Treasury Presentation to TBAC

[Pages:43]Treasury Presentation to TBAC

Office of Debt Management

Fiscal Year 2017 Q3 Report

Table of Contents

I. Executive Summary

p. 4

II. Fiscal

A. Quarterly Tax Receipts B. Monthly Receipt Levels C. Eleven Largest Outlays D. Treasury Net Nonmarketable Borrowing E. Cumulative Budget Deficits F. Deficit and Borrowing Estimates G. Budget Surplus/Deficit

p. 6 p. 7 p. 8 p. 9 p. 10 p. 11 p. 12

III.

Financing

A. Sources of Financing B. OMB's Projections of Net Borrowing from the Public C. Interest Rate Assumptions D. SOMA Normalization Impact on Net Marketable Borrowing

p. 15 p. 17 p. 18 p. 19

IV. Portfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections B. Maturity Profile

p. 23 p. 24

V. Demand

A. Summary Statistics B. Bid-to-Cover Ratios C. Investor Class Awards at Auction D. Primary Dealer Awards at Auction E. Direct Bidder Awards at Auction F. Foreign Awards at Auction

p. 29 p. 30 p. 35 p. 39 p. 40 p. 41

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Section I: Executive Summary

3

Highlights of Treasury's August 2017 Quarterly Refunding Presentation to the Treasury Borrowing Advisory Committee (TBAC)

Receipts and Outlays ? Fiscal year-to-date, total receipts are up by 2 percent driven mainly by individual income and payroll taxes which increased by $65 billion. ? Fiscal year-to-date, total outlays are up by 6 percent driven mainly by an increase of $102 billion over these 4 categories: Health and Human Services (HHS),Treasury outlays for inflation accruals, Social Security Administration (SSA), and Education.

Sources of Financing ? Based on the Quarterly Borrowing Estimate, Treasury's Office of Fiscal Projections currently projects a net marketable borrowing need of $96 billion for Q4 FY 2017, with an end-of-September cash balance of $60 billion. For Q1 FY 2018, the net marketable borrowing need is projected to be $501 billion, with an end-of-December cash balance of $360 billion.

Projected Net Marketable Borrowing ? Treasury continues to analyze and model various scenarios to address potential funding needs based on deficit forecasts and expectations for SOMA Treasury redemptions. ? Assumptions include full SOMA reinvestments until October 2017, followed by SOMA capped redemptions until the second half of 2021. These assumptions are based on the June FOMC addendum to the Policy Normalization Principles and Plans and expectations from the FRB-NY June 2017 Survey of Primary Dealers and the July projections for the SOMA portfolio.

4

Section II: Fiscal

5

Source: United States Department of the Treasury

6

Withheld Taxes (incl FICA)

Non-Withheld Taxes (incl SECA)

Corporate Taxes

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 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17

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

0% (10%) (20%) (30%) (40%) (50%)

Year-over-Year % Change

Quarterly Tax Receipts

Monthly Receipt Levels (12-Month Moving Average)

140

120

100

80

60

40

20

0

$ bn Jun-07 Oct-07 Feb-08 Jun-08 Oct-08 Feb-09 Jun-09 Oct-09 Feb-10 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17

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

RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. Source: United States Department of the Treasury

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