the March quarter.
Source: Australian Bureau of Statistics (2002) Financial Accounts, Cat. No. 5232, March quarter.
2001-02
$b
10.4
3.6
7.8
4.4
11.6
1.6
0.1
0.5
23.8
63.9