Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2022 Q1 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. 21

IV. Portfolio Metrics

A. Historical Weighted Average Maturity of Marketable Debt Outstanding p. 24

B. Bills, TIPS & FRNs Outstanding as a Percent of Marketable Debt Outstanding p. 25

C. Maturity Profile p. 27

V. Demand

A. Summary Statistics p. 29

B. Bid-to-Cover Ratios p. 30

C. Investor Class Awards at Auction p. 35

D. Primary Dealer Awards at Auction p. 40

E. Direct Bidder Awards at Auction p. 41

F. Foreign Awards at Auction p. 42

G. Foreign Holdings: Official and Private p. 43
Section I:

Executive Summary

3
Receipts and Outlays through Q1 FY2022

• In Q1 FY2022, receipts were $1.05 trillion, reflecting an increase of $249 billion (31%) compared to the same period last year. Adjusted withheld & 

FICA taxes were up $186 billion (30%) due to the economic recovery and the 50% of deferred CARES Act taxes that were due by January 3, 2022. 

The remaining half of the repayment is due by the end of calendar year 2022. Gross corporate taxes were $25 billion (29%) higher due to higher 

corporate profits. Miscellaneous and other social insurance was $9 billion (49%) higher due to a large Unemployment Trust Fund deposit. Nonwithheld and SECA taxes were $9 billion (13%) higher reflecting generally higher income and a rebounding economy. Corporate refunds were $5 

billion (-24%) lower, which brought them more in-line with pre-COVID levels. Gross excise taxes were $5 billion (29%) higher than last year at this 

point with the bulk of the difference stemming from airport and airway allocations. Customs duties were up $5 billion (25%) due to the recovery in 

international commerce from the pandemic slowdown. Partially offsetting the overall gains to receipts, individual refunds were $4 billion (17%) 

higher than last year, but closer to the 2019 level. Q1 FY2022 receipts were 17.2% of GDP, compared to 14.4% for the same period last year. 

• In Q1 FY2022, calendar adjusted outlays were $1.43 trillion, reflecting an increase of $74 billion (6%) compared to the same period last year. 

Department of Treasury outlays were $81 billion (48%) higher due to higher interest payments of $20 billion, and higher tax credits of $57 billion, 

mainly the Child Tax Credit of $47 billion. Department of Education outlays were $18 billion (82%) higher as payments for COVID-19 pandemic 

legislation programs have picked up this year, mainly through the Education Stabilization Fund. Health and Human Services outlays were $33 

billion (9%) higher mainly due to increases in Medicare and Medicaid. Small Business Administration outlays were $7 billion (190%) higher due to 

Economic Impact Disaster Loan (EIDL) expenditures. Social Security Administration outlays were $7 billion (2%) higher due to increases in the 

number of beneficiaries and the average benefit amount. Department of Labor outlays were $66 billion (-83%) lower due to the reduction in 

unemployment and expanded benefits attributable to the COVID-19 pandemic. Q1 FY2022 outlays were 23.4% of GDP, compared to 24.6% 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 $729 billion for Q2 FY2022, with 

an end-of-March cash balance of $650 billion. For Q3 FY2022, OFP forecasts a net privately-held marketable borrowing need of $66 billion and endof-June cash balance of $700 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.

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 February 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% Dec-11 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 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 Dec-11 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 $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

5 0

100

150

200

250

300

350

400

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

Largest Outlays

Oct - Dec FY 2021 Oct - Dec FY 2022
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q1-12 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 $ 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 January 2022.

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

3 OMB projections are using estimates are from Table S-1 of “Mid-Session Review Budget of The U.S. Government Fiscal Year 2022,” August 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 both OMB and CBO assume that the cash balance remains constant at the end of FY2021 levels. The end of 

FY2021 cash balance was $215 billion, which is below levels that Treasury believes would be consistent with its prudent cash balance policy.

***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 and one time (FY2022) cash balance change adjustment between FY2021 and FY2022 using PD survey median of $435 

billion.

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

25th Median 75th

FY 2022 Deficit 1,130 1,275 1,340 1,153 1,660

FY 2023 Deficit 894 960 1,102 789 1,316

FY 2024 Deficit 850 930 1,089 753 1,331

FY 2022 Change in Cash Balance 385 435 435 0** 0**

FY 2023 Change in Cash Balance -13 0 0 0 0

FY 2024 Change in Cash Balance 0 0 0 0 0

FY 2022 Total Net Marketable Borrowing 1,623 1,640 1,792 1,380 1,921 1,921

FY 2023 Total Net Marketable Borrowing 794 916 1,042 764 1,363 1,363

FY 2024 Total Net Marketable Borrowing 757 886 1077 803 1,350 1,350

FY 2022 SOMA Redemption 0 6 0 179

FY 2023 SOMA Redemption 531 600 693

FY 2024 SOMA Redemption 543 594 635

FY2022 Privately-Held Net Marketable Borrowing 1,623 1,700 1,971 1875*** 2416***

FY2023 Privately-Held Net Marketable Borrowing 1,325 1,516 1,735 1364*** 1963***

FY2024 Privately-Held Net Marketable Borrowing 1,300 1,480 1,712 1397*** 1944***

Estimates as of: Jul-21 Aug-21

Primary Dealer1

CBO2 OMB3

Jan-22
(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 (Aug 21) Surplus/Deficit (LHS) CBO's (Jul 21) Surplus/Deficit (LHS)

PD Survey median estimates (Jan 22) (LHS) OMB's (Aug 21) 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 “Mid-Session Review Budget of The U.S. Government Fiscal Year 2021,” Aug. 2021.

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. 

Privately-Held Net Marketable Borrowing Outlook*

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4 $ bn

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

Financing

15
16

Assumptions for Financing Section (pages 16 to 20)

• Portfolio and SOMA holdings as of 12/31/2021.

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

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

outstanding of ~$3.77 trillion. 

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

as of 12/31/2021.

• 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 5 6 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 633 4-Week 305 275 3 0 305 275 3 0

Subtotal: Net Marketable Borrowing 689 8-Week 340 370 (30) 340 370 (30)

13-Week 699 666 3 3 699 666 3 3

Ending Cash Balance 406 26-Week 630 702 (72) 630 702 (72)

Beginning Cash Balance 215 52-Week 136 136 (0) 136 136 (0)

Subtotal: Change in Cash Balance 191 CMBs

17-Week 485 420 6 5 485 420 6 5

Net Implied Funding for FY 2022 Q1* 498 CMBs 675 645 3 0 675 645 3 0

Bill Subtotal 3,270 3,214 5 6 3,270 3,214 5 6

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 7 6 5 5 2 1 7 6 5 5 2 1

2-Year 174 9 9 7 5 174 9 9 7 5

3-Year 168 7 6 9 2 168 7 6 9 2

5-Year 177 8 5 9 2 177 8 5 9 2

7-Year 177 7 8 9 9 177 7 8 9 9

10-Year 113 4 0 7 3 113 4 0 7 3

20-Year 6 7 0 6 7 6 7 0 6 7

30-Year 7 1 9 6 2 7 1 9 6 2

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

10-Year TIPS 1 4 0 1 4 1 4 0 1 4

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 1,073 440 633 1,073 440 633

Total 4,343 3,654 689 4,343 3,654 689

October - December 2021 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q1

October - December 2021 October - December 2021 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 February 2022 refunding. 

