Treasury Presentation to TBAC

Transcription

1 Treasury Presentation to TBAC

2 Office of Debt Management Fiscal Year 2015 Q1 Report

3 Table of Contents I. Fiscal II. 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 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

4 Section I: Fiscal 3

5 Quarterly Tax Receipts 75% 50% Year over Year % Change 25% 0% (25%) (50%) 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 Sep-14 Dec-14 Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA) Source: United States Department of the Treasury 4

6 140 Monthly Receipt Levels (12-Month Moving Average) $ bn 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 Sep-14 Dec-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 RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. Source: United States Department of the Treasury 5

7 Eleven Largest Outlays $ bn HHS SSA Defense Treasury Agriculture Labor VA Transportation OPM Education Other Defense Civil Oct - Dec FY15 Oct - Dec FY14 Source: United States Department of the Treasury 6

8 Treasury Net Nonmarketable Borrowing $ bn 0 (5) (10) (15) (20) (25) (30) (35) Q1-05 Q2-05 Q3-05 Q4-05 Q1-06 Q2-06 Q3-06 Q4-06 Q1-07 Q2-07 Q3-07 Q4-07 Q1-08 Q2-08 Q3-08 Q4-08 Q1-09 Q2-09 Q3-09 Q4-09 Q1-10 Q2-10 Q3-10 Q4-10 Q1-11 Q2-11 Q3-11 Q4-11 Q1-12 Q2-12 Q3-12 Q4-12 Q1-13 Q2-13 Q3-13 Q4-13 Q1-14 Q2-14 Q3-14 Q4-14 Q1-15 Fiscal Quarter Foreign Series State and Local Govt. Series (SLGS) Savings Bonds Source: United States Department of the Treasury 7

9 Cumulative Budget Deficits by Fiscal Year $bn October November December January February March April May June July August September FY 2013 FY 2014 FY 2015 Source: United States Department of the Treasury 8

10 FY Deficits and Net Marketable Borrowing Estimates In $ billions Primary Dealers 1 OMB 2 CBO 3 OMB MSR 4 FY 2015 Deficit Estimate FY 2016 Deficit Estimate FY 2017 Deficit Estimate FY 2015 Deficit Range FY 2016 Deficit Range FY 2017 Deficit Range FY 2015 Net Marketable Borrowing Estimate FY 2016 Net Marketable Borrowing Estimate FY 2017 Net Marketable Borrowing Estimate FY 2015 Net Marketable Borrowing Range FY 2016 Net Marketable Borrowing Range FY 2017 Net Marketable Borrowing Range Estimates as of: Jan-15 Feb-15 Jan-15 Jul-14 1 Based on primary dealer feedback on Jan 26, Estimates above are averages. 2 Table 1 of OMB's "Fiscal Year 2016 Budget of the US Government" 3 Table 1 of CBO's "The Budget and Economic Outlook: 2015 to 2025" 4 Table S-11 of OMB's "Fiscal Year 2015 MSR" 9

11 Budget Surplus/Deficit 500 2% 0 0% (500) (2%) (4%) $ bn (1,000) (6%) (1,500) (8%) (2,000) (10%) (2,500) (12%) 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 2016 Budget of the US Government 10

12 Section II: Financing 11

13 Assumptions for Financing Section (pages 13 to 19) Portfolio and SOMA holdings as of 12/31/2014. SOMA redemptions until and including June These assumptions are based on Chairman Bernanke s June 2013 press conference. Assumes announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 02/04/2015, 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 as of 12/31/2014. No attempt was made to match future financing needs. 12

