Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2020 Q4 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. 11

G. Budget Surplus/Deficit p. 12

H. Privately-Held Net Marketable Borrowing Outlook p. 13

III. Financing

A. Sources of Financing p. 16

B. Interest Rate Assumptions p. 18

C. Projected Net Marketable Borrowing Assuming Future Issuance Remains Constant p. 19

IV. Portfolio Metrics

A. Historical Weighted Average Maturity of Marketable Debt Outstanding p. 21

B. Bills, TIPS & FRNs Outstanding as a Percent of Marketable Debt Outstanding p. 22

C. Maturity Profile p. 24

V. Demand

A. Summary Statistics p. 26

B. Bid-to-Cover Ratios p. 27

C. Investor Class Awards at Auction p. 32

D. Primary Dealer Awards at Auction p. 36

E. Direct Bidder Awards at Auction p. 37

F. Foreign Awards at Auction p. 38

G. Foreign Holdings: Official and Private p. 39
Section I:

Executive Summary

3
Receipts and Outlays through Q4 FY2020

• Through Q4 FY2020, overall receipts totaled $3,420 billion, reflecting a decrease of $42 billion (-1%) compared to the same period last year. 

Non-withheld and SECA taxes declined $29 billion (-4%), gross corporate taxes declined $14 billion (-5%), withheld and FICA taxes declined 

$25 billion (-1%), and gross excise taxes declined $8 billion (-8%) primarily due to the economic impact of the COVID-19 outbreak as well as 

tax law change. Partially offsetting the overall dollar decrease, individual refunds were $6 billion (-3%) lower and Federal Reserve Earnings 

were $29 billion (55%) higher reflecting greater holdings and lower interest rates paid on reserves. FY2020 receipts were 16.3% of GDP, 

compared to 16.3% of GDP for FY2019.

• Through Q4 FY2020, overall outlays were $6,552 billion, reflecting an increase of $2,105 billion (47%) over the comparable period last year. 

Small Business Administration outlays are $577 billion higher due to subsidy estimates for the Paycheck Protection Program (PPP) and 

spending for the Economic Injury Disaster Loan (EIDL) program. Treasury outlays were $462 billion (67%) higher mainly due to Economic 

Impact Payments and payments to the Coronavirus Relief Fund & Air Carrier Workers Support Fund stemming from the COVID-19 

outbreak. Department of Labor outlays were $442 billion higher due to increased unemployment costs attributable to the COVID-19 

outbreak. Health and Human Services spending was $290 billion (24%) higher mainly due to relief payments for hospitals as well as advance 

payments to fee for service Medicare providers, due to the COVID-19 outbreak as well as overall increases to Medicare and Medicaid. 

Overall outlays FYTD through March, prior to the impact of the COVID-19 outbreak, were up 7%. From April through September however, 

total outlays rose 87% compared to the same period last year. FY2020 outlays were 31.2% of GDP, compared to 21.0% of GDP for FY2019.

Projected Net Marketable Borrowing (FY2021)

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of $617 billion for Q1 

FY2021, with an end-of-December cash balance of $800 billion. For Q2 FY2021, OFP forecasts a net privately-held marketable borrowing 

need of $1,127 billion assuming end-of-March cash balance of $800 billion. The aforementioned estimates reflect OFP’s assumption of $1 

trillion in additional stimulus. Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in 

the Federal Reserve’s 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.

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 November 2020 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%)

(50%)

0 %

50%

100%

150%

200%

250%

300%

Sep-10 Dec-10 Mar-11 Jun-11Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13Sep-13 Dec-13 Mar-14 Jun-14Sep-14 Dec-14 Mar-15 Jun-15Sep-15 Dec-15 Mar-16 Jun-16Sep-16 Dec-16 Mar-17 Jun-17Sep-17 Dec-17 Mar-18 Jun-18Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20Sep-20 Year-over-Year % Change

