Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2023 Q2 Report
Table of Contents*

2

I. Executive Summary – Highlights of TBAC Presentation p. 4

II. Recent Fiscal Results

A. Monthly Receipts Chart and Highlights of Large Changes in Receipts Categories p.6

B. Largest Outlays Chart and Highlights of Largest Outlays p.7

C. Cumulative Budget Deficits p.8

III. Various Fiscal Forecasts

A. Recent Macroeconomic Forecasts p.10 

B. Recent Deficit Forecasts p.11

C. Historical Changes in Various Deficit Forecasts p.12

D. Interest Rate Assumptions for Various Forecasts p.13

IV. Estimated Borrowing Needs and Financing Implications 

A. Short-Term Privately-Held Net Marketable Borrowing Estimates p.16

B. Implied Bill Funding for the Next Two Quarters p.17

C. Longer-Term Borrowing Estimates p.18

D. Historical Changes in Various Privately Held Net Marketable Borrowing Forecasts p.19

E. Longer-Term Projected Privately-Held Net Marketable Borrowing Needs p.20

V. Select Portfolio Metrics

A. Historical & Hypothetical Projected Weighted Average Maturity p.23

B. Weighted Average Next Rate Reset Chart (WANRR) p.24

C. Historical & Hypothetical Projected Percentage Product Distributions p.25

D. Historical & Hypothetical Projected Rollover Percentages p.26

VI. Select Demand Metrics

A. Bid-to-Cover Metrics p.28-32

B. Investor Class Metrics p.33-37

C. Direct Awards and Primary Dealer Awards p.38 

D. Foreign Demand at Auction and Treasury Security Holdings p.39-40

VII. Appendix p.42-54

*All sources are from Treasury unless otherwise specified 
Section I:

Executive Summary
Receipts and Outlays through Q2 FY2023 (without calendar adjustment)

Treasury’s Projected Net Privately-held Marketable Borrowing for the Next Two Fiscal Quarters*

Projected Net Privately-held Marketable Borrowing for the Next Three Fiscal Years from Various Sources** 

Latest Market Expectations for Treasury Financing in April:

Highlights of Treasury’s May 2023 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

Fiscal Year Primary Dealers Median April 

2023 ($ billion) OMB budget, March 2023 ($ billion) CBO Budget, February 2023 ($ billion)

2023 2,080 2,328 2,143 

2024 1,823 2,233 2,014 

2025 1,595 1,809 1,844 

$ billions Change from same 

period last year ($ bn)

Change from same 

period last year (%)

As % of 

GDP

Change from same 

period last year 

(GDP %)

Total Receipts thru Q2 FY2023 $2,048 -$74 -3% 15.5% -1.5%

Total Outlays thru Q2 FY2023 $3,149 +$359 +13% 23.8% 1.5%

Treasury OFP Near Term Fiscal 

Projections

Net Privately Held Marketable 

Borrowing ($ billion)

Assumed End-of-Quarter 

Cash Balance ($ billion)

Q3 FY2023 726 550 (Jun)

Q4 FY2023 733 600 (Sep)

*The cash balances for the next two quarter-ends assume enactment of a debt limit suspension or increase. Treasury’s cash balance 

may be lower than assumed depending on several factors, including constraints related to the debt limit. If Treasury’s cash balance 

for the end of either quarter is lower than assumed, and assuming no changes in the forecast of fiscal activity, Treasury would expect 

that borrowing would be lower by the corresponding amount(s).

**All privately-held net marketable borrowing estimates are “normalized” with details from page 18. 

Uncertainty regarding funding needs in FY2023 and FY2024 remains relatively high, reflecting a variety of views on the path of 

monetary policy, the duration of SOMA redemptions, and the outlook for the economy. 

• Primary dealers expected no changes to coupon auction sizes at the May refunding despite the fact dealers increased their 

aggregate median estimates for privately-held net marketable borrowing by $600 billion for the FY23-FY25 period in May, relative

to their February estimates.

• Given the forecasted financing gap over FY2023 and beyond, all dealers noted that bills could be used to address near term 

financing gaps because bills as a percentage of debt outstanding was close to the lower bound of the TBAC recommended range of 

15 to 20 percent and demand for bills was expected to remain strong over the near term. Most dealers expect that coupon auction 

sizes will need to eventually rise. 

• All dealers expected Treasury to keep TIPS issuance stable in the upcoming quarter. 4
Section II:

Recent Fiscal Results

Receipts, Outlays, and Deficits
6

Tax receipts for Q4 FY2020 reflect the adjustment of April and June 2020 tax deadlines to July 15th, 2020. Individual Income Taxes include withheld and 

non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF deposits, FUTA and RUIA. Other includes excise taxes, estate and gift taxes, 

customs duties and miscellaneous receipts. 

50

100

150

200

250 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 $bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other

Notable Receipt Category

YoY change thru 

Q2 FY23 ($ billion)

YoY change thru 

Q2 FY23 (%) Comments

Withheld & FICA taxes +$46 +3% Due to higher wages and employment, partially offset by December's lower bonuses.

Non-withheld and SECA taxes +$2 +1% Driven by general economic growth.

Individual refunds -$71 -59%

A decrease in cash due to elevated IRS processing of refunds over the fiscal year, including 

inventory.

Gross corporate taxes +$8 +5% Driven by general economic growth.

Federal Reserve earnings -$60 -99% Remittances have decreased year-over-year as administered rates moved higher. 
7

100

200

300

400

500

600

700

800

900 $ bn

Largest Outlays

Oct - Mar FY2022 Oct - Mar FY2023

Outlays in the chart above are on calendar adjusted basis

Notable Outlays Category

YoY change thru 

Q2 FY23 ($ billion)

YoY change thru 

Q2 FY23 (%) Comments

Social Security Administration 

(calendar adjusted) +$63 +10%

Primarily due to the COLA (8.7% this year compared to 5.7% last year) and 

increased number of beneficiaries. 

Department of Education +$54 +76%

Due to several FY2023 upward modifications in Federal Direct Student Loan 

program subsidies.

Health and Human Services 

(calendar adjusted) +$41 +5% Due to higher Medicare and Medicaid outlays. 

Department of Labor +$31 +108%

Due to higher Pension Benefit Guaranty Corporation Special Financial 

Assistance payments.

Small Business Administration 

(calendar adjusted) -$17 -94%

Due to Paycheck Protection Program (PPP) and Economic Impact Disaster 

Loan (EIDL) expenditures that were recognized last year.

Other (not in the chart above) +$116 +155%

First, Federal Deposit Insurance Corporation outlays are $29 billion higher. 

Second, FCC spectrum auction receipts (negative outlays) were booked in 

January 2022 ($81 billion).
8

0

500

1,000

1,500

2,000

2,500

3,000 October November December January February March April May June July August September $ bn

Cumulative Budget Deficits by Fiscal Year

FY2021 FY2022 FY2023
Section III:

Various Fiscal Forecasts

Primary Dealers, OMB, CBO
10

Recent Economic Forecasts 

• Primary Dealer Median Estimates:

• Most Recent CBO and OMB Estimates: 

Note: Economic assumptions for OMB and CBO forecasts were established in November 2022 and December 2022, respectively. 

Primary Dealer Median Estimates April 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real 0.2 1.0 na

 Nominal 3.8 3.4 na

Inflation

 CPI Headline 3.3 2.5 na

 CPI Core 3.9 2.6 na

 Fourth Quarter Levels 

Unemployment Rate (%) 4.2 4.7 na

FY2023 FY2024 FY2025

Deficits ($bil) $1,400 $1,575 $1,650

OMB Estimates March 2023 CBO Estimates February 2023

CY2023 CY2024 CY2025 CY2023 CY2024 CY2025

 % Change from Q4 to Q4 % Change from Q4 to Q4

GDP GDP

 Real 0.4 2.1 2.4 Real 0.1 2.5 2.6

 Nominal 3.2 4.3 4.6 Nominal 3.1 4.9 4.8

Inflation Inflation

 CPI Headline 3.0 2.3 2.3 CPI Headline 4.0 2.4 2.1

 Fourth Quarter Levels Fourth Quarter Levels 

Unemployment Rate (%) 4.6 4.5 4.4 Unemployment Rate (%) 5.1 4.8 4.6

FY2023 FY2024 FY2025 FY2023 FY2024 FY2025

Deficits ($bil) $1,570 $1,847 $1,672 Deficits ($bil) $1,410 $1,576 $1,752
Recent Deficit Forecasts 

11

• Primary dealers increased their deficit estimates in April relative to estimates they provided in January. 

Their changes reflected a slower economy, possible recession and higher interest costs.

• Dealers generally suggested that risks were asymmetrical to the upside, i.e. risks for higher deficits, and

noted a high degree of uncertainty around their estimates. 

• The latest OMB and CBO estimates in the table below are provided for reference.

• OMB projections are using estimates are from Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023.

• CBO projections are using estimates are from Table 1-1 of “The Budget and Economic Outlook: 2023 to 2033,” February 2023. 

Deficit Estimates ($ billion)

PD 25th 

Percentile

Primary Dealers 

(Median)

PD 75th 

Percentile

Change from Prior 

Quarter (Median) OMB CBO

FY2023 1,338 1,400 1,435 270 1,570 1,410

FY2024 1,413 1,575 1,600 375 1,847 1,576

FY2025 1,413 1,650 1,758 341 1,672 1,752

As of date Apr-23 Apr-23 Apr-23 Mar-23 Feb-23
12

Evolution of Median Primary Dealer, OMB, and CBO

Deficit Estimates

400

600

800

1,000

1,200

1,400

1,600

1,800

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

May

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Nov 2021 Feb 2022 May 2022 Aug 2022 Nov 2022 Feb 2023 May 2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Nov 2022 Feb 2023 May 2023 Aug 2023 Nov 2023

$ bn

TBAC date

FY 2025

PD FY25 OMB FY25 CBO FY25
13

2

2.5

3

3.5

4

4.5

2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 1 0-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 04/28/2023 OMB (Mar 2023) CBO (Feb 2023)

1 0-Year Treasury Rate of 3.43% as of 04/28/2023
Section IV:

Estimated Borrowing Needs and 

Financing Implications
15

Assumptions for Financing Section (pages 16 to 20)

• Portfolio and SOMA holdings as of 3/31/2023.

• Estimates assume privately announced issuance sizes and patterns remain constant for nominal 

coupons, TIPS, and FRNs given the issuance sizes in effect in April 2023, while using total bills 

outstanding of ~$4.1 trillion. 

• The principal on the TIPS securities was accreted to each projection date based on market ZCIS levels 

as of 3/31/2023.

• No attempt was made to account for future financing needs. 

• Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities 

held in the Federal Reserve System Open Market Account (SOMA) but includes financing required due 

to SOMA redemptions. Secondary market purchases of Treasury securities by SOMA do not directly 

change net privately-held marketable borrowing but, all else equal, when the securities mature and 

assuming the Fed does not redeem any maturing securities, this would increase the amount of cash 

raised for a given privately-held auction size by increasing the SOMA “add-on” amount. These 

borrowing estimates are based upon current law and do not include any assumptions for the impact of 

additional legislation that may be passed.

• All estimates assume enactment of a debt limit suspension or increase. 
16

Privately-Held Net Marketable Borrowing Outlook

$ 0

$100

$200

$300

$400

$500

$600

$700

$800

Q1 Q2 Q3 Q4

$ bn

FY21 FY22 FY23 FY23 (projection-OFP)
17

* Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made before the May 2023 refunding. 