14 Sources of Financing in Fiscal Year 2015 Q1 October - December 2014 October - December 2014 Fiscal Year to Date Bill Issuance Net Bill Issuance 47 Issuance Gross Maturing Net Gross Maturing Net Net Coupon Issuance 180 Bills 4-Week Subtotal: Net Marketable Borrowing 227 Bills 13-Week (33) (33) Bills 26-Week Ending Cash Balance 224 Bills 52-Week Beginning Cash Balance 158 Bills CMBs Subtotal: Change in Cash Balance 66 Bill Subtotal 1,227 1, ,227 1, Net Implied Funding for FY 2015 Q1* 161 October - December 2014 Coupon Issuance Fiscal Year to Date Issue Gross Maturing Net Gross Maturing Net 2-Year (21) (21) 2-Year FRN Year (22) (22) 5-Year (24) (24) 7-Year Year Year Year TIPS Year TIPS Year TIPS Coupon Subtotal Total 1,766 1, ,766 1, *Assumes an end-of-december 2014 cash balance of $224 billion versus a beginning-of-october 2014 cash balance of $158 billion. By keeping the cash balance constant, Treasury arrives at the net implied funding number. 13

15 Sources of Financing in Fiscal Year 2015 Q2 January - March 2015 January - March 2015 Fiscal Year to Date Bill Issuance Assuming Constant Coupon and Average Bill Issuance Sizes as of 2/4/2015* Issuance Gross Maturing Net Gross Maturing Net Net Bill Issuance 32 Bills 4-Week (42) (17) Net Coupon Issuance 121 Bills 13-Week Subtotal: Net Marketable Borrowing 153 Bills 26-Week Bills 52-Week Treasury Announced Estimate: Net Marketable Borrowing** 155 Bills CMBs Implied: Increase in FY 2015 Q2 Net Issuances 2 Bill Subtotal 1,177 1, ,404 2, January - March 2015 Fiscal Year to Date Coupon Issuance Issue Gross Maturing Net Gross Maturing Net 2-Year (27) (48) 2-Year FRN Year (32) (54) 5-Year (24) (48) 7-Year Year Year Year TIPS Year TIPS Year TIPS Coupon Subtotal , Total 1,705 1, ,471 3, *Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 02/04/2015, 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-march 2015 cash balance of $100 billion versus a beginning-of-january 2015 cash balance of $224 billion. Financing Estimates released by the Treasury can be found here: 14

16 1,000 OMB's Projection of Borrowing from the Public % % % % 0 60% (200) (400) 55% $bn FY FY2025 Cumulative Total $ bn % Primary Deficit 456 6% Net Interest 5,799 76% Other 1,335 18% Total 7,590 Primary Deficit Net Interest Other Debt Held by Public as a Percent of GDP - RHS Debt Held by Public Net of Financial Assets as a Percent of GDP - RHS OMB s projections of net borrowing from the public are from Table S-13 of the Fiscal Year 2016 Budget of the US Government. Data labels at the top represent the change in debt held by the public in $ billions. Other represents borrowing from the public to provide direct and guaranteed loans. 15

17 Interest Rate Assumptions: 10-Year Treasury Note Year Treasury Note Rate, % Year Treasury Rate, 2.172%, as of 12/31/ Implied Forward Rates on January 2nd OMB's Fiscal Year 2016 Budget OMB s economic assumption of the 10-year Treasury Note rates are from Table S-12 of the Fiscal Year 2016 Budget of the US Government. The forward rates are the implied 10-year Treasury Note rates on January 2 nd of that year. 16

18 Projected Net Borrowing Assuming Constant Future Issuance 1,200 1, $bn Fiscal Year Projected Net Borrowing CBO: The Budget and Economic Outlook 2015 to 2025 OMB's Fiscal Year 2016 Budget PD Survey Marketable Borrowing Estimates Treasury s primary dealer survey estimates can be found on page 9. OMB s estimates of borrowing from the public are from Table S-13 of the Fiscal Year 2016 Budget of the US Government. CBO s estimates of the borrowing from the public are from Summary Table 1 of the CBO: The Budget and Economic Outlook 2015 to See table at the end of this section for details. 17

