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Quarterly Refunding Charts

May 2, 2005
Office of Debt Management
Current Financing

• FY 2005 Q3 and Q4 Outlook:


– Estimated net marketable paydown of $42 billion this quarter
and net marketable borrowing of $103 billion next quarter

• The Q3 estimated paydown is $54 billion less than we expected in


January

2
Treasury Financing Requirements
($ Billions)
January - March 2005 April - June 2005
(Projected) (Actuals) (Projected)

Deficit Funding (Def + / Surplus -) 178 177 -10

Means of Financing
• Non-marketable financing (SLGS) Change in Cash Balance 15 2 2
Net Non-Marketable Financing 5 17 16
was higher than expected. Net Marketable Financing 147 144 -42
Other* 11 14 14

• Financing broadly distributed across Net Marketable Financing 147 144 -42
bills, notes and TIPS. Bills 56
Nominal Notes 70
TIPS 21
Bonds -2

Notes:
Starting Cash Balance 25 25 22
Ending Cash Balance 10 22 20

* Includes direct loan activity, changes in accrued interest and checks outstanding and minor miscellaneous transactions.
Note: Totals may not add due to rounding

T r e a s u r y D a ily O p e r a tin g C a s h B a la n c e
• April individual tax receipts were 90
$ b illio n s $ b illio n s
90
greater than anticipated. FY 2003
N o te : D a ta th r o u g h A p r il 2 8 , 2 0 0 5
FY 2004
80 80
FY 2005

• $22.5 billion end of March balance. 70 70

60 60

50 50

40 40

30 30

20 20

3 10 10

0 0
O ct Nov Dec Jan Feb M ar Apr M ay Jun Jul Aug Sep
T reasury Q uarterly N et M arket B orrow ing
$ b illio n s
C alendar Q uarter $ b illio n s
160 1 60
52 .1 145 .9 144 .2

84.2 11 1.3 1 13.4


74.4
120 97 .8 1 20
81.5
82 .6 60 .3 89.0
31 .3
80 80
52.5
• Financing needs continue to be met 15.1

40 40
by net new issuance across the
nominal and TIPS curves. 0 0

-4 0 -4 0

• Small pay downs in 2-yr notes and -8 0


17.8
-8 0

nominal bonds. B uyb acks


-1 2 0 O ver 10 years -1 2 0
5-10 ye ars
-1 6 0 2-under 5 years -1 6 0
-1 63.4
B ills
-2 0 0 -2 0 0
I-0 1 II III IV I-0 2 II III IV I-0 3 II III IV I-0 4 II III IV I-0 5

Treasury Quarterly Net Borrowing from Nonmarketable Issues


$billions Calendar Quarter $ billions
20 16.6 20

State and Local


Govt. Series
15 15

• Record net new cash raised in State Savings Bonds

and Local Govt. Series (SLGS) 10


Foreign Series
7.6
7.6
10
4.5
issuance. 5
3.9
5
1.1
0.8
0.8

0 0

-1.7 -0.1 -0.7 -2.4


-1.4
-5 -2.2 -5
-5.0
-5.5 -6.0
-8.0
-10 -8.4 -10
-10.1
4 -10.6

-15 -15
I 00 II III IV I 01 II III IV I 02 II III IV I 03 II III IV I 04 II III IV I 05
3
P0erc en tag e o f G D P P ercen tag e o f G D 3P0
D rivers o f F in a n c in g N e ed s
25 25
A verag e H isto rical
D ifferen ce: 2%

• Forecasts for fiscal 20 20

improvement remain intact.


15 O u tlays 15
R even u e E stim a te d
G D P G ro w th
10
N et In tere st 10

5 5

0 0

S O U R C E : O M B B u d g et F Y 2 006
-5 -5
1960 1965 1970 1975 1979 1984 1989 1994 1999 2004 2009

P ro je c te d N e t M a r k e ta b le B o r ro w in g a n d H y p o th e tic a l B ill A u c tio n S iz e s


If C o u p o n A u c tio n S iz e s H e ld C o n s ta n t
A v e ra g e A n n o u n c e d
A N e t B o rro w in g
4 5u c tio n S iz e 500
$ B illio n s
$ B illio n s

• At current coupon levels bill 40 N e t M a rk e ta b le B o rro w in g (R H S ) 4 -w e e k 450

issuance rises in FY 2009 due 35


1 3 -w e e k
400
2 6 -w e e k
to increased rollover, despite
30 350
declining deficits.
25 300