** Assumes an end-of-June 2023 and end-of-September 2023 cash balances of $550 billion and $600 billion respectively versus a beginning-of-April 2023 cash balance of 

$178 billion. Financing Estimates released by the Treasury can be found here: http://www.treasury.gov/resource-center/data-chart-center/quarterlyrefunding/Pages/Latest.aspx

Implied Bill Funding for Next Two Quarters Based on 

Recent Borrowing Estimates

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

726

Net Coupon Issuance 248

Implied Change in Bills 478

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 80 (12) 204 234 (30)

2-Year 126 154 (28) 378 451 (73)

3-Year 120 97 23 360 226 134

5-Year 129 67 62 387 165 222

7-Year 105 68 37 315 246 69

10-Year 99 42 57 297 133 164

20-Year 39 0 39 117 0 117

30-Year 57 0 57 171 7 164

5-Year TIPS 40 43 (3) 80 43 37

10-Year TIPS 15 0 15 62 50 12

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 798 550 248 2,380 1,555 824

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY23 Q3

April - June 2023

April - June 2023 Fiscal Year-to-Date

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

733

Net Coupon Issuance 159

Implied Change in Bills 574

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 80 (12) 272 314 (42)

2-Year 84 115 (31) 462 566 (104)

3-Year 120 108 12 480 334 146

5-Year 86 43 43 473 209 264

7-Year 70 51 19 385 297 88

10-Year 99 41 58 396 174 222

20-Year 27 0 27 144 0 144

30-Year 57 7 50 228 14 214

5-Year TIPS 0 0 0 80 43 37

10-Year TIPS 32 48 (16) 94 98 (4)

30-Year TIPS 8 0 8 17 0 17

Coupon Subtotal 651 492 159 3,031 2,048 983

Sources of Privately-Held Financing in FY23 Q4

July - September 2023

July - September 2023 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance
18

• *All privately-held net marketable borrowing estimates of are “normalized” using:

• 1) the median Primary Dealer’s estimates for SOMA redemptions, and 

• 2) assuming OFP’s end of fiscal year 2023 cash balance of $600 billion, held constant in out years. 

• OMB projections are using estimates are from Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023.

• CBO projections are using estimates are from Table 1-1 of “The Budget and Economic Outlook: 2023 to 2033,” February 2023. 

• OFP’s SOMA redemption estimate excludes securities maturing on 9/30/2023 (Saturday). 

Longer-Term Privately-Held Net Marketable Borrowing Estimates and 

SOMA Redemption Assumptions

FY 2023-2025 Deficits and Privately-Held Net Marketable Borrowing Estimates, in $ billions

25th Median 75th

FY 2023 Deficit 1,338 1,400 1,435 1,570 1,410

FY 2024 Deficit 1,413 1,575 1,600 1,847 1,576

FY 2025 Deficit 1,413 1,650 1,758 1,672 1,752

FY 2023 SOMA Redemption 720 720 720 698

FY 2024 SOMA Redemption 134 360 555

FY 2025 SOMA Redemption 0 0 0

FY 2023 Privately-Held Net Marketable Borrowing* 1,947 2,080 2,179 2,489 2,328 2,143

FY 2024 Privately-Held Net Marketable Borrowing* 1,495 1,823 2,075 2,233 2,014

FY 2025 Privately-Held Net Marketable Borrowing* 1,463 1,595 1,798 1,809 1,844

Estimates as of: Apr-23 May-23 Mar-23 Feb-23

Primary Dealer

OFP OMB CBO
19

Evolution of Median Primary Dealer, OMB, and CBO 

Privately-Held Net Marketable Borrowing Estimates*

* Note that both the OMB and CBO privately-held net marketable borrowing estimates are calculated by adjusting their respective deficit 

estimates using dealer’s median SOMA redemption estimates. In addition, all the PD, OMB and CBO privately-held borrowings are 

normalized with the same cash balance changes. 

0

500

1000

1500

2000

2500

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

0

500

1000

1500

2000

2500

Nov 2021 Feb 2022 May 2022 Aug 2022 Nov 2022 Feb 2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

0

500

1000

1500

2000

2500

Nov 2022 Feb 2023 May 2023 Aug 2023 Nov 2023

$ bn

TBAC date

FY 2025

PD FY25 OMB FY25 CBO FY25
20

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 03/31/2023*

*Treasury’s latest primary dealer survey median/interquartile range estimates can be found on page 18. OMB’s borrowing projections are from 

Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023. CBO’s borrowing projections are using estimates from Table 1-1 of 

“The Budget and Economic Outlook: 2023 to 2033,” February 2023. OMB and CBO borrowing estimates from FY23 to FY25 are normalized to 

privately-held net borrowing after adding PD survey median SOMA redemption assumptions for FY23/24/25. In addition, all privately-held 

net borrowing estimates are normalized with OFP FY23 ending cash balance of $600 billion.

0

500

1,000

1,500

2,000

2,500

3,000

2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 $bn

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Adj Privately-Held Net Borrowing from CBO's budget, Feb 2023

Adj Privately-Held Net Borrowing from OMB's budget, Mar 2023 OFP, May 2023

Adj Privately-Held Net Marketable Borrowing from PD survey, Apr 2023

PD 75th 

percentile

PD 25th 

percentile

PD 50th percentile

PD Survey at 25th, 50th and 75th Percentile
Section V:

Select Portfolio Metrics
22

Note: Several of the portfolio metric charts that follow include three years of projected metrics. 

These projections are hypothetical and are meant for illustrative purposes only. The projections

contained in these charts should not be interpreted as representing any future policy decisions regarding 

Treasury financing. 

Projections illustrate how various portfolio metrics could evolve under three hypothetical financing 

scenarios. The scenarios were chosen to illustrate a potential range of portfolio metric outcomes based on 

hypothetical issuance choices.

The scenarios are: 

1) “Coupons Constant”: Treasury maintains coupon, FRN, and TIPS auction sizes constant starting 

in April 2023 and addresses any changes in financing needs by only increasing or decreasing T-bill 

auction sizes; 

2) “Bills Constant”: Treasury maintains T-bills aggregate supply constant at $4.1 trillion as of 

3/31/2023 and increases or decreases coupon, FRN, and TIPS auction sizes in response to financing 

needs in a manner that maintains current issuance proportions going forward;

3) “Prorated Bills and Coupons”: Treasury maintains T-bills share constant at 16.7% as of 3/31/2023 

and addresses any changes in financing needs by pro rata increasing or decreasing coupon, FRN, 

and TIPS auction sizes. 

Privately-held net marketable borrowing needs used in the projections section of these charts are proxied 

using median primary dealer estimates for FY23, FY24, & FY25 (see page 18). 
23

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0

8 5 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 Weighted Average Maturity (Months)

Calendar Year

Weighted Average Maturity of Marketable Debt Outstanding

Projection Historical Historical Average from 1980 to Present

Bills Constant Coupons Constant Prorated Bills and Coupons

60.8 months (Historical Average 

from 1980 to Present)

03/31/23

74.0 months
24

Consolidated WANRR Calculation* 

* Weighted Average Next Rate Reset (WANRR) is a “Weighted Average Maturity” metric that attempts to adjust for the floating 

rate aspect of some Treasury debt. The WANRR is the average time until the outstanding debt’s interest rate is set to a new 

interest rate. For bills and fixed rate notes and bonds, the next rate reset is equal to the maturity date.

In contrast, for floating rate obligations, the time between the next rate reset date or maturity date is examined and the shorter 

period is used in the calculation. 

The consolidated outstanding debt is defined as the private amount plus SOMA Treasury securities holdings less currency 

amount. In this calculation, SOMA Treasury holdings greater than the level of currency outstanding is treated as if it is a daily rate 

reset. 

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0

8 5 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 Months

Calendar Year

 Private (ex SOMA) Total Consolidated
25

0 %

5 %

10%

15%

20%

25%

30%

35%

40% 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of Marketable Debt 

Outstanding

Projection Bills TIPS FRNs Bills Constant Coupons Constant Prorated Bills and Coupons

Bills Historical Average = 22.6%

Max 35.6%

03/31/23 

16.7%

Max 10.7%

03/31/23 

7.8%

03/31/23 

2.5%

Max 2.7%
26

20%

30%

40%

50%

60%

70%

80% 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025

Calendar Year

Treasury Maturity Profile

Projection Percent Maturing <=1 Year Percent Maturing <=3 Year

Bills Constant Coupons Constant Prorated Bills and Coupons

03/31/23 

51.5%

03/31/23 

29.6%
Section VI:

Select Demand Metrics

Bid-to-Cover Data, Investor Class Data, 

Direct & Primary Dealer Awards, and Foreign Demand
28

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 Sep-17 Nov-17 Jan-18 Mar-18 Jun-18 Aug-18 Oct-18 Jan-19 Mar-19 May-19 Aug-19 Oct-19 Dec-19 Feb-20 May-20 Jul-20 Sep-20 Dec-20 Feb-21 Apr-21 Jul-21 Sep-21 Nov-21 Jan-22 Apr-22 Jun-22 Aug-22 Nov-22 Jan-23 Mar-23 Bid-to-Cover Ratio

Bid-to-Cover Ratios for Treasury Bills

 4-Week (13-week moving average) 8-Week (13-week moving average) 13-Week (13-week moving average)

 17-Week (13-week moving average) 26-Week (13-week moving average) 52-Week (6-auction moving average)
29

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
30

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 Sep-17 Nov-17 Jan-18 Mar-18 Jun-18 Aug-18 Oct-18 Jan-19 Mar-19 May-19 Aug-19 Oct-19 Dec-19 Feb-20 May-20 Jul-20 Sep-20 Dec-20 Feb-21 Apr-21 Jul-21 Sep-21 Nov-21 Jan-22 Apr-22 Jun-22 Aug-22 Nov-22 Jan-23 Mar-23 Bid-to-Cover Ratio

Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securities

(6-Month Moving Average)

2-Year 3-Year 5-Year
31

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 Sep-17 Nov-17 Jan-18 Mar-18 Jun-18 Aug-18 Oct-18 Jan-19 Mar-19 May-19 Aug-19 Oct-19 Dec-19 Feb-20 May-20 Jul-20 Sep-20 Dec-20 Feb-21 Apr-21 Jul-21 Sep-21 Nov-21 Jan-22 Apr-22 Jun-22 Aug-22 Nov-22 Jan-23 Mar-23 Bid-to-Cover Ratio

Bid-to-Cover Ratios for 7-, 10-, 20-, and 30-Year 

Nominal Securities (6-Month Moving Average)

7-Year 10-Year 20-Year 30-Year
32

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 Sep-17 Nov-17 Jan-18 Mar-18 Jun-18 Aug-18 Oct-18 Jan-19 Mar-19 May-19 Aug-19 Oct-19 Dec-19 Feb-20 May-20 Jul-20 Sep-20 Dec-20 Feb-21 Apr-21 Jul-21 Sep-21 Nov-21 Jan-22 Apr-22 Jun-22 Aug-22 Nov-22 Jan-23 Mar-23 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for TIPS

 5-Year 10-Year (6-month moving average) 30-Year
33

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository 

Institutions, Individuals, Pension and Insurance.

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 1 3-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
34

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository 

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23

6-month moving average

Percent Awarded in 2-, 3-, and 5-Year Nominal Security Auctions by 

Investor Class (6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
35

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository 

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23

6-month moving average

Percent Awarded in 7-, 10-, 20-, 30-Year Nominal Security Auctions by 

Investor Class (6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
36

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository 

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80%

90% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
37

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository 

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23

6-month moving average

Percent Awarded in FRN Auctions by Investor Class

(6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
38

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 % of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

4/8/13/17/26-Week (13-week moving average) 52-Week (6-auction moving average)

2/3/5 (6-month moving average) 7/10/20/30 (6-month moving average)

TIPS (6-month moving average) FRN (6-month moving average)
39

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

160

180 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/20/30 TIPS FRN
40

Source: Treasury International Capital (TIC) System as of February 2023.