** Assumes an end-of-March 2022 cash balance of $650 billion versus a beginning-of-January 2022 cash balance of $406 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** 729

Net Coupon Issuance 556

Implied Change in Bills 173

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 7 4 5 6 1 8 150 110 4 0

2-Year 162 9 5 6 7 336 194 142

3-Year 156 7 9 7 7 324 154 170

5-Year 165 7 2 9 3 342 157 185

7-Year 159 7 3 8 6 336 150 186

10-Year 111 2 8 8 3 224 6 7 157

20-Year 6 3 0 6 3 130 0 130

30-Year 6 9 0 6 9 140 9 131

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 998 442 556 2,071 882 1,189

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q2

January - March 2022

January - March 2022 Fiscal Year-to-Date
19

0.5

1

1.5

2

2.5

3

3.5

4

2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 1 0-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 12/31/2021

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

OMB MSR (Aug 2021)

1 0-Year Treasury Rate 

of 1.512% as of 

12/31/2021
20

Projected Total Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 12/31/2021*

*Treasury’s latest primary dealer survey median/interquartile range estimates can be found on page 11. OMB’s borrowing projections are from Table S-1 of 

“Mid-Session Review Budget of the U.S. Government Fiscal Year 2022,” August 2021. 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. FY2022 net borrowing estimates from both OMB and CBO assume that the cash 

balance remains constant at the end of FY2021 levels. The end of FY2021 cash balance was $215 billion, which is below levels that Treasury believes would be 

consistent with its prudent cash balance policy.

**Future Fed purchases are derived from the Fed’s December 2021 Primary Dealer Survey median results with maturity bucket weights based on current 

operations and pro-rata across securities within each maturity bucket. https://www.newyorkfed.org/medialibrary/media/markets/survey/2021/dec-2021-

spd-results.pdf

0

500

1,000

1,500

2,000

2,500

2022 2023 2024 2025 2026 2027 2028 2029 2030 2031

$b

n

Fiscal Year

Projected Net Borrowing SOMA add-ons resulting from Future Fed Purchases (PD Expectation) **

CBO's "An Update to the Budget Outlook: 2021 to 2031", July 2021 PD Survey Net Marketable Borrowing Estimates, January 2022

OMB's Mid-Session Review, August 2021

PD 75th 

percentile

PD 25th 

percentile

PD 50th 

percentile

PD Survey Net Marketable Borrowing Estimates at 25th, 50th and 75th Percentile
0

500

1,000

1,500

2,000

2,500

2022 2023 2024 2025 2026 2027 2028 2029 2030 2031

$b

n

Fiscal Year

SOMA add-ons resulting from Future Fed Purchases (PD Expectation) ** 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, January 2022

Adjusted Privately-Held Net Borrowing from OMB's Mid-Session Review, August 2021

PD 75th 

percentile

PD 25th 

percentile

PD 50th 

percentile

PD Survey Privately-Held Marketable Borrowing Estimates at 25th, 50th and 75th Percentile

21

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 12/31/2021*

*Treasury’s latest primary dealer survey median/interquartile range estimates can be found on page 11. OMB’s borrowing projections are from Table S-1 of 

“Mid-Session Review Budget of the U.S. Government Fiscal Year 2022,” August 2021. 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. FY2022 net borrowing estimates from both OMB and CBO assume that the cash 

balance remains constant at the end of FY2021 levels. The end of FY2021 cash balance was $215 billion, which is below levels that Treasury believes would be 

consistent with its prudent cash balance policy. 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 and one time (FY2022) cash balance change adjustment between FY2021 and FY2022 using PD survey 

median of $435 billion. 

**Future Fed purchases are derived from the Fed’s December 2021 Primary Dealer Survey median results with maturity bucket weights based on current 

operations and pro-rata across securities within each maturity bucket. https://www.newyorkfed.org/medialibrary/media/markets/survey/2021/dec-2021-

spd-results.pdf
22

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

1/1/20224/1/20227/1/2022

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

$bn$bn

Federal Reserve SOMA Treasury Holdings Maturity Profile as of 

12/31/2021

BILLS COUPONS/TIPS/FRN Cumulative (RHS)

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

Portfolio Metrics

23
24

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 Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable Debt Outstanding

Historical Historical Average from 1980 to end of Q1 FY2022

12/31/2021 

72.3 months

60.4 months (Historical Average 

from 1980 to Present)
25

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 Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.7%

Max 10.7%

Max 2.7%

12/31/21 

16.7%

12/31/21 

7.7%

12/31/21 

2.7%

Max 

35.6%
26

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

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)

12/31/21 

20%

12/31/21 

$3,444 bn
27

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 Percent

Calendar Year

Treasury Maturity Profile History

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

12/31/21 

52%

12/31/21 

28%
Section V:

Demand

28
29

*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 0.049 3.5 336.0 50.4 8.3 41.3 8.98 28.8 3.1

Bill 8-Week 0.064 3.4 352.2 47.8 11.8 40.4 2.79 41.2 6.6

Bill 13-Week 0.055 3.1 689.5 39.0 6.3 54.7 9.52 83.4 21.2

Bill 26-Week 0.093 3.1 613.5 42.3 5.3 52.4 16.56 75.7 38.3

Bill 52-Week 0.219 3.2 132.8 46.9 3.9 49.2 3.22 20.2 16.9

CMB 17-Week 0.072 3.4 489.0 40.3 4.9 54.8 6.02 0.0 17.6

CMB Other 0.083 2.9 674.9 48.5 10.6 40.9 0.09 0.0 6.6

Coupon 2-Year 0.621 2.5 173.4 26.9 18.0 55.0 0.63 18.5 41.5

Coupon 3-Year 0.791 2.4 167.4 30.4 18.3 51.2 0.65 44.7 68.6

Coupon 5-Year 1.245 2.4 176.7 21.6 16.0 62.4 0.30 18.8 102.9

Coupon 7-Year 1.509 2.3 176.9 18.3 20.8 60.9 0.05 18.8 141.3

Coupon 10-Year 1.515 2.5 112.9 13.3 16.4 70.3 0.06 30.7 144.8

Coupon 20-Year 2.041 2.4 67.0 18.3 18.5 63.2 0.01 7.1 131.6

Coupon 30-Year 1.963 2.3 71.0 19.5 17.1 63.5 0.01 19.5 223.4

TIPS 5-Year -1.601 2.4 35.9 9.8 15.2 75.0 0.11 2.3 20.5

TIPS 10-Year -1.145 2.4 14.0 10.2 13.0 76.8 0.01 1.2 15.7

FRN 2-Year 0.034 3.3 75.9 29.8 4.6 65.7 0.08 6.1 0.0

Total Bills 0.077 3.2 3,287.9 44.2 7.5 48.3 47.17 249.4 110.4

Total Coupons 1.242 2.4 945.3 22.1 18.0 59.9 1.70 158.1 854.1

Total TIPS -1.473 2.4 49.9 9.9 14.5 75.5 0.12 3.5 36.2

Total FRN 0.034 3.3 75.9 29.8 4.6 65.7 0.08 6.1 0.0

Summary Statistics for Fiscal Year 2022 Q1 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 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)

30
31

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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
32

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 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
33

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 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
34

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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

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

5 %

10%

15%

20%

25%

30%

35%

40%

45% 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 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
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% 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

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
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% 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

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
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%

80%

90% 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

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
39

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% 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

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
40

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 % 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)
41

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 % 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)
42

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

160 Dec-19 Jan-20 Feb-20 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 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/20/30 TIPS FRN
43

Source: Treasury International Capital (TIC) System as of November 2021.