19 Impact of SOMA Actions on Projected Net Borrowing Assuming Future Issuance Remains Constant With Fed Reinvestments ($bn) Without Fed Reinvestments ($bn) 1,200 1,200 1,000 1, Fiscal Year Fiscal Year Projected Net Borrowing CBO: The Budget and Economic Outlook 2015 to 2025 OMB's Fiscal Year 2016 Budget PD Survey Marketable Borrowing Estimates Treasury s primary dealer survey estimates can be found on page 9. OMB s estimates of borrowing from the public are from Table S-13 of the Fiscal Year 2016 Budget of the US Government. CBO s estimates of the borrowing from the public are from Summary Table 1 of the CBO: The Budget and Economic Outlook 2015 to See table at the end of this section for details. 18

20 Historical Net Marketable Borrowing and Projected Net Borrowing Assuming Future Issuance Remains Constant, $ billions Historical/Projected OMB's Fiscal CBO: The Budget Jan 2015 Fiscal Year Bills 2/3/5 7/10/30 TIPS FRN Net Borrowing Year 2016 and Economic Primary Capacity Budget Outlook 2015 to 2025 Dealer Survey , (204) , (311) , , (86) (119) (92) (283) (3) (173) (73) (0) (0) , (0) , , (34) 200 (43) (0) ,142 Treasury s primary dealer survey estimates can be found on page 9. OMB s estimates of borrowing from the public are from Table S-13 of the Fiscal Year 2016 Budget of the US Government. CBO s estimates of the borrowing from the public are from Summary Table 1 of the CBO: The Budget and Economic Outlook 2015 to

21 Section III: Portfolio Metrics 20

22 Assumptions for Portfolio Metrics Section (pages 22 to 27) and Appendix Portfolio and SOMA holdings as of 12/31/2014. SOMA redemptions until and including June These assumptions are based on Chairman Bernanke s June 2013 press conference. To match OMB s projected borrowing from the public for the next 10 years, Nominal Coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on the TIPS securities was accreted to each projection date based on market ZCIS levels as of 12/31/2014. OMB s estimates of borrowing from the public are from Table S-13 of the Fiscal Year 2016 Budget of the US Government. 21

23 Weighted Average Maturity of Marketable Debt Outstanding Weighted Average Maturity (Months) months on 12/31/ months (Historical Average from 1980 to Present) Calendar Year Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 1980 to end of FY 15 Q1 This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. 22

24 Projected Gross Borrowing excluding Bills for Fiscal Year 4,000 3,500 3,000 2,500 $bn 2,000 1,500 1, Maturing in <= 1 Year excluding Bills OMB's Projected Net Borrowing This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. 23

25 Projected Maturity Profile from end of Fiscal Year $ tr <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10yr This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details. 24

26 Recent and Projected Maturity Profile, $ billions End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10yr Total (0, 5] , ,222 3, , ,998 5, ,563 1, , ,488 5, ,620 1, ,541 1,070 1,053 1,017 9,616 6, ,951 1,373 1,104 1,811 1,214 1,108 1,181 10,742 7, ,939 1,523 1,242 1,965 1,454 1,136 1,331 11,590 7, ,935 1,739 1,319 2,207 1,440 1,113 1,528 12,281 8, ,195 1,785 1,346 2,397 1,490 1,129 1,660 13,003 8, ,240 1,831 1,562 2,432 1,519 1,196 1,829 13,609 9, ,287 2,071 1,552 2,513 1,518 1,275 2,015 14,230 9, ,558 2,054 1,588 2,568 1,606 1,325 2,167 14,865 9, ,541 2,155 1,699 2,677 1,724 1,405 2,338 15,538 10, ,612 2,287 1,652 2,881 1,814 1,418 2,585 16,248 10, ,744 2,217 1,888 2,971 1,861 1,468 2,849 16,998 10, ,674 2,489 1,941 3,077 1,935 1,494 3,162 17,772 11, ,946 2,530 1,996 3,107 1,986 1,514 3,480 18,559 11, ,027 2,636 2,027 3,234 2,099 1,536 3,789 19,348 11, ,095 2,701 2,079 3,494 2,135 1,559 4,134 20,197 12,369 This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio Composition by original issuance type and term can be found in the appendix (Page 43). 25