20 250

15 200

10 150

5 100

0 50
5 2005 2006 2007 2008 2009 2010
A ssu m e s O M B 's F Y 2 0 0 6 B u d g e t d e fic it p ro je c tio n s (e x c e p t in te rn a l T re a s u ry e stim a te u se d fo r F Y 0 5 ) a n d c o u p o n a u c tio n siz e s re m a in a t m o st
re c e n tly a n n o u n c e d a m o u n ts. B ill issu a n c e siz e s a re sh o w n in fix e d sh a re s to m e e t re sid u a l fin a n c in g n e e d s.
Projected Net Marketable Borrowing and Hypothetical Auction Sizes
If Bill Issuance held Constant at FY 2005 Level
Announced
45
auction sizes Net borrowing
450
$ billions $ billions

40 400
• Coupon sizes show manageable Net Marketable
Borrowing (RHS)
growth under budget deficit 35 350

projection and constant bill issuance. 30 300

25 250

20 200

15 150

10 100

5 50

0 0
2005 2006 2007 2008 2009 2010
BILLS 2-YEAR 3-YEAR 5-YEAR 10-YEAR 5-YEAR TIPS 10-YEAR TIPS 20-YEAR TIPS

* *For bills, the average auction size equals the amount outstanding at the end of the fiscal year divided by 43
(i.e., 4 1-month auctions, 13 3-month auctions, plus 26 6-month auctions).

6
Debt Portfolio
Assuming coupon levels held constant and new budget projections:

• Average maturity of issuance rises on 20-year TIPS issuance

• Maturity of total outstanding drops from around 4.5 years to less than
4 years over the next 5 years

• The percent of debt maturing with 3 years or less to maturity would


reach nearly 63%

7
1/
DEBT MATURITY MEASURES
months months

90 Average Maturity of Issuance 90

• The combination of continued 80 80


residual bill financing and (Projected)

maturing bonds results in the 70 70


decline of the average maturity of
debt outstanding.
60 60
53.3

50 50
Average Maturity
As of March 31, 2005
40 36.8
40
Assumptions: FY06 OMB Budget (except internal Treasury estimate used for FY05)
and coupon issuance maintained at current levels.
30 30

20 20
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010
1/ The average maturity of issuance is the ultimate average maturity achieved if coupon issuance in any given quarter is held constant going forward and the balance
of financing needs are met with changes in bill issuance. (4 quarter moving average).

80% Percentage Breakdown of Annual Issuance 80%

70% 70%

60% 60%

• Bills as a percentage of total 50% 50%


annual issuance are projected to Projected
increase. 40% 40%

30% 30%

20% 20%

10% 10%

0% 0%
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

8 Bills 2-3 yrs 4-7 yrs 10-yrs Bonds TIPS

Projections based on OMB's FY 2006 Budget (except internal Treasury estimate used for FY05) and assumes coupon auction sizes remain at
most recently announced amounts. Residual amounts financed with bills.
Distribution of Marketable Debt Outstanding by Security
35% 35%

30% 30%

• 2- and 3- year notes outstanding 25% 25%

are expected to temporarily


20% 20%
exceed bills outstanding at the
end of FY 2005. 15% 15%

10% 10%
• TIPS growth continues.
Projected
5% 5%

0% 0%
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

BILLS 2-3 YR NOTES 4-7 YR NOTES 8-10 YR NOTES BONDS TIPS

• If residuals are financed with Projections based on OMB's FY 2006 Budget (except internal Treasury estimate used for FY05) and assumes coupon auction sizes remain at
most recently announced amounts. Residual amounts financed with bills.
bills, then maturing debt with
1-3 years is increasing, Percentage of Debt Maturing in Next 12 to 36 Months
75% 75%
consistent with declining
average maturity. 70% 70%

65% Maturing in 36 Months 65%

60% 60%

55% Maturing in 24 Months 55%

50% 50%

45% 45%

40% Maturing in 12 Months 40%

35% 35%
Projected
30% 30%

25% 25%
9 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

Projections based on OMB's FY 2006 Budget (except internal Treasury estimate used for FY05) and assumes coupon auction
sizes remain at most recently announced amounts. Residual amounts financed with bills.
Treasury Annual Net Market Borrowing
$ Billions
500 500

400 Buybacks 400


over 10 years

• On a net basis 2- and 3-year notes 300 5-10 years 300


are expected to provide minimal 2-under 5 years
new cash after FY 2006. 200 Bills 200

100 100

0 0

-100 -100
Projected

-200 -200

-300 -300
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Projections are based on FY 2006 OMB's Budget (except internal Treasury estimate used for FY05) and assumes coupon auction sizes
remain at most recently announced amounts. Residual amounts financed with bills.

