U.S. Treasury Market
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1 U.S. Treasury Market David Beker Presentation prepared by Joseph Shatz and Catherina Wijaya Refer to important disclosures on page 29 Merrill Lynch does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.
2 U.S. Treasury Market Primary market: U.S. Treasury auctions debt to public Secondary market: Trading through brokers/ dealers Refer to important disclosures on page 29. 2
3 Auction Rules Competitive Bids and Non-competitive Bids Competitive bids specify a bid price and quantity Maximum non-competitive bid is $5M par Single Price Auctions All securities are allocated at the price implied by the highest accepted yield All non-competitive bids are satisfied first The remainder are allocated to competitive bidders starting from the ones with lowest bid yield 35%-rule Net long position in the auction has to be <35% of amount auctioned at any one yield, and incl. futures, forwards, when-issued Refer to important disclosures on page 29. 3
4 Auction Schedule SECURITY Bills 4-Week 13-Week 26-Week Notes 2-Year 3-Year 5-Year 10-Year / Reopening Bonds 20-Year 30-Year / Reopening TIPS 5-Year / Reopening 10-Year / Reopening 20-Year / Reopening 30-Year AUCTION FREQUENCY Weekly (usually Tuesdays) Weekly (usually Mondays) Weekly (usually Mondays) Every month Feb., May, Aug., Nov. Every month Feb., May, Aug., Nov. / Mar., Jun., Sep., Dec. Last auctioned 1/8/86 February / August April / October Jan. & Jul. / Apr. and Oct. January / July Last auctioned 10/10/01 ISSUE / SETTLEMENT DAY Thursday Thursday Thursday End of month 15 th of month End of month 15 th of month N/A 15 th of month Last business day of month 15 th of month Last business day of month N/A Refer to important disclosures on page 29. 4
5 Auction Result Announcement Refer to important disclosures on page 29. 5
6 Special Types of Marketable Treasury Securities Inflation-Indexed Securities - Principal adjusts to reflect inflation STRIPS - Principal and interest components trade separately Refer to important disclosures on page 29. 6
7 Outstanding Public Debt: Total & Marketable Debt 9,000 8,000 7,000 Public Debt Outstanding Marketable Treasury Debt 6,000 (US$ Billions) 5,000 4,000 3,000 2,000 1, Source: Bureau of the Public Debt. Note: 06 numbers are as of March 31, 2006 Refer to important disclosures on page 29. 7
8 Marketable Treasury Debt Outstanding 5,000 4,500 4,000 3,500 (US$ Billions) 3,000 2,500 2,000 1,500 1, Source: Bureau of the Public Debt. Note: 06 numbers are as of March 31, 2006 Refer to important disclosures on page 29. 8
9 Holdings of Marketable Debt Federal Reserve, 16% Debt Held by the Public Federal Reserve Debt Held by the Public, 84% Refer to important disclosures on page 29. 9
10 Unified Budget Deficit/Surplus (US$ Billion) Refer to important disclosures on page
11 Treasury Securities Outstanding (US$ Trillions) Bills Notes Source: Bureau of the Public Debt. Note: 06 numbers are as of March 31, 2006 Refer to important disclosures on page
12 Ownership of Domestically Held UST Securities State & Local Gov Mutual Funds $ Billions Insurance Companies Pension Fund State & Local Gov Pension Fund Private U.S. Saving Bonds Depository Institutions Other Investors Mar 1996 Mar 1997 Mar 1998 Mar 1999 Mar 2000 Mar 2001 Mar 2002 Mar 2003 Mar 2004 Mar 2005 Mar Refer to important disclosures on page
13 Ownership of Domestically Held UST Securities (Sept 2005) Other Investors 17% Depository Institutions 7% U.S. Saving Bonds 11% Pension Fund Private 9% State & Local Gov 26% Mutual Funds 14% Pension Fund State & Local Gov 7% Insurance Companies 9% Refer to important disclosures on page
14 U.S. Treasurys: Total Marketable Debt and Foreign Holdings 4,500 57% $ Billions 4,000 3,500 3,000 2,500 2,000 1,500 1, Total Marketable Debt Outstanding Foreign Holdings of Treasurys as a % of Total Marketable Debt Outstanding (RHS) Foreign Holdings of US Treasurys 52% 47% 42% 37% 32% % of Total Marketable Debt Outstanding 0 27% Mar- 00 Sep- 00 Mar- 01 Sep- 01 Mar- 02 Sep- 02 Mar- 03 Sep- 03 Mar- 04 Sep- 04 Mar- 05 Sep- 05 Mar- 06 Refer to important disclosures on page
15 U.S. Treasurys: Total Marketable Debt and Foreign Official Holdings 4, % 4,000 Total Marketable Debt Outstanding 31.0% $ Billions 3,500 3,000 2,500 2,000 1,500 1, Foreign Official Holdings of Treasurys as a % of Total Marketable Debt Outstanding Foreign Official Holdings of US 30.0% 29.0% 28.0% 27.0% 26.0% 25.0% 24.0% % of Total Marketable Debt Outstanding % Jun- 02 Sep- 02 Dec- 02 Mar- 03 Jun- 03 Sep- 03 Dec- 03 Mar- 04 Jun- 04 Sep- 04 Dec- 04 Mar- 05 Jun- 05 Sep- 05 Dec- 05 Mar- 06 Refer to important disclosures on page
16 U.S. Treasury Secondary Market 24-hours trading Electronic Trading System increasingly being used High trading volume (liquidity), Narrow bid-offer spreads (efficiency) On-the-run and Off-the-run Refer to important disclosures on page