For more information on foreign participation data, including more details about the TIC data shown here, please refer to Treasury 

Presentation to TBAC “Brief Overview of Key Data Sources on Foreign Participation in the U.S. Treasury Securities Market” at the

Treasury February 2019 Refunding.

Total Foreign Holdings

0 %

10%

20%

30%

40%

50%

60%

0

1,000

2,000

3,000

4,000

5,000

6,000 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 $ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

02/28/23 

4,058

02/28/23 

24%

02/28/23 

966

10%

20%

30%

40%

50%

60%

70%

0

4,000

8,000

12,000

16,000

20,000

24,000 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 $ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

02/28/23 

20,220

02/28/23 

32%

02/28/23 

6,378
VII. Appendix

41

Contents

A. Quarterly Tax Receipts Chart p. 42

B. Treasury Non-Marketable Borrowing p. 43

C. Budget Surplus and Deficits p. 44

D. Sources of Financing: Reconciliation of last quarter p. 45

E. Privately-Held Net Marketable Borrowing Definition and Calculation Example p. 46

F. Detailed Reconciliation of Various Borrowing Estimates p. 47

G. Various Historical Debt Service Cost Metrics p. 48

H. Various Historical Treasury Interest Rate Metrics p. 49

I. Projected Privately-Held Net Marketable Borrowing Table p. 50

J. Auction Statistics Tables p. 51-54
 (100%)

 (80%)

 (60%)

 (40%)

 (20%)

0 %

20%

40%

60%

80%

100% Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16

Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Year-over-Year % Change

Quarterly Tax Receipts

 Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)

42

Quarterly tax receipts for Q4 FY2020 reflect the adjustment of April and June 2020 tax deadlines to July 15th, 2020.

The spike for Corporate Taxes was 781% and the 

spike for Non-Withheld was 541% as of 

6/30/2021

The spike for Non-Withheld 

was 245% as of 9/30/2020
43

(40)

(30)

(20)

(10)

0

1 0

2 0

3 0 Q1-13 Q2-13 Q3-13 Q4-13 Q1-14 Q2-14 Q3-14 Q4-14 Q1-15 Q2-15 Q3-15 Q4-15 Q1-16 Q2-16 Q3-16 Q4-16 Q1-17 Q2-17 Q3-17 Q4-17 Q1-18 Q2-18 Q3-18 Q4-18 Q1-19 Q2-19 Q3-19 Q4-19 Q1-20 Q2-20 Q3-20 Q4-20 Q1-21 Q2-21 Q3-21 Q4-21 Q1-22 Q2-22 Q3-22 Q4-22 Q1-23 Q2-23 $ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

 Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
(17.5%)

(15.0%)

(12.5%)

(10.0%)

(7.5%)

(5.0%)

(2.5%)

0.0%

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 Deficit to GDP $bn

Budget Surplus/Deficit*

OMB's Budget (Mar 23) Surplus/Deficit in $bn (LHS) CBO's President Budget (Feb 23) Surplus/Deficit (LHS)

PD Survey median estimates (Apr 23) (LHS) OMB's Budget (Mar 23) Surplus/Deficit as a % of GDP (RHS)

CBO's President Budget (Feb 23) Surplus/Deficit as a % of GDP (RHS)

*OMB’s projections are from OMB’s Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023. 

CBO’s projections are from Table 1-1 of “The Budget and Economic Outlook: 2023 to 2033,” February 2023.

Projections

44
45

*By adjusting the change in cash balance, Treasury arrives at the net implied funding number. 

Net Bill Issuance 380 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 277 4-Week 855 775 8 0 1,575 1,515 6 0

Subtotal: Net Marketable Borrowing 657 8-Week 720 660 6 0 1,365 1,290 7 5

13-Week 759 720 3 9 1,479 1,410 6 9

Ending Cash Balance 178 17-Week 462 198 264 792 198 594

Beginning Cash Balance 568 26-Week 621 546 7 5 1,203 1,113 9 0

Subtotal: Change in Cash Balance (390) 52-Week 102 102 0 238 238 0

CMBs

Net Implied Funding for FY23 Q2* 1,047 17-Week 0 213 (213) 9 3 603 (510)

CMBs 235 160 7 5 275 200 7 5

Bill Subtotal 3,754 3,374 380 7,020 6,567 453

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 6 8 8 0 (12) 136 154 (18)

2-Year 168 204 (36) 252 298 (46)

3-Year 120 7 9 4 1 240 128 112

5-Year 172 7 3 9 9 258 9 8 160

7-Year 140 111 2 9 210 179 3 1

10-Year 9 9 3 8 6 1 198 9 1 107

20-Year 5 1 0 5 1 7 8 0 7 8

30-Year 5 7 5 5 2 114 7 107

5-Year TIPS 0 0 0 4 0 0 4 0

10-Year TIPS 3 2 5 0 (18) 4 7 5 0 (3)

30-Year TIPS 9 0 9 9 0 9

Coupon Subtotal 916 639 277 1,582 1,005 577

Total 4,670 4,013 657 8,601 7,572 1,030

Sources of Privately-Held Financing in FY23 Q2

January - March 2023 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

January - March 2023 January - March 2023 Fiscal Year-to-Date

Bill Issuance Bill Issuance
46

Privately-Held Net Marketable Borrowing 

Definition and Calculation Example

• Actual deficits are sourced from the Monthly Treasury Statement.

• Actual change in cash balance is sourced from the Daily Treasury Statement. Change in cash balance = cash balance 

of Sept 30, 2022 - cash balance of Sept 30, 2021

• Other Means of Financing include cash flows associated with federal credit programs, such as those related to 

student loans and loans to small businesses.

• Privately-Held Net Marketable Borrowing = Total Net Marketable Borrowing + SOMA Redemption

• SOMA redemption is the amount that the Federal Reserve redeems securities that Treasury has to replace with 

privately-held marketable borrowing. Actual SOMA redemptions amounts is from the Sources and Uses 

Reconciliation Table.

• Actual Privately-Held Net Marketable Borrowing is from the Sources and Uses Reconciliation Table.

FY 2022 Actual Deficits and

Privately-Held Net Marketable Borrowing, in $ billions

FY 2022 Deficit 1,375

FY 2022 + Change in Cash Balance 421

FY 2022 + Other Means of Financing (e.g. Direct Loans) -125

FY 2022 = Total Net Marketable Borrowing 1,671

FY 2022 + SOMA Redemption 150

FY 2022 = Privately-Held Net Marketable Borrowing 1,821

FY 2022 Actual
47

• *All privately-held net marketable borrowing estimates of are “normalized” using:

• 1) the median Primary Dealer’s estimates for SOMA redemptions, and 

• 2) assuming OFP’s end of fiscal year 2023 cash balance of $600 billion, held constant in out years. 

• OMB projections are using estimates are from Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023.

• CBO projections are using estimates are from Table 1-1 of “The Budget and Economic Outlook: 2023 to 2033,” February 2023.

• OFP’s SOMA redemption estimate excludes securities maturing on 9/30/2023 (Saturday). 

FY 2023-2025 Deficits and Privately-Held Net Marketable Borrowing Estimates, in $ billions

25th Median 75th OFP

FY 2023 Deficit 1,338 1,400 1,435 1,570 1,410

FY 2024 Deficit 1,413 1,575 1,600 1,847 1,576

FY 2025 Deficit 1,413 1,650 1,758 1,672 1,752

FY 2023 Change in Cash Balance -236 -136 -86 -36 1 4 0

FY 2024 Change in Cash Balance 100 100 148 0 0

FY 2025 Change in Cash Balance 0 1 0 2 0 0

FY 2023 Total Net Marketable Borrowing 1,608 1,409

FY 2024 Total Net Marketable Borrowing 1,873 1,654

FY 2025 Total Net Marketable Borrowing 1,809 1,844

FY 2023 SOMA Redemption 720 720 720 698

FY 2024 SOMA Redemption 134 360 555

FY 2025 SOMA Redemption 0 0 0

FY 2023 Privately-Held Net Marketable Borrowing* 1,947 2,080 2,179 2,489 2,328 2,143

FY 2024 Privately-Held Net Marketable Borrowing* 1,495 1,823 2,075 2,233 2,014

FY 2025 Privately-Held Net Marketable Borrowing* 1,463 1,595 1,798 1,809 1,844

Estimates as of: Apr-23 May-23 Mar-23 Feb-23

Primary Dealer

OMB CBO
48

Source: https://fiscaldata.treasury.gov/datasets

The average interest rates for total marketable debt do not include the Treasury Inflation-Indexed Securities and the Treasury Floating Rate 

Notes. However, they include securities from Federal Financing Bank. The average interest rates in the chart are as of corresponding fiscal 

year-end-dates. 

0

0.5

1

1.5

2

2.5

3

3.5

4

0

5 0

100

150

200

250

300

350

400

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Percent $ bn

Fiscal Year

Historical Marketable Treasury Debt Service Cost

Interest + Discount/Premiums Average Interest Rate (RHS) Interest / GDP (RHS)
49

Various Historical Treasury Interest Rate Metrics

Source: Bloomberg 0

1

2

3

4

5

0 10 20 30

Percent

Years to Maturity

Treasury Nominal Yield Curve 

as of specified dates 

3/31/2023 12/30/2022 3/31/2022

-3

-2

-1

0

1

2

3

0 10 20 30

Percent

Years to Maturity

Treasury Real Yield Curve 

as of specified dates 

3/31/2023 12/30/2022 3/31/2022

-100

0

100

200

2Y 5Y 10Y 30Y

Bps

Since

Changes in Selected Tenors

Through the end of 03/31/23

3/31/2022 12/30/2022 -100

-80

-60

-40

-20

0

20

Mar-22 May-22 Jul-22 Sep-22 Nov-22 Jan-23 Mar-23

Bills-SOFR OIS spreads 

Through the end of 03/31/23

1m 2m 3m 4m 6m 12m

-100

0

100

200

300

5Y 10Y 30Y

Bps

Since

Changes in Selected Tenors

Through the end of 03/31/23

3/31/2022 12/30/2022

0

1

2

3

4

Mar-22 May-22 Jul-22 Sep-22 Nov-22 Jan-23 Mar-23

Breakevens

Through the end of 03/31/23

5Y 10Y 30Y
50

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 3/31/2023*

*Projections reflect only SOMA rollovers at auction of principal payments of Treasury securities. No adjustments are made 

for open-market outright purchases and subsequent rollovers.

Fiscal 

Year Bills 2/3/5 7/10/20/30 TIPS FRN

Historical/Projected 

Net Borrowing 

Capacity

2018 438 197 493 45 23 1,196 

2019 137 498 534 51 59 1,280 

2020 2,652 538 724 46 55 4,015 

2021 (1,315) 1,260 1,328 55 92 1,420 

2022 (53) 744 1,027 61 42 1,821 

2023 453 307 668 50 (42) 1,436 

2024 0 28 682 75 (10) 776 

2025 0 (47) 704 10 0 667 

2026 0 (160) 700 28 0 568 

2027 0 (40) 583 10 0 553 

2028 0 0 271 (11) 0 260 

2029 0 0 387 (6) 0 381 

2030 0 0 507 9 0 516 

2031 0 0 339 (3) 0 337 

2032 0 0 363 (27) 0 336 

2033 0 0 384 (19) 0 365 
51

*Approximated using prices at settlement and includes both competitive and non-competitive awards.

Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)*

4-Week 1/10/2023 4.100 2.79 42.8 29.6 1.8 68.6 2.2 1.1 0.4

4-Week 1/17/2023 4.370 2.76 57.8 43.9 2.6 53.5 2.2 1.0 0.6

4-Week 1/24/2023 4.480 2.41 67.0 44.0 1.1 54.9 3.0 1.1 0.7

4-Week 1/31/2023 4.500 2.59 71.4 43.2 2.4 54.4 3.6 0.9 0.7

4-Week 2/7/2023 4.490 2.47 72.2 40.8 3.5 55.7 2.8 1.1 0.7

4-Week 2/14/2023 4.520 2.63 72.0 37.6 0.8 61.6 3.0 1.0 0.7

4-Week 2/21/2023 4.510 2.77 72.1 33.1 1.4 65.5 2.9 1.5 0.7

4-Week 2/28/2023 4.515 2.63 72.0 32.4 2.1 65.6 3.0 1.3 0.7

4-Week 3/7/2023 4.590 2.53 71.9 44.3 2.3 53.5 3.1 1.3 0.7

4-Week 3/14/2023 4.640 2.75 61.5 34.4 0.0 65.6 3.5 1.2 0.6

4-Week 3/21/2023 4.220 2.43 55.7 42.9 1.5 55.6 4.3 1.3 0.6

4-Week 3/28/2023 4.150 2.54 56.8 36.3 2.2 61.5 3.2 1.2 0.6

4-Week 4/4/2023 4.600 2.63 57.1 36.8 1.2 62.0 2.9 1.3 0.6

8-Week 1/10/2023 4.430 2.29 43.9 62.4 3.1 34.5 1.1 1.1 0.9

8-Week 1/17/2023 4.465 2.73 53.4 42.6 2.8 54.6 1.6 1.0 1.0

8-Week 1/24/2023 4.520 2.53 58.8 46.2 1.4 52.5 1.2 1.0 1.1

8-Week 1/31/2023 4.525 2.57 58.0 41.9 2.2 55.8 2.0 0.7 1.1

8-Week 2/7/2023 4.505 2.56 58.9 41.7 2.4 55.9 1.1 0.9 1.1

8-Week 2/14/2023 4.600 2.32 59.0 41.4 1.1 57.5 1.0 0.8 1.1

8-Week 2/21/2023 4.650 2.51 58.9 39.4 1.9 58.8 1.1 1.2 1.1

8-Week 2/28/2023 4.660 2.64 58.9 39.7 1.6 58.7 1.1 1.0 1.1

8-Week 3/7/2023 4.655 2.79 58.5 41.4 2.0 56.7 1.5 1.0 1.1

8-Week 3/14/2023 4.820 2.30 53.5 62.8 2.7 34.5 1.5 1.0 1.0

8-Week 3/21/2023 4.450 2.85 47.7 28.6 0.2 71.1 2.3 1.1 0.9

8-Week 3/28/2023 4.400 2.97 48.7 26.8 1.5 71.6 1.3 1.0 0.9

8-Week 4/4/2023 4.600 2.47 48.9 37.7 0.8 61.5 1.1 1.1 0.9

Bills
52

*Approximated using prices at settlement and includes both competitive and non-competitive awards.

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

13-Week 1/5/2023 4.410 2.50 51.2 44.0 4.2 51.8 2.8 6.9 1.8

13-Week 1/12/2023 4.560 2.61 53.9 41.6 3.8 54.6 3.1 5.9 1.9

13-Week 1/19/2023 4.560 2.69 57.7 39.2 5.1 55.7 2.3 6.5 2.0

13-Week 1/26/2023 4.575 2.68 57.3 45.8 13.0 41.2 2.7 6.4 2.0

13-Week 2/2/2023 4.595 2.47 58.1 46.6 3.5 49.9 1.9 8.5 2.1

13-Week 2/9/2023 4.590 2.69 57.7 41.5 4.0 54.5 2.3 6.6 2.0

13-Week 2/16/2023 4.680 2.60 57.3 46.9 3.7 49.5 2.7 7.5 2.1

13-Week 2/23/2023 4.720 2.72 57.6 43.1 4.2 52.8 2.4 6.1 1.9

13-Week 3/9/2023 4.765 2.93 54.9 36.1 3.6 60.4 2.1 4.0 1.8

13-Week 3/16/2023 4.750 2.15 54.1 62.4 3.5 34.2 2.9 4.1 1.8

13-Week 3/23/2023 4.675 2.41 53.7 38.2 8.1 53.7 3.3 1.7 1.7

13-Week 3/30/2023 4.675 2.51 54.4 47.8 9.4 42.8 2.6 6.3 1.9

17-Week 1/10/2023 4.570 3.10 32.3 32.4 2.9 64.7 0.7 0.8 1.3

17-Week 1/17/2023 4.680 2.79 35.4 42.4 11.9 45.8 0.6 0.6 1.4

17-Week 1/24/2023 4.610 2.97 35.4 41.1 5.8 53.1 0.6 0.6 1.4

17-Week 1/31/2023 4.620 2.90 34.7 43.0 3.5 53.5 1.3 0.4 1.4

17-Week 2/7/2023 4.625 2.86 35.7 49.3 3.0 47.7 0.3 0.6 1.4

17-Week 2/14/2023 4.700 2.59 35.3 52.0 2.9 45.1 0.7 0.5 1.5

17-Week 2/21/2023 4.800 2.93 35.6 36.1 2.4 61.4 0.4 0.7 1.4

17-Week 2/28/2023 4.830 2.93 35.6 42.2 3.9 53.8 0.4 0.6 1.4

17-Week 3/7/2023 4.885 2.92 35.6 43.3 1.9 54.8 0.4 0.6 1.4

17-Week 3/14/2023 5.045 2.62 35.4 48.4 4.0 47.6 0.6 0.7 1.4

17-Week 3/21/2023 4.750 2.74 34.8 41.9 16.8 41.4 1.2 0.8 1.4

17-Week 3/28/2023 4.805 2.61 35.3 39.1 12.1 48.8 0.7 0.7 1.4

Bills (cont.)
Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

26-Week 1/5/2023 4.635 2.78 42.3 39.4 2.4 58.1 2.7 5.8 3.1

26-Week 1/12/2023 4.710 2.48 45.3 55.1 5.8 39.1 2.7 4.9 3.2

26-Week 1/19/2023 4.685 2.68 45.5 46.3 6.9 46.8 2.5 5.2 3.2

26-Week 1/26/2023 4.685 2.76 45.3 34.0 2.3 63.7 2.7 5.1 3.2

26-Week 2/2/2023 4.680 2.93 45.9 35.8 3.5 60.6 2.1 6.8 3.3

26-Week 2/9/2023 4.755 2.63 45.0 47.9 2.8 49.3 3.0 5.3 3.2

26-Week 2/16/2023 4.840 2.54 45.3 41.8 2.4 55.8 2.7 6.0 3.3

26-Week 2/23/2023 4.915 2.71 45.1 42.1 4.0 53.9 2.9 4.9 3.1

26-Week 3/9/2023 4.970 2.80 45.0 40.9 2.9 56.1 3.0 3.4 3.0

26-Week 3/16/2023 4.700 2.29 45.1 61.6 4.5 33.9 2.9 3.5 3.0

26-Week 3/23/2023 4.620 2.87 45.7 40.7 2.2 57.1 2.3 1.4 2.9

26-Week 3/30/2023 4.650 2.85 45.7 33.3 1.7 65.0 2.3 5.3 3.1

52-Week 1/26/2023 4.470 2.87 32.4 34.3 0.8 65.0 1.6 3.6 4.6

52-Week 2/23/2023 4.795 2.89 32.2 24.2 1.1 74.7 1.8 3.5 4.4

52-Week 3/23/2023 4.390 2.85 33.0 40.6 2.0 57.4 1.0 1.0 4.1

CMB 1/19/2023 4.490 2.45 59.9 51.9 5.3 42.7 0.1 0.0 0.7

CMB 1/24/2023 4.525 2.85 59.9 40.5 0.8 58.6 0.1 0.0 0.9

CMB 2/16/2023 4.540 3.79 24.9 70.6 3.1 26.2 0.1 0.0 0.1

CMB 2/28/2023 4.460 2.93 14.9 83.3 9.3 7.4 0.1 0.0 0.1

CMB 3/30/2023 4.050 2.39 30.0 83.6 1.8 14.6 0.0 0.0 0.1

CMB 3/31/2023 4.700 2.04 45.0 75.0 2.9 22.1 0.0 0.0 0.2

Bills (cont.)

53

*Approximated using prices at settlement and includes both competitive and non-competitive awards.
Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

10-Year TIPS 1/31/2023 1.220 2.79 16.9 7.6 13.1 79.3 0.1 0.0 19.5

10-Year TIPS 3/31/2023 1.182 2.28 15.0 10.9 16.0 73.1 0.0 0.0 16.5

30-Year TIPS 2/28/2023 1.550 2.38 9.0 9.9 14.1 76.0 0.0 2.0 31.5

TIPS

54

*FRNs are reported on discount margin basis. 

**Approximated using prices at settlement and includes both competitive and non-competitive awards. 

For TIPS 10-Year equivalent, a constant auction BEI is used as the inflation assumption.

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

2-Year 1/31/2023 4.139 2.94 41.4 16.3 18.7 65.0 0.6 0.0 9.9

2-Year 2/28/2023 4.673 2.61 41.3 15.0 23.0 62.0 0.7 9.5 11.7

2-Year 3/31/2023 3.954 2.44 41.4 23.0 24.2 52.8 0.6 0.0 9.7

3-Year 1/17/2023 3.977 2.84 39.8 17.3 13.2 69.5 0.2 0.0 13.9

3-Year 2/15/2023 4.073 2.33 39.7 19.9 21.1 59.1 0.3 15.6 19.4

3-Year 3/15/2023 4.635 2.73 39.8 16.8 20.7 62.5 0.2 0.0 13.4

5-Year 1/31/2023 3.530 2.64 42.9 8.8 15.4 75.7 0.1 0.0 24.2

5-Year 2/28/2023 4.109 2.48 42.8 11.0 19.0 69.9 0.2 9.8 28.5

5-Year 3/31/2023 3.665 2.48 42.9 13.3 18.2 68.5 0.1 0.0 23.5

7-Year 1/31/2023 3.517 2.69 35.0 6.1 16.8 77.1 0.0 0.0 26.7

7-Year 2/28/2023 4.062 2.49 35.0 13.7 20.8 65.5 0.0 8.0 31.2

7-Year 3/31/2023 3.626 2.39 35.0 15.4 21.4 63.2 0.0 0.0 25.9

10-Year 1/17/2023 3.575 2.53 32.0 15.1 17.9 67.0 0.0 0.0 32.0

10-Year 2/15/2023 3.613 2.66 34.9 5.4 15.2 79.5 0.1 13.7 50.6

10-Year 3/15/2023 3.985 2.35 32.0 17.7 20.0 62.3 0.0 0.0 32.0

20-Year 1/31/2023 3.678 2.83 12.0 8.1 15.6 76.3 0.0 0.0 20.2

20-Year 2/28/2023 3.977 2.54 15.0 6.7 18.0 75.3 0.0 3.4 30.2

20-Year 3/31/2023 3.909 2.53 12.0 11.9 21.1 67.0 0.0 0.0 19.9

30-Year 1/17/2023 3.585 2.45 18.0 9.0 16.3 74.6 0.0 0.0 39.5

30-Year 2/15/2023 3.686 2.25 21.0 15.8 18.9 65.2 0.0 8.2 65.6

30-Year 3/15/2023 3.877 2.35 18.0 9.4 19.8 70.7 0.0 0.0 39.1

2-Year FRN 1/31/2023 0.200 2.80 24.0 32.5 0.1 67.4 0.0 0.0 0.1

2-Year FRN 2/24/2023 0.160 3.29 22.0 30.8 0.0 69.2 0.0 0.0 0.0

2-Year FRN 3/31/2023 0.190 3.51 22.0 31.7 0.0 68.3 0.0 0.0 0.0

Nominal Coupons & FRNs
Office of Debt Management

Treasury’s Current Views on Buybacks as a Policy Tool 

May 2023
Executive Summary 

2

This presentation provides a high-level summary of Treasury’s current views on the use 

cases and design of a potential buyback program. 