10
Uncertainty

• FY 2006 forecast shows modestly larger residual financing needs


from 2006-2010

• FY 2005 residual financing need has fallen due to improved receipts


and record SLGS issuance

11
FY 05 Deficit Estimates
($ Billions)

ƒ Primary dealer estimates Primary Dealers CBO OMB


have risen slightly.
Current: 382 365 427
Range based on average absolute error 329-435 264-466 342-512
Estimates as of: April 28, 05 March 05 February 05
Note: Ranges based on Errors from 1997-2004
F in a n c in g R e s id u a ls G iv e n C u r r e n t I s s u a n c e C a le n d a r
A s s u m e s c u r r e n t c o u p o n i s s u a n c e p a t te r n a n d i s s u a n c e a m o u n t- - W e e k l y b i l l is s u a n c e a t l e v e l s r e q u ir e d to m a i n t a i n
ƒ FY 2005 residual has $ b illio n s
o u t s ta n d i n g F Y $ a m o u n t s e q u a l t o S e p te m b e r 3 0 , 2 0 0 4 t o t a l o u ts t a n d in g
$ b illio n s
700 700
declined due to stronger N o te : F Y 2 0 0 5 N e t F in a n c in g a m o u n t is a n in te r n a l T r e a s u r y e s tim a te .

than expected receipts and 600


N e t f in a n c in g p lu s a v e r a g e a b s o lu t e
600
e r r o r in O M B e s tim a te
net SLGS issuance. 500 500

N e t f in a n c in g im p lie d b y F Y 0 6 O M B
400 B u d g e t d e f ic it f o r e c a s t
400

300 300
N e t f in a n c in g
m in u s a v g . a b s o lu te
200 e r r o r in O M B e s t. 200

100 100

0 0

B a r s i n d ic a te e s tim a te d c h a n g e in
-1 0 0 f in a n c in g r e q u ir e d in g iv e n y e a r f o r -1 0 0
d if f e r e n t d e f ic it o u tc o m e s

-2 0 0 -2 0 0
12 N o te : A v e r a g e h is t o r ic a l e r r o r s w e r e e s t im a te d w it h a li n e a r l e a s t- s q u a r e s r e g r e s s i o n u s i n g O M B 's b u d g e t f o r e c a s ts s in c e t h e 1 9 8 9 B u d g e t
a n d t h e M S R s in c e 1 9 9 8 .
-3 0 0 -3 0 0
2005 2006 2007 2008 2009 2010
F is c a l Y e a r s
Capital Markets

• Foreign holdings of Treasury debt continue at historical highs, but are


comparable to foreign holdings of other G-7 countries

• Treasuries represent a stable proportion of the U.S. credit market

13
Percent Percent
60%
Foreign Holdings as a Percent of Total Privately Held Public Debt 1/ 60%
* * *
53%

Estimated foreign holdings as % of private. 2/ Benchmark


• Foreign holdings growth has 50%
Revisions
50%

stabilized near 53 percent of Foreign and International Institutional Holdings at


FRBNY as % of private. 3/
privately held debt. 40% 40%

28%
30% 30%

20% 20%

10% 10%
1/ Privately held debt excludes holdings of the Federal Reserve.
2/ Data through Feb. 28, 2005. See www.treas.gov/tic/indec.html.
3/ Source: Federal Reserve Bank of NY statistical release H4.1.