Quarterly Tax Receipts

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

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 

0

2 0

4 0

6 0

8 0

100

120

140

160

Sep-10 Dec-10 Mar-11 Jun-11Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13Sep-13 Dec-13 Mar-14 Jun-14Sep-14 Dec-14 Mar-15 Jun-15Sep-15 Dec-15 Mar-16 Jun-16Sep-16 Dec-16 Mar-17 Jun-17Sep-17 Dec-17 Mar-18 Jun-18Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20Sep-20 $ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other
8

Source: United States Department of the Treasury 0

200

400

600

800

1,000

1,200

1,400

1,600 HHS SSA Treasury Defense Small Business Administration Labor V A Education Agriculture OPM Transportation

Homeland Security $ bn

Largest Outlays

Oct - Sep FY 2019 Oct - Sep FY 2020
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

10

20

30 Q4-10 Q1-11 Q2-11 Q3-11 Q4-11 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 $ 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

FY2018 FY2019 FY2020
11

Primary Dealers1 CBO2

FY2021 Deficit Estimate 2,480 1,810

FY2022 Deficit Estimate 1,500 1,336

FY2023 Deficit Estimate 1,300 1,124

FY2021 Deficit Estimate Range 1,800-4,600

FY2022 Deficit Estimate Range 1,200-3,100

FY2023 Deficit Estimate Range 1,050-2,300

FY2021 Privately-Held Net Marketable Borrowing Estimate 2,050 1,661

FY2022 Privately-Held Net Marketable Borrowing Estimate 1,550 1,389

FY2023 Privately-Held Net Marketable Borrowing Estimate 1,300 1,200

FY2021 Privately-Held Net Marketable Borrowing Range 1,000-3,800

FY2022 Privately-Held Net Marketable Borrowing Range 961-2,600

FY2023 Privately-Held Net Marketable Borrowing Range 900-2,350

Estimates as of: Oct-20 Sep-20

FY 2021-2023 Deficits and Privately-Held Net Marketable Borrowing Estimates*, in $ billions

*Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s 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.

2CBO estimates are from Table 1 of "An Update to the Budget Outlook: 2020 to 2030,” September, 2020. 

1Estimates represent the medians from the primary dealer survey in October 2020.
(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

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 Deficit to GDP $bn

Budget Surplus/Deficit*

OMB's (Feb 20) Surplus/Deficit (LHS) CBO's (Sept 20) Surplus/Defict (LHS)

PD Survey (Oct 20) OMB's (Feb 20) Surplus/Deficit as a % of GDP (RHS)

CBO's (Sept 20) Surplus/Defict as a % of GDP (RHS)

OMB’s Projections are from OMB’s Table S-10 of “A Budget for America’s Future, Fiscal Year 2021,” February 2020.

CBO’s Projections are from CBO’s Table 1 of “An Update to the Budget Outlook: 2020 to 2030,” September 2020

*OMB projections reflect pre-CARES Act forecasts and will be updated when new projections become available. 

Projections

12
13

* Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s 

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. For FY2021, estimates reflect OFP’s assumption of $1 trillion 

in additional stimulus.

Privately-Held Net Marketable Borrowing Outlook*

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4

$ bn

FY18 FY19 FY20 FY21 (projection-OFP)
Section III:

Financing

14
15

Assumptions for Financing Section (pages 16 to 19)

• Portfolio and SOMA holdings as of 09/30/2020.

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

TIPS, and FRNs given changes made before the November 2020 refunding, while using total bills 

outstanding of ~$5.03 trillion. 

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

as of 09/30/2020.

• No attempt was made to account for future financing needs. 
16

*Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s 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.

^An end-of-September 2020 cash balance of $1,782 billion versus a beginning-of-July 2020 cash balance of $1,722 billion. By keeping the cash 

balance constant, Treasury arrives at the net implied funding number. 