27 Projected Maturity Profile from end of Fiscal Year 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10yr This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details 26

28 Recent and Projected Maturity Profile End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10yr (0, 3] (0, 5] % 13.6% 5.4% 12.5% 5.9% 9.6% 11.8% 60.2% 72.7% % 11.1% 9.5% 13.7% 8.0% 9.2% 9.9% 59.1% 72.9% % 13.4% 10.5% 15.0% 10.7% 10.1% 10.0% 54.2% 69.2% % 13.9% 10.2% 16.0% 11.1% 10.9% 10.6% 51.3% 67.3% % 12.8% 10.3% 16.9% 11.3% 10.3% 11.0% 50.5% 67.4% % 13.1% 10.7% 17.0% 12.5% 9.8% 11.5% 49.2% 66.2% % 14.2% 10.7% 18.0% 11.7% 9.1% 12.4% 48.8% 66.8% % 13.7% 10.4% 18.4% 11.5% 8.7% 12.8% 48.7% 67.1% % 13.5% 11.5% 17.9% 11.2% 8.8% 13.4% 48.7% 66.6% % 14.6% 10.9% 17.7% 10.7% 9.0% 14.2% 48.6% 66.2% % 13.8% 10.7% 17.3% 10.8% 8.9% 14.6% 48.4% 65.7% % 13.9% 10.9% 17.2% 11.1% 9.0% 15.0% 47.6% 64.8% % 14.1% 10.2% 17.7% 11.2% 8.7% 15.9% 46.5% 64.2% % 13.0% 11.1% 17.5% 10.9% 8.6% 16.8% 46.2% 63.7% % 14.0% 10.9% 17.3% 10.9% 8.4% 17.8% 45.6% 62.9% % 13.6% 10.8% 16.7% 10.7% 8.2% 18.8% 45.6% 62.4% % 13.6% 10.5% 16.7% 10.8% 7.9% 19.6% 44.9% 61.6% % 13.4% 10.3% 17.3% 10.6% 7.7% 20.5% 43.9% 61.2% This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio composition by original issuance type and term can be found in the appendix (Page 43). 27

29 Section IV: Demand 28

30 Summary Statistics for Fiscal Year 2015 Q1 Auctions Security Type Term Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($ bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($ bn) SOMA Add Ons ($ bn) 10-Yr Equivalent ($ bn)** Bill 4-Week % 4.4% 22.7% Bill 13-Week % 6.1% 24.8% Bill 26-Week % 5.9% 36.0% Bill 52-Week % 4.7% 24.1% Bill CMBs % 0.0% 0.0% Coupon 2-Year % 15.7% 36.1% Coupon 3-Year % 14.3% 38.4% Coupon 5-Year % 9.2% 57.2% Coupon 7-Year % 11.4% 51.1% Coupon 10-Year % 9.2% 47.5% Coupon 30-Year % 19.4% 46.4% TIPS 5-Year % 5.2% 64.8% TIPS 10-Year % 8.1% 62.4% TIPS 30-Year % 4.5% 64.5% FRN 2-Year FRN % 4.6% 41.3% Total Bills , % 5.3% 27.1% Total Coupons % 12.6% 46.7% Total TIPS % 6.1% 63.9% Total FRN % 4.6% 41.3% *Weighted averages of Competitive Awards. **Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-year equivalent, a constant auction BEI is used as the inflation assumption. 29

31 Bid-to-Cover Ratios for Treasury Bills Bid-to-Cover Ratio Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 4-Week (13-week moving average) 26-Week (13-week moving average) 13-Week (13-week moving average) 52-Week (6-month moving average) 30

32 Bid-to-Cover Ratios for FRNs Bid-to-Cover Ratio Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 31

33 4.5 Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securities (6-Month Moving Average) Bid-to-Cover Ratio 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 2-Year 3-Year 5-Year 32

34 3.5 Bid-to-Cover Ratios for 7-, 10-, and 30-Year Nominal Securities (6-Month Moving Average) 3 Bid-to-Cover Ratio 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 7-Year 10-Year 30-Year 33