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)

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)
Appendix

44
45

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 12/31/2021*

*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 4,014 

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

2022 56 914 1,209 59 58 2,296 

2023 0 707 1,044 39 (18) 1,772 

2024 0 419 1,107 64 (2) 1,588 

2025 0 175 1,105 (1) 0 1,279 

2026 0 (22) 1,106 16 0 1,100 

2027 0 (11) 1,045 2 0 1,036 

2028 0 0 651 (14) 0 637 

2029 0 0 718 (9) 0 709 

2030 0 0 708 6 0 715 

2031 0 0 522 (6) 0 516 
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)*

4-Week 10/12/2021 0.035 5.81 9.3 59.1 1.1 39.8 0.7 1.4 0.1

4-Week 10/19/2021 0.035 3.58 24.4 54.2 11.1 34.6 0.6 2.6 0.2

4-Week 10/26/2021 0.050 3.52 59.3 42.1 4.9 53.0 0.7 3.6 0.5

4-Week 11/2/2021 0.055 3.44 59.3 40.3 3.6 56.1 0.7 3.8 0.5

4-Week 11/9/2021 0.040 5.48 9.3 50.4 18.2 31.4 0.7 1.3 0.1

4-Week 11/16/2021 0.050 5.21 9.3 54.4 30.0 15.6 0.7 2.0 0.1

4-Week 11/23/2021 0.110 4.34 9.2 38.4 41.9 19.7 0.8 2.3 0.1

4-Week 11/30/2021 0.125 3.78 9.2 62.2 22.7 15.1 0.8 2.3 0.1

4-Week 12/7/2021 0.040 4.83 9.2 57.3 9.5 33.2 0.8 1.4 0.1

4-Week 12/14/2021 0.030 5.56 9.4 50.0 1.6 48.4 0.6 1.3 0.1

4-Week 12/21/2021 0.030 3.06 29.4 53.2 9.0 37.7 0.6 2.1 0.3

4-Week 12/28/2021 0.040 2.95 49.3 54.9 6.1 39.0 0.7 2.2 0.4

4-Week 1/4/2022 0.055 2.67 49.4 61.1 5.5 33.4 0.6 2.6 0.4

8-Week 10/12/2021 0.110 3.05 24.9 51.5 14.8 33.7 0.1 3.4 0.5

8-Week 10/19/2021 0.080 3.11 24.7 59.9 19.0 21.1 0.3 2.6 0.5

8-Week 10/26/2021 0.100 3.23 24.7 52.8 18.6 28.6 0.3 1.5 0.4

8-Week 11/2/2021 0.095 3.45 24.7 39.9 41.1 18.9 0.3 1.6 0.4

8-Week 11/9/2021 0.055 3.53 24.7 51.8 11.5 36.8 0.3 3.3 0.5

8-Week 11/16/2021 0.060 3.36 24.8 55.1 8.6 36.3 0.2 5.0 0.5

8-Week 11/23/2021 0.045 4.43 24.8 33.2 2.1 64.8 0.2 5.7 0.5

8-Week 11/30/2021 0.045 3.60 24.9 42.9 5.0 52.1 0.1 5.8 0.5

8-Week 12/7/2021 0.045 3.33 24.9 46.6 7.8 45.6 0.1 3.4 0.5

8-Week 12/14/2021 0.050 3.70 24.8 40.0 5.6 54.5 0.2 3.3 0.5

8-Week 12/21/2021 0.050 3.10 24.8 63.4 10.1 26.5 0.2 1.7 0.4

8-Week 12/28/2021 0.050 3.41 39.8 42.4 7.1 50.4 0.2 1.7 0.7

8-Week 1/4/2022 0.055 3.14 39.7 46.5 7.3 46.2 0.3 2.1 0.7

Bills
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)*

13-Week 10/7/2021 0.040 3.45 41.5 40.4 5.1 54.5 0.5 7.0 1.3

13-Week 10/14/2021 0.050 3.46 41.4 38.5 2.7 58.8 0.6 6.3 1.3

13-Week 10/21/2021 0.055 3.06 47.4 41.5 8.4 50.2 0.6 7.0 1.5

13-Week 10/28/2021 0.055 3.34 53.4 35.3 4.7 60.0 0.6 6.6 1.7

13-Week 11/4/2021 0.050 3.72 53.4 29.0 10.8 60.2 0.6 8.1 1.7

13-Week 11/12/2021 0.045 3.26 53.4 32.5 10.1 57.4 0.6 6.2 1.6

13-Week 11/18/2021 0.045 3.32 56.4 33.8 10.5 55.7 0.6 7.3 1.7

13-Week 11/26/2021 0.050 3.04 56.4 39.4 6.1 54.5 0.6 5.6 1.7

13-Week 12/2/2021 0.050 3.13 55.7 33.2 3.7 63.1 1.3 7.9 1.7

13-Week 12/9/2021 0.055 2.82 56.4 49.6 4.0 46.4 0.6 5.2 1.7

13-Week 12/16/2021 0.055 2.78 56.4 44.2 5.1 50.7 0.6 5.6 1.7

13-Week 12/23/2021 0.075 2.65 59.4 52.1 6.0 41.9 0.6 2.1 1.7

13-Week 12/30/2021 0.085 3.02 58.6 36.8 3.8 59.3 1.4 8.5 1.9

26-Week 10/7/2021 0.055 3.30 41.3 49.1 6.5 44.4 0.7 7.0 2.7

26-Week 10/14/2021 0.055 3.99 41.4 28.3 4.7 67.0 0.6 6.3 2.6

26-Week 10/21/2021 0.060 3.12 43.6 49.5 5.9 44.6 1.4 6.5 2.8

26-Week 10/28/2021 0.060 3.34 46.6 41.4 3.5 55.1 1.4 5.9 2.9

26-Week 11/4/2021 0.065 2.90 46.6 47.1 11.0 42.0 1.4 7.2 3.0

26-Week 11/12/2021 0.065 3.31 46.6 38.1 7.2 54.7 1.4 5.5 2.9

26-Week 11/18/2021 0.065 3.41 49.6 38.5 7.5 53.9 1.4 6.6 3.1

26-Week 11/26/2021 0.070 2.93 49.7 48.3 4.1 47.6 1.3 5.0 3.0

26-Week 12/2/2021 0.090 2.99 49.7 42.5 5.4 52.1 1.3 7.0 3.1

26-Week 12/9/2021 0.105 2.86 49.5 44.9 3.7 51.3 1.5 4.6 3.0

26-Week 12/16/2021 0.130 3.19 49.6 34.5 1.7 63.8 1.4 5.0 3.0

26-Week 12/23/2021 0.160 2.85 49.6 44.7 4.8 50.6 1.4 1.8 2.9

26-Week 12/30/2021 0.210 2.91 49.6 43.0 3.1 53.8 1.4 7.2 3.2

52-Week 10/7/2021 0.090 3.37 33.8 53.9 5.3 40.8 0.2 5.6 4.3

52-Week 11/4/2021 0.160 3.25 32.9 53.3 4.6 42.1 1.1 5.1 4.3

52-Week 12/2/2021 0.240 3.01 33.0 31.6 2.5 65.9 1.0 4.7 4.2

52-Week 12/30/2021 0.390 3.15 33.1 48.6 3.3 48.1 0.9 4.8 4.2

Bills (cont.)
48

*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 10/12/2021 0.055 3.60 30.0 44.7 9.5 45.8 0.0 0.0 1.1

