Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2022 Q2 Report
Table of Contents

2

I. Executive Summary p. 4

II. Fiscal

A. Quarterly Tax Receipts p. 6

B. Monthly Receipt Levels p. 7

C. Largest Outlays p. 8

D. Treasury Net Nonmarketable Borrowing p. 9

E. Cumulative Budget Deficits p. 10

F. Deficit and Borrowing Estimates p. 12

G. Budget Surplus/Deficit p. 13

H. Privately-Held Net Marketable Borrowing Outlook p. 14

III. Financing

A. Sources of Financing p. 17

B. Interest Rate Assumptions p. 19

C. Projected Net Marketable Borrowing Assuming Future Issuance Remains Constant p. 20

IV. Portfolio Metrics

A. Historical Weighted Average Maturity of Marketable Debt Outstanding p. 23

B. Bills, TIPS & FRNs Outstanding as a Percent of Marketable Debt Outstanding p. 24

C. Maturity Profile p. 26

V. Demand

A. Summary Statistics p. 28

B. Bid-to-Cover Ratios p. 29

C. Investor Class Awards at Auction p. 34

D. Primary Dealer Awards at Auction p. 39

E. Direct Bidder Awards at Auction p. 40

F. Foreign Awards at Auction p. 41

G. Foreign Holdings: Official and Private p. 42
Section I:

Executive Summary

3
Receipts and Outlays through Q2 FY2022

• Through Q2 FY2022, receipts were $2.12 trillion, $418 billion (25%) higher than the same period last year. Withheld & FICA taxes were up $285 

billion (21%) due to the recovery’s impact on wages and employment, the required repayment by early January 2022 of 50% of the employer 

portion of the FICA taxes deferred under the CARES Act between March and December 2020, and the impact of the deferral lowering FY2021 FICA 

taxes received in October through December of 2020. Non-withheld and SECA taxes were $51 billion (22%) higher, reflecting growth in nominal 

income, a rebounding economy, and potentially the processing of backlogged returns. Gross corporate taxes were $20 billion (16%) higher due to 

higher corporate profits. Federal Reserve earnings were $19 billion (47%) higher. Miscellaneous and other social insurance was $17 billion (47%) 

higher due primarily to large Unemployment Trust Fund deposits. Gross excise taxes were $7 billion (21%) higher than last year at this point 

including $3 billion (16%) increases in highway, and $2 billion (52%) increases in airport and airway exercise taxes as driving and travel increased 

with the recovery. Customs duties were up $11 billion (27%) due to the recovery in international commerce. Individual refunds were $5 billion (-

4%) lower than last year. Corporate refunds were $2 billion (-9%) lower, which brought them more in-line with pre-COVID levels. Fiscal-year-todate, receipts were 17.2% of GDP, compared to 15.2% for the same period last year. 

• Through Q2 FY2022, outlays were $2.79 trillion, $620 billion (-18%) lower than the same period last year. Department of Treasury outlays were $326 

billion (-38%) lower due to lower Economic Impact Payments and Covid relief payments of $510 billion, partially offset by higher tax credits of $86 

billion in Child Tax Credits, $15 billion in earned income tax credits, and $13 billion in refundable premium tax credits and higher interest on the 

public debt of $62 billion. Department of Labor outlays were $184 billion (-87%) lower due to the reduction in unemployment and expiration of 

expanded benefits attributable to the COVID-19 pandemic. Small Business Administration outlays were $165 billion (-90%) lower primarily due to 

lower subsidy costs in FY2022 for the Paycheck Protection Program. Other outlays were $75 billion (-28%) lower due to the proceeds from a Federal 

Communications Commission spectrum auction being booked in January 2022 ($81 billion) as a negative outlay. Health and Human Services 

outlays were $76 billion (11%) higher mainly due to increases in Medicare and Medicaid. Social Security Administration outlays were $34 billion 

(6%) higher due to increases in the number of beneficiaries and in the average benefit amount. Department of Education outlays were $18 billion 

(35%) higher due to increased spending on emergency grants to the Education Stabilization Fund to support K-12 and postsecondary education. 

Fiscal-year-to-date, outlays were 22.6% of GDP, compared to 30.5% for the same period last year. 

Projected Net Marketable Borrowing

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of -$26 billion for Q3 FY2022, with 

an end-of-June cash balance of $800 billion. For Q4 FY2022, OFP forecasts a net privately-held marketable borrowing need of $182 billion and endof-September cash balance of $650 billion. These borrowing estimates are based upon current law and do not include any assumptions for the 

impact of additional legislation that may be passed. These estimates do not include any assumptions for SOMA redemptions pending Federal 

Reserve official announcement.

Demand for Treasury Securities

• Bid-to-cover ratios for all securities were within historical ranges over the last quarter. 

• Foreign demand remained stable.

Highlights of Treasury’s May 2022 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4
Section II:

Fiscal

5
6

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

Source: United States Department of the Treasury

(100%)

0 %

100%

200%

300%

400%

500%

600%

700%

800%

900% Mar-12 Jun-12 Sep-12 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 Year-over-Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)
7

0

50

100

150

200

250 Mar-12 Jun-12 Sep-12 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 $bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other

Quarterly 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. 

Source: United States Department of the Treasury 
8

Source: United States Department of the Treasury 0

100

200

300

400

500

600

700

800

900

1,000 HHS SSA Treasury Defense Agriculture V A Education OPM Transportation Homeland Security Other Defense Civil Labor SBA $ bn

Largest Outlays

Oct - Mar FY 2021 Oct - Mar FY 2022
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q2-12 Q3-12 Q4-12 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 $ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
10

Source: United States Department of the Treasury 0

500

1,000

1,500

2,000

2,500

3,000

3,500 October November December January February March April May June July August September $ bn

Cumulative Budget Deficits by Fiscal Year

FY2020 FY2021 FY2022
11

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 28, 2018 - cash balance of Sept 29, 2017

• 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 2018 Actual Deficits and

Privately-Held Net Marketable Borrowing, in $ billions

FY 2018 Deficit 779

FY 2018 + Change in Cash Balance 225

FY 2018 + Other Means of Financing (e.g. Direct Loans) 3 5

FY 2018 = Total Net Marketable Borrowing 1,039

FY 2018 + SOMA Redemption 156

FY 2018 = Privately-Held Net Marketable Borrowing 1,195

FY 2018 Actual
12

1 Estimates represent the medians/interquartile ranges from the primary dealer survey in April 2022.

2 Treasury's Office of Fiscal Projections (OFP) borrowing estimates announced on May 2, 2022.

3 OMB projections are using estimates are from Table S-1 of “Budget of The U.S. Government Fiscal Year 2023,” March 2022.

