Bills Notes Bonds by market cap

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LTCM
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Bills Notes Bonds by market cap

Post by LTCM »

Can anyone help me find more up to date data on the value of the US government debts by length?

https://www.cbo.gov/publication/56309#: ... ble%20debt.

2019 approx summary was
Bills 15%
Notes 60%
Bonds 15%
TIPS 10%

Has that changed since 2020? Is more granular data availae somewhere? 2 year and 10 year are both lumped into notes and I'm interested in separating them.
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Re: Bills Notes Bonds by market cap

Post by unemployed_pysicist »

What about using the monthly statement of the public debt?

https://www.treasurydirect.gov/govt/rep ... 22_apr.htm

You can use their spreadsheets to look specifically at what fraction is from 2 year notes or 10 year notes.
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Re: Bills Notes Bonds by market cap

Post by Tyler9000 »

LTCM wrote: Sat May 28, 2022 5:03 pm Can anyone help me find more up to date data on the value of the US government debts by length?

https://www.cbo.gov/publication/56309#: ... ble%20debt.

2019 approx summary was
Bills 15%
Notes 60%
Bonds 15%
TIPS 10%

Has that changed since 2020? Is more granular data availae somewhere? 2 year and 10 year are both lumped into notes and I'm interested in separating them.
This doesn't solve your desire to break out each bond maturity, but it updates your original summary categories every month.

https://fiscaldata.treasury.gov/dataset ... utstanding
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Re: Bills Notes Bonds by market cap

Post by LTCM »

Thanks both. The treasury direct spreadsheet is a little too granular for my taste!
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Re: Bills Notes Bonds by market cap

Post by Mel Lindauer »

Are you overlooking the I and EE Bonds? They're also government debt.
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Re: Bills Notes Bonds by market cap

Post by LTCM »

Not deliberately. I assumed since they're limited and didn't appear on the government debt list as their own section they were of a negligible percentage. Happy to be corrected.
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Re: Bills Notes Bonds by market cap

Post by nisiprius »

LTCM wrote: Sun May 29, 2022 3:31 am Not deliberately. I assumed since they're limited and didn't appear on the government debt list as their own section they were of a negligible percentage. Happy to be corrected.
They aren't quite negligible. Years ago the last time I checked they actually were close to 1% of total US government debt, something in that ballpark.

I admit to mild curiosity about what question you are trying to answer with this data.

Your mention of wanting to separate 2-year and 10-year suggests you're looking at yield curve inversion, but be aware that difference sources disagree on the definition of an inverted yield curve. There isn't really any standard.

The original research that suggesting yield curve inversion was published by Campbell Harvey in 1986. The specific metric Harvey used was the 5 year vs 3 month. I'm not sure why that isn't the accepted standard. Anyway it suggests that notes versus bills might be a reasonable comparison if this is something to do with inverted yield curves.
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Re: Bills Notes Bonds by market cap

Post by unemployed_pysicist »

nisiprius wrote: Sun May 29, 2022 8:30 am
LTCM wrote: Sun May 29, 2022 3:31 am Not deliberately. I assumed since they're limited and didn't appear on the government debt list as their own section they were of a negligible percentage. Happy to be corrected.
They aren't quite negligible. Years ago the last time I checked they actually were close to 1% of total US government debt, something in that ballpark.
I see for April:

United States Savings Securities: 153141 (millions)
Debt held by the public: 23847245 (millions)
153141/23847245=0.64%

LTCM, what is the allowable range for your selection of maturities for 2 and 10 year notes? For example, the market cap of only on the run 10 year and 2 year notes, or would you want 10 years to maturity +/- n months and 2 years to maturity +/- m months, where n,m are some (small) number of months?
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Re: Bills Notes Bonds by market cap

Post by LTCM »

nisiprius wrote: Sun May 29, 2022 8:30 am

I admit to mild curiosity about what question you are trying to answer with this data.
This is in relation to the theory that US stocks are 55% of the market so the average investor should hold 55% US stocks. Ex-US stocks are 45% of the market so the average investor should hold 45%.

I believe the same applies to a stocks/bonds split and corporate/government bonds and also I assume the maturity of treasuries.

I've been interested in levering up a portfolio for some time and those levered portfolios typically have higher bond allocations than your standard 80/20 or 60/40. I've been trying to figure out which part of the treasuries I want to lever up. I favor the 2 year but I wanted to know how far from the average investor that was.

I'd also like to backtest how the "market weighting" of treasuries has performed over the years.

That's why I would consider low single digit percentages negligible.
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Re: Bills Notes Bonds by market cap

Post by ruud »

LTCM wrote: Sun May 29, 2022 2:40 pm I'd also like to backtest how the "market weighting" of treasuries has performed over the years.
You could probably approximate that by looking at the performance of the GOVT ETF.
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Re: Bills Notes Bonds by market cap

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LTCM wrote: Sat May 28, 2022 5:03 pm 2019 approx summary was
Bills 15%
Notes 60%
Bonds 15%
TIPS 10%
I assume this would also cause me to overweight longer maturities if I used it since that summary classifies a 30 year bond with 1 year remaining as a bond when in fact it behaves more like a bill now?

I guess I would have to break out the remaining maturities.

GOVT etf looks useful for this but it's only been around since 2012?
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Re: Bills Notes Bonds by market cap

Post by LTCM »

Average maturity of US government debt seems like it would get the job done. Currently 62 months.

https://data.nasdaq.com/data/USTREASURY ... securities
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