Net Bill Issuance (51) Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 505 4-Week 420 560 (140) 2,700 2,783 (83)

Subtotal: Net Marketable Borrowing 454 8-Week 470 705 (235) 2,405 2,405 (0)

13-Week 702 768 (66) 2,610 2,421 189

Ending Cash Balance 1782 26-Week 663 437 226 2,331 1,856 475

Beginning Cash Balance 1722 52-Week 102 52 50 381 265 116

Subtotal: Change in Cash Balance 60 CMBs

6-Week 405 570 (165) 1,185 1,005 180

Net Implied Funding for FY20 Q4 394 15-Week 325 380 (55) 770 380 390

17-Week 375 300 75 835 300 535

22-Week 390 140 250 870 140 730

39-Week 20 0 20 90 0 90

Other 30 40 (10) 450 420 30

Bill Subtotal 3,902 3,953 (51) 14,627 11,975 2,652

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 52 16 242 187 55

2-Year 150 93 57 522 320 202

3-Year 144 56 88 498 270 228

5-Year 153 90 63 534 426 108

7-Year 141 60 81 447 239 208

10-Year 102 30 72 338 141 197

20-Year 64 0 64 101 0 101

30-Year 68 5 63 228 10 218

5-Year TIPS 0 0 0 64 55 9

10-Year TIPS 26 33 (7) 76 54 22

30-Year TIPS 7 0 7 15 0 15

Coupon Subtotal 923 418 505 3,065 1,703 1,362

July - September 2020 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY20 Q4*^

July - September 2020 July - September 2020 Fiscal Year-to-Date

Bill Issuance Bill Issuance
17

* Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s 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.

** Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made before the November 2020 refunding. 

*** Assumes an end-of-December 2020 cash balance of $800 billion versus a beginning-of-October 2020 cash balance of $1,782 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*** 617

Net Coupon Issuance 623

Implied Change in Bills (6)

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 7 4 5 5 1 9 7 4 5 5 1 9

2-Year 162 8 6 7 6 162 8 6 7 6

3-Year 156 5 8 9 8 156 5 8 9 8

5-Year 165 8 3 8 2 165 8 3 8 2

7-Year 159 6 1 9 8 159 6 1 9 8

10-Year 108 4 3 6 5 108 4 3 6 5

20-Year 6 9 0 6 9 6 9 0 6 9

30-Year 7 2 0 7 2 7 2 0 7 2

5-Year TIPS 3 2 0 3 2 3 2 0 3 2

10-Year TIPS 1 2 0 1 2 1 2 0 1 2

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 1,009 386 623 1,009 386 623

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY21 Q1*

October - December 2020

October - December 2020 Fiscal Year-to-Date
18

*CBO’s July economic assumption of the 10-Year Treasury note rates reflect projections for 2020, 2021, 2022, and averages for the periods 2023-24 

and 2025-30. The forward rates are the implied 10-Year Treasury note rates on September 30, 2020. 

0.4

0.9

1.4

1.9

2.4

2.9

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 1 0-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note*

Implied Forward Rates as of 09/30/2020 CBO's "An Update to the Economic Outlook: 2020 to 2030" (July 2020)

1 0-Year Treasury Rate of 

0.685% as of 09/30/2020

CBO estimates 2.6% 

average over 2025-30

CBO estimates 1.5% 

average over 2023-24
0

500

1,000

1,500

2,000

2,500

3,000

2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 $bn

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Future Fed Purchases (PD Expectation)

CBO's "An Update to the Budget Outlook: 2020 to 2030" September 2020 OMB's FY2021 Budget, February 2020

PD Survey Privately-Held Net Marketable Borrowing Estimates, October 2020

PD 75th percentile

PD 25th

percentile

PD 50th percentile

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

19

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 9/30/2020*

Treasury’s latest primary dealer survey median estimates can be found on page 11. OMB's projections of the change in debt held by the public are from Table S10 of “A Budget for America’s Future, Fiscal Year 2021,” February 2020. CBO’s current law budget projections of the change in debt held by the public for 

FY2021 to FY2030 are derived from Table 1 of CBO's “An Update to The Budget Outlook: 2020 to 2030,“ September 2020. Future Fed purchases are derived from 

the Fed’s September 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/2020/sep-2020-spd-results.pdf

* Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s System Open Market Account 

(SOMA) but includes financing required due to SOMA redemptions. No adjustments are made for open-market outright purchases. 