 A Treasury buyback program would focus on two debt management objectives:

 Liquidity Support: in order to bolster market liquidity, including by establishing a predictable opportunity 

for market participants to sell off-the-run securities

 Cash Management: in order to reduce volatility in Treasury’s cash balance and bill issuance

 Treasury currently believes that a buyback program could provide the greatest benefits to 

all stakeholders if it adheres to the following constraints: 

 Buyback operations would be “regular and predictable” across tenors

 Buyback operations would not be used to fundamentally change the overall maturity profile of the debt 

outstanding

 Buyback operations would not be used to mitigate episodes of acute market stress. 

 Treasury would regularly evaluate the success of a buyback program by considering 

qualitative metrics including surveys and feedback from market participants as well as 

quantitative metrics related to buyback execution prices.
Buybacks: Design Parameters

3

TENORS / SECURITY TYPES / PURCHASE BUCKETS

 Liquidity Support: include nominal coupon and TIPS securities with maturities across the curve. 6-8 

purchase buckets by tenor would allow 1-2 operations in each bucket each quarter with operations 

around once per week

 Cash Management: likely focused on off-the run nominal coupon and TIPS securities with short 

maturities

 A purchase bucket (e.g., [0 to 2y]) could be simultaneously used for both cash management and 

liquidity support buybacks

 T-bills, STRIPS, and FRNs likely excluded

SIZING

 Liquidity Support: Initially around $5-$10 billion per month (or $60 to $120 billion annually) 

 Cash Management: Initially up to $120 billion per year (timing affected by seasonal factors) depending 

on fiscal flows 

 Sizes to be reevaluated periodically

 Amounts ultimately purchased may vary depending on market conditions and the quality of offers 

submitted in an operation

 This approach is consistent with TBAC recommendations and responses to the April 2023 primary 

dealer survey
Potential Communication, Platform, & Participants

4

COMMUNICATION 

Treasury would strive to be as transparent as possible with market participants about buyback intentions, 

consistent with “regular and predictable” framework.

 Quarterly Announcements: Details about anticipated liquidity support and cash management buybacks 

to be announced as part of Quarterly Refunding.

 Pre-Operation Announcements: Notice of a few business days to be provided before conducting a 

specific buyback operation. 

 Post-Operation Transparency: Results of buybacks to be announced shortly after the operation ends 

(similar to auction results). 

PLATFORM

 Using the existing FRB-NY FedTrade platform would be the most expedient means of implementing 

Treasury buybacks. 

PARTICIPANTS

 Initially, Treasury would conduct buyback operations only with primary dealers, with the understanding 

that customers may access buyback operations through a primary dealer. In addition, Treasury 

anticipates assessing the potential costs and benefits of allowing other counterparties to directly 

participate.
Financing of Buybacks

5

In general, Treasury believes buybacks should be treated like any other cash outlay 

for debt management purposes. 

 Buybacks should not meaningfully impact WAM or other measures of overall maturity 

profile because they would occur regularly across the curve and be relatively small 

compared to the amount of debt outstanding.

 Treasury believes it would be imprudent to try to replace the duration that buybacks 

remove from the market in real or near-real time; attempts to do so would limit 

flexibility and run counter to regular and predictable issuance.
Outstanding Issues for Further Consideration

6

 Optimal “bucket sizes” and relative purchase amounts

 Minimum purchase amount for each operation 

 Operational frequency 

 “Float” - the minimum amount of a CUSIP that should remain in the market to 

maintain liquidity
Considerations for changing the issuance schedule for 2-, 3-, 5-

and/or 7-year Treasuries

Treasury Borrowing Advisory Committee

May 2, 2023

1
TBAC Charge

At the February refunding, Treasury provided a summary of primary dealers’ views on potential

changes to the auctions schedule to reduce the number of CUSIPS for Treasury securities issued each

year.

Please discuss the Committee’s views on the potential benefits and risks of changing the monthly new

issue schedule for the 2-, 3-, 5-, and/or 7-year nominal coupon benchmarks to one new issue and two

benchmarks per quarter. Would these changes meaningfully improve Treasury market liquidity?

2
Agenda

• Executive Summary

• Issuance Calendar

• Impacts to Liquidity

• Conclusions

3
Executive Summary

4
Executive Summary

• Initial analysis indicates that changing the new issue schedule for 2-, 3-, 5- and 7- year notes could lead to a marginal

improvement in Treasury market liquidity, notably in off-the-runs, and may have de minimis impacts to Treasury funding

costs.

• This proposed change would significantly reduce the number of CUSIPs in the market, consolidating liquidity in fewer

issues, and over the course of the quarter, creating larger sizes of on-the-runs.

• This would support ample repo capacity, may increase repo specialness upon new issue, reduce the likelihood of

fails, and possibly provide greater buyback flexibility.

• Fewer issues would also allow for more efficient settlement and balance sheet netting, for both primary dealers and

other market participants. Further, this may create easier implementation of any central clearing initiative.

• One drawback is that meaningful market moves between new issue and reopenings could lead to reopenings at

premiums or discounts which could negatively impact investor appetite at auction.

• Treasury futures will have fewer eligible CUSIPs for delivery, at larger sizes. This may reduce the size of the delivery

baskets but could lead to improved liquidity of both the futures contract and the underlying deliverables, as futuresrelated trading activity will be in much larger cheapest-to-deliver (CTD) issues. The impact to delivery basket sizes may be

most exaggerated in TU futures (2-year), with fewer eligible CUSIPs but all substantially larger in size. Given futures price

off of the CTD, we expect a larger more liquid CTD would enhance futures pricing

5
Issuance Calendar

6
2-year Monthly

3-year Quarterly

5-year Quarterly

7-year Quarterly

Current & Historical Issuance Calendars

None

(May-98)

Quarterly 

(May-03)

None 

(May-07)

Monthly 

(Nov-08)

Monthly 

(Jan-91)

Quarterly 

(Aug-98)

Monthly 

(Aug-03)

None 

(Apr-93)

Monthly 

(Feb-09)

85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23

2023 Q1 

Issuance

$126bn

$120bn

$129bn

$105bn

• While Treasury is a regular and predictable issuer, Treasury has changed issuance calendars for Treasury securities several times through history when 

issuance needs grow or shrink e.g., introducing new tenors, pausing issuance on tenors and changing the frequency of issues.

• With well-articulated advance notice and deliberate implementation, such changes generally have been well-received by the market.

Source: treasurydirect.gov 7
Hypothetical 5-Year Notes Case Study: Issue Size Grows & On-TheRun for Longer

On-the-run for 

ONE month

On-the-run for 

THREE months

Monthly 

Issuance

Quarterly 

Issuance & 

Monthly 

Reopenings

Jan 31, 2022 CUSIP A

Feb 28, 2022

Mar 31, 2022

CUSIP B

CUSIP C

Jan 31, 2027

Feb 28, 2027

Mar 31, 2027

$55B

$53B

$51B

$55B

$53B

$51B

Jan 31, 2022 CUSIP A

Feb 28, 2022

Mar 31, 2022

CUSIP A

CUSIP A

Jan 31, 2027

$55B

$53B

$51B

$159B

Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22

Issue / Reopen Issue Reopen Reopen Issue Reopen Reopen Issue Reopen Reopen Issue Reopen Reopen

Size $55b $53b $51b $49b $48b $47b $46b $45b $44b $43b $43b $43b 

OTR Size $55b $108b $159b $49b $97b $144b $46b $91b $135b $43b $86b $129b 

Maturity Date Jan-27 Feb-27 Mar-27 Apr-27 May-27 Jun-27 Jul-27 Aug-27 Sep-27 Oct-27 Nov-27 Dec-27

On-the-run 

(OTR) Size 

Over Time

• Under a new quarterly issuance cadence, there would be one new issue and two reopenings per quarter as opposed to three new issues per quarter

under a monthly cadence.

• While transitioning from the second reopening to the next new issue, the size of on-the-runs would likely significantly reduce, by as much as ~70%. In

order to manage volatility in issue sizes, Treasury could employ an issuance strategy of larger new issues followed by subsequent smaller reopenings.

• The new cadence if implemented for 2-, 3-, 5- and 7-year notes would likely introduce the single largest issues to the market (prior largest issue =

$117b

1

).

Sources: Presenting Member analysis; treasurydirect.gov 1 Previously largest issue CUSIPS: 91282CCS8, 91282CBL4, 91282CAV3, 91282CCB5 8
Hypothetical Monthly vs Quarterly Issuance Cadence Case Study

Source: Presenting Member analysis

Monthly Quarterly

CUSIP A

2-Year

3-Year

5-Year

7-Year

Jan 31 CUSIP A

Feb 28

Mar 31

$40B

$40B

$40B

CUSIP A

CUSIP A

CUSIP A Jan 15 CUSIP A

Feb 15

Mar 15

$40B

$40B

$40B

CUSIP A

CUSIP A

Feb 28 CUSIP A

Mar 31

Apr 30

$40B

$40B

$40B

CUSIP A

CUSIP A

Jan 31

Feb 28

Mar 31

Jan 15

Feb 15

Mar 15

Mar 31 CUSIP A

Apr 30

May 31

$40B

$40B

$40B

CUSIP A

CUSIP A

CUSIP B

CUSIP B

CUSIP C

CUSIP C

Jan 31

Feb 28

Mar 31

Jan 15

Feb 15

Mar 15

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$40B

$120B Jan 31

$120B Jan 15

$120B Feb 28

$120B Mar 31

• If all four 2-, 3-, 5- and 7-year notes are migrated to a quarterly cadence, in order to maintain maturity points continuously along the curve, we would

recommend staggering issues across the first, second and third months of each quarter.

• Aligning issuance cadences on quarterly cycles could introduce interdependencies, thus possibly reducing future flexibility should issuance needs

meaningfully change e.g., growing or shrinking issuance needs.

Note: Issue sizes are hypothetical for illustrative purposes 9

Jan 31 CUSIP A

Feb 28

Mar 31

CUSIP B

CUSIP C

Jan 31

Feb 28

Mar 31

$40B

$40B

$40B

$40B

$40B

$40B

Jan 31 CUSIP A

Feb 28

Mar 31

CUSIP B

CUSIP C

Jan 31

Feb 28

Mar 31

$40B

$40B

$40B

$40B

$40B

$40B

Maturing $160B Jan $160B Feb $160B Mar $240B Jan $120B Feb $120B Mar
Time (Years)

24 24 24 24 24 24 24 24

36 28 20

60 52 44 36 28 20 20 20

84

76

68

60 52 44 36 28

12

T+0 T+1 T+2 T+3

12 12

T+7

12

T+4 T+5

12

204

T+6

180

156

92

132

116

100

84

-120, -59%

Impact on the Amount of CUSIPs Outstanding for 2-, 3-, 5- and 7-

Year Notes

2-Year 3-Year 5-Year 7-Year

CUSIP Reduction Due to Moving 3-, 5-, and 7-Year Notes From Monthly to Quarterly

• Moving issuance from monthly to quarterly for 2-, 3-, 5- and 7-year notes would result in eight reopenings, per year, per tenor. This would reduce the

amount of CUSIPs outstanding by 136, or 67%, if fully implemented.

