Quarterly Refunding Charts

U.S. Department of the Treasury

Office of Debt Management
February 1, 2010

Office of Debt Management

Near-Term Financing Outlook

Estimated net marketable borrowing for Q2 and Q3 FY 2010

• Net marketable borrowing in Q2 (January-March) is expected to be

$392 billion.

• Net marketable borrowing in Q3 (April-June) is expected to be

$268 billion.

• These estimates do not include incremental borrowing needs that would

result from a potential increase in issuance under the Supplementary
Financing Program (SFP).

Office of Debt Management

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 Treasury Marketable Financing
• Nominal coupons Q1-FY 2010 FY 2009
j y of
raised the majority ($ billions) October 1, 2009 - December 31, 2009 October 1, 2008 - September 30, 2009
cash in the first quarter Net SOMA Net Cash Net SOMA Net Cash
of the fiscal year. Issued Matured Activity * Raised Issued Matured Activity * Raised
Bills (includes SFPs) $1,452.4 $1,651.4 $0.0 -$199.0 $6,920.5 $6,417.8 $0.0 $502.7

• Supplementary Nominal coupons $598.9 $153.5 $0.0 $445.5 $1,886.6 $640.7 $0.0 $1,245.9
Financingg Program
g
(SFP) redemptions TIPS $14.0 $0.0 $0.0 $14.0 $58.5 $20.8 $0.0 $37.7
accounted for the
majority of the pay Total $2,065.3 $1,804.9 $0.0 $260.5 $8,865.6 $7,079.3 $0.0 $1,786.3
down in bills during * Note: Negative SOMA activity represents redemptions.
Positive SOMA activity represents additional issuance of securities, made possible by redemptions in maturing securities
the quarter. with the same settlement date; these are offsetting transactions and are net cash neutral.

Marketable Treasury Coupon Flows (including SOMA) $ Billions

• Large cash outflows
Date Maturing Coupon Securities Coupon Payments Total Outflows
on February 15 include
maturing 3-, 5- and 10- February 15, 2010 57 27 84
year notes.
notes May 15 February 28, 2010 29 5 34
outflows include March 15, 2010 15 1 16
maturing 3- and 5-year March 31, 2010 32 5 37
notes. April 15, 2010 47 2 49
April 30, 2010 33 5 38
Mayy 15,, 2010 38 21 59
May 31, 2010 32 5 37

Office of Debt Management

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 Treasury Daily Operating Cash Balance
$ Billions
Excluding SFPs

.
175
FY 2007 Note: Data through January 21, 2009
FY 2008
Dec. 15 FY 2009 Jun. 15

• Volatility in cash 150 FY 2010

Sep. 15
Apr. 15
balances continues to 125

pose challenges.
100

75
• Elevated cash balances
at the end of December 50

2009 were related, in 25

part, to repayments of
TARP. 0
Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep

Key Receipt Dates Key Outlay Dates

1st of Month – Individual withheld taxes 1st of each month – Medicare, SSI, VA, CSRDF
3rd of each month Main Social Security payments
Mar. 15
Mar 15, Jun
Jun. 15
15, Sept
Sept. 15
15, Dec
Dec. 15
15- Corporate Taxes 2nd/3rd/4th Wed of each month Soc. Sec. cycle payments
Jan. 15, Apr. 15, Jun. 15, Sept. 15 Feb. 15, May 15, Aug. 15, Nov. 15 Interest payment dates—
Individual Non-withheld Taxes Feb 1 - April 15 – Individual tax refunds

Treasury Quarterly Net Marketable Borrowing

"Net Cash"
$ billions
Fiscal Quarter
$ billions

600 p
Note: Includes SOMA redemptions and SFP's. 569.3 600
• Net marketable
N k bl 550
Bills 2-under 5 years
527.1 550
B
481.3
borrowing for Q1 FY 500
260.5
500 o
r
5-10 years 5-10 year TIPS r
450 450
2010 was $260 billion 392.5 o
w
400 Over 10 years Over 10 year TIPS 343.2 400
compared to $569 350 350
i
n
g
billion during the same 300 300 s

period in the prior year

year. 250 191 0
191.0 250

200 200
158.0 125.7
144.2 105.2 86.8
150 150
97.8
92.5
• SFP bills were paid 100

50
52.3 45.0 41.9
100

50
down by $160 billion 0 0

in Q1 FY 2010. -50 -50

P
a
y
-100
100 -100
100 d
-44.6 o
-150 -150 w
-78.5 -92.2 n
-200 -200
-138.7
-250 -250
I-05 II III IV I-06 II III IV I-07 II III IV I-08 II III IV I-09 II III IV I-10