4 CBO projections are using estimates are from Table 1 of “An Update to The Budget and Economic Outlook: 2021 to 2031,” July 2021. 

*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, would increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “add-on” amount. 

**FY2022 net borrowing estimates from CBO assume that the cash balance is $500 billion at the end of FY2022. The end of FY2021 cash balance was 

$215 billion, which implies a FY2022 change in cash balance of $285 billion. 

***Both OMB and CBO borrowing estimates are normalized to privately-held net borrowing after adding PD survey median SOMA redemption 

assumptions for FY22/23/24. OFP borrowing estimate for FY22 is also normalized using the same method. In addition, all the PD, CBO and OMB’s 

FY22 privately-held net borrowing estimates are normalized with OFP’s FY22 ending cash balance of $650 billion. 

FY 2022-2024 Deficits and Privately-Held Net Marketable Borrowing Estimates*, in $ billions

25th Median 75th

FY 2022 Deficit 1,000 1,050 1,135 1,415 1,153

FY 2023 Deficit 800 925 1,045 1,154 789

FY 2024 Deficit 780 900 1,011 1,200 753

FY 2022 Change in Cash Balance 435 485 485 435 535 285**

FY 2023 Change in Cash Balance 0 0 0 0 0

FY 2024 Change in Cash Balance 0 0 0 0 0

FY 2022 Total Net Marketable Borrowing 1,348 1,570 1,785 1,513 2,552 1,380

FY 2023 Total Net Marketable Borrowing 650 840 1,076 1,197 764

FY 2024 Total Net Marketable Borrowing 625 855 1084 1,238 803

FY 2022 SOMA Redemption 180 180 240

FY 2023 SOMA Redemption 719 720 720

FY 2024 SOMA Redemption 388 715 720

FY 2022 Privately-Held Net Marketable Borrowing 1,560*** 1,700*** 1,965*** 1,693*** 2,632*** 1,710***

FY 2023 Privately-Held Net Marketable Borrowing 1,363 1,560 1,795 1,917*** 1,484***

FY 2024 Privately-Held Net Marketable Borrowing 1,231 1,475 1,742 1,953*** 1,518***

Estimates as of: May-22 Mar-22 Jul-21

Primary Dealer1

CBO4 OMB3

Apr-22

OFP2
(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

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 Deficit to GDP $bn

Budget Surplus/Deficit*

OMB's (Mar 22) Surplus/Deficit (LHS) CBO's (Jul 21) Surplus/Deficit (LHS)

PD Survey median estimates (Apr 22) (LHS) OMB's (Mar 22) Surplus/Deficit as a % of GDP (RHS)

CBO's (Jul 21) 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 2023,” March 2022.

CBO’s deficit projections are using estimates from CBO’s Table 1 of “An Update to The Budget and Economic Outlook: 2021 to 

2031,” July 2021.

Projections

13
14

*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, 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. 

The Federal Reserve is expected to begin paying down some of its System Open Market Account (SOMA) holdings of Treasury 

securities as early as May. These estimates do not include any assumptions for SOMA redemptions pending Federal Reserve 

official announcement. Privately-held net marketable borrowing is expected to increase from these estimates in an amount 

necessary to offset SOMA redemptions.

Privately-Held Net Marketable Borrowing Outlook*

-$500

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4 $ bn

FY19 FY20 FY21 FY22 FY 22 (projection-OFP)
Section III:

Financing

15
16

Assumptions for Financing Section (pages 17 to 21)

• Portfolio and SOMA holdings as of 03/31/2022.

• Estimates assume private announced issuance sizes and patterns remain constant for nominal coupons, 

TIPS, and FRNs given changes made before the May 2022 refunding, while using total bills outstanding 

of ~$3.93 trillion. 

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

as of 03/31/2022.

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

• Privately-held net 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, would increase the amount of cash raised 

for a given privately-held auction size by increasing the SOMA “add-on” amount.
17

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

Net Bill Issuance 159 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 509 4-Week 615 545 7 0 920 820 100

Subtotal: Net Marketable Borrowing 668 8-Week 490 415 7 5 830 785 4 5

13-Week 774 699 7 5 1,473 1,365 108

Ending Cash Balance 652 26-Week 657 633 2 4 1,287 1,335 (48)

Beginning Cash Balance 406 52-Week 102 102 (0) 238 238 (0)

Subtotal: Change in Cash Balance 245 CMBs

17-Week 490 455 3 5 975 875 100

Net Implied Funding for FY 2022 Q2* 422 CMBs 0 120 (120) 675 765 (90)

Bill Subtotal 3,128 2,969 159 6,398 6,183 215

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 7 0 5 6 1 4 146 110 3 6

2-Year 156 9 5 6 1 330 194 136

3-Year 150 7 9 7 1 318 154 164

5-Year 159 7 2 8 7 336 157 179

7-Year 150 7 3 7 7 327 150 177

10-Year 107 2 8 7 9 220 6 7 153

20-Year 5 5 0 5 5 122 0 122

30-Year 6 5 0 6 5 136 9 127

5-Year TIPS 0 0 0 3 6 0 3 6

10-Year TIPS 3 0 4 0 (10) 4 4 4 0 4

30-Year TIPS 9 0 9 9 0 9

Coupon Subtotal 951 442 509 2,024 882 1,142

Total 4,079 3,411 668 8,422 7,065 1,357

January - March 2022 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q2

January - March 2022 January - March 2022 Fiscal Year-to-Date

Bill Issuance Bill Issuance
18

* Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made before the May 2022 refunding. 

** Assumes an end-of-June 2022 cash balance of $800 billion versus a beginning-of-April 2022 cash balance of $652 billion.

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

^ Maturing amounts could change based on future Federal Reserve purchases.

Assuming Constant Coupon Issuance Sizes*

Treasury Announced Net Marketable Borrowing** (26)

Net Coupon Issuance 435

Implied Change in Bills (461)

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 6 8 6 2 6 214 172 4 2

2-Year 144 111 3 3 474 305 169

3-Year 138 7 3 6 5 456 227 229

5-Year 147 7 8 6 9 483 235 248

7-Year 132 7 8 5 4 459 228 231

10-Year 105 2 3 8 2 325 9 1 234

20-Year 5 1 0 5 1 173 0 173

30-Year 6 3 0 6 3 199 9 190

5-Year TIPS 3 8 4 0 (2) 7 4 4 0 3 4

10-Year TIPS 1 4 0 1 4 5 8 4 0 1 8

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 900 465 435 2,924 1,347 1,577

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q3

April - June 2022

April - June 2022 Fiscal Year-to-Date
19

0.5

1

1.5

2

2.5

3

3.5

4

2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 1 0-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 03/31/2022

CBO's "An Update to the Budget and Economic Outlook: 2021 to 2031" (July 2021)

OMB Budget (Mar 2022)

1 0-Year Treasury Rate 

of 2.341% as of 

03/31/2022
20

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 03/31/2022*

*Treasury’s latest primary dealer survey median/interquartile range estimates can be found on page 12. OMB’s borrowing projections are from Table S-1 of 

“Budget of the U.S. Government Fiscal Year 2023,” March 2022. CBO’s borrowing projections are using estimates from Table 1 of CBO’s “An Update to The 

Budget and Economic Outlook: 2021 to 2031,“ July 2021. Both OMB and CBO borrowing estimates are normalized to privately-held net borrowing after adding 

PD survey median SOMA redemption assumptions for FY22/23/24. OFP borrowing estimate for FY22 is also normalized using the same method. 

