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Presentation to the Treasury Borrowing Advisory Committee

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Presentation to the Treasury Borrowing Advisory Committee Presentation to the Treasury Borrowing Advisory Committee U.S. Department of the Treasury Office o f De bt M anagement November 3, 2009 Federal Budget Deficits FY2007 to FY2009 Fiscal Year to Date Deficits $ Billions (monthly data) -1,600 600% 2007 Y-O-Y % Change 2008 2009 -1,417 -1,400 -1,378 500% -1,267 -1,200 -1,086 400% -992 -1,000 -957 300% -765 -802 -800 200% -569 -600 -483 -485 -455 -371 -402 100% -400 -311 -319 -274 -269 -258 -263 -237 -148 -163 0% -200 -162 -157 -152 -81 -121 -154 -122 -42 -106-88 -49 -80 -56 0 -100% Jul-07 Jul-08 Jul-09 Oct-06 Oct-07 Oct-08 Apr-07 Apr-08 Apr-09 Jan-07 Jun-07 Jan-08 Jun-08 Jan-09 Jun-09 Feb-07 Mar-07 Feb-08 Mar-08 Feb-09 Mar-09 Nov-06 Aug-07 Sep-07 Nov-07 Aug-08 Sep-08 Nov-08 Aug-09 Sep-09 Dec-06 Dec-07 Dec-08 May-07 May-08 May-09 Office of Debt Management 2 Federal Outlays and Receipts OtlOutlays 1-Oct 15-Nov 31-Dec 15-Feb 1-Apr 17-May 2-Jul 16-Aug 0 FY07 FY08 FY09 -500 -1,000 -1,500 $ Billion -2,000 -2,500 -3,000 Outlays were up $558 B YoY -3,500 Receipts 3,000 FY07 FY08 FY09 2,500 Receipts were down $413 B YoY 2,000 $ Billion 1,500 1,000 500 Source: DTS DTS numbers are 0 approximate and Office of Debt Management may not match MTS. 1-Oct 15-Nov 31-Dec 15-Feb 1-Apr 17-May 2-Jul 16-Aug 3 Tax ReceiptsContinue to Decline -50% -40% -30% -20% -10% 10% 20% 30% 40% 0% Office of Debt Management Mar-82 Mar-83 Mar-84 Mar-85 Mar-86 Mar-87 Mar-88 Mar-89 Mar-90 Rolling 12-MonthGrowthRates Mar-91 Mar-92 Mar-93 Mar-94 nWH Taxes WH Taxes Corp Taxes Mar-95 Taxes Mar-96 Mar-97 Mar-98 Mar-99 Mar-00 Mar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 YoY, or 31% or YoY, nWH $143 B taxes down % 11 or YoY, $108 B taxes down WH YoY, or 36% or YoY, Corp taxes down $128 B 4 Treasury Marketable Financing in FY2008 and FY2009 Treasury Marketable Financing FY 2009 FY 2008 ($ Billions) October 1, 2008 - September 30, 2009 October 1, 2007 - September 30, 2008 Net SOMA Net Cash Net SOMA Net Cash Issued Matured Activity * Raised Issued Matured Activity * Raised Bills (includes SFPs) $6,920.5 $6,417.8 $0.0 $502.7 $4,632.9 $4,101.2 ($152.0) $531.7 Nominal coupons $1,886.6 $640.7 $0.0 $1,245.9 $814.6 $626.2 ($5.5) $188.5 TIPS $58.5 $20.8 $0.0 $37.7 $61.9 $21.8 $3.5 $40.1 Total $8,865.6 $7,079.3 $0.0 $1,786.3 $5,509.5 $4,749.2 ($153.9) $760.4 * Note: Negative SOMA activity represents redemptions. Positive SOMA activity represents additional issuance of securities, made possible by redemptions in maturing securities with the same settlement date; these are offsetting transactions and are net cash neutral. Office of Debt Management 5 Cumulative Net Financing Flows since FY2007 SFP Amounts CMBs RegBills TIPS Notes Bonds Net Mktable Borrowing $ Billions $3,000 $2,500 $2,000 $1,500 $1,000 $500 $0 