OMB projections before April 2020 reflect pre-CARES Act forecasts and will be updated when new projections become available.
Section IV:

Portfolio Metrics

20
21

40

45

50

55

60

65

70

75

80 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable Debt 

Outstanding

Historical Historical Average from 1980 to end of FY 2020 Q4

63.4 months on 

09/30/2020

60.2 months (Historical Average 

from 1980 to Present)
22

0

5

10

15

20

25

30

35

40 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 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 2.6%

09/30/20 

24.7%

09/30/20 

7.5%

09/30/20 

2.3%

Max 

35.6%
23

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

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)

09/30/20 30%

09/30/20 $4,703 bn
24

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 Percent

Calendar Year

Treasury Maturity Profile History

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

09/30/20 

58%

09/30/20 

36%
Section V:

Demand

25
26

*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 0.090 3.4 400.9 51.9 4.6 43.5 19.14 37.3 3.7

Bill 8-Week 0.103 3.1 462.2 57.6 3.9 38.5 7.83 41.9 8.2

Bill 13-Week 0.112 2.7 686.3 54.5 5.4 40.2 15.72 74.2 20.2

Bill 26-Week 0.123 3.0 651.3 45.2 3.6 51.2 11.74 70.1 38.1

Bill 52-Week 0.145 3.2 101.3 59.6 7.2 33.1 0.65 12.2 11.9

CMB 6-Week 0.098 3.3 399.8 52.4 7.3 40.3 0.22 0.0 4.8

CMB 15-Week 0.112 3.6 350.0 55.3 7.1 37.6 0.03 0.0 10.5

CMB 17-Week 0.115 3.4 399.9 56.8 4.1 39.0 0.16 0.0 13.6

CMB 22-Week 0.122 3.3 420.0 52.7 3.5 43.8 0.02 0.0 18.5

CMB 39-Week 0.140 3.4 20.0 72.1 4.5 23.4 0.01 0.0 1.6

Coupon 2-Year 0.148 2.5 149.6 33.7 14.2 52.1 0.38 16.9 34.8

Coupon 3-Year 0.179 2.4 143.6 33.2 12.8 54.0 0.38 34.6 56.1

Coupon 5-Year 0.287 2.5 152.9 22.6 15.3 62.2 0.07 17.3 88.4

Coupon 7-Year 0.476 2.4 141.0 18.4 16.6 65.0 0.01 15.9 113.0

Coupon 10-Year 0.679 2.4 102.0 22.3 15.3 62.4 0.02 26.6 130.0

Coupon 20-Year 1.161 2.3 64.0 24.1 12.7 63.1 0.01 7.1 131.5

Coupon 30-Year 1.407 2.3 68.0 22.9 12.9 64.2 0.02 18.1 221.9

TIPS 10-Year -0.947 2.4 25.9 17.1 12.3 70.6 0.07 3.2 30.3

TIPS 30-Year -0.272 2.3 7.0 22.1 7.5 70.4 0.01 0.6 22.5

FRN 2-Year 0.056 3.0 68.0 50.6 3.9 45.5 0.04 2.7 0.0

Total Bills 0.112 3.2 3,891.5 53.2 4.9 41.9 55.52 235.7 131.2

Total Coupons 0.485 2.4 821.1 25.9 14.5 59.6 0.89 136.5 775.7

Total TIPS -0.803 2.4 32.9 18.1 11.3 70.6 0.08 3.8 52.7

Total FRN 0.056 3.0 68.0 50.6 3.9 45.5 0.04 2.7 0.0

Summary Statistics for Fiscal Year 2020 Q4 Auctions
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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 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)

27
28

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Jun-14

Sep-14 Dec-14 Mar-15 Jun-15Sep-15 Dec-15 Mar-16 Jun-16Sep-16 Dec-16 Mar-17 Jun-17Sep-17 Dec-17 Mar-18 Jun-18Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20Sep-20 Bid-t o-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
29

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Sep-15 Nov-15 Jan-16 Mar-16 May-16

Jul-16

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Bid-t o-Cover Ratio

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

(6-Month Moving Average)

2-Year 3-Year 5-Year
30

* 20-Year bid-to-cover ratio reflects actuals instead of moving average.