• Keeping one of these four issues on a monthly cadence allows for Treasury to maintain more flexibility in funding choices, this could be helpful if

issuance needs change in the future. 2- and 3-year notes each have merits for remaining a monthly issue:

• In short tenors, off-the-run securities would be subject to the most curve sensitivity and therefore maintaining presence at all points on the curve is

valuable. To maintain the most liquid front part of the curve, we would propose that 2-year notes remain on the current monthly schedule – this would

have the least impact on CUSIP reduction.

• One item to note is that 3-year notes are currently issued on a mid-month schedule, whereas 2-, 5- and 7-year notes are on a month-end schedule.

Full implementation of an issuance cycle change might require additional cash management as a result. Therefore, another possible choice would be

to maintain 3-year notes on a monthly schedule and migrate 2-year notes to a quarterly schedule. However, this would result in a smaller CUSIP

reduction of 112, or 55%.

Source: treasurydirect.gov 10
Impacts to Liquidity

11
Repo Market Dynamics

• Unsurprisingly, when analyzing 10-year notes (new issue followed by two reopenings), we find the repo specialness generally peaks in month one and

moderates over subsequent months.

• If other issues are converted to this cadence, it is possible they would experience the same phenomenon.

• It is notable that repo specialness is greater for 10-year notes vs 5-year notes, and the repo spread between on-the-run and off-the-run 10-year notes is

significantly greater than the repo spread between on-the-run and off-the-run 5-year notes.

• Therefore, rolling from a prior, large on-the-run issue to a new, smaller on-the-run issue could benefit Treasury issuing at tighter levels / lower yields.

Source: Presenting Member analysis

-9

-26

-56

Month 3

Month 2

Month 1

Repo Spread to General Collateral (bps)

On-The-Run 10-Year Note Average Repo Spread, 2010-2023 5-Year vs 10-Year Note Repo Spreads, 2010-2023

-23

-7

-31

-1

-17

-18

On- Vs 1st Off-the-run

1st Off-the-run

On-the-run

Repo Spread to General Collateral (bps)

5-Year 10-Year

12
Auction Performance of Reopenings: Increased Balance Sheet 

Efficiency and Dealer Participation

Auction size ($b)

New Issue Reopening

Discount / Premium

% of Dealer Bids Accepted vs Auction Size (10-Year Note), 2008-2023 % of Dealer Bids Accepted vs Discount/Premium (10-Year Note), 2008-2023 % of Dealer Bids Accepted % of Dealer Bids Accepted

13

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

-10.00 -5.00 0.00 5.00 10.00

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0 10 20 30 40 50

Sources: Presenting Member analysis; treasurydirect.gov

• Historically, dealer participation and acceptance rates tend to decline as auction sizes grow.

• Reducing the number of outstanding CUSIPs should allow for increased balance sheet netting, as there will be greater concentration in fewer issues,

possibly leading to greater balance sheet efficiency.

• A new issue followed by two reopenings is more likely to have auctions with prices further from par, which may lead to reduced investor appetite.

However, greater balance sheet efficiency from fewer outstanding CUSIPs may allow for increased dealer participation.
Hypothetical Futures Eligibility: Possible Change in Delivery 

Baskets

• Treasury futures will have fewer eligible CUSIPs for delivery, at larger sizes, possibly leading to smaller delivery baskets. This may be most

exaggerated in TU futures (2-year), which would likely experience the greatest delivery basket impacts. However, importantly the size of the cheapestto-deliver (CTD) issue would be larger, reducing squeeze risk and enhancing liquidity for the contract and in turn, the CTD.

• For example, if the 5-year note is on a Jan/Apr/Jul/Oct schedule, there would be less deliverable supply than the Feb/May/Aug/Nov schedule. The

specific quarterly schedule chosen for each Treasury security will have impacts on futures eligibility.

• Similar to futures, index constituents may be impacted as larger issues roll in and out of index buckets. This may lead to larger index rebalancing when

these bigger issues flow through the index eligibility criteria. This could potentially increase investor appetite for seasoned issues and help support

general market liquidity.

Source: Presenting Member analysis; CME; Bloomberg 1 Assumptions include 2-Year on a monthly schedule, 3-Year on Feb/May/Aug/Nov schedule

2 Assumptions include 2-Year on a monthly schedule, 3-Year on Jan/Apr/Jul/Oct schedule

14

14

FVH3 Futures

(UST 5-Year Mar23 

Contract)

Eligible Securities: Today 5-Year: Jan/Apr/Jul/Oct Schedule Futures Contract 1

5-Year 3/31/2028 $43bn

5-Year 2/29/2028 $43bn

5-Year 1/31/2028 $43bn

5-Year 12/31/2027 $43bn

5-Year 11/30/2027 $43bn

5-Year 10/31/2027 $43bn

5-Year 9/30/2027 $44bn 

5-Year 8/31/2027 $45bn 

5-Year 7/31/2027 $46bn 

5-Year 6/30/2027 $47bn 

5-Year 5/31/2027 $48bn 

TOTAL $488bn

5-Year 3/31/2028 $43bn

5-Year 2/29/2028 $43bn

5-Year 1/31/2028 $129bn

5-Year 12/31/2027 $43bn

5-Year 11/30/2027 $43bn

5-Year 10/31/2027 $129bn

5-Year 9/30/2027 $44bn 

5-Year 8/31/2027 $45bn 

5-Year 7/31/2027 $135bn 

5-Year 6/30/2027 $47bn 

5-Year 5/31/2027 $48bn 

TOTAL $393bn

5-Year: Feb/May/Aug/Nov Schedule2

5-Year 3/31/2028 $43bn

5-Year 2/29/2028 $86bn

5-Year 1/31/2028 $43bn

5-Year 12/31/2027 $43bn

5-Year 11/30/2027 $129bn

5-Year 10/31/2027 $43bn

5-Year 9/30/2027 $44bn 

5-Year 8/31/2027 $132bn 

5-Year 7/31/2027 $46bn 

5-Year 6/30/2027 $47bn 

5-Year 5/31/2027 $141bn 

TOTAL $488bn

TUH3 Futures

(UST 2-Year Mar23 

Contract)

2-Year 3/31/2025 $42bn

5-Year 3/31/2025 $41bn

3-Year 3/15/2025 $48bn

2-Year 2/28/2025 $42bn

5-Year 2/28/2025 $41bn

3-Year 2/15/2025 $98bn

2-Year 1/31/2025 $42bn 

5-Year 1/31/2025 $41bn 

3-Year 1/15/2025 $52bn 

2-Year 12/31/2024 $42bn 

5-Year 12/31/2024 $41bn 

3-Year 12/15/2024 $54bn

TOTAL $307bn

2-Year 3/31/2025 $42bn

5-Year 3/31/2025 $41bn

3-Year 3/15/2025 $48bn

2-Year 2/28/2025 $42bn

5-Year 2/28/2025 $83bn

3-Year 2/15/2025 $50bn

2-Year 1/31/2025 $42bn 

5-Year 1/31/2025 $41bn 

3-Year 1/15/2025 $150bn 

2-Year 12/31/2024 $42bn 

5-Year 12/31/2024 $41bn 

3-Year 12/15/2024 $54bn

TOTAL $401bn

2-Year 3/31/2025 $42bn

5-Year 3/31/2025 $41bn

3-Year 3/15/2025 $48bn

2-Year 2/28/2025 $42bn

5-Year 2/28/2025 $41bn

3-Year 2/15/2025 $50bn

2-Year 1/31/2025 $42bn 

5-Year 1/31/2025 $41bn 

3-Year 1/15/2025 $52bn 

2-Year 12/31/2024 $42bn 

5-Year 12/31/2024 $41bn 

3-Year 12/15/2024 $54bn

TOTAL $536bn

• Treasury notes

• Original term to maturity: Not 

more than 5 years 3 months

• Remaining term to maturity: At 

least 4 year 2 months

Eligibility Criteria

• Treasury notes

• Original term to maturity: Not 

more than 5 years 3 months

• Remaining term to maturity: At 

least 1 year 9 months and not 

more than 2 years
Conclusions

15
Conclusions

• Fewer and larger CUSIPs could potentially lead to greater liquidity throughout the life of an issue, concentrating

trading volumes and increasing off-the-run liquidity.

• This may increase repo specialness upon new issue, reduce the likelihood of fails, and support smoother market

functioning.

• Reduced CUSIPs could further result in a more efficient settlement process and potential balance sheet netting, for

both primary dealers and other market participants.

• However, meaningful market moves between a new issue and reopenings could lead to larger premiums/discounts,

thus impacting investor appetite.

• Similar to futures, index constituents may be impacted as larger issues roll in and out of index buckets. This may result in

larger index rebalancing when these bigger issues flow through the index eligibility criteria. This could potentially increase

investor appetite for seasoned issues and help support general market liquidity.

• We expect market impacts could be more meaningful for the shorter end of the curve, as larger gaps between issues may

be subject to greater volatility surrounding market events e.g., data, policy etc. and market participants might prefer the

granularity of having each point on the curve available. As such, there may be more value maintaining the issuance

schedule for 2-year notes as monthly.

• The process to migrate would involve a lengthy transition period during which there is risk of potentially introducing different

liquidity, and risk profiles, of issues. Further analysis of the transition period would be required as the market’s functioning

during the transition is likely to be distinct from when fully phased in.

16
Appendix

17
2-year Monthly

3-year Quarterly

4-year Quarterly

5-year Quarterly

7-year Quarterly

10-year Quarterly

20-year Quarterly

30-year Quarterly 2x/yr

(Aug-93)

3x/yr

(Aug-96)

2x/yr

(Feb-99)

None

(Aug-01)

Annually

(Feb-06)

2023 Q1 

Issuance

$126b

$120b

n/a

$129b

$105b

$99b

$39b

$57b

None

(May-98)

Quarterly 

(May-03)

None 

(May-07)

Monthly 

(Nov-08)

None 

(Dec-90)

Monthly 

(Jan-91)

Quarterly 

(Aug-98)

Monthly 

(Aug-03)

None 

(Apr-93)

Monthly 

(Feb-09)

85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Source: treasurydirect.gov

6x/yr 

(Jul-96)

Quarterly 

(Aug-97)

None 

(Jan-86)

Quarterly 

(May-20)

Quarterly

(Feb-09)

18

Current & Historical Issuance Calendars
May 2023

TIPS Issuance, Demand, and Level of Supply

Please discuss what Treasury should consider for TIPS issuance for the rest of CY2023 and beyond, in the 

context of the committee’s views on the appropriate level of TIPS supply in the medium and long-term. How 

have investor portfolio allocations to TIPS changed recently and how do you expect demand to evolve going 

forward? In addition to the share of TIPS as a percentage of total debt outstanding, are there any other 

measures Treasury should use to help inform the appropriate level or range of TIPS outstanding?

1
Executive Summary

Treasury structurally benefits from the TIPS program.

• Treasury can reduce its costs by offering TIPS to investors who need inflation protection in their portfolios.

• TIPS offset likely higher deficits during low inflation periods; past studies suggest deficit volatility decreased by TIPS share up to 13%.

• Ex-post and ex-ante cost of TIPS vs nominals are random in short run, but Treasury can use them to monitor in the long run if it is realizing 

structural benefits.

Recent demand environment has been cyclically weaker, but structural demand for TIPS likely remains strong.

• Reasons for investors to own TIPS remain firmly in place; TIPS are owned by a diverse investor base.

• 2022 saw retail TIPS fund outflows around negative price returns; historical experience suggests that such outflows rebound quickly.

• Market pricing of inflation, auction results, and trading activity suggest demand is not weak.

We recommend larger TIPS auction sizes within framework of regular and predictable issuance.

• Higher TIPS share is likely optimal for Treasury so long as market will bear additional issuance.

