Treasury Debt Management - U.S. Department of the Treasury

[Pages:14]Treasury Debt Management

Timothy Bitsberger

Deputy Assistant Secretary U.S. Treasury Department

4N0o0minal Volume ($billions)

350

DAILY PRIMARY DEALER TRADING VOLUMES 3-MONTH MOVING AVERAGES

TIIS Volu3m.5e ($billions)

3.0

300

2.5

250 NOMINAL NOTES/BONDS

200

2.0

TIIS NOTES/BONDS 1.5

150

1.0

100

0.5

Apr-98 Sep-98 Feb-99 Jul-99 Dec-99 May-00 Oct-00 Mar-01 Aug-01 Jan-02 Jun-02 Nov-02

TURNOVER RATIOS FOR NOMINAL AND INFLATION-INDEXED TREASURIES1

3-MONTH MOVING AVERAGES

20% Nominal Volume/Outstanding

TIIS 3.0% Volume/Outstanding

18%

16%

2.5%

14% 12%

TIIS NOTES/BONDS

NOMINAL NOTES/BONDS

2.0%

10%

1.5%

8% 1.0%

6%

4% Apr-98 Sep-98 Feb-99 Jul-99 Dec-99 May-00 Oct-00

1/ Average daily primary dealer trading volume divided by outstanding amount.

Mar-01

Aug-01

Jan-02

Jun-02

Nov-02

0.5%

4.5%

PRIMARY DEALER TIIS POSITIONS AS A PERCENTAGE OF OUTSTANDING TIIS

3-MONTH MOVING AVERAGE

4.5%

4.0%

4.0%

3.5%

3.5%

3.0%

3.0%

2.5%

2.5%

2.0%

2.0%

1.5%

1.5%

1.0%

1.0%

0.5% Apr-98 Sep-98 Feb-99 Jul-99 Dec-99 May-00 Oct-00 Mar-01 Aug-01 Jan-02 Jun-02 Nov-02

0.5%

10-year TIIS Issuance Represents More Than a Quarter of Treasury's Total 10-year Note Issuance

$billions 70

60 50 40 30 20 10

0 1997

1998

1999

2000

2001

10-yr TIIS Issuance 10-yr Nominal Issuance

2002

Outstanding Treasury Inflation-Indexed Securities

$billions

160

140

120

100

80

60

40

20

0 1997

1998

1999

2000

2001

2002 Feb 2003

Source: US Treasury

SIZE OF GLOBAL INFLATION-INDEXED BOND MARKET VS. OTHER ASSET CLASSES

500

400

300

Billions

200

100

0 Global Inflation Indexed

Source: Bridgewater

Global High Yield

Emerging M arket Bonds Asset Class

Emerging M arket Equities

European Corporates

Distribution of Competitive Auction Awards of 10-Year Treasury Notes

10-Year Inflation-Indexed Notes

July 2002, October 2002 & January 2003

Financial Insts., 1%

Other, 4%

10-Year Fixed-Rate Notes

August 2002, November 2002 & February 2003

Financial Insts., Other, 2% 3%

Inves tment Funds, 25%

Foreign & International,

5%

Primary Dealers, 66%

Inves tment Funds, 15%

Foreign & International,

12%

Primary Dealers, 67%

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download