17-Week 10/19/2021 0.050 3.93 34.0 32.5 1.6 65.9 1.0 0.0 1.2

17-Week 10/26/2021 0.055 3.65 40.0 38.8 5.6 55.6 0.0 0.0 1.4

17-Week 11/2/2021 0.055 3.62 40.0 42.7 5.4 52.0 0.0 0.0 1.4

17-Week 11/9/2021 0.055 3.45 40.0 33.7 4.5 61.8 0.0 0.0 1.4

17-Week 11/16/2021 0.055 3.64 40.0 40.4 3.1 56.6 0.0 0.0 1.4

17-Week 11/23/2021 0.055 3.11 40.0 49.7 8.5 41.8 0.0 0.0 1.4

17-Week 11/30/2021 0.070 2.94 40.0 35.9 4.7 59.4 0.0 0.0 1.4

17-Week 12/7/2021 0.075 2.97 39.0 47.9 5.0 47.1 1.0 0.0 1.4

17-Week 12/14/2021 0.090 3.28 34.0 38.5 6.0 55.5 1.0 0.0 1.2

17-Week 12/21/2021 0.090 2.96 34.0 46.2 3.6 50.2 1.0 0.0 1.2

17-Week 12/28/2021 0.110 3.44 39.0 39.7 5.3 55.0 1.0 0.0 1.4

17-Week 1/4/2022 0.125 3.35 39.0 33.4 1.8 64.8 1.0 0.0 1.4

CMB 10/7/2021 0.140 3.00 25.0 56.8 8.0 35.2 0.0 0.0 0.1

CMB 10/13/2021 0.050 3.26 40.0 47.9 8.6 43.5 0.0 0.0 0.8

CMB 10/18/2021 0.055 3.00 60.0 47.3 8.7 44.0 0.0 0.0 0.7

CMB 10/21/2021 0.055 3.11 60.0 31.4 4.2 64.4 0.0 0.0 0.7

CMB 10/22/2021 0.055 3.39 60.0 42.8 11.0 46.3 0.0 0.0 0.5

CMB 10/28/2021 0.100 2.72 40.0 59.8 21.8 18.5 0.0 0.0 0.6

CMB 11/18/2021 0.055 2.76 60.0 57.0 11.7 31.4 0.0 0.0 0.2

CMB 11/23/2021 0.130 2.65 40.0 60.4 14.1 25.6 0.0 0.0 0.3

CMB 11/26/2021 0.150 3.02 40.0 38.6 24.9 36.5 0.0 0.0 0.4

CMB 11/30/2021 0.060 2.76 60.0 35.0 5.7 59.4 0.0 0.0 0.3

CMB 12/2/2021 0.160 2.79 30.0 58.5 29.9 11.7 0.0 0.0 0.2

CMB 12/7/2021 0.160 2.55 40.0 71.9 7.7 20.3 0.0 0.0 0.1

CMB 12/21/2021 0.050 2.71 60.0 56.0 5.3 38.8 0.0 0.0 0.4

CMB 12/22/2021 0.070 2.87 60.0 37.1 3.2 59.7 0.0 0.0 1.4

Bills (cont.)
49

*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 11/1/2021 0.481 2.69 59.8 19.6 22.3 58.1 0.2 6.1 14.3

2-Year 11/30/2021 0.623 2.36 57.8 37.2 17.2 45.6 0.2 4.8 13.5

2-Year 12/31/2021 0.769 2.55 55.7 24.2 14.4 61.4 0.3 7.6 13.7

3-Year 10/15/2021 0.635 2.36 57.8 36.9 18.9 44.2 0.2 4.4 20.1

3-Year 11/15/2021 0.750 2.33 55.8 24.3 18.0 57.6 0.2 32.4 28.7

3-Year 12/15/2021 1.000 2.43 53.8 29.8 18.0 52.2 0.2 8.0 19.8

5-Year 11/1/2021 1.157 2.55 60.9 17.9 17.4 64.8 0.1 6.2 35.6

5-Year 11/30/2021 1.319 2.34 58.9 26.9 16.2 56.9 0.1 4.9 33.3

5-Year 12/31/2021 1.263 2.41 57.0 20.0 14.3 65.7 0.0 7.7 34.1

7-Year 11/1/2021 1.461 2.25 62.0 16.6 19.5 63.9 0.0 6.3 49.6

7-Year 11/30/2021 1.588 2.42 59.0 17.4 23.3 59.3 0.0 4.9 45.6

7-Year 12/31/2021 1.480 2.21 56.0 21.3 19.5 59.3 0.0 7.6 46.1

10-Year 10/15/2021 1.584 2.58 38.0 11.2 17.7 71.1 0.0 2.9 40.8

10-Year 11/15/2021 1.444 2.35 39.0 15.2 13.8 71.0 0.0 22.6 62.8

10-Year 12/15/2021 1.518 2.43 36.0 13.4 17.8 68.8 0.0 5.3 41.2

20-Year 11/1/2021 2.100 2.25 24.0 19.6 15.6 64.8 0.0 2.4 47.5

20-Year 11/30/2021 2.065 2.34 23.0 20.4 19.4 60.2 0.0 1.9 43.8

20-Year 12/31/2021 1.942 2.59 20.0 14.3 20.8 64.8 0.0 2.7 40.3

30-Year 10/15/2021 2.049 2.36 24.0 12.3 17.2 70.5 0.0 1.8 62.5

30-Year 11/15/2021 1.940 2.20 25.0 25.2 15.8 59.0 0.0 14.5 98.6

30-Year 12/15/2021 1.895 2.22 22.0 20.7 18.5 60.8 0.0 3.2 62.2

2-Year FRN 11/1/2021 0.035 2.99 28.0 34.1 0.9 65.0 0.0 2.8 0.0

2-Year FRN 11/26/2021 0.038 2.80 24.0 21.2 1.3 77.6 0.0 0.0 0.0

2-Year FRN 12/31/2021 0.030 4.03 24.0 33.3 12.1 54.5 0.0 3.3 0.0

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)**

5-Year TIPS 10/29/2021 (1.685) 2.45 18.9 6.1 15.5 78.4 0.1 0.0 10.4

5-Year TIPS 12/31/2021 (1.508) 2.42 17.0 14.0 14.8 71.2 0.0 2.3 10.1

10-Year TIPS 11/30/2021 (1.145) 2.43 14.0 10.2 13.0 76.8 0.0 1.2 15.7

TIPS
Treasury Cash Management Approach

1

 In May 2015, Treasury announced that: “To help protect against a potential interruption in market 

access, Treasury will hold a level of cash generally sufficient to cover one week of outflows in the 

Treasury General Account, subject to a minimum balance of roughly $150 billion.”1

 Policy in practice: For each business day, Treasury calculates the expected Treasury General 

Account (TGA) outflows for one week following that day. This calculation includes both net 

fiscal outflows and the gross volume of maturing marketable debt. Furthermore, under this 

policy, Treasury takes into consideration cash flow uncertainty that can result from a variety of 

factors, including changes in economic activity influencing tax revenue, irregular outlays from 

federal programs, and the potential for legislative changes that affect short-term cash flows.