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20 Bid-to-Cover Ratio

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

Nominal Securities

(6-Month Moving Average)*

7-Year 10-Year 20-Year 30-year
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Dec-06 Jun-07 Dec-07 Jun-08 Nov-08 May-09 Nov-09 May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13 Nov-13 May-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Mar-20 Sep-20 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) Long-end (20- & 30-year)
32

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

Institutions, Individuals, Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 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
33

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20

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
34

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

70%

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20

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
35

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20

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
36

Competitive Amount Awarded excludes SOMA add-ons. 

10%

20%

30%

40%

50%

60%

70% Mar-16 May-16

Jul-16

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20

% 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)
37

Competitive Amount Awarded excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25% Mar-16 May-16

Jul-16

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20

% 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)
38

Foreign includes both private sector and official institutions. 0

20

40

60

80

100

120

Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

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

$ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

08/31/20 21%

08/31/20 5,077

08/31/20 1,048

39

Source: Treasury International Capital (TIC) System.

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

30%

35%

40%

45%

50%

55%

60%

65%

70%

0

4,000

8,000

12,000

16,000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

$ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

08/31/20 40%

08/31/20 6,036

08/31/20 15,107
Appendix

40
41

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 9/30/2020*

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.

*Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal 

Reserve’s System Open Market Account (SOMA) but includes financing required due to SOMA redemptions. 

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

2016 289 (107) 515 58 41 795 

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 0 1,057 1,166 45 74 2,343 

2022 0 747 1,178 31 56 2,011 

2023 0 602 1,034 23 0 1,659 

2024 0 372 1,080 38 0 1,491 

2025 0 147 1,103 (26) 0 1,224 

2026 0 0 1,087 (5) 0 1,082 

2027 0 0 1,020 (3) 0 1,017 

2028 0 0 736 (22) 0 714 

2029 0 0 753 (13) 0 740 

2030 0 0 688 (5) 0 683 
42

*Weighted averages of competitive awards.

**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* Non-Competitive Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)**