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 FY 2007 FY 2008 FY 2009 -$500 Office of Debt Management 6 Cumulative Net Coupon Issuance since FY 2007 400 1,600 2-year (LHS) 3-year (LHS) 350 1,400 5-year (LHS) 7-year (LHS) 300 10-year (LHS) 30-year (LHS) 1,200 250 Total (RHS) Billions) Billions) 200 1, 000 150 800 100 Net ($ Issuance Net ($ Issuance ee ee 50 600 Cumulativ Cumulativ 0 400 -50 200 -100 -150 0 Jul-09 Jul-08 Apr-09 Oct-08 Apr-08 Oct-07 Jun-09 Jan-09 Jun-08 Jan-08 Feb-09 Mar-09 Feb-08 Mar-08 Aug-09 Sep-09 Aug-08 Sep-08 Nov-08 Nov-07 Dec-08 Dec-07 May-09 May-08 Office of Debt Management 7 Treasury Cash Balances Treasury Daily Operating Cash Balance $ Billions Excluding SFPs Note: Data through October 23, 2009 175 Dec. 15 Apr. 15 Jun. 15 FY 2007 FY 2008 Sep. 15 150 FY 2009 FY 2010 125 100 75 50 25 0 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep $ Billions Daily Treasury Operating Cash Balances Note: Data through October 23, 2009 800 Cash Balance w/o SFPs Cash Balance w/SFP 700 600 500 400 300 200 100 0 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Office of Debt Management 8 Portfolio Distribution Nominal Coupons as a Share of Total Portfolio Bills as a Share of Total Portfolio 71% 37% 69% 35% 33% 67% All Bills Regular Bills 31% 65% 29% 63% 27% 25% 61% 23% 59% 21% 57% 19% 17% 55% Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 TIPS as a Share of Total Portfolio Total Portfolio 13% 80% 12% 70% 11% 60% 10% 50% TIPS Nominal Coupons 9% 40% Standard Bills CMBs/SFPs 8% 30% 7% 20% 6% 10% 5% Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 0% Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Office of Debt Management 9 Monthly Change in Debt OutstandingversusAverageMaturity Change in Monthly $ Billions Office of Debt Management -200 -100 100 200 300 400 500 600 0 Jan-07 Bills o/s: $1.9 T and Coupons o/s: $5.0 T and Coupons o/s: $1.9 T o/s: Bills 2009: 52.7 months Sept Maturity •Average $3.8 T Coupons and o/s: $1.9 T o/s: Bills •Average Maturity Oct 2008: 48.5 months Feb-07 Mar-07 Bills Apr-07 May-07 Jun-07 Coupons Jul-07 Aug-07 Sep-07 SFP peak bills at $560 B Nov 2008 begins Sept Issuance of SFPbills2008 Oct-07 Average Maturity Nov-07 Dec-07 May - Aug2008 of $168 Bulk BStimulus Jan-08 tax rebates disbursed Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Nov 2008 Investment AIG $40 B Aug-08 Sep-08 GSE Preferred Stock Purchase Program begins Oct 2008 Program beginsOct Oct-08 Nov-08 Dec-08 $36 B2008 Nov disbursed $115 B2008 Oct dispersed Capital Purchase Program Jan-09 Feb-09 Mar-09 Feb 2009 refunds peak Tax 2008 year Apr-09 May-09 Maturity (Months) Average Jun-09 Jul-09 Aug-09 Sep-09 44 46 48 50 52 54 56 58 60 40 42 10 Debt Maturity Measures Months Months 90 90 Average Maturity of Issuance 1/ 80 80 70 70 60 60 50 50 Average Maturity of Marketable Debt Outstanding 40 40 30 30 1/ Rolling 4-quarter average 20 20 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 Office of Debt Management 11 Maturing Coupons $ Billions November 15, 2009-August 15, 2039 *Based on coupon securities outstanding as of October 15, 2009 90 2 YR NOTE 3 YR NOTE 5 YR NOTE 10 YR NOTE 30 YR BOND 7 YR NOTE 5 YR IIS NOTE 10 YR IIS NOTE 20 YR IIS BOND 30 YR IIS BOND 80 In the next 5 years , 73 days will have maturities greater than $20 billion and 46 days greater than $30 billion. 