 Variations in cash flows over time result in Treasury’s liquidity needs differing significantly weekto-week, but Treasury seeks to change auction sizes gradually to minimize any potential market 

disruption. Accordingly, Treasury develops its borrowing plans by evaluating cash flow 

projections not only for the week ahead, but also for subsequent weeks and months. 

1 Quarterly Refunding Statement (May 6, 2015): https://www.treasury.gov/press-center/press-releases/Pages/jl10045.aspx
Historical Case Study: January-February 2020

2

 During this historical case study, Treasury’s liquidity needs repeatedly varied by approximately 

$250 billion week-to-week. In contrast, Treasury bill supply (as Treasury’s issuance “shock 

absorber”) changed more gradually, remaining largely flat until late-January before growing by 

$176 billion over the subsequent four weeks. 

 Rather than rapidly increasing and decreasing T-bill supply to precisely meet week-to-week 

variations in liquidity needs, Treasury allowed its cash balance to temporarily remain above 

policy minimums in recognition of upcoming liquidity needs occurring marginally beyond the 

immediate one-week window.

 Relatedly, the balance of the TGA varied by less than $130 billion over the same timeframe. 

Diminished variability in the cash balance is an outcome of Treasury’s approach to T-bill supply.

2,300

2,350

2,400

2,450

2,500

2,550

2,600

200

250

300

350

400

450

500

billionsbillions

Cash Balance T-bill Supply (RHS)

100

150

200

250

300

350

400

450

500

billions

Cash Balance 1-Week Ahead Cash Need *

* This “1-week ahead cash need” calculation is based upon realized cash flows. However, Treasury’s issuance decisions are 

made using cash flow projections available at the time.
Historical Case Study: January-February 2020, cont.

3

 This approach often results in Treasury holding a cash balance above the minimum level 

necessary to meet its projected one-week ahead cash need. 

 During this historical case study, Treasury maintained a median of 7 business days of liquidity 

which is consistent with the median achieved between May-2015 and December-2021.

200

250

300

350

400

450

500

0

2

4

6

8

10

12

billions

business days

Days of Liquidity * Cash Balance (R)

* This “days of liquidity” calculation is based upon realized cash flows.
Developments Affecting Future 

Changes in Treasury Auction Sizes

Treasury Borrowing Advisory Committee

February 1, 2022

1
In November 2021, based on projected borrowing needs and consistent with the TBAC’s 

recommendations, Treasury began reducing auction sizes across all nominal coupon 

securities. How has the market responded to these auction size changes? Looking ahead, what 

new developments or additional factors should Treasury consider as it evaluates to what extent 

auction sizes should be further changed?

2
Table of Contents

• Executive Summary 4

• Market Response to Reduction in Treasury Auction Sizes 5

• Factors to Consider for Future Auction Size Changes: Fiscal, TGA, SOMA 11

• SOMA: Key Questions for Treasury to Consider 17

• Simulations of Future Treasury Auction Size Changes 23

• Conclusions 30

• Appendix 32

3
Executive Summary

• In response to declining fiscal requirements, Treasury reduced auction sizes across maturities last quarter, with larger cuts

in the 7y and 20y. TBAC’s guidance at the time was that cuts to these issue sizes would be required for a few quarters to 

adjust to the expected lower future financing needs. • The cuts were broadly anticipated by the market. Despite the larger cuts in the 7y and 20y, these maturities still 

cheapened, suffering from relatively worse liquidity due to ongoing issuance in excess of real money demand in the 

market. • Ongoing fiscal uncertainty creates a broad range of potential financing outcomes that Treasury must remain poised to 

address. When considering future changes to auction sizes, Treasury should take into account recent changes in expected 

fiscal requirements, and notably, an increased likelihood that the Fed will initiate runoff of its SOMA portfolio later this 

year. • Our expectation is that the SOMA portfolio runoff will have a significant impact on Treasury’s financing outlook, creating 

~$1.6T in new financing needs over the next 3 years, which raises the question of whether the prior TBAC guidance to 

keep reducing issue sizes is still appropriate, or whether that guidance should be updated. • We consider multiple scenarios for how Treasury could move forward with future changes in auction sizes. The scenarios 

that seem most appealing continue with the pace of cuts in the current quarter only but then either slow or stop the cuts 

thereafter. The scenario that extends cuts past the May refunding are intended to allow Treasury to reduce the longer 

end, and particularly 7s and 20s, by more than otherwise.

4
Market Response to Reduction in Treasury 

Auction Sizes

5
Market Response to Reduction in Treasury Auction Sizes

• In its Nov-21 letter to Treasury, TBAC said “It was expected that, 

based on current fiscal and economic projections, cuts to these 

issues need to continue for a few quarters in order to maintain T-bill 

sizes in the recommended range of 15 to 20% of total debt 

outstanding over time.” • Consistent with that guidance, in the Nov-21 Quarterly Refunding 

Statement, Treasury announced auction size reductions across all 

nominal coupons, including the 2y, 3y, and 5y by $2B per month and 

the 7y by $3B per month. Treasury also announced decreases of $2B 

to both the new and reopened 10y and 30y, and decreases of $4B to 

both the new and reopened 20y. • These reductions were broadly in line with primary dealer and 

market expectations. To the right is a table summarizing 

expectations from 23 primary dealers. For 7y and shorter maturities, 

the dealer consensus was in line with the actual Treasury decision. 

For 10y and longer maturities, there was more divergence of 

opinion, but forecasts were still very much aligned with the 

direction and size of Treasury’s actual decision. 

6

Issue Primary 

dealer 

consensus

% voting 

with 

consensus

Actual 

Nov cut 

size

2Y -2 91% -2

3Y -2 91% -2

5Y -2 91% -2

7Y -3 91% -3

10Y -3 62% -2

20Y -3 43% (T) -4

20Y -4 43% (T) -4

30Y -2 70% -2

Primary dealer expectations prior to Nov 

Treasury Refunding announcement

Source: Bloomberg article 11/2/2021, “Wall Street Calls Diverge on Cuts for 10- to 30-Year Treasuries,” by Elizabeth Stanton
Market Response to Reduction in Treasury Auction Sizes

• The weeks leading up to and following the Nov 3rd refunding announcement were marked by greater than normal volatility in US and other DM rates markets, particularly volatility of relative value relationships. • A combination of both US and international macro and policy factors were the likely catalysts, with de- risking having the biggest impact on trades with more crowded positioning. • Anticipation of Treasury’s issuance cuts should have caused the 7y and 20y maturities to outperform, but despite that, volatility remained high and these issues ultimately cheapened further. • Ceteris paribus, a reduction in aggregate Treasury supply should lead to a widening of swap spreads, as Treasury collateral becomes relatively scarcer causing Treasury securities to outperform versus swaps; but investors needed to weigh the relative impact of falling supply versus the Fed’s announcement later that same day that it would begin tapering its asset purchases. • Swap spreads did widen across the curve, both in the month leading up to the Treasury announcement, as well as in the month following. While there are many factors that can impact swap spreads (see Feb-21 TBAC charge), the move wider is consistent with expectations for the market reaction to reduced issuance. 