FY2022 net borrowing estimates from PD, OMB and CBO are normalized with OFP’s FY22 ending cash balance of $650 billion (details can be found on page 12). 

0

500

1,000

1,500

2,000

2,500

3,000

2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 $bn

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Adjusted Privately-Held Net Borrowing from CBO's "An Update to the Budget Outlook: 2021 to 2031", July 2021

PD Survey Privately-Held Net Marketable Borrowing Estimates, April 2022 Adjusted Privately-Held Net Borrowing from OMB's Budget, March 2022

Adjusted OFP's FY2022 Privately-Held Net Marketable Borrowing Estimate

PD 75th 

percentile

PD 25th 

percentile

PD 50th 

percentile

P D Survey Privately-Held Marketable Borrowing Estimates at 25th, 50th and 75th Percentile
21

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

0

20

40

60

80

100

120

140

160

180

4/1/20227/1/2022

10/1/2022

1/1/20234/1/20237/1/2023

10/1/2023

1/1/20244/1/20247/1/2024

10/1/2024

1/1/20254/1/20257/1/2025

10/1/2025

1/1/20264/1/20267/1/2026

10/1/2026

1/1/20274/1/20277/1/2027

10/1/2027

1/1/20284/1/2028

$bn$bn

Federal Reserve SOMA Treasury Holdings Maturity Profile as of 

3/31/2022

COUPONS/TIPS/FRN BILLS Cumulative (RHS)

The figures do not include any assumptions for Federal Reserve balance sheet normalization.
Section IV:

Portfolio Metrics

22
23

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0 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 Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable Debt Outstanding

Historical Historical Average from 1980 to end of FY 2022 Q2

03/31/2022 

72.6 months

60.5 months (Historical Average 

from 1980 to Present)
24

0

5

1 0

1 5

2 0

2 5

3 0

3 5

4 0 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 Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.6%

Max 10.7%

Max 2.7%

03/31/22 

16.9%

03/31/22 

7.5%

03/31/22 

2.7%

Max 

35.6%
25

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45%

50% 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

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000 $ bn

Private Bills Holdings as a Percentage of Total Private Holdings

Private Bills Holdings Private Bills Holdings as a Percentage of Total Private Holdings (RHS)

03/31/22 

21%

03/31/22 

$3,603 bn
26

2 0

3 0

4 0

5 0

6 0

7 0

8 0 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 Percent

Calendar Year

Treasury Maturity Profile History

Percent Maturing <=1 Year Percent Maturing <= 3 Years

03/31/22 

52%

03/31/22 

29%
Section V:

Demand

27
28

*Weighted averages of Competitive Awards. 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. Security 

Type Term Stop Out Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA 

"AddOns" ($bn)

10-Year 

Equivalent 

($bn)**

Bill 4-Week 0.09 3.12 591.15 41.85 5.51 52.64 8.86 47.45 5.50

Bill 8-Week 0.19 3.18 476.77 46.98 7.71 45.31 3.24 38.02 8.80

Bill 13-Week 0.32 2.85 761.34 43.31 7.60 49.09 12.66 87.21 23.77

Bill 26-Week 0.61 3.00 643.87 41.15 9.56 49.29 13.13 74.05 40.29

Bill 52-Week 1.12 3.03 100.55 42.51 15.73 41.76 1.45 8.89 12.18

CMB 17-Week 0.45 3.29 478.20 45.35 8.09 46.56 1.81 - 17.30

Coupon 2-Year 1.62 2.64 154.54 19.96 17.67 62.37 1.46 26.29 39.70

Coupon 3-Year 1.53 2.44 149.52 23.11 15.04 61.85 0.48 46.66 63.43

Coupon 5-Year 1.97 2.51 158.80 16.14 18.17 65.69 0.20 26.79 97.78

Coupon 7-Year 2.04 2.39 149.94 12.52 24.96 62.51 0.06 25.24 126.45

Coupon 10-Year 1.85 2.56 106.96 12.53 16.93 70.54 0.04 33.87 141.06

Coupon 20-Year 2.40 2.54 54.99 14.45 21.01 64.54 0.01 9.22 112.68

Coupon 30-Year 2.26 2.37 64.99 14.84 17.11 68.04 0.01 20.80 207.24

TIPS 10-Year (0.56) 2.36 29.92 12.94 18.44 68.62 0.08 5.00 38.25

TIPS 30-Year 0.20 2.17 8.99 20.26 9.86 69.88 0.01 1.54 34.17

FRN 2-Year (0.04) 3.43 69.86 25.11 - 74.89 0.14 3.89 0.07

Total Bills 0.36 3.06 3,051.88 43.44 7.97 48.59 41.15 255.63 107.83

Total Coupons 1.87 2.49 839.74 16.77 18.68 64.55 2.26 188.88 788.34

Total TIPS (0.39) 2.32 38.91 14.63 16.46 68.92 0.09 6.54 72.41

Total FRN (0.04) 3.43 69.86 25.11 - 74.89 0.14 3.89 0.07

Summary Statistics for Fiscal Year 2022 Q2 Auctions
1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for Treasury Bills

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

26-Week (13-week moving average) 52-Week (6-month moving average)

29
30

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
31

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

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

( 6-Month Moving Average)

2-Year 3-Year 5-Year
32

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

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

Nominal Securities (6-Month Moving Average)

7-Year 10-Year 20-Year 30-year
33

1.5

2

2.5

3

3.5

4

4.5

5 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21 Nov-21 Feb-22 Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

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

5 %

10%

15%

20%

25%

30%

35%

40%

45% 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 1 3-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

Other Dealers and Brokers Investment Funds Foreign and 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% 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

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 and 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% 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

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 and 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%

80%

90% 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

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
38

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% 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

6-month moving average

Percent Awarded in FRN Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
39

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

10%

20%

30%

40%

50%

60%

70% 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 % of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

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

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

TIPS (6-month moving average) FRN (6-month-moving average)
40

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% 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 % of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

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

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

TIPS (6-month-moving average) FRN (6-month-moving average)
41

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

160 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 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 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/20/30 TIPS FRN
42

Source: Treasury International Capital (TIC) System as of February 2022.