70 60 50 40 30 20 10 0 15-JUL-2017 15-JUL-2018 15-JUL-2019 15-JUL-2013 15-FEB-2029 15-FEB-2036 15-FEB-2026 28-FEB-2014 30-JUN-2014 15-FEB-2012 15-FEB-2011 30-JUN-2011 Office15-FEB-2010 of Debt Management 15-MAY-2039 15-NOV-2027 15-MAY-2021 15-AUG-2023 15-NOV-2014 15-NOV-2015 15-MAY-2016 31-AUG-2016 15-NOV-2013 15-MAY-2012 15-AUG-2012 15-NOV-2012 15-NOV-2011 15-MAY-2010 15-AUG-2010 15-NOV-2010 15-NOV-2009 31-MAR-2013 12 Primary Dealer and Government Deficit Estimates FY 2010 Deficit Estimates $ Billions Primary Dealers* CBO OMB Current: 1, 393 1, 381 1, 502 Range based on average absolute forecast error** 1,203-1,583 1,081-1,681 1,219-1,785 Estimates as of: Oct 09 Aug 09 Aug 09 FY 2010 Marketable Borrowing Range*** 1,200-1,750 FY 2011 Marketable Borrowinggg Range*** 725-1,400 * Primary Dealers reflect average estimate. Based on Primary Dealer feedback on October 29, 2009. ** Ranges based on errors from 2005-2009. *** Based on Primary Dealer feedback on October 29, 2009. Office of Debt Management 13 OMB Long-term Deficit and Borrowing Projections Debt as % of GDP OMB Interest Expense as % of GDP 8/09 OMB 30 140% 800 4.0% MSR 8/09 Held by Public (LHS) MSR 700 3.5% Held by Govt (LHS) 120% 25 600 3.0% Interest Expense as % of Gross Debt % of GDP (RHS) 100% 20 GDP (RHS) 500 2.5% 80% 15 400 2.0% $Billions 10-y Rolling- $Trillions 60% 300 Avg (RHS) 1.5% 10 Held by Public% 40% 200 1.0% (RHS) 5 Interest Expense (LHS) Held by Govt Accts% (RHS) 20% 100 0.5% 0 0% 0 0.0% 1940 1944 1948 1952 1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016 1940 1944 1948 1952 1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016 Annual Surplus/Deficits OMB 400 4% Net Marketable Borrowing as % of GDP 8/09 Surplus/Deficits MSR 14% 2,000 200 (LHS) 2% OMB 8/09 12% 0 MSR 0% 10% 1,500 -200 -2% 8% -400 1,000 Net Marketable Borrowing as % of -600 -4% 6% Surplus/Deficits as a $Billions GDP (LHS) $ Billions -800 % of GDP (RHS) 4% -6% 500 2% -1,000 -8% -1, 200 0% 0 -10% -1,400 -2% Net Marketable Borrowing (RHS) -1,600 -12% -4% -500 Office of Debt Management 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 1950 1953 1956 1959 1962 1965 1968 1971 1974 1977 1980 1983 1986 1989 1992 1995 1998 2001 2004 2007 2010 2013 2016 2019 14 Rescheduled 4-Week Bill Auctions Due to Calendar Constraints Rescheduling of 4-Week Bill Auctions Due to Conflicts FY2008 - FY2009 2:00 PM 1:30 PM 1:00 PM lose Time 12:30 PM Bill Auction C Bill Auction 12:00 PM In FY2009, the frequency with which 4-week auctions were rescheduled to 11:30 AM increased siggynificantly.
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