7

Source: JP Morgan DataQuery
7y and 20y maturities cheapen despite supply 

reductions

• Relative value Treasury investors were understood to 

hold substantial long positions in both the 7y and 20y, 

perhaps in anticipation of the announcement from 

Treasury that these issue sizes would be cut more 

than other maturities in the Nov-21 refunding 

announcement. • As evidenced in the weighted* FF-OIS ASW butterfly 

chart to the right, both the 7y and 20y came under 

sharp pressure just prior to the refunding 

announcement, snapped back immediately following 

the announcement, and then cheapened further, 

particularly in the case of the 20y. • We emphasize that this cheapening occurred despite 

the as-expected issue size cuts by Treasury. It’s likely 

that performance would have been significantly worse 

absent those cuts. 

8

*Butterfly weightings: 5s7s10s 0.5: 1.0: 0.5; 10s20s30s 0.25: 1.0: 0.75

Source: Barclays, and Presenter Calculations
7y and 20y maturities cheapen despite supply 

reductions

• Simple comparisons are illustrative: • The 7y ASW spread is 4bps lower than both the 5y and 

10y, while the 20y is 8bps lower than the arithmetic 

average of the 10y and 30y, and is 2bps lower than 30y. • While the 20y has a higher yield than the 30y, this 

doesn’t prove that the 20y is cheap. For convexity and 

other reasons, the 20y point trades at a higher absolute 

yield across the US, GBP, and EUR swaps curves.

9

Swap Curve

1/26/2022

20y 30y

USD 2.04 1.99

EUR 0.64 0.50

GBP 1.06 0.98

Source: Barclays, Bloomberg, and Presenter Calculations

1/26/22 5y 7y 10y 20y 30y

ASW spread 7 2 6 -20 -18

• In the wake of the November refunding 

announcement, the 7y and even more so the 20y 

underperformed, trading at the cheapest levels of 

the past 2 years (see FF-OIS ASW below). • This is indicative of over-supply of these maturities, 

which in turn can lead to crowded positioning and 

further market dislocation. 
7y and 20y maturities cheapen despite supply 

reductions

• The 7y saw a significant increase in issuance over the past year, $841B in total supply from Jan-21 to Jan-22. 

SOMA purchases absorbed only 16% of that supply. • The 20y part of the curve has relied heavily on Fed support, both through purchases of recently issued 20y 

coupons, and because the Fed’s purchases in the 22.5y-30y bucket have been concentrated in shorter 

maturities, also supporting the 20y part of the curve. In the 18y-25y bucket, there was $330B in new issuance 

over the past year, and $171B of Fed purchases, effectively absorbing 52% of that issuance. • Both 7y and 20y issue sizes should be reduced further relative to other nominal coupons, to better balance 

supply with end-investor demand and to facilitate better liquidity and more orderly markets. 

10

Bucket Total OutstandingSOMA 

Holdings

SOMA % Issuance 

(T12m)

SOMA

Purchases

SOMA %

8y-10y 1,074B 267B 24.9% 575B 153B 26.6%

10y-18y 263B 184B 70.0% 0B 0B n/a

18y-25y 1,746B 785B 45.0% 330B 171B 51.8%

25y-30y 1,282B 280B 21.8% 367B 100B 27.2%

Treasury issuance and SOMA purchases, trailing 12m

Source: Refinitiv, Presenter Calculations
Factors to Consider for Future Auction Size 

Changes: 

Fiscal Outcomes and SOMA Path

11
Factors to consider for future auction sizes

• Treasury aims to fund the government at the lowest cost to tax payers overtime. • To do so, Treasury seeks to be a regular and predictable issuer, while maintaining flexibility to meet 

changing fiscal requirements and investor demand dynamics. • Bills as a percentage of marketable debt outstanding should remain in the 15%-20% range, consistent 

with previous TBAC guidance. • Treasury should take into consideration the effects of its issuance on weighted average maturity 

(WAM), weighted average duration (WAD), and other metrics of its outstanding debt. WAD can be 

measured in two ways: 

1. All Treasury debt is treated the same, regardless of whether it held by the public or by SOMA. By 

this measure, the WAD as of 12/31/2021 is 5.0.

2. Treasuries held by the Fed are calculated as having the duration of daily-reset FRNs, regardless of 

their contractual maturity. This is consistent with the idea that the Treasury and the Fed should 

be thought of as a consolidated balance sheet. By this measure the WAD as 12/31/2021 is 3.8. • Treasury should continue to monitor the Treasury debt market and take actions if needed to support 

liquid and well-functioning markets.

12
Factors to consider for future auction sizes: Fiscal • As always, Treasury’s borrowing needs will be strongly influenced by future fiscal deficits. • To calculate, we take into account three inputs:

1. CBO baseline budget projections, last updated July-2021, for the period 2022 through 2031. 

2. CBO net changes to deficit estimates due to the Infrastructure Investment and Jobs Act, published Aug. 

9, 2021. 

3. Assumption of no net funding needs from BBB: • As negotiations continue, there is uncertainty about the size of both gross and net spending that would result from passage. Public statements in recent months suggest that a successful bill would likely be approximately deficit neutral. • While relying on the CBO baseline projections is helpful for a point-in-time modeling exercise, it should be emphasized that there is considerable uncertainty about the future size of financing needs. • In the Aug-2021 presentation, TBAC anticipated $1.5T of additional fiscal financing needs in excess of CBO baseline, 6 months later we estimate only $347B. • Treasury needs to account for financing future growth of the Treasury General Account (TGA). • We assume $650B will be the balance as of YE-2022 as well. • We assume that TGA will grow at the same rate as nominal GDP in future years. • Data table with actual projections for each year from 2022-2031 is in the appendix.

13
Factors to consider for future auction sizes: SOMA

• Brief review of the SOMA (System Open Market Account) portfolio, 

referencing the Feb-2020 TBAC charge entitled “Implications of the SOMA 

Portfolio for Treasury Debt Management.”

• SOMA is the portfolio of assets held by the Federal Reserve System obtained through 

open market operations. • The Treasury and the Federal Reserve are independent entities operating with different 

mandates. However, decisions that the Fed makes about the SOMA portfolio could affect 

the Treasury’s fiscal outcomes and its debt management decisions. • A portion of SOMA holdings (that held against currency liabilities) can be thought of as 

translating Treasury debt into debt financed at a 0% interest cost to the Treasury. • Most of the remaining SOMA holdings can be thought of as translating Treasury debt 

into floating rate notes (FRNs) that are tied to the overnight interest rates set by the Fed, 

most importantly the interest rate paid on reserves, or the IOER rate. 

