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Visualizing Treasury Issuance Strategy

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  • Christopher Cameron

Abstract

We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are based on mapping issuance fractions to their long-term, asymptotic portfolio implications for cost and risk under mechanical debt-rolling dynamics. The resulting mapping enables one to visualize tradeoffs involved in contemplated issuance reallocation, and identify an efficient frontier and optimal tenor. Historical Treasury issuance strategy is analyzed empirically using these cost and risk metrics to illustrate how changes in issuance needs and strategy have translated into structural shifts in the cost and risk stance of Treasury issuance.

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  • Christopher Cameron, 2018. "Visualizing Treasury Issuance Strategy," Papers 1802.03376, arXiv.org, revised Feb 2020.
    • Handle: RePEc:arx:papers:1802.03376
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    References listed on IDEAS

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    5. David Bolder & Simon Deeley, 2011. "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers 11-3, Bank of Canada.
    6. Mr. Udaibir S Das & Miss Yinqiu Lu & Mr. Michael G. Papaioannou & Iva Petrova, 2012. "Sovereign Risk and Asset and Liability Management: Conceptual Issues," IMF Working Papers 2012/241, International Monetary Fund.
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