17 Primary Dealers Designated by Federal Reserve Bank of New York Bid competitively in Treasury auctions Participate in coupon passes Financing commitment to Federal Reserve Bank of New York Provide market color Merrill Lynch is one of primary dealers. Others: ABN Amro, Banc of America Securities, etc. Refer to important disclosures on page
18 Inter-Dealer Brokers (IDB) Intermediaries Post aggregated bids and offers from various dealers Execute trades between dealers Provide anonymity and price transparency Two largest: ICAP PLC and Cantor Fitzgerald (60% and 28% market share, 2005)* * Source: Mizrach and Neely, 2006, Refer to important disclosures on page
19 Primary Dealer Transactions U.S. Treasurys Average Daily Volume with Inter-Dealer Brokers with Others 400 US$ Billions Source: Federal Reserve Bank of New York primary dealer data. Note: 2006 number is as of April 19, 2006 Refer to important disclosures on page
20 Daily Trading Volume of U.S. Treasurys Note: Daily inter-dealer trading volume for the indicated on-the-run securities in billions of U.S. dollars. Sample period is Dec 30, 1996 to Mar 31, Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
21 Daily Trading Frequency of U.S. Treasurys Notes: Daily number of inter-dealer trades for the indicated on-the-run securities. Sample period is Dec 30, 1996, to Mar 31, Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
22 Daily Trading Frequency of U.S. Treasury Notes Notes: Mean daily number of inter-dealer trades by week for the on-the-run notes. Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
23 Bid-Ask Spreads of U.S. Treasurys Notes: Mean daily inter-dealer bid-ask spreads for on-the-run securities. Sample period is Dec 30, 1996, to Mar 31, nds is 32nds of a point Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
24 Bid-Ask Spreads of U.S. Treasury Notes Notes: Mean inter-dealer bid-ask spreads by week for on-the-run notes. Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
25 Trade Sizes of U.S. Treasury Securities Notes: Mean daily inter-dealer trade sizes for on-the-run securities in millions US$. Sample period is Dec 30, 1996, to Mar 31, Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
26 Trade Sizes of U.S. Treasury Notes Notes: Mean inter-dealer trade sizes by week for on-the-run notes. Source: Michael Fleming, Measuring Treasury Market Liquidity, 2003 Refer to important disclosures on page
27 Regulations Largely self-regulated U.S. Treasury Set rules for issuance and sale of U.S. Treasurys Enforcement of the rules Federal Reserve (Fed) Market surveillance Agent of Treasury in auctions, spot-checks customer bids Improved market transparency GovPX in 1990 Refer to important disclosures on page
28 The Role of GovPx Founded in 1990 by Primary Dealers & interdealer brokers to enhance price transparency in Treasury market 24-hour source for real-time & historic price information Available through all major market data vendors, & on the Internet Refer to important disclosures on page
29 Disclosures Important Disclosures The analyst(s) responsible for covering the securities in this report receive compensation based upon, among other factors, the overall profitability of Merrill Lynch, including profits derived from investment banking revenues. ICAP PLC: The company is a corporate broking client of Merrill Lynch International in the United Kingdom. Other Important Disclosures Merrill Lynch fixed income analysts regularly interact with Merrill Lynch sales and trading desk personnel in connection with their research, including to ascertain pricing and liquidity in the fixed income markets. Information relating to Non-U.S. affiliates of Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S): MLPF&S distributes research reports of the following non-us affiliates in the US (short name: legal name): Merrill Lynch (France): Merrill Lynch Capital Markets (France) SAS; Merrill Lynch Dublin (Frankfurt Branch): Merrill Lynch CMB Ltd, Dublin, Frankfurt Branch; Merrill Lynch (South Africa): Merrill Lynch South Africa (Pty) Ltd; Merrill Lynch (Milan): Merrill Lynch Capital Markets Bank Limited; MLPF&S (UK): Merrill Lynch, Pierce, Fenner & Smith Limited; Merrill Lynch (Australia): Merrill Lynch Equities (Australia) Limited; Merrill Lynch (Hong Kong): Merrill Lynch (Asia Pacific) Limited; Merrill Lynch (Singapore): Merrill Lynch (Singapore) Pte Ltd; Merrill Lynch (Canada): Merrill Lynch Canada Inc; Merrill Lynch (Mexico): Merrill Lynch Mexico, SA de CV, Casa de Bolsa; Merrill Lynch (Argentina): Merrill Lynch Argentina SA; Merrill Lynch (Brazil): Banco Merrill Lynch de Investimentos SA; Merrill Lynch (Japan): Merrill Lynch Japan Securities Co, Ltd; Merrill Lynch (Seoul): Merrill Lynch International Incorporated (Seoul Branch); Merrill Lynch GLOBAL (Taiwan): Merrill Lynch Taiwan Limited; DSP Merrill Lynch (India): DSP Merrill Lynch Limited; PT Merrill Lynch (Indonesia): PT Merrill Lynch Indonesia; Merrill Lynch (KL) Sdn. Bhd.: Merrill Lynch (Malaysia); Merrill Lynch (Israel): Merrill Lynch Israel Limited; Merrill Lynch (Russia): Merrill Lynch CIS Limited, Moscow. This research report has been prepared and issued by MLPF&S and/or one or more of its non-u.s. affiliates. MLPF&S is the distributor of this research report in the U.S. and accepts full responsibility for research reports of its non-u.s. affiliates distributed in the U.S. Any U.S. person receiving this research report and wishing to effect any transaction in any security discussed in the report should do so through MLPF&S and not such foreign affiliates. This research report has been approved for publication in the United Kingdom by Merrill Lynch, Pierce, Fenner & Smith Limited, which is authorized and regulated by the Financial Services Authority; has been considered and distributed in Japan by Merrill Lynch Japan Securities Co, Ltd, a registered securities dealer under the Securities and Exchange Law in Japan; is distributed in Hong Kong by Merrill Lynch (Asia Pacific) Limited, which is regulated by the Hong Kong SFC; is issued and distributed in Taiwan by Merrill Lynch Global (Taiwan) Ltd or Merrill Lynch, Pierce, Fenner & Smith Limited (Taiwan Branch); is issued and distributed in Malaysia by Merrill Lynch (KL) Sdn. Bhd., a licensed investment adviser regulated by the Malaysian Securities Commission; and is issued and distributed in Singapore by Merrill Lynch International Bank Limited (Merchant Bank) and Merrill Lynch (Singapore) Pte Ltd (Company Registration No D). Merrill Lynch International Bank Limited and Merrill Lynch (Singapore) Pte Ltd. are regulated by the Monetary Authority of Singapore. Merrill Lynch Equities (Australia) Limited, (ABN ), AFS License , provides this report in Australia. No approval is required for publication or distribution of this report in Brazil. Merrill Lynch Dublin is regulated by BaFin. Copyright, User Agreement and other general information related to this report: Copyright 2006 Merrill Lynch, Pierce, Fenner & Smith Incorporated. All rights reserved. This research report is prepared for the use of Merrill Lynch clients and may not be redistributed, retransmitted or disclosed, in whole or in part, or in any form or manner, without the express written consent of Merrill Lynch. Merrill Lynch research reports are distributed simultaneously to internal and client websites eligible to receive such research prior to any public dissemination by Merrill Lynch of the research report or information or opinion contained therein. Any unauthorized use or disclosure is prohibited. Receipt and review of this research report constitutes your agreement not to redistribute, retransmit, or disclose to others the contents, opinions, conclusion, or information contained in this report (including any investment recommendations, estimates or price targets) prior to Merrill Lynch's public disclosure of such information. The information herein (other than disclosure information relating to Merrill Lynch and its affiliates) was obtained from various sources and we do not guarantee its accuracy. Merrill Lynch makes no representations or warranties whatsoever as to the data and information provided in any third party referenced website and shall have no liability or responsibility arising out of or in connection with any such referenced website. This research report provides general information only. Neither the information nor any opinion expressed constitutes an offer or an invitation to make an offer, to buy or sell any securities or other investment or any options, futures or derivatives related to such securities or investments. It is not intended to provide personal investment advice and it does not take into account the specific investment objectives, financial situation and the particular needs of any specific person who may receive this report. Investors should seek financial advice regarding the appropriateness of investing in any securities, other investment or investment strategies discussed or recommended in this report and should understand that statements regarding future prospects may not be realized. Investors should note that income from such securities or other investments, if any, may fluctuate and that price or value of such securities and investments may rise or fall. Accordingly, investors may receive back less than originally invested. Past performance is not necessarily a guide to future performance. Any information relating to the tax status of financial instruments discussed herein is not intended to provide tax advice or to be used by anyone to provide tax advice. Investors are urged to seek tax advice based on their particular circumstances from an independent tax professional. The bonds of the company are traded over-the-counter. 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