4-Week 7/7/2020 0.115 3.19 43.7 41.5 0.7 57.8 1.3 3.2 0.4

4-Week 7/14/2020 0.100 3.18 38.7 50.6 5.4 44.1 1.3 3.3 0.3

4-Week 7/21/2020 0.105 3.49 33.2 45.8 2.4 51.8 1.8 2.7 0.3

4-Week 7/28/2020 0.080 3.59 28.6 44.2 2.3 53.5 1.4 3.0 0.3

4-Week 8/4/2020 0.090 3.09 28.3 75.5 4.7 19.9 1.7 2.9 0.3

4-Week 8/11/2020 0.080 3.76 28.4 39.9 0.7 59.4 1.6 3.0 0.3

4-Week 8/18/2020 0.085 3.36 28.5 47.8 3.6 48.6 1.5 2.5 0.3

4-Week 8/25/2020 0.080 3.17 28.7 66.4 7.2 26.4 1.3 2.9 0.3

4-Week 9/1/2020 0.080 2.93 28.2 64.2 6.3 29.4 1.8 2.8 0.3

4-Week 9/8/2020 0.090 3.83 28.7 48.3 1.6 50.1 1.3 2.9 0.3

4-Week 9/15/2020 0.090 3.53 28.4 49.2 9.1 41.7 1.6 2.4 0.3

4-Week 9/22/2020 0.080 3.74 28.8 52.6 11.8 35.6 1.2 2.9 0.3

4-Week 9/29/2020 0.075 3.88 28.6 56.0 6.5 37.5 1.4 2.8 0.3

8-Week 7/7/2020 0.135 2.91 44.7 51.2 2.0 46.9 0.3 3.2 0.8

8-Week 7/14/2020 0.120 2.96 38.9 68.4 4.9 26.7 1.1 3.3 0.7

8-Week 7/21/2020 0.110 3.22 34.3 62.7 3.2 34.1 0.7 2.7 0.6

8-Week 7/28/2020 0.100 2.85 34.5 74.5 3.7 21.8 0.5 3.4 0.6

8-Week 8/4/2020 0.095 2.96 33.8 61.5 3.2 35.3 1.2 3.4 0.6

8-Week 8/11/2020 0.100 2.88 34.6 57.0 4.3 38.7 0.4 3.5 0.6

8-Week 8/18/2020 0.100 3.03 34.6 49.0 2.4 48.6 0.4 2.9 0.6

8-Week 8/25/2020 0.090 2.99 34.4 54.0 4.0 42.0 0.6 3.3 0.6

8-Week 9/1/2020 0.090 2.93 33.8 50.0 3.0 47.0 1.2 3.3 0.6

8-Week 9/8/2020 0.100 3.14 34.6 59.5 4.2 36.3 0.4 3.4 0.6

8-Week 9/15/2020 0.105 3.23 34.7 46.1 4.5 49.4 0.3 2.8 0.6

8-Week 9/22/2020 0.095 3.09 34.5 58.6 6.0 35.3 0.5 3.4 0.6

8-Week 9/29/2020 0.090 3.60 34.6 56.9 6.2 36.9 0.4 3.3 0.6

Bills
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 7/9/2020 0.150 2.66 52.6 56.9 3.3 39.8 1.4 5.6 1.5

