U.S. Debt Maturities: Evidence Of Looming Default In U.S. Bonds [View article]
Thank you. One thing I pointed out is that while the weighted average maturity may be 64 months, the median is only 38 months. I'm not sure everyone appreciates just how exposed the Treasury is to higher rates.
The presentation includes an updated version of your Chart 1 plus other charts that look deeper into the structure of the Treasury debt. The presentation analyzes changes in average maturity (your Chart 3) and shows how the Treasury's issuance policy has actually slowed the growth of average maturity. The Treasury's issuance continues to be very short - the May issuance had an average maturity of only 27 months. Thanks.
The Simplified Bank Stress Test [View article]
The Simplified Bank Stress Test [View article]
Next time, please ask for permission to reproduce any of my work, and be sure to fully credit the source.
Thank you,
Win Smith
U.S. Debt Maturities: Evidence Of Looming Default In U.S. Bonds [View article]
U.S. Debt Maturities: Evidence Of Looming Default In U.S. Bonds [View article]
You might check out the presentation on Interest Rate Risk and the U.S. Treasury I gave to the Global Association of Risk Professionals:
http://bit.ly/NiTKeY
The presentation includes an updated version of your Chart 1 plus other charts that look deeper into the structure of the Treasury debt. The presentation analyzes changes in average maturity (your Chart 3) and shows how the Treasury's issuance policy has actually slowed the growth of average maturity. The Treasury's issuance continues to be very short - the May issuance had an average maturity of only 27 months. Thanks.
Treasury Floaters Muddy The Waters [View article]
Treasury Floaters Muddy The Waters [View article]
http://bit.ly/z1rdUI
You might be interested in this comment from a former Treasury official on the topic of floaters and average life:
http://bit.ly/wSO9nw
He notes that FRNs were considered by the Treasury in the 1990s but were rejected by Secretary Summers.