• Without increased auction sizes, TIPS share would fall in coming years due to higher overall deficits, coming maturities, and SOMA runoff.

• With current demand, we recommend incrementally larger auctions and monitoring of indicators to ensure market is absorbing supply.

Additional perspectives on appropriate TIPS program size (beyond share of debt) can be useful.

• Treasury could use benchmarks like TIPS outstanding relative to the domestic economy and domestic savings pool to calibrate program size.

• Relative to these benchmarks, TIPS program size has been stable at upper end of range and will likely remain so going forward.

• TIPS program size remains in middle of range of major international inflation-linked bond programs. 2
3

TIPS Are a Natural Hedge for Treasury as Government Deficit Typically Rises 

During Periods When Inflation Falls

• On an ex-post basis the deficit typically rises when inflation 

falls (and vice-versa). See following pages for details.

• TIPS interest costs will be lower than nominal coupon bonds 

during low inflation, offsetting generally higher deficits.

• Past TBAC work concluded that total deficit volatility is 

reduced for TIPS allocations up to 13% of the debt stock.*

* 2018 TBAC Presentation to Treasury: https://home.treasury.gov/system/files/276/CombinedChargesforArchives4thqtr2018.pdf

Source: Treasury, Bureau of Labor Statistics

Down = falling inflation, increasing deficit

Up = rising inflation, shrinking deficit

Y-Y Change in Budget Balance

Y-Y Change in Inflation Rate

Correlation of Inflation to Government Finances

Ex-Post Correlations to CPI-U Inflation, 1950-2023

Correlation to...

Changes in Inflation Level of Inflation

Change in Total Deficit -38% -20% (higher inflation <-> falling deficit)

Change in Receipts 47% 20% (higher inflation <-> rising receipts)

Change in Outlays -17% -12% (higher inflation <-> falling outlays)
4

• A bit less than 25% of federal spending is explicitly linked to broad CPI.

• Another 25% is linked to medical price components of CPI.

• Remainder (>50%) largely unindexed, though obviously affected by inflation to

some extent.

• Portion of federal spending is countercyclical and works in opposite/offsetting

direction, e.g. outlays on unemployment benefits.

Government Outlays Are Not on Net That Related to Inflation

Federal Public Finances & Inflation

Index 

Total Outlays - - 25.0% 100%

Primary Outlays - - 22.9% 92%

Indexed to CPI 5.6% 22%

Social Security CPI-W 4.4% 18%

Military/ Civilian Retirement CPI-W 0.9% 4%

Supplemental Security Income (SSI) CPI-W 0.2% 1%

Driven By Medical Prices 6.2% 25%

Medicare MEI* 3.9% 16%

Medicaid CPI- Medical 2.3% 9%

Not Significantly Indexed - - 11.1% 44%

Defense Discretionary - - 3.0% 12%

Nondefense Discretionary - - 3.7% 15%

Other** - - 4.3% 17%

Net Interest Interest Rates 2.1% 8%

Receipts - - 19.4% 100%

Personal Income Taxes Nominal Wages 10.3% 53%

Payroll Taxes Nominal Wages 6.0% 31%

Other - - 3.0% 16%

2022 Lvl 

(%GDP)

% of Total 

Outlays/ Receipts

*MEI is the Medicare Economic Index, which is used to measure medical cost inflation of various inputs to 

producing physician services. ** Other includes some veterans benefits, SNAP, and other mandatory programs.

Relatively weak relationship

Source: Treasury, Bureau of Labor Statistics
5

Government Receipts Are Materially Tied to Inflationary Outcomes

• Government receipts have a reasonably strong relationship to inflation.

• The vast majority (>80%) of federal revenues are tied to nominal incomes 

(see table on prior page).

• While not literally indexed, nominal incomes are significantly related to 

inflation:

• Wage inflation often accompanies broader price inflation.

• Low unemployment rates both drive higher income (via total hours 

worked) and higher inflation (Phillips curve relationship).

Strong link Strong link

Reasonably strong relationship

Source: Treasury, Bureau of Labor Statistics
6

Ex-Post Relative Cost of TIPS v Nominals Fluctuates Over Time, Broad Check on 

Inflation Risk Premium but Not a Guide for Short Term Issuance Choices

TIPS by Individual Bond: Breakeven Inflation at Issuance vs Cumulative Realized Inflation

0 %

5%

10%

15%

20%

25%

1997 2001 2005 2009 2013 2017 2021

Cumulative Inflation

Bond Issue Date

5yr TIPS

0 %

5%

10%

15%

20%

25%

30%

35%

40%

1997 2001 2005 2009 2013 2017 2021

Cumulative Inflation

Bond Issue Date

10yr TIPS

0 %

10%

20%

30%

40%

50%

60%

70%

80%

90%

1997 2001 2005 2009 2013 2017 2021

Cumulative Inflation

Bond Issue Date

20yr TIPS

0 %

10%

20%

30%

40%

50%

60%

70%

80%

90%

1997 2001 2005 2009 2013 2017 2021

Cumulative Inflation

Bond Issue Date

30yr TIPS

Breakeven > Realized = 

TIPS had lower cost than 

nominal counterpart

Realized > Breakeven = 

TIPS had higher cost than 

nominal counterpart

Source: Treasury, Refinitiv, Bureau of Labor Statistics, author’s calculations

• TIPS issuance decisions should be based on structural benefit to Treasury, 

not timing market.

• Ex-post outcomes will fluctuate over time and are semi-random in short 

term, e.g.,

• TIPS issued from ‘15 – ‘21 had higher cumulative interest costs than 

nominal counterparts due to inflationary spike in ‘21 – ’23.

• Most TIPS issued from ‘05 – ‘12 had lower costs.

• Historically, around 40% of TIPS issues have realized lower interest costs 

than nominal counterparts. The overall cost has been $80bln higher vs 

comparable nominal coupons. 

• Overall program cost ($80bln higher) reflects that the inflationary spike of 

’21 – ’23 happened to occur when program size was larger.

• No sufficient evidence that investors have systematically over- or underdiscounted inflation when pricing TIPS, but these ex-post outcomes should 

be monitored over the long term.
7

Additional Detail on Ex-Post Cost/Benefit of TIPS Over History

% of Matured & Outstanding TIPS % of Matured TIPS

All TIPS 41% 67%

5yrs 43% 60%

10yrs 43% 70%

20yrs 80% (No Matured 20s)

30yrs 24% (No Matured 30s)

Share of TIPS with Lower Interest Costs Than Nominal Counterparts

Source: Treasury, Refinitiv, Bureau of Labor Statistics, author’s calculations
Ex-Ante, TIPS Advantage Has Recently Increased as Breakeven Inflation Has 

Risen More Than Investor Surveyed Inflation Expectations

8

Sources: Refinitiv, Federal Reserve. Surveys use 10yr expectations reading from indicated sources.

Forward 5y5y Breakeven Inflation minus Surveyed Inflation Expectations

(higher readings = higher ex-ante benefit to Treasury from issuing TIPS)

• Forward breakeven inflation rates (BEI) higher than / rising relative 

to investors’ inflation expectations.

• Inflation surveys have different biases and methodologies, 

readings should be taken as indicative rather than precise.

• Ex-ante benefit of TIPS to Treasury has improved as investor 

demand for inflation protection has risen.

• Note: TIPS liquidity premiums have been stable, see slide 12.

• Investor demand for inflation protection seems to have increased 

relative to pre-pandemic, though stable in past 1-2 years (see next 

slide).

• Weaker BEI relative to surveys in ‘15 – ‘19 correspond roughly to 

negative ex-post results for bonds issued in those periods shown 

on prior pages.
Inflation Expectations and Premiums Have Been Stable in Past Two Years

• In past two years, surveys and market pricing of inflation have largely 

remained anchored, reflecting credible Fed policy.

• By most measures, the gap between inflation expectations and break-even 

inflation has been positive and stable through the 2021 – ’23 inflation 

(Cleveland Fed surveyed expectations is exception).

• Recent short-term drivers of risk premiums are netting:

• Recent volatile inflation likely increasing premiums.

• Recent negative price performance for TIPS likely offsetting by 

reducing investor demand (see subsequent pages).

• Note that model from Cleveland Fed* has suggested recent expansion in 

inflation risk premium, but that model’s results have been very volatile in 

past ~5 years (signal/noise issue).

*https://www.clevelandfed.org/indicators-and-data/inflation-expectations

Inflation Expectations and Pricing In Recent Years

Avg Jan 2015-Jan 2020 Mar-21 Mar-22 Today Last 24m 

BEI 5y5f 2.5% 2.7% 2.5% 0.0% 

Inflation Expectations

Cleveland Fed 1.5% 1.9% 2.3% 0.8% 

Prof Forecasters 2.2% 2.5% 2.4% 0.2% 

Common Inflation Exp 2.1% 2.4% 2.2% 0.1% 

ATSIX Expected CPI 2.3% 2.3% 2.2% -0.1% 

BEI Less Expectations

Cleveland Fed 1.0% 0.7% 0.3% -0.7% 

Prof Forecasters 0.3% 0.2% 0.2% -0.1% 

Common Inflation Exp 0.4% 0.3% 0.3% -0.1% 

ASTIX Expected CPI 0.3% 0.4% 0.3% 0.1% 

Inflation Expectations and Pricing In Recent Years

Avg Jan 2015-Jan 2020 Mar-21 Mar-22 Today Last 24m Chg Last 12m Chg

BEI 5y5f 2.5% 2.7% 2.5% 0.0% -0.1%

Inflation Expectations

Cleveland Fed 1.5% 1.9% 2.3% 0.8% 0.3%

Prof Forecasters 2.2% 2.5% 2.4% 0.2% -0.1%

Common Inflation Exp 2.1% 2.4% 2.2% 0.1% -0.1%

ATSIX Expected CPI 2.3% 2.3% 2.2% -0.1% -0.1%

BEI Less Expectations

Cleveland Fed 1.0% 0.7% 0.3% -0.7% -0.4%

Prof Forecasters 0.3% 0.2% 0.2% -0.1% 0.0%

Common Inflation Exp 0.4% 0.3% 0.3% -0.1% 0.0%

ASTIX Expected CPI 0.3% 0.4% 0.3% 0.1% 0.0%

Sources: Refinitiv, Federal Reserve. Surveys use 10yr expectations reading from indicated sources.

9
Treasury Benefits From Offering TIPS Because They Are Good Product For Many Investors

Holdings of TIPS, by Share

US Domiciled TIPS Funds (Mutual Funds & ETFs) 17%

Foreign Official Sector 24%

Foreign Private Sector 16%

Broker-Dealer Inventories 0%

Federal Reserve 22%

All Others (e.g., Pensions, Asset Managers, Households) 21%

Sources: Lipper, Department of the Treasury, Federal Reserve

Note: foreign holdings not available for 2022 as 

of publication; will be released later in May ’23.

• TIPS bring allocations to Treasury debt from investors in need of 

inflation protection (e.g., pensions with inflation-linked liabilities, 

anyone with future real consumption needs).

• Inflation-linked bonds are one of a small number of publicly traded 

securities that provide portfolio protection against rising inflation.

• Recent inflationary period highlights importance for investors of 

managing inflation exposure.

• TIPS are held by diverse group of investors including retail 

investment funds, pensions, asset managers, and foreign official 

and private portfolios, with no single group having an outsized 

share.

10
Retail Demand via Dedicated TIPS Funds: Secularly Strong, Recently Weak

Source: Lipper, author’s calculations

Retail investors often pull money from funds after periods of bad 

performance, outflows generally short-lived.

Stable

Long-term growth trend has 

broadly kept us with IL market 

growth

11

• Dedicated TIPS funds have grown substantially in recent decades.

