5 September 2011
A rollover of Treasury bills in the swap arrangement will take place on Wednesday 21 September 2011. On behalf of the Government, the Ministry of Finance hereby announces an offer of early termination of agreements.
1. Participants entitled to early termination
Early termination on the above date is only available to banks/mortgage companies with swap agreements scheduled to be rolled over on 21 September 2011, that is, swap agreements with NST 12 Treasury bills (maturity date 21 September 2011) in the past six-month period.
2. Terms
2.1. Amount
The swap agreement with the above rollover date must be terminated in its entirety. Partial termination of agreements is not available.
2.2. Remuneration
Termination of agreements is offered against a remuneration corresponding to the present value of the Government’s expected net cash flow over the remaining term of the agreement. The Government’s net cash flow in the swap arrangement is expected to be 40 basis points (0.4 percentage points) per year, i.e. NOK 2 million per NOK 1 billion of the total agreement amount in each rollover period. The present value is calculated using the discount rates in 2.3 below.
2.3. Discount rates
As of 2 September 2011, the discount rates are as follows:
| |
Discount rate
|
Discount rate for
|
|
6-mth synthetic
Treasury bill1
|
2.11 per cent
|
All interest payments in 6 months
|
|
12-mth synthetic Treasury bill1
|
2.01 per cent
|
All interest payments in 12 months
|
|
18-mth synthetic govt bond yield2
|
1.98 per cent
|
All interest payments in 18 months
|
|
24-mth synthetic govt bond yield 2
|
1.96 per cent
|
All interest payments in 24 months
|
|
30-mth synthetic govt bond yield 2
|
1.93 per cent
|
All interest payments in 30 months
|
|
3-year synthetic govt bond1
|
1.90 per cent
|
All interest payments in 36 months
|
1)Calculated by Norges Bank and published on the Norges Bank website.
2)Calculated by Norges Bank based on 12-month Treasury bills and 3-year government bonds.
3. Procedures for early termination
Banks/mortgage companies opting for early termination of swap agreements must submit the following information to Norges Bank by 11 am on Thursday 8 September 2011:
a) Date of agreement (auction date)
b) Maturity date (original agreement)
c) Allotted volume of Treasury bills (market value on date of auction)
d) Nominal volume of covered bonds
e) ISIN-numbers of covered bonds
f) Code of broker in the Norwegian Central Securities Depository (VPS)
g) Contact person at bank/mortgage company with telephone number
The information should be sent by email to: prospektOMF@norges-bank.no. Norges Bank will confirm receipt by phone to the contact person.
4. Settlement
4.1. The remuneration referred to in 2.2 must be paid into account 6345 05 07859 by Thursday 15 September 2011.
4.2. The repurchase of covered bonds shall be settled through the securities settlement system (VPO) on the settlement date, 21 September 2011.
4.3. In the event of non-payment, the bank/mortgage company concerned will not be eligible for early termination on this rollover date.
Oslo, 5 September 2011
Norges Bank
Ministry of Finance