Quarterly Refunding Charts

August 1, 2005

Office of Debt Management
2

Current Financing

• Estimated net marketable borrowing for FY 2005 is $222 bil

decline of $81 billion from the last quarterly estimate

• FY 2005 Q4 and FY 2006 Q1 Outlook:

– Estimated net marketable borrowing of $59 billion this q

$97 billion next quarter

• Increased revenue and larger than anticipated net SLGS (est

$66 billion in FY05) have led to reduced Q4 financing needs 

• We are projecting that net SLGS issuance will fall back from 

levels of the last two quarters during FY 2006
3

• Non-marketable financing driven by 

SLGS continues to provide larger than projected net cash.

• Bill financing was reduced to 

accommodate sharply lower financing needs.

• New chart to display mid- and endof- month coupon outflows for the 

next three months.

Maturing Coupons Cou

Date (Excluding SOMA holdings) Paym

2005

August 15 18.6 24August 31 23.2 1

September 15 0 1September 30 25.0 1

October 15 0 2October 31 25.8 1

(in dollar billions

Marketable Treasury Coupon Flows

 Treasury Financing Requirements

($ Billions)

 (Projected) (Actuals) 

Deficit Funding (Def + / Surplus -) -10 -45 

Means of Financing

Change in Cash Balance 2 -11 Net Non-Marketable Financing 16 24 Net Marketable Financing -42 -79 Other* 14 21 

Net Marketable Financing -42 -79 

Bills -136Nominal Notes 46TIPS 18Bonds -7

Notes:Starting Cash Balance 22 22 Ending Cash Balance 20 33 

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

 April - June 2005 
4

• Record net bill paydown of $135.7 

billion in Q2 2005. Previous record of $123.4 billion set in Q2 2000.

• Total net paydown in Q2 2005 of 

$78.5 is the first quarterly net paydown since Q2 2001.

• Individual and corporate tax receipts 

continue to be stronger than projected.

• Strength in April-May receipts led to 

high balances.

Treasury Quarterly Net Marketable Borrow

Calendar Quarter

52.1

52.5

15.1

82.6 60.3 81.5

1

17.8

84.2 111.3 113.4

74.4

-163.4

-200-160-120

-80-40

0

4080

120160

I-01 II III IV I-02 II III IV I-03 II III IV I

$ billions

BuybacksOver 10 years5-10 years2-under 5 yearsBills

Treasury Daily Operating Cash Balan

0

102030405060708090

Oct Nov Dec Jan Feb Mar Apr May Jun 

$ billions

FY 2003FY 2004FY 2005

Note: Data thr
5

• Another record quarter in net 

cash raised in State and Local Govt. Series (SLGS) issuance.

• FY 2005 non-marketable 

borrowing on track for a record of $57 billion net cash.

• Fiscal forecasts are within 

historic norm.

Drivers of Financing Needs 

-5

05

1015202530

1960 1965 1970 1975 1979 1984 1989 1994 

Percentage of GDP

OutlaysRevenueGDP GroNet Inter

SOURCE: OMB MSR FY 2006

Average 

Differen

Treasury Quarterly Net Borrowing from Nonmar

 Calendar Quarter

-8.0

-5.0

-10.1

-2.2 -1.4

-1.7

-10.6

0.8

-5.5

-0.1 -0.7

7.6

-2.4

-8.4

7.6

0.8

4

-15-10

-5

05

1015202530

I 00 II III IV I 01 II III IV I 02 II III IV I 03 II III IV I 0

$billions

State and Local Govt. SeriesSavings BondsForeign Series
6

• Percentage changes in auction 

sizes are equally distributed across auctioned securities to meet financing needs.

Projected Net Marketable Borrowing and Hypothetical 

-4%-2%

0%2%4%6%8%

10%12%14%

2005 2006 2007 2008 200

Percent

Net Marketable Borrowing (RHS)

Projections are based on current OMB MSR budget estimates (except internal Treasury estimate for FYfinancing needs are spread equally across auctioned securities to maintain constant maturity of issuance

Bars represent percentage change in average auction size from prior year (LHS)

Current Auction SizeBills $15.9B 2-year $20B3-year $22B5-year $13B10-year $14B is5-year tips $11B iss10-year tips $9B issu20-year tips $10B iss
7

Debt Portfolio

• Average maturity of issuance plateaus around 37 months• Maturity of total outstanding declines from 4 1/2 years to 

3 1/2 years over the next 5 years

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

around 60 percent

Assumptions used in the next 5 charts:• Future residual financing needs are spread equally across a

securities to maintain constant maturity of issuance 

• Current OMB MSR budget estimates (except internal Treas

estimate for FY05)
8

• Average maturity continues to 

decline.

• Bills’ share of debt outstanding 

has fallen as a result of an unexpected decline in net marketable financing needs. 

• 4-7 year notes and TIPS make up 

a growing share of debt outstanding.

DEBT MATURITY MEASURES

2030405060708090

1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 20

months

Average Maturity of Issuance

Average Maturity 

As of June 30, 2005 

Projections are based on current OMB MSR budget estimates (except internal Treasury estimate for Fneeds are spread equally across auctioned securities to maintain constant maturity of issuance.

D istribution of M arketable D ebt O utstanding 

0 %5 %

10%15%20%25%30%35%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 

BILLS 2-3 YR N O TES 4-7 YR N O TES 8-10 YR NO TES 

P rojections are based on current O M B M S R budget estim ates (except internal T reasury estim ate for F needs are spread equally across auctioned securities to m aintain constant m aturity of issuance.
9

• The trajectory of debt maturing 

within 3 years is at the lower end of historical ranges. 

