Treasury Marketable Debt Maturity

Here are the December 31, 2008 numbers from the US Treasury on the maturity of outstanding marketable debt and an updated plot of the roll.

Here is the previous post on marketable Treasury maturity:
http://energyecon.blogspot.com/2008/11/worlds-biggest-arm.html

CIVPART - EMRATIO Revisited

It's been almost six months since I updated the CIVPART - EMRATIO spread, and nine months since the original post.

Events have completely borne out the local minima in this curve as a recession indicator, back in April 2008 when the question was still hotly debated ( the original post referred to above).

The original post:

http://energyecon.blogspot.com/2008/04/local-minima-in-civpart-emratio-spread.html

Makes me go hmmmm....U6-U3 Spread (unadj.)

I was wondering about changes in the makeup of the labor force, and how the increase in contractors, temps and part-time might change how we view the headline (U3) unemployment rate, to wit "less is more." That is, incremental increases in the U3 unemployment rate might indicate larger negative impacts than they have in the past.

So I considered U-6, which casts the net much wider in considering unemployment, and far more of the "shadow unemployment." Which led me to the spread between the unadjusted U6 and U3 unemployment rates. Unfortunately, the time series I built is only ten years and captures one previous recession but the difference there is remarkable.

Charge-off and Delinquency Rates from the Fed

Third quarter shows a slowing in the rate of acceleration of real estate loan charge-offs and delinquencies - again, this plot is looking at the rate of change of the rate of change - what was the delta in CHGDEL over the starting number (going from 4% to 5% is +25%, going from 5% to 4% is -20%). The total percent of loans going bad will be going up until this plot crosses the zero line.

So the rate of charge offs and delinquencies for RE loans is still more than doubling on a YoY basis, but the good news appears to be that the rate loans are going bad stopped accelerating...the question being, is this a real trend change or hiccup (as CRE appears to be really hitting the wall in 4Q2008, spending declines by consumers, more layoffs, etc.)?

U-6 Redux: Casting the Unemployment Rate net a bit wider

U-6 is one of the Bureau of Labor Statistics alternative measures of unemployment, and I think a better reflection of what is happening in a consumer driven economy at large than the headline unemployment rate (U-3 in BLS speak). The plot above is the year over year rate of change: if we went from 4% to 5% over the course of a year, that would be a 25% increase; if it went from 5% to 4% that would be a -20%.

Here is the definition for U-6:

Marginally attached workers are persons who currently are neither working nor looking for work but indicate that they want and are available for a job and have looked for work sometime in the recent past. Discouraged workers, a subset of the marginally attached, have given a job-market related reason for not looking currently for a job. Persons employed part time for economic reasons are those who want and are available for full-time work but have had to settle for a part-time schedule. For more information, see "BLS introduces new range of alternative unemployment measures," in the October 1995 issue of the Monthly Labor Review. Updated population controls are introduced annually with the release of January data.

I like to look at the second derivative as it were - the rate of change of the rate of change - so for the U-6 unemployment rate to actually go down, the plot above would have to go below zero. Looking at the 2001 recession, U-6 unemployment did not begin to decrease until the first quarter of 2004.

For the August post on U-6

http://energyecon.blogspot.com/2008_08_01_archive.html

Can you say opportunity cost? I knew that you could!

Res ipsa loquitur.

http://jessescrossroadscafe.blogspot.com/2008/11/cost-of-irrational-greed.html

Changes in Marketable Treasury Debt Maturity 1997-2008

In the ongoing discussion of the term structure of with Calculated Risk community members PeakVT, MLM and Austin Tex the question of whether the dramatic increase in short term borrowing was a significant change or mere 'nothingburger' (paraphrase with liberties taken). I am grinding on a quarterly cumulative rollover but that might never get completed given RL demands, so I hit on an alternate route - what is the aggregate structure for the October report for as many years as electronic data is available for...The October report was taken from each year to remove any seasonality differences between years. The 1997-2008 period is used as that is the electronic dataset, there are .pdf's for earlier periods but I don't have the time (or motivation) to do the manual data grind...

Some interesting trends are apparent in the absolute amount of marketable Treasury debt in the different categories. Note in the 1997-2001 period the total US debt is declining (sigh). Also, the T Bills category is fairly constant, then both total debt and T Bills increase, then T Bills plateauing while total debt increases slowly but steadily...until this year. The rate of change for the total debt AND T Bills is nothing short of breathtaking. (NB: Y-axis scale is in USD millions, to 2008 tops out just short of $6 trillion - so far).

Also, it seemed to me a normalized view of the debt structure would be informative. Here is the percentage of the Treasury marketable debt for each component over the time series. Again, interesting trends emerge - the relative proportion of T Bills was falling in the October report 2002-2007 s total debt was steadily climbing - until 2008, with an explosion of short term debt.

(NB: The Treasury debt under consideration is the Marketable category, which the debt held by the public, other CB's etc. Hat tip to PeakVT for pointing that out. Also, some graph improvements done for today's post courtesy of Mel and Comrade Counterpointer's suggestion.)
(Addendum: MLM clarification - we are at a tipping point, some external event is needed to trigger the change from a 'status quo' approach to rollover in the Treasury market - then lookout.)