Treasury Presentation to TBAC
Office of Debt Management Fiscal Year 2014 Q3 Report
Table of Contents I. Fiscal A. Quarterly Tax Receipts p. 4 B. Monthly Receipt Levels p. 5 C. Eleven Largest Outlays p. 6 D. Treasury Net Nonmarketable Borrowing p. 7 E. Cumulative Budget Deficits p. 8 F. Deficit and Borrowing Estimates p. 9 G. Budget Surplus/Deficit p. 10 II. Financing A. Sources of Financing p. 13 B. OMB’s Projections of Net Borrowing from the Public p. 15 C. Interest Rate Assumptions p. 16 D. Net Marketable Borrowing on “Auto Pilot” Versus Deficit Forecasts p. 17 III. Portfolio Metrics A. Weighted Average Maturity of Marketable Debt Outstanding with Projections p. 22 B. Projected Gross Borrowing p. 23 C. Recent and Projected Maturity Profile p. 24 IV. Demand A. Summary Statistics p. 29 B. Bid-to-Cover Ratios p. 30 C. Investor Class Awards at Auction p. 35 D. Primary Dealer Awards at Auction p. 39 E. Direct Bidder Awards at Auction p. 40 F. Foreign Awards at Auction p. 41 2
Section I: Fiscal 3
Source: United States Department of the Treasury Year over Year % Change -50% -25% 25% 50% 75% 0% Jun-04 Sep-04 Dec-04 Corporate Taxes Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Quarterly Tax Receipts Non-Withheld Taxes (incl SECA) Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Withheld Taxes (incl FICA) Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 4
Monthly Receipt Levels (12-Month Moving Average) 140 120 100 80 $ bn 60 40 20 0 Jun-04 Sep-04 Dec-04 Mar-05 Jun-05 Sep-05 Dec-05 Mar-06 Jun-06 Sep-06 Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Individual Income Taxes Corporation Income Taxes Social Insurance Taxes Other Individual Income Taxes include withheld and non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF deposits, FUTA and 5 RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. Source: United States Department of the Treasury
Eleven Largest Outlays 800 700 600 500 $ bn 400 300 200 100 0 HHS SSA Defense Treasury Agriculture Labor VA Transportation OPM Education Other Defense Civil Oct - Jun FY 2013 Oct - Jun FY 2014 6 Source: United States Department of the Treasury
Source: United States Department of the Treasury $ bn (35) (25) (15) 15 25 (5) 5 Q3-04 Q4-04 Q1-05 Q2-05 Q3-05 Q4-05 Foreign Series Q1-06 Treasury Net Nonmarketable Borrowing Q2-06 Q3-06 Q4-06 Q1-07 Q2-07 Q3-07 Q4-07 State and Local Govt. Series (SLGS) Q1-08 Q2-08 Q3-08 Fiscal Quarter Q4-08 Q1-09 Q2-09 Q3-09 Q4-09 Q1-10 Q2-10 Q3-10 Q4-10 Q1-11 Q2-11 Q3-11 Savings Bonds Q4-11 Q1-12 Q2-12 Q3-12 Q4-12 Q1-13 Q2-13 Q3-13 Q4-13 Q1-14 Q2-14 Q3-14 7
Cumulative Budget Deficits by Fiscal Year 1,400 1,200 1,000 800 $ bn 600 400 200 0 October December January February April May June July August November March September FY2012 FY2013 FY2014 8 Source: United States Department of the Treasury
FY 2014-2016 Deficits and Net Marketable Borrowing Estimates In $ billions CBO's Analysis Primary of the Dealers 1 CBO 2 President's Budget 3 OMB MSR 4 FY 2014 Deficit Estimate 506 492 506 583 FY 2015 Deficit Estimate 492 496 509 525 FY 2016 Deficit Estimate 538 536 548 525 FY 2014 Deficit Range 450 - 560 FY 2015 Deficit Range 425 - 600 FY 2016 Deficit Range 375 - 750 FY 2014 Net Marketable Borrowing Estimate 634 757 772 891 FY 2015 Net Marketable Borrowing Estimate 582 545 579 655 FY 2016 Net Marketable Borrowing Estimate 610 599 611 658 FY 2014 Net Marketable Borrowing Range 500 - 710 FY 2015 Net Marketable Borrowing Range 400 - 730 FY 2016 Net Marketable Borrowing Range 450 - 810 Estimates as of: Jul-14 Apr-14 Apr-14 Jul-14 1 Based on primary dealer feedback on Jul 28, 2014. Estimates above are averages. 2 Table 1 of the "Updated Budget Projections: Fiscal Years 2014 to 2024" 3 Table 1 of the "An Analysis of the President's 2015 Budget" 4 Table S-11 of the "Fiscal Year 2015 MSR" 9
