Quarterly Refunding ChartsU.S. Department of the Treasury

Office of Debt Management February 1, 2010

Office of Debt Management

Near-Term Financing Outlook

Estimated net marketable borrowing for Q2 and Q3 FY 2010

• Net marketable borrowing in Q2 (January-March) is expected to be $392 billion.

• Net marketable borrowing in Q3 (April-June) is expected to be $268 billion.

• These estimates do not include incremental borrowing needs that would result from a potential increase in issuance under the Supplementary Financing Program (SFP).

Office of Debt Management2

• Nominal coupons raised the majority of ($ billions)

Treasury Marketable FinancingQ1-FY 2010 FY 2009

October 1, 2009 - December 31, 2009 October 1, 2008 - September 30, 2009j ycash in the first quarter of the fiscal year.

• Supplementary Financing Program

Issued MaturedNet SOMA Activity *

Net Cash Raised Issued Matured

Net SOMA Activity *

Net Cash Raised

Bills (includes SFPs) $1,452.4 $1,651.4 $0.0 -$199.0 $6,920.5 $6,417.8 $0.0 $502.7

Nominal coupons $598.9 $153.5 $0.0 $445.5 $1,886.6 $640.7 $0.0 $1,245.9g g

(SFP) redemptions accounted for the majority of the pay down in bills during the quarter.

TIPS $14.0 $0.0 $0.0 $14.0 $58.5 $20.8 $0.0 $37.7

Total $2,065.3 $1,804.9 $0.0 $260.5 $8,865.6 $7,079.3 $0.0 $1,786.3

* Note: Negative SOMA activity represents redemptions. Positive SOMA activity represents additional issuance of securities, made possible by redemptions in maturing securities with the same settlement date; these are offsetting transactions and are net cash neutral.

• Large cash outflows on February 15 include maturing 3-, 5- and 10-year notes May 15

Marketable Treasury Coupon Flows (including SOMA) $ Billions

Date Maturing Coupon Securities Coupon Payments Total Outflows

February 15, 2010 57 27 84February 28, 2010 29 5 34year notes. May 15

outflows include maturing 3- and 5-year notes.

February 28, 2010 29 5 34March 15, 2010 15 1 16March 31, 2010 32 5 37April 15, 2010 47 2 49April 30, 2010 33 5 38May 15, 2010 38 21 59

Office of Debt Management3

y ,May 31, 2010 32 5 37

.

• Volatility in cash 150

175

$ Billions

Treasury Daily Operating Cash BalanceExcluding SFPs

FY 2007FY 2008FY 2009FY 2010

Note: Data through January 21, 2009

Sep. 15

Dec. 15 Jun. 15

balances continues to pose challenges.

• Elevated cash balances at the end of December 50

75

100

125Apr. 15

2009 were related, in part, to repayments of TARP. 0

25

Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep

Key Receipt Dates 1st of Month – Individual withheld taxes Mar 15 Jun 15 Sept 15 Dec 15 Corporate Taxes

Key Outlay Dates 1st of each month – Medicare, SSI, VA, CSRDF 3rd of each month Main Social Security payments

N k bl 569.3 600600

$ billions

Treasury Quarterly Net Marketable Borrowing"Net Cash"

Fiscal Quarter$ billions

Note: Includes SOMA redemptions and SFP's.

$ billions

Note: Includes SOMA redemptions and SFP's.

Mar. 15, Jun. 15, Sept. 15, Dec. 15- Corporate Taxes Jan. 15, Apr. 15, Jun. 15, Sept. 15 Individual Non-withheld Taxes

2nd/3rd/4th Wed of each month Soc. Sec. cycle payments Feb. 15, May 15, Aug. 15, Nov. 15 Interest payment dates— Feb 1 - April 15 – Individual tax refunds

• Net marketable borrowing for Q1 FY 2010 was $260 billion compared to $569 billion during the same period in the prior year 191 0

527.1481.3

343.2

392.5

260.5

250

300

350

400

450

500

550

250

300

350

400

450

500

550Bills 2-under 5 years

5-10 years 5-10 year TIPS

Over 10 years Over 10 year TIPS

p

Bor row i ng s

p

Bor row i ng s

period in the prior year.

• SFP bills were paid down by $160 billion in Q1 FY 2010.

97.8

144.2

52.392.5

158.0

45.0 41.9

125.7105.2 86.8

191.0

-100

-50

0

50

100

150

200

-100

-50

0

50

100

150

200

Pa y d

Pa y d

Office of Debt Management4

-78.5 -92.2

-138.7

-44.6

-250

-200

-150

100

-250

-200

-150

100

I-05 II III IV I-06 II III IV I-07 II III IV I-08 II III IV I-09 II III IV I-10

d o w n

d o w n

• State and Local 24.4

21.025

30

35

25

30

35$ billions$billions

Treasury Quarterly Net Borrowing from Nonmarketable IssuesFiscal Quarter

State and Local Govt. Series

Bo r r

Government Series Securities were paid down by $2.4 billion in Q1 FY 2010 Q1. This was the smallest pay d i th $3 3

1.1

16.6 16.3

10.7

4.1

15.7 15.7

0

5

10

15

20

0

5

10

15

20 Savings Bonds

Foreign Series

ow I n g s

down since the $3.3 billion observed in Q1 FY 2008.