35 Bid-to-Cover Ratios for TIPS Bid-to-Cover Ratio Sep-00 Sep-01 Sep-02 Sep-03 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 5-Year 10-Year (6-month moving average) 20-Year 30-Year 34

36 20% Percent Awarded in Bill Auctions by Investor Class (3-Month Moving Average) 18% 16% 14% 13-week moving average 12% 10% 8% 6% 4% 2% 0% Oct-10 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Other Dealers and Brokers Investment Funds Foreign and International Other Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, Pension and Insurance. 35

37 35% Percent Awarded in 2-, 3-, 5-Year Nominal Security Auctions by Investor Class (6-Month Moving Average) 30% 25% 6-month moving average 20% 15% 10% 5% 0% Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Other Dealers and Brokers Investment Funds Foreign and International Other Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, Pension and Insurance. 36

38 45% Percent Awarded in 7-, 10-, 30-Year Nominal Security Auctions by Investor Class (6-Month Moving Average) 40% 35% 6-month moving average 30% 25% 20% 15% 10% 5% 0% Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Other Dealers and Brokers Investment Funds Foreign and International Other Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, Pension and Insurance. 37

39 60% Percent Awarded in TIPS Auctions by Investor Class (6-Month Moving Average) 50% 6-month moving average 40% 30% 20% 10% 0% Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Other Dealers and Brokers Investment Funds Foreign and International Other Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, Pension and Insurance. 38

40 Primary Dealer Awards at Auction 75% 70% % of Total Competitive Amount Awarded 65% 60% 55% 50% 45% 40% 35% 30% 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 Excludes SOMA add-ons. 4/13/26-Week (13-week moving average) 52-Week (6-month moving average) 2/3/5 (6-month moving average) 7/10/30 (6-month moving average) TIPS (6-month moving average) 39

41 Direct Bidder Awards at Auction 25% 20% 15% 10% 5% 0% 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 % of Total Competitive Amount Awarded Dec-14 Excludes SOMA add-ons. 4/13/26-Week (13-week moving average) 52-Week (6-month moving average) 2/3/5 (6-month moving average) 7/10/30 (6-month moving average) TIPS (6-month moving average) 40

42 180 Total Foreign Awards of Treasuries at Auction, $ Billion $bn Sep-09 Nov-09 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Bills 2/3/5 7/10/30 TIPS FRN Foreign includes both private sector and official institutions. 41

43 Appendix 42

44 Projected Portfolio Composition by Issuance Type, Percent 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Bills 2/3/5 7/10/30 TIPS (principal accreted to projection date) FRN This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details 43

45 Recent and Projected Portfolio Composition by Issuance Type End of Fiscal Year Bills TIPS (principal 2-, 3-, 5-Year Nominal 7-, 10-, 30-Year Total Nominal accreted to Coupons Nominal Coupons Coupons projection date) FRN % 34.5% 26.9% 61.4% 10.0% 0.0% % 36.2% 27.4% 63.6% 7.9% 0.0% % 40.1% 31.8% 71.9% 7.0% 0.0% % 41.4% 35.9% 77.3% 7.3% 0.0% % 38.4% 39.0% 77.4% 7.5% 0.0% % 35.8% 43.0% 78.7% 8.1% 0.0% % 33.3% 46.5% 79.8% 8.6% 0.0% % 29.3% 48.6% 77.9% 8.7% 2.2% % 27.6% 50.4% 78.1% 8.8% 2.4% % 27.2% 51.2% 78.4% 9.1% 2.3% % 27.1% 51.5% 78.7% 9.3% 2.2% % 27.4% 51.5% 79.0% 9.6% 2.1% % 27.6% 51.8% 79.4% 9.6% 2.0% % 27.7% 52.3% 80.0% 9.5% 1.9% % 27.6% 53.1% 80.7% 9.3% 1.8% % 27.6% 53.7% 81.3% 9.1% 1.8% % 27.4% 54.4% 81.8% 9.0% 1.7% % 27.2% 55.3% 82.5% 8.6% 1.7% This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. 44