• These funds have been stable at 4-5% of the bond fund universe and ~1% of the 

total mutual fund universe. They have kept pace with TIPS market growth, 

consistently reflecting 12-15% of TIPS outstanding.

• TIPS funds saw considerable withdrawals in 2022 as returns were weak, outflows 

began in April, peaked in October and have been decreasing since (through Feb.).

• Past episodes of withdrawals have tended to be short lived (3 months of outflows 

in ‘08, 14 months in ‘13, 1 month in ‘20), with inflows returning afterward.

• We would expect similar behavior today, especially in the light of recent 

inflationary experience and recent better returns for TIPS.
Foreign Investment Demand Remained Strong Through 2021

• Foreign private sector purchases of TIPS were strong through 2021*. Stilllow policy rates, steeper yield curve in USD than foreign currencies, and 

rising inflation likely supported demand.

• This picture is dated, 2022 figures to be released later this month.

• Foreign official sector TIPS holdings have been flat in recent years, 

consistent with weaker FX reserve accumulation slowing post-2015.

• TIPS allocations within foreign treasury portfolios have been flat at 10.5-

11%, somewhat above the TIPS share of Treasury debt.

• Overall foreign holdings of TIPS reflect 40% of TIPS outstanding.

Source: Treasury, author’s calculations

12
Source: Treasury, Barclays

Even With Weaker Price Action in 2022, TIPS Auctions Well Absorbed, Especially 

at Shorter Maturities

13

• TIPS auctions have generally been well absorbed even as auction 

sizes have moderately increased in last few years.

• Auction yields coming in close to pre-auction pricing (on average 

trading through by 0.3 basis points since 2019).

• 5yr TIPS trading through more frequently, 10yr TIPS more balanced, 

and wide range on 30yr TIPS.

Auction yield above pre-auction pricing (tailing)

Auction yield above pre-auction pricing (trading through)
Source: Treasury

Investor Share of Auction Allotment Has Remained Stable

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2012 2014 2016 2018 2020 2022

Dealers

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2012 2014 2016 2018 2020 2022

Foreign

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2012 2014 2016 2018 2020 2022

Investment Funds

TIPS Auctions Allotment by Investor Type (All Maturities)

Investment fund share remains high Foreign share rising recently Dealer share remains low

14

• Gains in investment fund allotment at auction remaining durable.

• Dealer share remains low.
Trading Volumes Suggest Market Size Growth Has Not Outpaced Investor 

Demand

• Traded volumes in TIPS have increased more-or-less in line with 

outstanding market size over past decade.

• Ratio of traded volumes to outstanding have been stable since 2012.

Source: Treasury, SIFMA, author’s calculations

15
Inflation Swap Spreads Roughly Stable, Reflecting No Aggregate Shift in TIPS 

Liquidity Premium

• Difference between BEI on TIPS and inflation swaps has fluctuated between 

10-20 basis points since 2010, with modest exceptions in 2015 and mid2022.

• Investors have been pricing the liquidity of TIPS at a more-or-less consistent 

rate.

• This suggests that the differences between surveyed and priced inflation 

shown on prior page mostly reflect demand trends, not shifts in liquidity.

16

Fluctuating in range

Source: Refinitiv
Breakeven Inflation Curve Has Flattened, a Shift From Pre-2016

• Upward sloping breakeven inflation (BEI) curve, i.e., BEI higher at longer 

maturities compared to shorter maturities, was present pre-2016. This 

suggested investors willing to pay more for longer-term inflation protection.

• Today, that slope has flattened, likely due to increased investor demand for 

shorter-dated TIPS (see next page). That may suggest focusing auction size 

increases in shorter tenors.

• Alternative factors:

• Could reflect better liquidity in shorter tenors.

• Could reflect decreased inflation risk premium.

• Could reflect expectations that inflation will be higher in near term.

Higher = investors paying more for longerterm inflation protection

17

Source: Refinitiv
Investor Demand for Shorter Duration TIPS Has Increased Considerably Over 

Past Decade

• Dedicated short-duration TIPS funds have gained considerable market 

share in the TIPS fund universe.

• Shift in investor demand toward shorter-duration TIPS is consistent with 

flattening of the breakeven inflation curve.

• Not clear if this shift will be durable across interest rate cycles. If 

sustained, factor for Treasury to weigh in considering maturity profile of 

TIPS outstanding.

Source: Lipper, author’s calculations

Market share gains 

for short TIPS 

during rate rises, 

gains proving 

durable.

18
Considerations for TIPS Issuance in CY ‘23 and Medium Term

• Treasury should maintain regular and predictable issuance patterns.

• Current TIPS share is 7.6%, low end of past 15 years’ range. Increasing would likely benefit Treasury as long as market can bear increases.

• TIPS share tends to fall in recessions (and did in 2020), should be rebuilt during expansions.

• TIPS share will likely fall below 7% in coming years without increase in auction sizes due to a number of factors:

• Larger deficits,

• Rolldown of Fed’s SOMA, and

• Increased maturities in coming years: average $160bln/year in next 5 years vs $110bln/year past 5 years.

• Investor demand looks healthy; inflation likely more of a concern today than in past decades when TIPS share was higher.

• Increase in retail interest for shorter maturity TIPS suggests additional supply could be focused there.

Any increases in TIPS auctions should be made with monitoring of market conditions using measures shown today, including:

• Forward break-even inflation rates relative to surveyed inflation expectations

• Spreads between TIPS and corresponding maturity inflation swaps

• Auction results (price performance around auctions, investor shares, etc.)

• Retail investor inflows

• Foreign holdings of TIPS

• Market traded volumes / turnover

• TIPS market size relative to benchmarks like size of domestic savings pool and economy should be monitored in addition to TIPS share of 

marketable debt.

19
TIPS Share is Currently 7.6%, Lower End of Range in Recent Decades, and Will 

Likely Fall in Next Recession

• Pandemic recession and large issuance of brought TIPS down to below 

7.5% of marketable debt, the lowest level since 2007. It has gradually 

increased to 7.6% since then.

• We should expect drops in TIPS share during recessions, with slow 

recovery post-recession.

• Relative size & depth of markets keeps TIPS issuance steadier; 

higher issuance in recession first pushed into bills, then nominal 

coupons.

20

Source: Treasury, NBER
With Current Auction Sizes, TIPS Share Will Likely Fall Even Without a Recession

Source: Treasury, CBO, Federal Reserve, author’s calculations

21

• Each colored line shows the TIPS share under different 

issuance patterns.

• For clarity, “increase of $12bln per year” means 

total auctions in ‘24 are $12bln larger than in ’23, 

total auctions in ‘25 are $12bln larger than in ‘24, 

and so on.

• This chart is shown for illustrative purposes only, and the 

projections are highly subject to volatility in various 

assumptions, shown below.

Assumptions:

• Issuance increases taken pro-rata from other products.

• Deficit evolves consistent with CBO projections.

• SOMA portfolio rolldown ends in ’24, consistent with primary dealer surveys projections; Fed 

portfolio share of TIPS held constant from there.

• Inflation evolves consistent with Federal Reserve’s Summary of Economic Projections.
TIPS Maturities Set To Accelerate, Will Decrease TIPS Share

Source: Treasury

22

• The increasing pace of maturing IL bonds, including 20 year TIPS 

issued from 2005 – ‘09 with lots of accrued inflation, will decrease 

the TIPS share over time.
Treasury Should Consider Additional Perspectives Beyond Share of Marketable 

Debt Outstanding to Calibrate TIPS Program Size

• Maintaining consistent TIPS share of marketable debt will result in total 

outstanding of TIPS increasing from $2 to $3 trillion in the next ten years 

using CBO financing projections.

• Public will end up owning greater share of TIPS as Fed SOMA portfolio 

shrinks.

• This growing size of TIPS market held by public suggests additional 

perspectives would be useful to benchmark program size and assess 

market’s ability to digest issuance.

Source: Treasury, CBO, author’s calculations

23
Proposed Benchmark: TIPS Relative to Size of Economy

24

• Nominal GDP is a helpful concept for benchmarking the changes in debt 

stock and TIPS:

• NGDP is tied to national incomes, which are used to service the debt.

• Sources of demand relevant to TIPS likely grow with the economy, 

like household savings and the size of inflation-linked pension 

liabilities.

• NGDP facilitates comparisons across time (e.g., comparing an 

amount of debt today to one in the distant past/future) and to other 

countries’ programs (see subsequent page).

• We used potential NGDP to remove distortion from business cycle.

• In this perspective, TIPS have risen to highs (around 7% of NGDP). With 

constant debt share, TIPS would rise slowly to 8% of NGDP over next 

decade.

• Nominal GDP is outside of Treasury’s control, so this is a check on program 

size and not something that can be actively managed to.

Source: Treasury, BEA, CBO, Federal Reserve, author’s calculations
TIPS Program Size Is in Middle of Range of Other Developed Countries’ 

Inflation-Linked Bond Programs as Share of Debt and Economy

25

• Most major economies with inflation-linked (IL) bond programs 

have IL shares of market debt between 5% and 12%, Treasury’s 

8% is in middle of range.

• UK is outlier with 25% IL share due to requirement of their 

pensions to match inflation-indexed liabilities.

• Most have IL shares of 3% to 13% of nominal GDP; Treasury’s 7% 

is in middle of range.

• Most countries’ IL shares have fallen somewhat since the 

pandemic as large deficits were pushed into bills/nominals.

• Caution that market structures and participants vary considerably 

across geographies.

Source: Indicated countries’ debt management offices and national statistics agencies
Proposed Benchmark: TIPS as a Share of US Domestic Assets

• US households and businesses’ holdings of financial assets* (“domestic 

assets”) are a helpful reference point for TIPS market size. 

• This is an “asset allocation” framework, i.e., domestic investors in 

aggregate have a desired allocation to TIPS, and growing the TIPS 

program beyond that limit could push prices lower or require more 

foreign demand.

• TIPS market has been stable at around 1.2% of domestic assets since 

2015.

• Domestic asset growth has averaged 7.5% per year since 1950; 7.5% 

increase in TIPS market is $150bln.

• As with nominal GDP, this is a check on program size and not something 

Treasury can actively manage.

Stable

* “Financial assets” referenced here include cash, securities, fund shares, pension & insurance assets, and other assets Source: Federal Reserve Flow of Funds, author’s calculations

captured in the Federal Reserve’s Flow of Funds tables L.101 & L.102. Intermediaries’ balance sheets are not included 

in calculation to avoid double-counting private sector buying power.

26
Conclusions

• Treasury likely accrues benefits from gradually increasing TIPS share from current levels as long as investor demand is adequate.

• Without increases in auction size, TIPS share will fall under current projections, especially if there is a recession.

• Variety of metrics suggest investor demand is strong enough to accommodate increases in auction sizes in regular and predictable

manner.

• Any increases in auction sizes and TIPS share should be accompanied by monitoring of market conditions using metrics like:

• Forward break-even inflation rates relative to surveyed inflation expectations

• Spreads between TIPS and corresponding maturity inflation swaps

• Auction results (price performance around auctions, investor shares, etc.)

• Retail investor inflows

• Foreign holdings of TIPS

• Market traded volumes / turnover

• Increase in demand for shorter-term maturities by retail investors suggests more room to expand issuance in 5 and 10 year TIPS.

• A variety of perspectives / benchmarks should be monitored to calibrate overall TIPS program size in addition to share of marketable & 

marketable LT debt, such as TIPS relative to domestic assets (around 1.2% today) and TIPS relative to size of economy (7-8% today).

For future study:

• Monitor performance in different TIPS sectors, especially with respect to retail investors’ shift into shorter-duration TIPS funds.

• Continued calibration of the appropriate level of TIPS share.

27