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 $ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

02/28/22 

4,055

02/28/22 

25%

02/28/22 

1,028

0 %

20%

40%

60%

80%

100%

0

4,000

8,000

12,000

16,000

20,000 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 $ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

02/28/22 

19,135

02/28/22 

35%

02/28/22 

6,686
Appendix

43
44

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 03/31/2022*

*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

2017 155 (66) 378 51 (0) 519 

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 215 789 1,082 59 42 2,187 

2023 0 511 859 42 (42) 1,369 

2024 0 241 899 65 (10) 1,196 

2025 0 82 908 (1) 0 989 

2026 0 (88) 904 17 0 833 

2027 0 17 787 (1) 0 803 

2028 0 0 462 (20) 0 442 

2029 0 0 571 (14) 0 558 

2030 0 0 608 2 0 610 

2031 0 0 435 (10) 0 425 
45

*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 1/11/2022 0.050 3.53 49.3 42.9 13.4 43.7 0.7 3.5 0.5

4-Week 1/18/2022 0.040 3.17 49.3 36.8 5.6 57.6 0.7 4.3 0.5

4-Week 1/25/2022 0.040 3.16 49.3 39.7 5.9 54.4 0.7 4.5 0.5

4-Week 2/1/2022 0.035 3.09 49.3 40.2 5.9 53.9 0.7 3.3 0.5

4-Week 2/8/2022 0.035 3.18 49.4 36.6 3.9 59.5 0.6 3.8 0.5

4-Week 2/15/2022 0.020 3.18 49.3 33.2 3.8 63.0 0.7 3.3 0.5

4-Week 2/22/2022 0.080 3.48 49.3 28.8 1.3 69.9 0.7 3.5 0.5

4-Week 3/1/2022 0.050 2.78 44.4 52.6 4.5 42.9 0.6 3.0 0.4

4-Week 3/8/2022 0.165 2.48 44.3 79.9 4.9 15.2 0.7 3.7 0.4

4-Week 3/15/2022 0.195 3.03 44.2 36.0 5.5 58.5 0.8 3.8 0.4

4-Week 3/22/2022 0.190 3.31 44.2 28.0 4.4 67.6 0.8 3.9 0.4

4-Week 3/29/2022 0.135 2.93 34.3 51.6 7.4 41.1 0.7 3.1 0.3

4-Week 4/5/2022 0.135 3.10 34.4 44.6 5.4 50.0 0.6 3.6 0.3

8-Week 1/11/2022 0.055 3.24 39.8 51.1 21.2 27.7 0.2 2.8 0.7

8-Week 1/18/2022 0.050 3.39 39.8 54.3 8.0 37.7 0.2 3.4 0.7

8-Week 1/25/2022 0.085 2.75 39.8 52.6 7.9 39.4 0.2 3.6 0.7

8-Week 2/1/2022 0.140 2.89 39.5 53.0 6.9 40.1 0.5 2.7 0.7

8-Week 2/8/2022 0.140 3.26 39.6 43.0 6.8 50.2 0.4 3.0 0.7

8-Week 2/15/2022 0.250 2.97 39.7 46.3 6.5 47.3 0.3 2.7 0.7

8-Week 2/22/2022 0.250 3.12 39.7 42.0 3.6 54.4 0.3 2.8 0.7

8-Week 3/1/2022 0.200 3.70 34.8 25.3 1.7 73.0 0.2 2.4 0.6

8-Week 3/8/2022 0.205 3.69 34.8 34.5 3.9 61.6 0.2 2.9 0.6

8-Week 3/15/2022 0.265 3.15 34.8 38.2 5.3 56.5 0.2 3.0 0.6

8-Week 3/22/2022 0.300 3.45 34.8 44.1 6.3 49.6 0.2 3.1 0.6

8-Week 3/29/2022 0.300 2.99 29.8 54.4 13.7 31.8 0.2 2.6 0.6

8-Week 4/5/2022 0.380 2.75 29.8 75.2 8.2 16.5 0.2 3.1 0.6

Bills
46

*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 1/6/2022 0.090 2.86 59.5 44.2 19.4 36.4 0.5 7.5 1.9