46 Issue Settle Date Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($ bn) Bills % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($ bn) SOMA Add Ons ($ bn) 10-Yr Equivalent ($ bn)** 4-Week 10/9/ % 4.0% 32.7% Week 10/16/ % 3.7% 10.5% Week 10/23/ % 3.6% 15.6% Week 10/30/ % 7.6% 17.8% Week 11/6/ % 5.7% 17.8% Week 11/13/ % 5.3% 24.0% Week 11/20/ % 4.8% 17.5% Week 11/28/ % 4.1% 18.9% Week 12/4/ % 3.1% 31.0% Week 12/11/ % 4.9% 22.1% Week 12/18/ % 4.0% 20.6% Week 12/26/ % 3.7% 29.8% Week 1/2/ % 2.3% 37.7% Week 10/9/ % 4.2% 20.1% Week 10/16/ % 5.4% 19.5% Week 10/23/ % 3.9% 22.9% Week 10/30/ % 4.0% 27.2% Week 11/6/ % 6.0% 24.0% Week 11/13/ % 3.6% 44.9% Week 11/20/ % 4.5% 33.6% Week 11/28/ % 9.3% 10.9% Week 12/4/ % 4.5% 24.1% Week 12/11/ % 6.4% 31.0% Week 12/18/ % 9.7% 11.3% Week 12/26/ % 9.7% 30.8% Week 1/2/ % 8.5% 21.2% Week 10/9/ % 6.7% 32.9% Week 10/16/ % 4.9% 41.0% Week 10/23/ % 8.9% 22.3% Week 10/30/ % 4.9% 35.6% Week 11/6/ % 3.4% 48.9% Week 11/13/ % 5.6% 36.6% Week 11/20/ % 5.1% 31.5% Week 11/28/ % 5.1% 46.4% Week 12/4/ % 7.0% 31.5% Week 12/11/ % 4.0% 39.1% Week 12/18/ % 3.0% 32.8% Week 12/26/ % 8.9% 37.5% Week 1/2/ % 6.6% 27.1% Week 10/16/ % 3.2% 28.7% Week 11/13/ % 3.9% 28.6% Week 12/11/ % 7.1% 14.8% *Weighted averages of Competitive Awards. **Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. 45

47 Issue Settle Date Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($ bn) Nominal Coupons % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($ bn) SOMA Add Ons ($ bn) 10-Yr Equivalent ($ bn)** 2-Year FRN 10/31/ % 3.3% 46.6% Year FRN 11/28/ % 5.4% 51.8% Year FRN 12/26/ % 5.2% 24.7% Year 10/31/ % 16.2% 36.7% Year 12/1/ % 16.2% 35.8% Year 12/31/ % 14.5% 35.7% Year 10/15/ % 17.4% 35.5% Year 11/17/ % 15.2% 37.7% Year 12/15/ % 10.1% 42.2% Year 10/31/ % 10.5% 47.8% Year 12/1/ % 9.9% 65.0% Year 12/31/ % 7.3% 58.7% Year 10/31/ % 15.4% 46.6% Year 12/1/ % 12.8% 50.0% Year 12/31/ % 5.9% 56.5% Year 10/15/ % 6.6% 44.4% Year 11/17/ % 13.4% 44.7% Year 12/15/ % 6.9% 53.8% Year 10/15/ % 21.5% 46.2% Year 11/17/ % 13.8% 43.8% Year 12/15/ % 24.3% 49.8% Issue Settle Date Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($ bn) TIPS % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($ bn) SOMA Add Ons ($ bn) 10-Yr Equivalent ($ bn)** 5-Year 12/31/ % 5.2% 64.8% Year 11/28/ % 8.1% 62.4% Year 10/31/ % 4.5% 64.5% *Weighted averages of Competitive Awards. **Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-Year Equivalent, a constant auction BEI is used as the inflation assumption. 46