US Treasury Debt Management

[Pages:8]US Treasury Debt Management

$ 3b0illions 25

10-Year TIPS

Breakeven

Yield/Breakev3e.n0 2.5

20

2.0

Real Yields

6/28/04

15

1.5

10

1.0

5

0.5

0

0.0

3-3/8% 3-5/8% 3-7/8% 4-1/4% 3-1/2% 3-3/8%

3%

1-7/8%

2%

1/15/2007 1/15/2008 1/15/2009 1/15/2010 1/15/2011 1/15/2012 7/15/2012 7/15/2013 1/15/2014

Issued

Inflation Accrual

3P.0ercent

10-yr TIPS Breakeven Inflation

Perc3e.n0t

2.5

2.5

2.0

2.0

1.5

1.5

10-yr TIPS

1.0

Auction Date

1.0

0.5

0.5

0.0

0.0

Jan-98 Jul-98 Jan-99 Jul-99 Jan-00 Jul-00 Jan-01 Jul-01 Jan-02 Jul-02 Jan-03 Jul-03 Jan-04 Jul-04

Monthly Inflation Accrual on TIPS

1.0%

1.0%

0.8% 0.6% 0.4%

Average Monthly Inflation Accrual

0.8% 0.6% 0.4%

0.2%

0.2%

0.0%

0.0%

-0.2%

-0.2%

-0.4%

-0.6% Jan

1997 1998 1999 Feb Mar Apr May

2000 2001 2002 2003 2004 Jun Jul Aug Sep Oct Nov

-0.4%

-0.6% Dec

Co6ver Ratio

Anounced Auction Sizes and Cover Ratios for 10-yr TIPS Auctions

5 Cover Ratio

4

Auction Size

$ Billion13s 12 11 10

9 3

8

2

7

6 1

5

0

4

1/15/1997

1/15/1998

1/15/1999

1/15/2000

1/15/2001

1/15/2002

10/15/2002

7/15/2003

1/15/2004

$1b4illions 12

Average Daily TIPS Transactions by Primary Dealers

$ billio1n4s

12

10

10

Weeks with a TIPS Auction

8

8

6

6

3-month moving average of

Nonauction Weeks

4

4

2

2

0 Jan-98 Jul-98

Source: NY Fed

Jan-99

Jul-99

Jan-00

Jul-00

Jan-01

Jul-01

Jan-02

Non-Auction Weeks Jul-02 Jan-03 Jul-03 Jan-04

0 Jul-04

10-year TIPS

Annual Issuance, % of Total Annual Issuance, & % of Marketable Debt

$6b0illions

7.0%

6.0%

50

5.0%

40

4.0%

30

3.0%

20

2.0%

10

1.0%

0

0.0%

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

Annual 10-yr TIPS Issuance (LHS)

% of Total Issuance (RHS)

% of Marketable Debt

* Projections based on deficit forecasts from OMB's FY05 Budget.

6TIPS ($ billions)

5

Net Dealer Positions in Treasuries

Nominal Trea4s0uries ($ billions)

20

nominal zero line

0

4

3

2

TIPS Auction Weeks 1

0

TIPS zero line

-1

TIPS (LHS)

Nominal Treasuries (RHS)

-2 Feb-01 Jun-01

Source: NY Fed

Oct-01

Feb-02

Jun-02

Dealers net short TIPS for the first time

(5/14/03)

Oct-02 Feb-03 Jun-03

Oct-03

Feb-04

-20 -40 -60 -80 -100 -120 -140 Jun-04

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