-2.2

-6.8-8.5

-5.7

-7.8

-15.1-17.6

-11.9-9.1

-9.3

-20.3

-5.2

25

-20

-15

-10

-5

25

-20

-15

-10

-5 P a y d o w n

• Treasury has reduced30%

90%

100%

Percentage Breakdown of Quarterly Marketable IssuanceFiscal Year

-25-25I 05 II III IV I 06 II III IV I 07 II III IV I 08 II III IV I 09 II III IV I 10

Treasury has reduced reliance on bill financing over the past calendar year, moving from 84% in December 2008 to 70% in

15%

20%

25%

40%

50%

60%

70%

80%

90%Bills follow left‐side scale.

Coupons followright‐side scale.

December 2009.

0%

5%

10%

0%

10%

20%

30%

40%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009

Office of Debt Management5

Bills 2-3 yrs 4-7 yrs 8-10 yrs Bonds TIPS

Note: Previous releases of Quarterly marketable issuance data were based on 4-quarter rolling averages and excluded CMBs. This data is based on actual quarterly marketable issuance through December 31, 2009, including CMBs.

• Inflation-adjusted 600

700

800

60

70

80

Gross Annual TIPS Issuance and Amount Outstanding

30‐Year (LHS)

20‐Year (LHS)

10‐Year (LHS)

5‐Year (LHS)

TIPS outstanding stood at $568 billion at the end of December 2009.

300

400

500

600

30

40

50

60

$ billion

s

$ billion

s

Inflation Adjusted Outstanding  (RHS)

0

100

200

10

20

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

Calendar Year

50%

Year-over-Year Growth in Outstanding Coupon SecuritiesSemi-Monthly

Nominals TIPS

• Growth in nominal coupons outstanding slowed during the past quarter.

30%

40%

Note: Data through December 31, 2009.

q

0%

10%

20%Rate

Office of Debt Management6

-10%

0%Sep-05 Apr-06 Nov-06 May-07 Dec-07 Jun-08 Jan-09 Jul-09

Debt Portfolio Projections

Assumptions used in the next 3 charts:Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally acrossestimates. Future residual financing needs are spread proportionally across auctioned securities and are derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on December 31, 2009. The initial size f 30 TIPS i b d th d t f 20 TIPS ifor 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009.

• Projections exclude cash management bills.• Projections assume no change to future issuance patterns• Projections assume no change to future issuance patterns.

Using the above assumptions, over the next 10 years:A t it f t t l t t di d t it f i ttl t• Average maturity of total outstanding and average maturity of issuance settle to approximately 68 and 79 months, respectively.

• The percent of debt with 3 years or less to maturity is projected to decline to 53%.

Office of Debt Management7

• Average maturity of total debt outstanding rose by 6

h b h80

90

80

90

monthsmonthsDebt Maturity Measures

Average Maturity of Issuance 1/

Hypothetical FY*

months between March 2009 and December 2009, from 49 months to 55 months.

50

60

70

50

60

70

20

30

40

20

30

40

Average Maturity of Marketable Debt Outstanding 2/

1/ Quarterly data are actuals through December 31, 2009. Actuals and fiscal year projections use a 4-quarter average. 2/ Quarterly data are actuals through December 31, 2009. Fiscal year projections are yearly data.

45%

50%

45%

50%

Distribution of Marketable Debt Outstanding by SecurityFiscal Year

1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

• If future financing needs were spread proportionally following current issuance patterns, the proportion of debt composed of longer-term securities would

25%

30%

35%

40%

45%

25%

30%

35%

40%

45%

Hypothetical*

term securities would increase.

0%

5%

10%

15%

20%

0%

5%

10%

15%

20%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Office of Debt Management8

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Bills 2-3 yrs 4-7 yrs 8-10 yrs Bonds TIPS

*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

65%

70%

75%

65%

70%

75%

Percentage of Debt Maturing in Next 12 to 36 Months

Maturing in 36 Months

Hypothetical *

• The percentage of debt maturing within the next three years is at historical lows.

40%

45%

50%

55%

60%

40%

45%

50%

55%

60%

Maturing in 24 Months

20%

25%

30%

35%

40%

20%

25%

30%

35%

40%

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Maturing in 12 Months

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019*Net financing projections for FY 2010-2020 are based on OMB FY 2011 Budget estimates. Future residual financing needs are spread proportionally across auctioned securities and are derived from hypothetical auction sizes. Excluding 30-year TIPS, initial sizes are based on announced coupon amounts as of December 31, 2009 and the outstanding level of bills on December 31, 2009. The initial size for 30-year TIPS is based on the average announced amount for 20-year TIPS in 2009. Projections exclude CMB issuance and maturing amounts.