Budget Surplus/Deficit 500 2% 0% 0 -2% (500) -4% $ bn (1,000) -6% (1,500) -8% (2,000) -10% (2,500) -12% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 Fiscal Year OMB’s Projection Surplus/Deficit in $bn (L) Surplus/Deficit as a % of GDP (R) Projections are from Table S-1 of OMB’s “Fiscal Year 2015 MSR” 10
Section II: Financing 11
Assumptions for Financing Section (pages 13 to 19) • Portfolio & SOMA holdings as of 06/30/2014 • Estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal Reserve’s June 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. • Assumes announced issuance sizes and patterns constant for Nominal Coupons ,TIPS, and FRNs as of 08/06/2014, while using an average of ~1.45 trillion of Bills Outstanding consistent with Treasury’s guidance of the FRN program replacing some Bills issuance. • The principal on the TIPS securities was accreted to each projection date based on market ZCIS levels. • No attempt was made to match future financing needs. 12
Sources of Financing in Fiscal Year 2014 Q3 April - June 2014 April - June 2014 Fiscal Year to Date Bill Issuance Net Bill Issuance (264) Issuance Gross Maturing Net Gross Maturing Net Net Coupon Issuance 200 4-Week 410 425 (15) 1,183 1,218 (35) Bills Subtotal: Net Marketable Borrowing (64) Bills 13-Week 325 367 (42) 1,114 1,179 (65) 26-Week 299 367 (68) 1,000 1,032 (32) Bills Ending Cash Balance 139 52-Week 100 98 2 238 248 (10) Bills Beginning Cash Balance 142 CMBs 25 166 (141) 221 221 0 Bills Subtotal: Change in Cash Balance (3) Bill Subtotal 1,159 1,423 (264) 3,756 3,898 (142) Net Implied Funding for FY 2014 Q3* (61) April - June 2014 Fiscal Year to Date Coupon Issuance Issue Gross Maturing Net Gross Maturing Net 2-Year 93 106 (13) 285 322 (37) 2-Year FRN 41 0 41 82 0 82 3-Year 87 98 (11) 267 293 (26) 5-Year 105 110 (5) 315 294 21 7-Year 87 0 87 261 0 261 10-Year 66 27 39 198 86 112 30-Year 42 0 42 126 0 126 5-Year TIPS 18 17 1 34 17 17 10-Year TIPS 13 0 13 54 27 27 30-Year TIPS 7 0 7 23 0 23 Coupon Subtotal 559 359 200 1,645 1,038 607 Total 1,718 1,782 (64) 5,401 4,936 465 13 *Assumes an end-of-June 2014 cash balance of $139 billion versus a beginning-of-April 2014 cash balance of $142 billion. By keeping the cash balance constant, Treasury arrives at the net implied funding number.
Sources of Financing in Fiscal Year 2014 Q4 July - September 2014 July - September 2014 Fiscal Year to Date Bill Issuance Assuming Constant Coupon and Average Bill Issuance Sizes as of 06/30/2014*: Issuance Gross Maturing Net Gross Maturing Net Net Bill Issuance 38 4-Week 416 408 8 1,599 1,626 (27) Net Coupon Issuance 178 13-Week 364 325 39 1,478 1,504 (26) Subtotal: Net Marketable Borrowing 216 26-Week 325 334 (9) 1,325 1,366 (41) 52-Week 72 72 0 310 320 (10) Treasury Announced Estimate: Net Marketable Borrowing** 192 CMBs 0 0 0 221 221 0 Implied: Decrease In FY 2014 Q4 Net Issuances (24) Bill Subtotal 1,177 1,139 38 4,933 5,037 (104) Fiscal Year to Date July - September 2014 Coupon Issuance Issue Gross Maturing Net Gross Maturing Net 2-Year 85 105 (20) 370 427 (57) 2-Year FRN 41 0 41 123 0 123 3-Year 79 97 (18) 346 390 (44) 5-Year 105 121 (16) 420 415 5 7-Year 87 0 87 348 0 348 10-Year 66 25 41 264 111 153 30-Year 42 0 42 168 0 168 5-Year TIPS 16 0 16 50 17 33 10-Year TIPS 28 24 4 82 50 32 30-Year TIPS 0 0 0 23 0 23 Coupon Subtotal 549 371 178 2,194 1,410 784 Total 1,726 1,510 216 7,127 6,447 680 *Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 08/06/2014, while using an average of ~1.45 trillion of Bills Outstanding consistent with Treasury’s guidance of the FRN program replacing some Bills issuance. **Assumes an end-of-September 2014 cash balance of $150 billion versus a beginning-of-July 2014 cash balance of $139 billion. Financing Estimates released by the Treasury can be found via the following url: http://www.treasury.gov/resource-center/data-chart- 14 center/quarterly-refunding/Pages/Latest.aspx
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