14
SOMA: Balance sheet runoff is likely to begin in 2022

• The SOMA portfolio has been a sizable buyer of Treasuries and MBS since the March-2020 liquidity crisis, initially to prevent market dysfunction and subsequently at a monthly rate of $80B Treasuries and $40B MBS to support the economy. • SOMA currently reinvests all maturing Treasury securities by placing bids at Treasury auctions equal in par amount to the value of holdings maturing on the issue date of the securities being auctioned, allocated proportionately across those securities by announced offering amount. • In November, the Fed started to reduce the size of its purchases and in December the Fed announced that it would cease new purchases in March, 2022. • It is now the consensus view among both market and FOMC participants that at some point following the Fed’s first rate hike, the Fed will initiate balance sheet runoff. • “Almost all participants agreed that it would likely be appropriate to initiate balance sheet runoff at some point after the first increase in the target range for the federal funds rate.” FOMC minutes, Dec 14-15, 2021 meeting. • “The Committee expects that reducing the size of the Federal Reserve’s balance sheet will commence after the process of increasing the target range for the federal funds rate has begun.” Principles for Reducing the Size of the Federal Reserve’s Balance Sheet • Market pricing implies that it is likely the Fed will hike rates in March, meeting the condition to consider initiating balance sheet runoff. • “At some point perhaps later this year we will start to allow the balance sheet to run off, and that’s just the road to normalizing policy.” Chair Powell, Senate confirmation hearings, Jan 11, 2022. • “I think certainly by summer, we can start shrinking the balance sheet.” – FRB Governor Christopher Waller, Bloomberg 

TV interview, Jan 14, 2022

15
SOMA: 2017-2019 experience

• In Sep-2017, the Fed announced that it would begin 

normalization of its balance sheet in Oct-2017, by not 

reinvesting up to a cap of $6B UST and $4B MBS per month. • Consistent with the June-2017 addendum to the committee’s 

policy normalization principles and plans, the Fed 

incremented up those caps by $6B and $4B respectively until 

reaching steady-state caps of $30B UST and $20B MBS. 

Maturing or paid-down securities in excess of the caps were 

reinvested into UST or MBS respectively.

16

• There was uncertainty about the optimal long term size of the Fed’s balance sheet. To reduce the risk of 

overshooting, the Fed announced in March-2019 that starting in May-2019, it would reduce the cap for UST 

from $30B to $15B, while maintaining the cap for MBS at $20B. • In July-2019, the FOMC announced that MBS principal paydowns up to $20B per month would be reinvested 

into UST, with any excess above that invested into MBS. It also announced that there would be no further net 

reduction of the aggregate holdings in the SOMA portfolio, two months ahead of schedule. • The size of the Fed’s balance sheet troughed at $3.8T, 18% of GDP in Sep-2019 when dysfunction in the money 

markets occurred. It became clear that this was too low a level for the “ample reserves” system, and the Fed 

immediately took action to increase the size of its balance sheet by about 10% over ensuing months.
SOMA: Key Decisions that Will Affect 

Treasury’s Borrowing Needs

17
SOMA Questions for Treasury to consider

• There is significant uncertainty about the exact parameters the Fed will choose when it initiates balance sheet runoff this time around. • Our goal is to make the best inferences possible based on Fed statements and commentary to construct the most likely scenarios that Treasury should consider. • We think the most important aspects for Treasury to focus on will be the size of caps placed on monthly runoff and how long runoff will continue before the Fed determines that normalization of the sizing of its balance sheet is complete. • We briefly address how the Fed might choose to runoff its bill and MBS portfolios. These are relatively less important from Treasury’s perspective, but could still have non-negligible impact on Treasury issuance needs. • When will balance sheet runoff begin?

• We assume runoff begins in July-2022. The exact timing is not that critical from Treasury’s perspective. • Will there be a phase-in period to gradually increase runoff and if so, how long will the phase-in last and at what intervals will runoff be adjusted?

• “Many participants judged that the appropriate pace of balance sheet runoff would likely be faster than it was during the previous normalization episode.” – Dec-2021 FOMC minutes. • We assume there will be a phase-in period, but that it will only be 6 months, not 12 months like in 2017. • We assume that the caps will increment higher in even intervals each month until reaching the maximum cap level in the 6th month. • The exact details of the phase-in period are not that critical from Treasury’s perspective. 

18
SOMA Questions for Treasury to consider: Caps

• Assuming there are runoff caps, what size will those caps be?

• “Many participants also judged that monthly caps on the runoff of securities could help ensure that 

the pace of runoff would be measured and predictable, particularly given the shorter weighted 

average maturity of the Federal Reserve’s Treasury security holdings.” –Dec-2021 Fed minutes. • “...the balance sheet is bigger so the runoff can be faster.” – Chair Powell, Senate confirmation 

hearings 1/11/22

• There is uncertainty about what the final size of the caps will be. We evaluate the following three 

scenarios: • Lower bound: $30B UST / $20B MBS – Equal to the caps set in 2017, this is likely too low since 

the Fed says runoff should proceed at a faster pace this time. • Central case: $60B UST / $30B MBS

• Faster pace than 2017, but significantly slower than the $80B/$40B pace at which the Fed 

added securities during 2020 and 2021. • The 2:1 ratio of UST to MBS better reflects the current ratio of the Fed’s portfolio of UST 

(ex-bills): MBS, which is ~2.1:1. In 2017 the ratio was ~1.4:1, consistent with the 1.5:1 ratio 

the Fed chose then. • Upper bound: No caps – This is the upper bound that the Fed could possibly achieve and also 

seems unlikely. We demonstrate the impact for Treasury to consider and compare to our central 

case. 

19
SOMA Questions for Treasury to consider: Caps, 

central case

• Our central case for runoff caps is that the Fed chooses $60B UST/$30B MBS. • The Fed wants to move faster than in 2017, suggesting caps above $30B UST/$20B MBS. • The Fed is unlikely to have runoff be as fast as purchases, i.e. $80B UST/$40B MBS or greater is too fast. • That leaves a landing zone of $30B for MBS. • As mentioned previously, the proportional ratio of UST : MBS is now 2:1, implying a $60B UST cap. • A Jan 21 Bloomberg story shared estimates from 6 primary dealers:

20 Source: Bloomberg News, 1/21/2022, Bond Dealers Are Mapping Out How Fed Will Shrink Balance Sheet, by Elizabeth Stanton
SOMA Questions for Treasury to consider: “Normal”

• The ultimate goal of reducing the Fed’s balance sheet is “normalization.” Under the ample reserves system, what is a 

“Normal” level of the Fed’s balance sheet, which will correspond to the desired “ample” reserves level?

• The Feb-2017 TBAC charge asked the same question. What is normal?

• 2019 showed that 18% of GDP is too low a level for the Fed’s balance sheet relative to GDP; today’s level of 37% of GDP is 

clearly too high. • We estimate a wide range for normal, 20%-25% of GDP. Given that it will take at least 2-3 years for the Fed’s balance sheet 

to near this range, we don’t think it is important for Treasury to try to formulate a more precise view than this. • Once normalization is complete, the Fed will soon thereafter need to start growing SOMA again, in order to maintain a 

proportionately appropriate sized balance sheet as nominal GDP grows. In addition, it is likely that the Fed will reinvest 

MBS principal paydowns into Treasuries, leading to additional SOMA demand. • Different market conditions could result in different answers for what’s normal. For example, it’s likely that demand for 

currency would fall in a higher interest rate environment, which in turn would reduce the size of assets the Fed needs to 

hold against its currency liability. • Under the assumptions we have described, the Fed will achieve normalization on the date listed in the left table. Total 

runoff by the year is shown in the right table. 