13-Week 1/13/2022 0.120 2.96 58.9 41.6 4.4 54.0 1.1 6.8 1.8

13-Week 1/20/2022 0.170 2.56 59.0 50.4 5.8 43.9 1.0 7.4 1.9

13-Week 1/27/2022 0.190 2.81 58.4 39.5 5.5 54.9 1.6 7.3 1.9

13-Week 2/3/2022 0.240 2.84 59.1 54.8 7.9 37.3 0.9 8.3 1.9

13-Week 2/10/2022 0.290 3.00 59.2 45.0 12.2 42.8 0.8 6.5 1.8

13-Week 2/17/2022 0.440 3.06 59.0 37.3 9.8 52.9 1.0 7.6 1.9

13-Week 2/24/2022 0.380 3.07 59.1 33.0 6.0 61.1 0.9 6.1 1.8

13-Week 3/3/2022 0.360 2.85 59.1 38.3 4.8 56.9 0.9 8.0 1.9

13-Week 3/10/2022 0.380 2.99 59.3 33.9 4.0 62.1 0.7 5.4 1.8

13-Week 3/17/2022 0.450 2.77 59.2 42.4 3.4 54.3 0.8 5.7 1.8

13-Week 3/24/2022 0.480 2.60 55.9 55.7 7.9 36.4 1.1 2.2 1.6

13-Week 3/31/2022 0.605 2.65 55.6 48.0 7.5 44.5 1.4 8.5 1.8

26-Week 1/6/2022 0.220 3.21 49.6 39.2 16.0 44.8 1.4 6.3 3.1

26-Week 1/13/2022 0.275 2.90 49.9 54.0 5.7 40.3 1.1 5.8 3.1

26-Week 1/20/2022 0.365 2.70 50.0 50.4 6.0 43.6 1.0 6.3 3.2

26-Week 1/27/2022 0.380 3.07 49.6 43.1 10.0 46.9 1.4 6.2 3.2

26-Week 2/3/2022 0.500 2.74 50.1 54.7 11.3 34.0 0.9 7.0 3.2

26-Week 2/10/2022 0.580 3.13 50.1 44.4 11.0 44.5 0.9 5.5 3.1

26-Week 2/17/2022 0.770 2.99 50.0 30.9 13.1 56.1 1.0 6.5 3.2

26-Week 2/24/2022 0.710 2.75 50.1 43.6 17.3 39.1 0.9 5.2 3.1

26-Week 3/3/2022 0.670 3.12 50.2 35.0 10.6 54.4 0.8 6.8 3.1

26-Week 3/10/2022 0.710 3.21 50.3 29.6 3.5 66.9 0.7 4.6 3.0

26-Week 3/17/2022 0.820 3.08 50.2 31.9 4.1 64.0 0.8 4.8 3.1

26-Week 3/24/2022 0.870 3.17 47.0 41.8 4.8 53.4 1.0 1.8 2.7

26-Week 3/31/2022 1.050 3.00 46.7 36.2 10.7 53.1 1.3 7.2 3.1

52-Week 1/27/2022 0.630 2.98 33.5 46.9 9.3 43.7 0.5 4.1 4.2

52-Week 2/24/2022 1.145 2.81 33.7 45.1 20.1 34.9 0.3 3.4 4.1

52-Week 3/24/2022 1.590 3.29 33.4 35.5 17.8 46.7 0.6 1.3 3.9

Bills (cont.)
47

*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)*

17-Week 1/11/2022 0.150 3.06 40.0 48.2 6.1 45.7 0.0 0.0 1.4

17-Week 1/18/2022 0.200 3.02 39.6 51.3 5.7 43.1 0.4 0.0 1.4

17-Week 1/25/2022 0.275 3.08 39.7 51.5 9.5 39.1 0.3 0.0 1.4

17-Week 2/1/2022 0.280 3.20 39.7 51.0 9.3 39.7 0.3 0.0 1.4

17-Week 2/8/2022 0.340 3.21 39.8 41.1 12.3 46.5 0.2 0.0 1.4

17-Week 2/15/2022 0.430 3.17 39.9 51.7 11.6 36.7 0.1 0.0 1.5

17-Week 2/22/2022 0.550 2.99 39.9 59.9 12.2 27.9 0.1 0.0 1.4

17-Week 3/1/2022 0.570 3.16 35.0 40.8 4.7 54.4 0.0 0.0 1.2

17-Week 3/8/2022 0.535 4.20 35.0 29.8 1.2 69.0 0.0 0.0 1.2

17-Week 3/15/2022 0.550 3.45 35.0 32.3 3.4 64.3 0.0 0.0 1.3

17-Week 3/22/2022 0.665 3.68 35.0 40.1 4.1 55.8 0.0 0.0 1.3

17-Week 3/29/2022 0.710 3.65 30.0 39.0 5.7 55.3 0.0 0.0 1.1

17-Week 4/5/2022 0.805 3.15 29.7 47.0 19.3 33.7 0.3 0.0 1.1

Bills (cont.)
48

*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 1/31/2022 0.990 2.81 53.7 24.6 9.4 66.0 0.3 8.1 13.5

2-Year 2/28/2022 1.553 2.64 51.7 15.6 18.8 65.6 0.3 8.9 13.3

2-Year 3/31/2022 2.365 2.46 49.2 19.4 25.5 55.0 0.8 9.3 12.9

3-Year 1/18/2022 1.237 2.47 51.9 22.8 15.5 61.6 0.1 8.3 19.4

3-Year 2/15/2022 1.592 2.45 49.8 20.3 11.1 68.5 0.2 30.2 26.0

3-Year 3/15/2022 1.775 2.39 47.8 26.3 18.6 55.1 0.2 8.1 18.1

5-Year 1/31/2022 1.533 2.50 54.9 14.8 16.5 68.7 0.1 8.2 33.4

5-Year 2/28/2022 1.880 2.49 52.9 13.8 18.4 67.8 0.1 9.1 32.7

5-Year 3/31/2022 2.543 2.53 50.9 20.1 19.7 60.2 0.1 9.5 31.7

7-Year 1/31/2022 1.769 2.36 53.0 14.5 22.9 62.6 0.0 7.9 44.0

7-Year 2/28/2022 1.905 2.36 50.0 12.3 23.8 63.9 0.0 8.6 42.3

7-Year 3/31/2022 2.499 2.44 47.0 10.5 28.6 60.9 0.0 8.7 40.1

10-Year 1/18/2022 1.723 2.51 36.0 16.6 17.9 65.5 0.0 5.8 41.7

10-Year 2/15/2022 1.904 2.68 37.0 7.4 15.0 77.6 0.0 22.4 59.7

10-Year 3/15/2022 1.920 2.47 34.0 13.7 18.0 68.2 0.0 5.7 39.7

20-Year 1/31/2022 2.210 2.48 20.0 16.8 17.0 66.2 0.0 3.0 40.7

20-Year 2/28/2022 2.396 2.44 19.0 16.1 21.0 62.9 0.0 3.3 38.8

20-Year 3/31/2022 2.651 2.72 16.0 9.6 26.0 64.4 0.0 3.0 33.1

30-Year 1/18/2022 2.075 2.35 22.0 17.9 17.1 65.0 0.0 3.5 62.9

30-Year 2/15/2022 2.340 2.30 23.0 14.3 17.8 68.0 0.0 13.9 88.5

30-Year 3/15/2022 2.375 2.46 20.0 12.1 16.4 71.5 0.0 3.4 55.8

2-Year FRN 1/31/2022 (0.015) 3.34 26.0 24.5 0.0 75.5 0.0 3.9 0.01

2-Year FRN 2/25/2022 (0.050) 3.22 22.0 27.2 0.0 72.8 0.0 0.0 0.03

2-Year FRN 3/25/2022 (0.055) 3.75 21.9 23.8 0.0 76.2 0.1 0.0 0.03

Nominal Coupons

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 1/31/2022 (0.540) 2.30 16.0 15.0 15.7 69.3 0.0 2.4 20.1

10-Year TIPS 3/31/2022 (0.589) 2.43 14.0 10.6 21.5 67.9 0.0 2.6 18.2

30-Year TIPS 2/28/2022 0.195 2.17 9.0 20.3 9.9 69.9 0.0 1.5 34.2

TIPS
Restricted - External

1

Please discuss Treasury market trading conditions since the beginning of the year. How have evolving

monetary policy expectations and heightened geopolitical tensions affected Treasury market volatility and

liquidity conditions? Has the change in liquidity conditions been consistent with change in volatility? How

have different types of liquidity providers been affected by these conditions, and to what extent have they

changed their liquidity provision in response?
Restricted - External

2

Agenda

• Realized volatility in the Treasury market has gone up sharply in 2022

• The rise in monetary policy uncertainty seems to be a big driver

• Market expectations around the path of future inflation are very dispersed

• Treasury trading conditions have worsened on some metrics in 2022, but not on others