Office of Debt Management

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 Treasury Quarterly Net Borrowing from Nonmarketable Issues
$billions Fiscal Quarter $ billions
35 35
B
30 24.4 State and Local Govt. 30 o
21.0 Series r
• State and Local 25 25 r
15.7 o
Government Series 20 16.6 16.3 15.7 Savings Bonds 20 w
I
Securities were paid 15 15 n
10.7 g
down by $2.4 billion in 10
Foreign Series
10 s
4.1
Q1 FY 2010 Q1. This 5 5
1.1
was the smallest pay
0 0
d
down since
i the
th $3
$3.33
-2.2 P
-5 -5
billion observed in Q1 -5.7
-5.2
a
-6.8 y
FY 2008. -10 -8.5
-7.8 -9.3
-10
d
-9.1 o
-15 -11.9 -15 w
-15.1
n
-20 -17.6 -20
-20.3
-25
25 -25
25
I 05 II III IV I 06 II III IV I 07 II III IV I 08 II III IV I 09 II III IV I 10

Percentage Breakdown of Quarterly Marketable Issuance

Fiscal Year
100% 30%

• Treasury has reduced 90%

Bills follow left‐side scale.
reliance on bill 80%
25%

financing over the past 70%

20%
calendar year, moving 60%
from 84% in December 50% 15%
Coupons follow right‐side scale.
2008 to 70% in 40%
December 2009. 30%
10%

20%
5%
10%

0% 0%
1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009

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

Note: Previous releases of Quarterly marketable issuance data were based on 4-quarter rolling averages and excluded
CMBs. This data is based on actual quarterly marketable issuance through December 31, 2009, including CMBs.

Office of Debt Management

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 Gross Annual TIPS Issuance and Amount Outstanding
80 800
30‐Year (LHS)

20‐Year (LHS)
70 700
10‐Year (LHS)

• Inflation-adjusted 60
5‐Year (LHS)
600
TIPS outstanding stood Inflation Adjusted  Outstanding  (RHS)

at $568 billion at the 50 500

end of December 2009.

$ billions
$ billions
40 400

30 300

20 200

10 100

0
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Calendar Year

Year-over-Year Growth in Outstanding Coupon Securities

Semi-Monthly

Nominals TIPS
50%

Note: Data through December 31, 2009.

• Growth in nominal 40%

coupons outstanding
slowed during the past 30%

qquarter.
Rate

20%

10%

0%
Sep-05 Apr-06 Nov-06 May-07 Dec-07 Jun-08 Jan-09 Jul-09

-10%

Office of Debt Management

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Debt Portfolio Projections

Assumptions used in the next 3 charts:

ΠNet financing projections for FY 2010-2020 are based on OMB FY 2011 Budget
estimates. Future residual financing needs are spread proportionally across
auctioned securities and are derived from hypothetical auction sizes. Excluding 30-
year TIPS, initial sizes are based on announced coupon amounts as of December
31, 2009 and the outstanding level of bills on December 31, 2009. The initial size
f 30
for 30-year TIPS isi based
b d on theth average announcedd amountt for
f 20-year
20 TIPS in
i
2009.
• Projections exclude cash management bills.
• Projections assume no change to future issuance patterns
patterns.

Using the above assumptions, over the next 10 years:

• Average maturity
A t it off total
t t l outstanding
t t di andd average maturityt it off issuance
i settle
ttl to
t
approximately 68 and 79 months, respectively.
• The percent of debt with 3 years or less to maturity is projected to decline to 53%.

Office of Debt Management

7
 Debt Maturity Measures
months months

Average Maturity of Issuance 1/

90 90
• Average maturity of total Hypothetical FY*

debt outstanding rose by 6 80 80

months
h bbetween Marchh
2009 and December 2009, 70 70

from 49 months to 55
60 60
months.
50 50
Average Maturity of Marketable
Debt Outstanding 2/
40 40

30 30
1/ Qua rterly da ta a re a ctua ls through December 31, 2009. Actua ls a nd fisca l yea r projections use a 4-qua rter a vera ge.
2/ Qua rterly da ta a re a ctua ls through December 31, 2009. Fisca l yea r projections a re yea rly da ta .
20 20
1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are
derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on
December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

Distribution of Marketable Debt Outstanding by Security

Fiscal Year
50% 50%

45% 45%
• If future financing needs
40% Hypothetical* 40%
were spread proportionally
following current issuance 35% 35%

patterns, the proportion of 30% 30%

debt composed of longer- 25% 25%

term securities would 20% 20%

increase. 15% 15%

10% 10%

5% 5%

0% 0%
1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
Bills 2-3 yrs 4-7 yrs 8-10 yrs Bonds TIPS

*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are
derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on
December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