100

$ Billions

Coupons Maturing*February 15, 2010‐November 15, 2039

2 YR NOTE 3 YR NOTE 5 YR NOTE 7 YR NOTE 10 YR NOTE

*Based on coupon securities outstanding as of January21, 2010

• Maturing 2-, 3- and 5-year notes will add to near-term financing needs.

60

70

80

9030 YR BOND 5 YR IIS BOND 10 YR IIS NOTE 20 YR IIS BOND 30 YR IIS BOND

20

30

40

50

Office of Debt Management9

0

10

15‐Feb

‐10

31‐M

ar‐10

15‐M

ay‐10

30‐Ju

n‐10

15‐Aug

‐10

30‐Sep

‐10

15‐Nov

‐10

31‐Dec

‐10

15‐Feb

‐11

15‐Apr‐11

30‐Ju

n‐11

31‐Aug

‐11

15‐Nov

‐11

31‐Dec

‐11

15‐Feb

‐12

31‐M

ar‐12

15‐M

ay‐12

30‐Ju

n‐12

15‐Aug

‐12

30‐Sep

‐12

15‐Nov

‐12

31‐Dec

‐12

15‐Feb

‐13

15‐Apr‐13

31‐M

ay‐13

31‐Ju

l‐13

30‐Sep

‐13

30‐Nov

‐13

31‐Ja

n‐14

31‐M

ar‐14

15‐M

ay‐14

15‐Ju

l‐14

31‐Aug

‐14

15‐Nov

‐14

15‐Ja

n‐15

15‐Ju

l‐15

15‐Ja

n‐16

31‐M

ar‐16

31‐M

ay‐16

31‐Ju

l‐16

30‐Sep

‐16

30‐Nov

‐16

15‐Feb

‐17

15‐Aug

‐17

15‐Feb

‐18

15‐Aug

‐18

15‐Feb

‐19

15‐Aug

‐19

15‐Feb

‐20

15‐Feb

‐21

15‐Nov

‐21

15‐Feb

‐23

15‐Ja

n‐25

15‐Ja

n‐26

15‐Nov

‐26

15‐Aug

‐27

15‐Apr‐28

15‐Ja

n‐29

15‐Aug

‐29

15‐Apr‐32

15‐M

ay‐37

15‐Feb

‐39

15‐Nov

‐39

Additional Factors to Consider

• The rate of decline in year-over-year corporate tax receipts slowed in Q1 FY 2010. In the past, changes in corporate tax receipts have led changes in individual withheld and non-withheld receipts.

• Marketable financing needs remain volatile due to uncertainty surrounding projected revenues, non-marketable debt issuance and outlays related to ongoing recovery programs.

• Treasury’s current securities offerings provide flexibility to address a wide range of borrowing scenarios.g g

Office of Debt Management10

FY 2010 and 2011 Deficit and Borrowing Estimates $ billionsPrimary Dealers* CBO OMB

FY 2010 Deficit Estimates 1 357 1 349 1 556• Primary dealers

currently estimate a FY 2010 deficit of $1.357 trillion, approximately $200

FY 2010 Deficit Estimates 1,357 1,349 1,556FY 2011 Deficit Estimates 1,121 980 1,267FY 2010 Deficit Range 900-1750FY 2011 Deficit Range 750-1800

FY 2010 M k t bl B i R 1000 1750billion below the Administration’s projection.

FY 2010 Marketable Borrowing Range 1000-1750FY 2011 Marketable Borrowing Range 750-1600Estimates as of: Jan 2010 Jan 2010 Feb 2010

* Based on Primary Dealer feedback on January 28, 2010. Deficit estimates are averages.

2,000($ billions)

Comparing Deficit Estimates for FY 2010 since February 2009

• Recent deficit 1,200

1,400

1,600

1,800OMB CBO Primary Dealers

projections have been relatively stable.

200

400

600

800

1,000

Office of Debt Management11

0February 09 April 09 June 09 August 09 October 09 December 09 February 10

Estimate Month

40%Rolling 12-Month Growth Rates

• The pace of decline in year-over-year corporate tax receipts has slowed. 10%

20%

30%Corp TaxWH TaxNonWH Tax

-30%

-20%

-10%

0%

-50%

-40%M

ar-8

2

Mar

-83

Mar

-84

Mar

-85

Mar

-86

Mar

-87

Mar

-88

Mar

-89

Mar

-90

Mar

-91

Mar

-92

Mar

-93

Mar

-94

Mar

-95

Mar

-96

Mar

-97

Mar

-98

Mar

-99

Mar

-00

Mar

-01

Mar

-02

Mar

-03

Mar

-04

Mar

-05

Mar

-06

Mar

-07

Mar

-08

Mar

-09

Office of Debt Management12