• The deterioration in liquidity seems driven largely by higher levels of volatility

• Funding markets are not showing any meaningful worsening in liquidity

• We do not currently see a meaningful market functioning problem in the Treasury market 

• Despite the worsening of some measures of liquidity, the market seems to be functioning 

normally

• However, with the much higher bond volatility observed so far in 2022, Treasury trading 

conditions bear close watching. 
Restricted - External

Higher Treasury market volatility, and higher policy uncertainty

3
Restricted - External

4

Summary of the section

• Treasury volatility has been very high in recent months

• 1m realized volatility has been higher than ex-ante 1m*10y implied volatility

• Similarly, 1m*10y implied volatility has been higher than implied by ex-ante forward vol

• This volatility has been driven in part by economic factors 

• Economic data surprises are not much higher in 2022 than in past years

• But the global economy has had to deal with considerable disruptions to production and 

supply chain problems

• The Russia-Ukraine war has been a significant new supply side shock to the world economy

• The result has been increased uncertainty about the path near- and medium-term inflation

• Monetary policy uncertainty has risen greatly over the last few months

• The Fed’s expected fed funds rate path has shifted greatly, and so has the market’s

• In both cases, the reason seems to be a sharp shift in the view on inflation

• At the same time, expectations of future inflation are now far more dispersed than in the past
Restricted - External

Realized volatility has been very high in recent months

5

• Realized volatility of 10y treasury yields over 2022 has been higher than at any point 

over the last decade, with the exception of March 2020. The current level of volatility is 

also significantly higher than in 2007, pre the GFC

Source for all charts: Presenting Member Calculations
Restricted - External

Realized volatility higher than ex-ante implied volatility

6

Source for all charts: Presenting Member Calculations

Realized 10y volatility over subsequent month higher than ex-ante 

1m10y implied volatility
Restricted - External

Implied volatility higher than ex-ante forward volatility

7

Source for all charts: Presenting Member Calculations

1m10y volatility after one month has been higher than implied by ex-ante 

forward vols
Restricted - External

Policy uncertainty ‘tax’ has increased

8

Note: Policy uncertainty uses the Baker et al index, Source : Presenting Member Calculations, Bloomberg

Policy uncertainty has gone up in recent months
Restricted - External

Economic data surprises are not especially high

9

Note: Data surprise based on the Bloomberg data surprise index. Source : Presenting Member Calculations, Bloomberg

Data surprises are in line with recent years
Restricted - External

There is greater uncertainty about future inflation 

10

Note: 4q forecast dispersion of 10y yield forecasts and Core PCE inflation from SPF. Source for both charts: Presenting Member Calculations, Federal Reserve

Realized volatility and dispersion around core PCE forecasts
Restricted - External

Market has significantly repriced the path of short rates

11

Source: Bloomberg, Presenting Member Calculations. Note: As of April 18, 2022 

Investors now expect an overshoot
Restricted - External

A massive shift in the Fed dot plot from a few months ago...

12

• FOMC shifted expectations of fed funds rate higher 

Source: Federal Reserve, Presenting Member Calculations

Sep 2021 FOMC March 2022 FOMC
Restricted - External

...driven by a sharp change in the inflation forecast

13

Source: Federal Reserve, Presenting Member Calculations

Q4/Q4 % chng 2022 2023 2024 Longer run

Change in real GDP

 March projection 2.8 2.2 2.0 1.8

 December projection 4.0 2.2 2.0 1.8

 September projection 3.8 2.5 2.0 1.8

Unemployment rate

 March projection 3.5 3.5 3.6 4.0

 December projection 3.5 3.5 3.5 4.0

 September projection 3.8 3.5 3.5 4.0

PCE inflation

 March projection 4.3 2.7 2.3 2.0

 December projection 2.6 2.3 2.1 2.0

 September projection 2.2 2.2 2.1 2.0

Core PCE inflation

 March projection 4.1 2.6 2.3

 December projection 2.7 2.3 2.1

 September projection 2.3 2.2 2.1

Fed funds rate

 March projection 1.9 2.8 2.8 2.4

 December projection 0.9 1.6 2.1 2.5

 September projection 0.3 1.0 1.8 2.5
Restricted - External

Trading conditions 

14
Restricted - External

15

Summary of the section

• Trading volumes haven’t changed much in 2022 from prior years

• Primary dealer volumes have trended a little higher

• But turnover has been steady, despite a sharp rise in outstanding Treasuries

• Volumes have risen most in shorter maturities, consistent with monetary policy uncertainty

• On the other hand, market liquidity has worsened on some other metrics

• Bid-ask spreads have widened across tenors, but especially in 7s and 20s

• Even as outstanding Treasuries have increased, intermediation capacity has not

• This worsening of liquidity appears to be in line with higher volatility in rates

• Wider bid-ask spreads may, in turn, be contributing to the volatility of rates
Restricted - External

Treasury trading volumes have risen, as outstandings have grown

16

Note: Treasuries, TIPS and bills included in counterparty data, Source: NY Federal Reserve, Presenting Member Calculations

Aggregate primary dealer volumes
Restricted - External

Dealer to customer transactions a bit higher in recent years

17

Note:Treasuries, TIPS and bills included in counterparty data *, Source: NY Federal Reserve, Presenting Member Calculations

Dealer volumes with counterparty*
Restricted - External

Breakdown by tenors – 2022 looks similar to prior years

18

Note: Nominals only*, Source: NY Federal Reserve, Presenting Member Calculations

% of nominal Treasury volumes by tenor*
Restricted - External

Turnover has dropped post Covid, but stabilized at lower levels

19

Note: Turnover = Monthly Treasury volumes / Outstanding Treasuries Source: US Treasury, Presenting Member Calculations

Average daily volumes as % of outstanding Treasuries
Restricted - External

Off-the-run volumes have held up despite higher volatility

20

Note: Nominals only, Source: TRACE Treasury Aggregate Statistics

On-the-run vs off-the-runs volumes Ratio vs Aggregate volumes
Restricted - External

• Volumes have been elevated in shorter maturities

21

• Shorter maturities are more likely to react to greater monetary policy uncertainty

Note: Nominals only, Source: TRACE Treasury Aggregate Statistics

On-the-runs by tenor Off-the-runs by tenor
Restricted - External

22

PTF share has been steady across tenors

• PTF (principal trading firms) share of trading volumes in 2022 is in line with recent 

years

PTF share of trading volumes
Restricted - External

However, market depth has declined in recent months

23

Measure of market depth across tenors
Restricted - External

Bid-ask spreads have widened noticeably 

24

Note: Nominals only, 1m moving average shown, Source: NY Federal Reserve, Bloomberg, Presenting Member Calculations