Office of Debt Management

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 Percentage of Debt Maturing in Next 12 to 36 Months
75% 75%
Hypothetical *
70% 70%
Maturing in 36 Months
65% 65%

• The percentage of debt 60% 60%

maturing within the 55% 55%

next three years is at 50% 50%

historical lows. 45% Maturing in 24 Months 45%

40% 40%

35% 35%

30% 30%
Maturing in 12 Months

25% 25%

20% 20%
1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are
derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on
December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

Coupons Maturing*
$ Billions February 15, 2010‐November 15, 2039 *Based o n coupon securities o utstanding as o f Jan uary 21, 2010
100
2 YR NOTE 3 YR NOTE 5 YR NOTE 7 YR NOTE 10 YR NOTE

30 YR BOND 5 YR IIS BOND 10 YR IIS NOTE 20 YR IIS BOND 30 YR IIS BOND

90
• Maturing 2-, 3- and 5-
year notes will add to 80

near-term financing 70

needs. 60

50

40

30

20

10

0
31‐Dec‐10

31‐Dec‐11

31‐Dec‐12
15‐Aug‐10

31‐Aug‐11

15‐Aug‐12

31‐Aug‐14

15‐Aug‐17

15‐Aug‐18

15‐Aug‐19

15‐Aug‐27

15‐Aug‐29
15‐Apr‐11

15‐Apr‐13

15‐Apr‐28

15‐Apr‐32
15‐Feb‐10

15‐May‐10

30‐Sep‐10
15‐Nov‐10

15‐Feb‐11

15‐Nov‐11

15‐Feb‐12

15‐May‐12

30‐Sep‐12
15‐Nov‐12

15‐Feb‐13

31‐May‐13

30‐Sep‐13
30‐Nov‐13
31‐Jan‐14

15‐May‐14

15‐Nov‐14
15‐Jan‐15

15‐Jan‐16

31‐May‐16

30‐Sep‐16
30‐Nov‐16
15‐Feb‐17

15‐Feb‐18

15‐Feb‐19

15‐Feb‐20
15‐Feb‐21
15‐Nov‐21
15‐Feb‐23
15‐Jan‐25
15‐Jan‐26
15‐Nov‐26

15‐Jan‐29

15‐May‐37
15‐Feb‐39
15‐Nov‐39
30‐Jun‐10

30‐Jun‐11

30‐Jun‐12
31‐Mar‐10

31‐Mar‐12

31‐Jul‐13

31‐Mar‐14

15‐Jul‐14

15‐Jul‐15

31‐Mar‐16

31‐Jul‐16
Office of Debt Management
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Additional Factors to Consider

• The rate of decline in year-over-year corporate tax receipts slowed in Q1

FY 2010. In the past, changes in corporate tax receipts have led changes in
individual withheld and non-withheld receipts.

• Marketable financing needs remain volatile due to uncertainty surrounding

projected revenues, non-marketable debt issuance and outlays related to
ongoing recovery programs.

• Treasury’s current securities offerings provide flexibility to address a wide

range
g of borrowing g scenarios.

Office of Debt Management

10
 FY 2010 and 2011 Deficit and Borrowing Estimates $ billions
Primary
Dealers* CBO OMB
FY 2010 Deficit Estimates 1 357
1,357 11,349
349 1 556
1,556
• Primary dealers FY 2011 Deficit Estimates 1,121 980 1,267
currently estimate a
FY 2010 Deficit Range 900-1750
FY 2010 deficit of FY 2011 Deficit Range 750-1800
$1.357 trillion,
approximately $200
billion below the FY 2010 Marketable
M k t bl Borrowing
B i Range
R 1000-1750
1000 1750
Administration’s FY 2011 Marketable Borrowing Range 750-1600
projection. Estimates as of: Jan 2010 Jan 2010 Feb 2010

* Based on Primary Dealer feedback on January 28, 2010. Deficit estimates are averages.

Comparing Deficit Estimates for FY 2010 since February 2009

($ billions)
2,000

1,800
OMB CBO Primary Dealers
1,600

1,400

1,200
• Recent deficit 1,000
projections have been
800
relatively stable.
600

400

200

0
February 09 April 09 June 09 August 09 October 09 December 09 February 10
Estimate Month

Office of Debt Management

11
 Rolling 12-Month Growth Rates
40%
Corp Tax
WH Tax
30%
NonWH Tax
• The pace of decline in
20%
year-over-year corporate
tax receipts has slowed. 10%

0%

-10%

-20%

-30%

-40%

-50%
Mar-82
Mar-83
Mar-84
Mar-85
Mar-86
Mar-87
Mar-88
Mar-89
Mar-90
Mar-91
Mar-92
Mar-93
Mar-94
Mar-95
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
Office of Debt Management
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