Office of Market Finance

Department of the Treasury

MEASURING

DEBT MANAGEMENT PERFOR

TO ACHIEVE

LOWEST COST FINANCING OV
Office of Market Finance

Department of the Treasury

Average Absolute Federal Budget Foreca

1997 - 2002

0

20406080

100120140160180

14 months 11 months 8 months 5 month

months until end of fiscal year

$ billions

CBOOMBPrimary Dealers

Source: Primary Dealer fo

OMB – U.S. BudCBO – Budget O
Office of Market Finance

Department of the Treasury

Average Trading Volume for 2-Year Note Around A

 Nov. 1998 - Aug. 2000

(15-minute intervals)

0

50

100150200250300350400450500

14:30 9:00 13:00 7:30 11:30 15:30 10:00 14:00 8:30 12:30 16:30 11:00 15:00 

$millions

Day -1

Auction Day

Day -2

Day -4

Day -3
Office of Market Finance

Department of the Treasury

Spreads Between 1 PM When-Issued and Auction 

2-year Note Auctions 1995 - 2002

05

10152025

-5 -4.5 -4 -3.5 -3 -2.5 -2 -1.5 -1 -0.5 0 0.5 

1 PM WI Quote - Auction Stop-Out Rate

# of auctions

2001-2002 1995-2000 

1995 - 2002Mean 0.11Median 0.05Maximum 3.00Minimum -5.30Std. Dev. 1.29
Office of Market Finance

Department of the Treasury

Basis Point Risk Taken on by the Market a

2002 constant dollars

02468

101214161820

1980 1982 1984 1986 1988 1990 1992 1994 1996 

$millions

2-year 3-year 4-year 5-year 7-year 

1/ (Dollar value of 1 basis point change) x (Aucti
Dec-61

Dec-62Dec-63Dec-64Dec-65Dec-66Dec-67Dec-68Dec-69Dec-70Dec-71Dec-72Dec-73Dec-74Dec-75Dec-76Dec-77Dec-78Dec-79Dec-80Dec-81Dec-82Dec-83Dec-84Dec-85Dec-86Dec-87Dec-88Dec-89Dec-90Dec-91Dec-92Dec-93Dec-94Dec-95Dec-96Dec-97Dec-98Dec-99Dec-00Dec-99Dec-00

-400

-200

0

200

400

600

800

1,000

-400

-200

0

200

400

600

800

1,000

Refinancing dominates new financing

Department of the Treasury

Office of Market Finance February 3, 2003-9

$Bil. $Bil.

1961 '64 '67 '76 '70 '73 '79 '82 '85 '88 '91 '94 '97 '00 '03

Quarterly Financial Obligations

(Deficit/Surplus)

Maturing Debt

Fiscal Balance

Maturing Debt Without 4-week Bills
0

20

40

60

80

0

20

40

60

80

Maturity of issuance has been highly volatile

Months

February 3, 2003-7

Department of the Treasury

Office of Market Finance

Months

Average Maturity of Outstanding Privately Held

Constant-Issuance Maturity (6-month average)

Quarterly

Assumes the distribution of issuance in any given quarter is held constant going forward.

1

1

1980 1982 1986 1990 1994 1998 1984 1988 1992 2000 2002 1996

Maturity of Marketable Debt
Office of Market Finance

Department of the Treasury

Quarterly Shares of Treasury Issu

0

102030405060708090

100

1980Q1 1982Q1 1984Q1 1986Q1 1988Q1 1990Q1 1992Q1 1994Q1 1996Q

Percent

Bills 2 - 4 YR 5 - 7 YR 10 YR 
Office of Market Finance

Department of the Treasury

Shares of Constant Issuance Matu

Rolling Twelve Month Averages

05

101520253035404550

1980Q1 1982Q1 1984Q1 1986Q1 1988Q1 1990Q1 1992Q1 1994Q1 1996Q

Percent

Bills 2 - 4 YR 5 - 7 YR 

1/ Constant issuance maturity assumes the distributi

given quarter is held constant going forward.
Office of Market Finance

Department of the Treasury

Distribution of Outstanding Debt by S

as of December 31, 2002

0%5%

10%15%20%25%30%

Bills 2YR 5YR 10YR 10YR iis 20YR 

Security Type

Percent
Office of Market Finance

Department of the Treasury

Comparison of Realized 10-Year Borrowi

2468

10121416

1953 1957 1961 1965 1969 1973 1977 1981 1985 19

Percent

1-year 2-year 3-year 5-year 7-year 

1/ Interest cost for a given term to maturity aver

using Treasury constant maturity yields.