Front to intermediate on the run bid-ask spreads Long-end on the run bid-ask spreads

Bid ask spreads versus realized volatility
Restricted - External

Dispersion has risen in 2022 and is near March 2020 levels

25

Source: Presenting Member Calculations, Federal Reserve

Bond volatility isn’t always high when dispersion is elevated
Restricted - External

Dispersion is not high by historical standards

26

Source: Presenting Member Calculations, Federal Reserve

Dispersion in 2020 vs GFC
Restricted - External

Liquidity premium has gone up across tenors

27

Liquidity premium estimated using swap curve, Source: Presenting Member Calculations

2y on-the-run liquidity premium

5y on-the-run liquidity premium 7y on-the-run liquidity premium

3y on-the-run liquidity premium
Restricted - External

28

Upcoming balance sheet roll-off not a major factor for liquidity

Source: NY Federal Reserve, Presenting Member Calculations

• The Fed’s portfolio could shrink by around $3trn by YE-25

• Despite balance sheet roll-off, net coupon supply to private sector is dropping next 

year

Pace of run-off Coupon supply to private sector 
Restricted - External

Markets have been preparing for the end of asset purchases for months

29

• Treasuries have been cheapening vs OIS since Q4’21

• Balance sheet roll-off is not a market functioning problem, it is simply an 

increase in coupon supply

On-the-run vs OIS compared with TU futures invoice spread vs OIS, Source:, Bloomberg, Presenting Member Calculations

On-the-run 2s and TU (vs OIS) On-the-run 5s and FV (vs OIS)
Restricted - External

Funding market functioning is not a major concern

30
Restricted - External

Investors need collateral, not cash

31

Source: Presenting Member Calculations, Federal Reserve

-4

-3

-2

-1

0

Jan-22 Feb-22 Mar-22 Apr-22

SOFR less RRP (bp)

• Repo is trading below RRP floor because investor are awash in cash but need 

to borrow collateral 
Restricted - External

Deep short base in shorter tenors, and demand for collateral

32

Source: Presenting Member Calculations, Federal Reserve

Treasury 2y OTR repo rate (%)

• 2s do not normally trade rich in repo. Current richness is driven by an elevated 

short base driving a search for collateral, not cash 

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

Apr-21 Jul-21 Oct-21 Jan-22 Apr-22
Restricted - External

33

Levered investors’ demand for balance sheet is low

Change in leverage use

Note: Diffusion index. Source: Federal Reserve, Presenting Member 

Calculations

Change in demand for leverage

Note: Diffusion index. Source: Federal Reserve, Presenting Member 

Calculations

35

40

45

50

55

60

Sep-11 Sep-13 Sep-15 Sep-17 Sep-19 Sep-21

Increasing

Decreasing

0

10

20

30

40

50

60

70

Sep-11 Sep-13 Sep-15 Sep-17 Sep-19 Sep-21

Increasing

Decreasing

Reported hedge fund demand for 

balance sheet leverage is low..

...and so is their actual use of 

leverage
Restricted - External

Balance sheet proxy shows no funding concerns

34

Source: Presenting Member Calculations, Federal Reserve

GFC – triparty (bp)

• Spread between overnight GCF and tri-party rates has evaporated. In other 

words, the spread between where dealers fund themselves and where levered 

investors borrow has shrunk dramatically. 
Restricted - External

Conclusion

35
Restricted - External

36

Conclusion

• Realized volatility in the US Treasury market has risen in 2022

• But much of the move is due to higher monetary policy and geopolitical uncertainty 

• Most measures of traded volume do not suggest a significant worsening of trading conditions

• PTFs’ (and other liquidity providers) share of trading volumes is similar to past years

• Bid-ask spreads have risen but are largely in line with the rise in policy uncertainty

• Funding markets show that investors are awash in cash, but need to borrow collateral

• The spread between dealer funding costs and those of levered investors has dropped

• Funding concerns are very low, and thus not a factor driving the rise in Treasury volatility

• But trading conditions and liquidity are admittedly hard to gauge precisely

• And in prior periods of stress, intermediation demand has sometimes overwhelmed capacity

• Treasury should remain vigilant, but we do not see an issue with market functioning at present
Potential 17-Week Bill Benchmark

Treasury Borrowing Advisory Committee

May 3, 2022

Treasury has regularly been issuing the 17-week cash management bill since April 2020 and last 

refunding stated it would announce a decision on whether to change the 17-week to benchmark 

status at an upcoming refunding. Based on your recommendations for the appropriate level of bills 

outstanding in the medium- to long-term, should Treasury change the 17-week to benchmark 

status? What factors should Treasury consider before making a decision on the 17-week?

1
17-Week Benchmark Bill Factors

TBAC believes the following factors should be considered by the Treasury in making this determination.

• What is the anticipated trajectory of future Treasury bill issuance, and will that be supportive of 

another benchmark bill? If funding needs were to decline and Treasury bill issuance decreases, 

would an additional benchmark bill complicate Treasury’s debt management?

• How has the recent demand for the 17-week cash management bill compared to benchmark bills?

• Will future investor demand continue to support the 17-week bill issuance?

• How would the 17-week bill satisfy the Treasury’s goal of “regular and predictable” issuance and 

would this benchmark offering complement the current debt management process? 

2
Issuance of Treasury Bills to Remain Robust

• After the onset of the pandemic and the resulting passage of the CARES act, Treasury bill supply surged $2.5 trillion to $5.1 trillion in just 3 months. 

• Treasury bills as a percentage of total marketable debt increased to 25% during this period but has since declined as the Treasury has rebalanced its 

debt. Bills now represent 17% of the Treasury’s marketable debt which currently falls in the middle of the recommended target range of 15%-20%.

• Bill supply is expected to decline further in the second quarter before rebounding in the second half of the year and finishing above $4 trillion by 

year end.

• With projected deficits expected to average over $1 trillion for the next 8 years, Treasury bills would need to increase by over $1 trillion to remain 

within the 15-20% of marketable debt. This $1 trillion allocated across all bills including the 17-week CMB would represent a roughly 25% increase 

in outstanding bill supply. 

• Without the 17-week CMB, benchmark bills would need to increase by over 40% likely requiring auction sizes for the 13 and 26-week to grow 

considerably. Conversely, if funding needs declined, Treasury would have the flexibility to reduce the relatively high current auction sizes even with 

an additional benchmark bill.