0% 0%

1993 1994 1995 1996 1997 1998 1999 2000 2001 . 2002 2003 2004 2005
Calendar Year

N O N - R E S ID E N T P A R T IC IP A T IO N
IN G - 7 G O V E R N M E N T B O N D M A R K E T S
60% 60%
Canada UK F ra n c e G e rm a n y
53%
• Non-resident participation in U. S. 50%
Japan I ta ly U .S .
50%

Treasury market comparable to


40% 40%
some G-7 government debt
markets. 30% 30%

20% 20%

10% 10%

0% 0%
19

19

20

20

20

20

20
14
98

99

00

01

02

03

04
S o u r c e s : C a n a d ia n M O F , U K D M O , U .S . T IC , F r e n c h T r e s o r , B u n d e s b a n k , J a p a n e s e M O F w e b s ite s , Ita lia n T r e a s u r y a n d U .S . T r e a s u r y s ta f f
c a lc u la tio n s . D a ta f o r th e U K a n d G e r m a n y a r e th r o u g h Q 3 2 0 0 4 .
Percentage of GDP
80
U.S. Debt Compared to the G7
U.S. Net General Government Debt 75

G7 less US Median Net General


Government Debt 70
G7 less US Average Net General
Government Debt 65
• U.S. debt levels compare favorably
to other G-7 countries. 60

55

50

45
Estimated

40
Net debt is federal, state and municipal government debt held by the
public. (That is, it is net of claims of government entities on each 35
other). Such data are not always comparable across countries.
SOURCE: IMF, WEO April 2005
30
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

P e rc e n ta g e B re a k d o w n o f N o n fin a n c ia l C re d it M a rk e t D e b t
40% 40%

35% 35%
• Treasury share of U.S. credit
markets remains stable. 30% 30%

25% 25%

20% 20%

15% 15%

10% 10%

5% 5%

S o u rc e : U .S . F e d e ra l R e s e rv e B o a rd o f G o v e rn o rs F lo w o f F u n d s .

0% 0%
15 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004

R e s id e n tia l M o rtg a g e s O th e r M o rtg a g e s T re a s u rie s M u n i's C o rp o ra te s C o n s u m e r C re d it O th e r


Outstanding Short-term Marketable Treasury Securities as a Percentage of Money
Market Instruments

75% 75%

• Treasury share of U.S. money 70% 70%

markets remains below 20- 65% 65%

year average. 60% 60%

55% 55%

50% 50%

45% 45%

40% 40%

35% Short-term Marketable Treasuries = Treasury bills and Treasury coupon securities with 1 year or less remaining to maturity or call. 35%
Money Market = Short-term Treasury securities, commercial paper, and open market paper.

30% Sources: U.S. Treasury and U.S. Federal Reserve Board of Governors Flow of Funds statistical release Z.1 30%

25% 25%
1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004

Calendar Quarters

Net Primary Dealer Positions in Treasuries


6
TIPS 40
Nominal Treasuries
($ billions) ($ billions)
5 20
nominal zero line
0
4
• Dealer net short in TIPS near -20
3
all-time high. -40
2
-60
1
TIPS Auction Weeks
-80
0
TIPS zero line -100
-1
-120

-2 TIPS (LHS) -140


TIPS auctions
16 -3
Nominal Treasuries (RHS)
-160
Ap 01

Ju 1

Au 1

O 1

D 1

Ap 02

Ju 2

Au 2

O 2

D 2

Ap 03

Ju 3

Au 3

O 3

D 3

Ap 4

Ju 4

Au 4

O 4

D 4

Ap 05
Fe

Fe 1

Fe 2

Fe 3

Fe 4
ec

ec

ec

ec
ct

ct

ct

ct
n-

n-

n-

n-
b-

b-

b-

b-

b-
r- 0

g-

r- 0

g-

r- 0

g-

r- 0

g-

r- 0
-0

-0

-0
-0

-0

-0

-0

-0
0

0
0
0

5
Source: NY Fed
Auction Release Time Performance
Current quarter exceptions to Treasury’s 2 minute auction release times
2/7/05 – 13-week Bill: An XML failure resulted in manual typing of results from the PDF version posted on the
Bureau of Public Debt's website.

Auction Release Times for May 2004 - April 2005


Data through April 27, 2005
(In Minutes and Seconds)
**
5:00 5:00
* Release time of 28 minutes, 19 seconds
4:30 * Release time of 28 minutes, 24 seconds 4:30

4:00 4:00

3:30 3:30

3:00 3:00

2:30 2:30
Target release time range
2:00 2:00

1:30 1:30

1:00 1:00

0:30 0:30

0:00 0:00
5/3/04 6/2/04 7/6/04 8/3/04 9/7/04 10/5/04 11/8/04 12/6/04 1/10/05 2/8/05 3/8/05 04/11/2005

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