• Maintains short-dated bias. 

Percentage of Debt M aturing in Next 12 to 36 

25%30%35%40%45%50%55%60%65%70%75%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 

M aturing in 12 M onths

M aturing in 24 M onths

M aturing in 36 M onths

Projections are based on current O M B M SR budget estim ates (except internal Treasury estim ate for FY20needs are spread equally across auctioned securities to m aintain constant m aturity of issuance.

Percentag e Breakdow n of Annual Issuan

0 %

10%20%30%40%50%60%70%80%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 

Bills 2-3 yrs 4-7 yrs 10-15 yrs Bond

Projections are based on current O M B M SR budget estim ates (except internal T reasury estim ate for FY2needs are spread equally across auctioned securities to m aintain constant m aturity of issuance.
10

• Net marketable borrowing is 

proportionally distributed across maturities consistent with constant maturity of issuance.

Treasury Annual Net Market Borrow

-300-200-100

0

100200300400500

1998 1999 2000 2001 2002 2003 2004 2005 2006 200

$ Billions

Buybacksover 10 years5-10 years2-under 5 yearsBills

Projected

Projections are based on current OMB MSR budget estimates (except internal Treasury estimate fneeds are spread equally across auctioned securities to maintain constant maturity of issuance.
11

Uncertainty

• Looking forward, we see a larger financing need for FY 20

result of increases in maturing debt and fiscal needs
12

• FY 2005 estimates have 

declined sharply.

• Combination of fiscal 

needs, maturing debt and reduced coupon sizes lead to rising then declining financing needs.

Financing Residuals G iven Current Issuance Calenda

Assum es current coupon issuance pattern and issuance am ount-- W eekly bill issuance at le

outstanding FY $ am ounts equal to Septem ber 30, 2004 total outstand

-350-250-150

-50

5 0

150250350450550650

2005 2006 2007 2008 20

Fiscal Y ears

$ billions

N et financing im plied by FY 06 O M B 

M SR B udget deficit forecast

N et financing plus average absolute error in O M B estim ate

N et financingm inus avg. absolute error in O M B est.

B ars indicate estim ated change in financing required in given year for different deficit outcom es

N ote: FY 2005 N et Financing am ount is an internal T reasury estim ate.

N ote: A verage historical errors w ere estim ated w ith a linear least-squares regression using O M B 's budget forecasts since the 198 9 

 and the M SR since 1998.

Primary Dealers 

Current: 324 

Range based on average absolute error 305-343 

Estimates as of: July 28, 05 

Note: Ranges based on errors from 1997-2004 

FY 05 Deficit Estimates 

($ Billi
13

Capital Markets

• Foreign holdings of Treasury debt continue at historical hig

comparable to foreign holdings of other G-7 countries
14

• Data revised for the prior 18 months 

with minimal change to current levels. 

• Prior data indicated foreign holdings 

stabilizing, but now trending upward.

• Non-resident participation in U. S. 

Treasury market is comparable to some G-7 government debt markets.

0%

10%20%30%40%50%60%70%

1998 1999 2000 2001 2002 2003 

Canada UK FranceJapan Italy U.S. Germany 

NON-RESIDENT PARTICIPATION 

IN G-7 GOVERNMENT BOND MARK

Sources: Canadian MOF, UK DMO, U.S. TIC, French Tresor, Bundesbank, Japanese MOF websites, Italian Treasury and U.UK, Germany, France and the US are through Q1 2004, Q1 2005, Q1 2005, April 2005, and May 2005 respectively. Note: Germany non-resident participation was revised from last quarterly presentation to incorporate additional data.

Foreign Holdings as a Percent of Total Privately Held 

0%

10%20%30%40%50%60%

1993 1994 1995 1996 1997 1998 1999 2000 2001 2

Calendar Year

Percent

Estimated foreign holdings as % of private. 2/Foreign and International Institutional Holdings at FRBNY as% of private. 3/

* 

Benchmark Revisions

1/ Privately held debt excludes holdings of the Federal Reserve.2/ Data through May 31, 2005. 3/ Source: Federal Reserve Bank of NY statistical release H4.1.
15

• Dealer trends in short positions 

continue.

Net Primary Dealer Positions in Treas

-3-2-1

0123456

Feb-01 Apr-01 Jun-01 Aug-01 Oct-01 Dec-01 Feb-02 Apr-02 Jun-02 Aug-02 Oct-02 Dec-02 Feb-03 Apr-03 Jun-03 Aug-03 Oct-03 Dec-03 Feb-04 Apr-04 Jun

TIPS 

($ billions)

TIPS (LHS)TIPS auctionsNominal Treasuries (RHS)

nominal z

TIPS zero line

Source: NY Fed

TIPS Auction Weeks
16

Auction Release Time Performanc

Current quarter exceptions to Treasury’s 2 minute auction release tim

5/16/05 – 26-week bills: Software problems delayed calculation of the auction results.

7/18/05 – 13- and 26-week bills: Hardware problems delayed calculation of the auction result

Auction Release Times for August 2004 - July 2005

Data through July 27, 2005

0:000:301:001:302:002:303:003:304:004:305:00

8/2/04 8/31/04 10/4/04 11/2/04 12/1/04 1/3/05 2/7/05 3/7/05 4/6/05 5/9/05 6/6/05 

(In Minutes and Seconds)

**

* Release time of 28 minutes, 19 seconds* Release time of 28 minutes, 24 seconds

Target release time range