 $-

 $0.2

 $0.4

 $0.6

 $0.8

 $1.0

 $1.2

 $1.4

 $1.6

 $1.8

2023 2024 2025 2026 2027 2028 2029 2030

Trillions

Projected US Deficits

 $-

 $1

 $2

 $3

 $4

 $5

 $6

4/1/20177/1/2017

10/1/2017

1/1/20184/1/20187/1/2018

10/1/2018

1/1/20194/1/20197/1/2019

10/1/2019

1/1/20204/1/20207/1/2020

10/1/2020

1/1/20214/1/20217/1/2021

10/1/2021

1/1/2022

$ Trillions

Outstanding Supply of Treasury Bills

Sources: Bloomberg, CRFB (Deficit Projection) 3
17-Week Treasury Bills have been Consistently Issued over the Past 2 Years 

• In April 2020 the Treasury began regular issuance of its 17-week bill (or approximately 4-month bill) to accommodate the funding needed 

to support the federal government’s response to the pandemic. The 17-week cash management bill (CMB) has had a stable and 

predictable issuance pattern over the past 2 years. Weekly issuance sizes of the 17-week CMB have remained between $30 and $40 billion 

since the spring of 2020.

• CMBs have historically been utilized by the Treasury for targeted, short-term cash management needs such as around tax receipt dates 

and debt ceiling management. 

• In the months following the passage of the CARES Act, Treasury heavily utilized cash management bills to help fund the fiscal stimulus 

plan. CMBs surged to over 40% of monthly bill issuance during this period.

• CMBs as percent of bill issuance has declined to roughly 15% as Treasury has adjusted longer dated debt. The 17-week bill remains the 

only regular CMB issue. 

Source: Treasury Direct 4
Investor Demand for 17-Week Treasury Bills Remains Strong 

• Over the past two years, during a period of unprecedented bill issuance, demand for the 17-week Treasury bill has 

remained strong even as bills as a percentage of total marketable debt rose to over 25% in 2020.

• Bid-to-cover ratios, a proxy of investor demand, for the 17-week bill have been in line with the Treasury’s benchmark bills. 

If fact, the 17-week bill has had a higher bid-to-cover ratio on average since April 2020 (at 3.5 times) than any of the 

Treasury’s benchmark bills.

• Additionally, the spread to OIS for the 17-week Treasury bill has been consistent with benchmark bills, improving 

throughout the year as demand for bills has increased. The recent move lower highlights the desire for investors to 

remain short ahead of further Fed rate hikes with the 4-week and 8-week spreads improving the most.

-0.3

-0.2

-0.1

0

0.1

0.2

0.3

5/24/20 9/1/20 12/10/20 3/20/21 6/28/21 10/6/21 1/14/22

(Bill Discount Rate - OIS Yield) %

Auction Date

Treasury OIS Spread

4-week 8-week 13-week 17-week 26-week

0

1

2

3

4

5

6

7

7-Apr-20

7-May-20

7-Jun-20

7-Jul-20

7-Aug-20

7-Sep-20

7-Oct-20

7-Nov-20

7-Dec-20

7-Jan-21

7-Feb-21

7-Mar-21

7-Apr-21

7-May-21

7-Jun-21

7-Jul-21

7-Aug-21

7-Sep-21

7-Oct-21

7-Nov-21

7-Dec-21

7-Jan-22

7-Feb-22

7-Mar-22

Bid to Cover Ratios of Treasury Bills at Auction

4 week 8 week 13 week 17 week 26 week

Sources: Bloomberg, Treasury Direct

5
Future Demand For Treasury Bills Expected to Remain Elevated

• Money Market Funds(MMFs), who on Feb 28th 2022 accounted for approximately 30% of Treasury bill holders, have seen significant inflows 

in recent years with assets up 50% since the end of 2018. As the Federal Reserve raises short term rates, MMFs are likely to see continued 

inflows with yields that may be attractive to investors versus other short term investment options.

• Not only have overall MMF assets increased but the composition of assets continues to trend overwhelming into government MMFs since 

the last round of money market reforms were implemented in 2016. As of March 31, 2022, 89% of money market assets were in 

government MMFs up from only 34% at the end of 2012.

• In the past year, government MMFs have increased their utilization of the Federal Reserve’s Overnight Reverse Repurchase Agreement 

Facility (RRP) as other eligible options outside of this program are in high demand and therefore lower yielding. A decrease in Treasury bill 

supply of over $1 trillion between January 2021 to September 2021 was one of the catalysts for this shift.

• MMFs and government sponsored enterprises (GSEs) have accounted for more than 95% of the RRP’s participation which has totaled over 

$1.7 trillion as of April 4, 2022. These assets invested in the RRP represent potential demand for Treasury bills.

0

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

Money Market Fund Assets

Govt Prime/Municipal

0

200

400

600

800

1000

1200

1400

1600

1800

2000

Federal Reserve Reverse Repo Program

Money Market Fund Assets Through 3/30/22 

Sources: Investment Company Institute (ICI), Bloomberg 6
The 17-Week Bill Fits within an Attractive Profile for Investors and the Treasury

• The current 17-week bill fits well within the weekly schedule. Treasury has been auctioning the 17-week bill 

on Wednesdays with settlement and maturity of these bills on Tuesdays. These consistent Tuesday/Thursday 

settlements align with maturities which offers investors multiple options for maturing bills. 

• Many Treasury bill investors prefer shorter duration securities to manage their portfolios. MMFs, for 

example, are required to limit their weighted average maturity(WAM) of their portfolios to no more than 60 

days and therefore can only marginally invest in longer dated issues. Additionally, investors tend to manage 

to a shorter WAM in a rising rate environment to more quickly capture the effects of rate hikes. The 17-

week bill can therefore be an attractive complement to the current benchmark 4-week, 8-week, 13-week, 

26-week and 52-week bills.

• From a debt management standpoint, having a 17-week benchmark could diversify the distribution of bill 

maturities, thereby creating more tools to manage rollover risk. 

Bills Monday Tuesday Wednesday Thursday Friday

4-Week Issued/Maturity Auction

8-Week Issued/Maturity Auction

13-Week Auction Issued/Maturity

17-Week Issued/Maturity Auction

26-Week Auction Issued/Maturity

52-Week* Auction Issued/Maturity

* 52-Week Bill issued once every four weeks

Source: Treasury Direct

7
TBAC Recommendation

Based on the projected growth in total Treasury bill issuance, the strong expected future demand from 

investors for Treasury bills and the compatibility of the 17-week bill issuance patterns and maturities 

for both investors and the Treasury, the TBAC recommends that the Treasury move the 17-week bill to 

a benchmark status. By moving the 17-week from a cash management bill to a benchmark bill, the 

Treasury would reinforce their goal of “regular and predictable” issuance by signaling to the market 

that the Treasury expects to continue to offer these bills as part of its regular debt management 

process.

8