21

Cap Structure UST cap MBS cap Normalization

Date

Central Case $60B $30B Oct-2024

Lower Bound $30B $20B Sep-2025

Upper Bound No cap No cap Apr-2024

2022 2023 2024 Total

UST 203B 627B 490B 1.32T

MBS 117B 322B 235B 0.67T

Total 320B 949B 725B 1.99T

Runoff totals by calendar year, Central Case (excludes $326B bills)

Source: Presenter calculations
SOMA Questions for Treasury to consider: Bills & MBS

• It’s likely the Fed will runoff its $326B portfolio of bills. There are two options:

1. Include the bills under the cap for nominal coupon runoff. 

2. Allow bills to runoff separately, with or without separate caps on bill runoff. • For simplicity, we assume that the Fed runs bills off separately, rather than including 

them in the overall nominal coupon cap. • Regardless of the Fed’s choice, Treasury should offset by issuing additional bills to the 

public. This is a straightforward way for Treasury to offset SOMA’s bill redemptions and 

there is ample liquidity available in the system to absorb additional bills. • Whether or not the Fed reinvests MBS principal paydowns in excess of the MBS cap back into 

MBS or into UST is not that consequential for Treasury. • “Consistent with the previous normalization principles, some participants expressed a 

preference for the Federal Reserve's asset holdings to consist primarily of Treasury 

securities in the longer run. To achieve such a composition, some participants favored 

reinvesting principal from agency MBS into Treasury securities relatively soon or letting 

agency MBS run off the balance sheet faster than Treasury securities.” – Dec-2021 FOMC 

minutes

• We assume that when the Fed ultimately stops running off the SOMA portfolio, it will 

reinvest MBS paydowns into UST, to move in the direction of holding only UST in the long 

term. 

22

Total MBS principal paydown

reinvestment expected in excess 

of the MBS cap. 

Source: JP Morgan research

2022 is higher due to assumption 

that caps phase in.
Simulations of Future Treasury Auction 

Size Changes

23
Simulations of future Treasury auction size changes

• We incorporate the previously mentioned assumptions for the fiscal requirements, TGA, and the expected runoff of the 

SOMA portfolio. • All simulations/scenarios make the following additional common assumptions: • CBO fiscal, IIJA, and BBB fiscal deficit assumptions, and TGA assumptions. • SOMA assumptions: • Balance sheet runoff begins July-2022, is phased in over a 6 month window, and stops when SOMA is equal to 

23% of nominal GDP. • The Fed resumes purchases one year after stopping runoff, maintaining SOMA at a constant percentage of 

nominal GDP thereafter. • MBS principal paydowns above the cap are reinvested into MBS until the Fed stops runoff, and thereafter are 

reinvested into UST. • Bills are run off separately from nominal coupons and are replaced by issuing additional bills to the public. • For each scenario, we evaluate 3 sets of runoff caps: • Lower bound: $30B UST / $20B MBS

• Central case: $60B UST / $30B MBS

• Upper bound: no caps

24
25

Scenario 1: Freeze auction sizes, except for decreases 

in 7y/20y

• Plan: Freeze auction sizes at current levels, except for $3B monthly reduction in 7y and $4B quarterly reduction in 20y for the Feb 

quarter only. • Rationale: Treasury should stop cutting auction sizes to ensure it is issuing sufficiently to meet the higher issuance needs of financing 

SOMA runoff net of lower fiscal requirements, while further reducing 7y and 20y auction sizes to better match supply and demand of 

those maturities. • Analysis: • Regular & predictable in that auction sizes are constant, but a change versus prior guidance, i.e. less predictable. • The bill percentage hovers right at the 15% threshold in the central scenario and falls well below in the lower bound scenario. • There is a sharp increase in the WAM and WAD of the outstanding debt. This may not be desirable. • 7y/20y issuance falls on a relative and absolute basis. • Expected future adjustments: Treasury would likely need to make future cuts in coupon auction sizes to prevent bill percentage from 

falling below 15%.
26
27
Scenario 4: Twist, increase front end, decrease long 

end issuance, especially 7y/20y

• Plan: In Feb only, make monthly increases in the 2y, 3y, and 5y by $2B, reduce the 7y monthly by $3B, and make quarterly cuts in

the 10y by $3B, the 20y by $4B, and the 30y by $2B. • Rationale: As Treasury replaces debt previously held by SOMA with future issuance to the public, the effective (treating SOMA

holdings as daily-reset FRNs) WAD of the Treasury’s total issuance will rise. Increasing front end issuance and decreasing long end issuance will help offset. Combines elements of Freeze and Reduce. • Analysis: • To flip from cuts last quarter to increases this quarter is not regular & predictable, only makes sense if a significant change in circumstance justifies it. • Bill percentage falls below 15% threshold in central scenario. • WAM and WAD rise significantly, although there is a partial reversal in 2027-2031. • 7y/20y issuance falls on a relative and absolute basis. • Expected future adjustments: Treasury may need to make cuts later in 2022 to prevent breach of 15% bill percentage threshold.

28
Continue or Extend scenarios seem most favorable

29

• The simulations show that cutting for fewer quarters than suggested by the previous TBAC guidance is now appropriate, 

given the change in fiscal requirements and expected SOMA runoff. • There still should be some cuts, as evidenced by the Freeze scenario, which would result in over-funding, leading to bill 

percentage falling below the 15% lower bound, as well as a sharp increase in WAM/WAD. • Cuts could continue for one additional quarter at the same pace as last quarter, which works well for managing bill 

percentage and results in a modest increase in WAM and WAD. • An alternative is to extend cuts, first by implementing the same cuts as Continue in Feb, and then making additional cuts 

in long end issuance in the May quarter. This reduces the increase in WAM/WAD, and results in further cuts to the issue 

sizes of the 7y and 20y. • Attempting to twist issuance by increasing front end issuance and reducing long end issuance results in over-funding, 

violating the bill percentage lower bound, necessitating coupon cuts later in 2022 or early in 2023.
Conclusions

30
Conclusions

• Treasury’s coupon cuts announced in November were widely anticipated by the market, but they 

were not sufficient to resolve the supply/demand imbalance in the 7y and 20y maturities, which 

cheapened further despite Treasury’s effort to address. • Treasury seeks to be a regular and predictable issuer, while maintaining flexibility to meet 

changing fiscal requirements and investor demand dynamics. • In considering future coupon sizing, Treasury should take into account recent shifts in expected 

budget deficits resulting from fiscal policy and an increased likelihood of the Fed initiating a 

balance sheet reduction of its SOMA portfolio. • As it relates to the SOMA portfolio, the Fed will likely begin reductions this summer, at a faster 

pace than in 2017-2019, but still using caps to maintain limits on the size of monthly reductions. • To address the various concerns Treasury faces in making future auction decisions, we advise that 

the Treasury make further cuts in its issuance in Feb equivalent to the cuts made in the prior 

quarter, and consider making additional cuts in the longer end of the curve in May. • Making additional cuts as suggested should keep the bill percentage in the TBAC suggested 15%-

20% range, result in only modest increases in the WAM/WAD of total Treasury debt issuance, and 

further address the supply/demand imbalance in the 7y and 20y issues.

31
Appendix

32
Appendix: Fiscal deficit and TGA data tables, 2022-

2031

33

Year CBO IIJA BBB Total

2022 -1380 -5 0 -1385

2023 -764 -18 0 -782

2024 -803 -38 0 -841

2025 -1008 -47 0 -1055

2026 -1095 -69 0 -1164

2027 -1123 -63 0 -1186

2028 -1548 -48 0 -1596

2029 -1386 -32 0 -1418

2030 -1794 -25 0 -1819

2031 -1914 -2 0 -1916

Year Fiscal TGA Total

2022 -1385 -244 -1629

2023 -782 -28 -810

2024 -841 -22 -863

2025 -1055 -24 -1079

2026 -1164 -26 -1190

2027 -1186 -29 -1215

2028 -1596 -29 -1626

2029 -1416 -30 -1448

2030 -1819 -31 -1850

2031 -1916 -33 -1949