13-Week 7/16/2020 0.145 2.68 52.7 56.6 4.6 38.7 1.3 7.3 1.6

13-Week 7/23/2020 0.120 2.78 53.0 56.4 4.3 39.3 1.0 8.4 1.6

13-Week 7/30/2020 0.105 2.48 52.2 61.9 6.8 31.3 1.8 6.3 1.6

13-Week 8/6/2020 0.100 2.80 53.0 52.7 4.7 42.7 1.0 5.9 1.6

13-Week 8/13/2020 0.105 2.75 53.0 49.4 4.3 46.3 1.0 6.3 1.6

13-Week 8/20/2020 0.105 2.46 52.9 57.6 6.6 35.8 1.1 6.9 1.6

13-Week 8/27/2020 0.100 2.57 52.3 59.3 3.5 37.2 1.7 4.5 1.5

13-Week 9/3/2020 0.105 2.71 53.0 55.1 5.1 39.8 1.0 6.5 1.6

13-Week 9/10/2020 0.115 2.74 53.1 48.3 7.3 44.4 0.9 5.7 1.6

13-Week 9/17/2020 0.110 3.12 52.8 47.3 6.6 46.1 1.2 4.3 1.5

13-Week 9/24/2020 0.100 2.89 52.9 57.5 7.2 35.3 1.1 2.0 1.5

13-Week 10/1/2020 0.100 2.88 52.6 49.0 5.3 45.6 1.4 4.5 1.5

26-Week 7/9/2020 0.165 2.81 50.3 55.0 2.8 42.2 0.7 5.3 2.9

26-Week 7/16/2020 0.145 3.17 49.9 39.4 5.0 55.6 1.1 6.9 3.0

26-Week 7/23/2020 0.130 2.97 50.1 43.4 3.3 53.3 0.9 7.9 3.1

26-Week 7/30/2020 0.130 2.92 49.4 44.0 3.9 52.0 1.6 5.9 3.0

26-Week 8/6/2020 0.105 2.91 50.2 52.4 3.5 44.1 0.8 5.6 3.0

26-Week 8/13/2020 0.120 2.98 50.1 40.9 3.2 55.9 0.9 6.0 3.0

26-Week 8/20/2020 0.120 2.87 50.2 50.9 3.3 45.8 0.8 6.5 2.9

26-Week 8/27/2020 0.120 2.92 49.4 46.1 3.3 50.6 1.6 4.2 2.8

26-Week 9/3/2020 0.115 3.23 50.4 39.0 2.3 58.7 0.6 6.2 3.0

26-Week 9/10/2020 0.125 2.86 50.5 51.7 3.0 45.4 0.5 5.4 2.9

26-Week 9/17/2020 0.120 3.26 50.3 44.8 7.2 48.0 0.7 4.1 2.9

26-Week 9/24/2020 0.105 3.23 50.3 43.7 3.0 53.3 0.7 1.9 2.8

26-Week 10/1/2020 0.105 3.11 50.1 36.2 3.1 60.7 0.9 4.2 2.9

52-Week 7/16/2020 0.155 3.14 33.8 62.2 11.7 26.1 0.2 4.6 4.0

52-Week 8/13/2020 0.140 3.32 33.8 52.4 4.7 42.9 0.2 4.0 4.0

52-Week 9/10/2020 0.140 3.04 33.8 64.3 5.3 30.4 0.2 3.6 3.9

Bills (cont.)

43

*Weighted averages of competitive awards.

**Approximated using prices at settlement and includes both competitive and non-competitive awards.
44

*Weighted averages of competitive awards.

**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)**

6-Week 7/9/2020 0.125 3.32 35.0 45.0 6.4 48.6 0.0 0.0 0.4

6-Week 7/16/2020 0.120 3.25 35.0 39.9 6.2 53.9 0.0 0.0 0.4

6-Week 7/23/2020 0.100 3.34 30.0 53.0 4.0 43.0 0.0 0.0 0.4

6-Week 7/30/2020 0.100 3.22 30.0 57.8 6.8 35.4 0.0 0.0 0.4

6-Week 8/6/2020 0.085 3.45 30.0 48.8 6.0 45.2 0.0 0.0 0.4

6-Week 8/13/2020 0.095 3.19 30.0 49.4 5.4 45.2 0.0 0.0 0.4

6-Week 8/20/2020 0.090 3.22 30.0 54.9 5.8 39.3 0.0 0.0 0.4

6-Week 8/27/2020 0.085 3.39 30.0 52.5 5.5 42.0 0.0 0.0 0.4

6-Week 9/3/2020 0.090 3.42 30.0 48.6 6.5 44.8 0.0 0.0 0.4

6-Week 9/10/2020 0.105 3.19 30.0 56.1 8.3 35.7 0.0 0.0 0.4

6-Week 9/17/2020 0.095 3.37 30.0 62.2 12.0 25.8 0.0 0.0 0.4

6-Week 9/24/2020 0.085 3.61 30.0 60.0 10.7 29.3 0.0 0.0 0.4

6-Week 10/1/2020 0.085 3.42 30.0 56.1 11.9 32.0 0.0 0.0 0.4

15-Week 7/7/2020 0.140 3.91 25.0 63.7 5.2 31.1 0.0 0.0 0.7

15-Week 7/14/2020 0.145 3.68 25.0 58.4 7.6 34.1 0.0 0.0 0.7

15-Week 7/21/2020 0.130 3.95 25.0 53.5 4.4 42.0 0.0 0.0 0.7

15-Week 7/28/2020 0.120 3.50 25.0 66.4 6.7 26.9 0.0 0.0 0.8

15-Week 8/4/2020 0.105 3.53 25.0 52.4 7.5 40.1 0.0 0.0 0.8

15-Week 8/11/2020 0.105 3.34 25.0 62.6 3.7 33.6 0.0 0.0 0.8

15-Week 8/18/2020 0.110 3.42 25.0 50.6 6.5 42.9 0.0 0.0 0.8

15-Week 8/25/2020 0.105 3.36 25.0 61.5 6.0 32.5 0.0 0.0 0.7

15-Week 9/1/2020 0.100 3.68 25.0 53.2 8.0 38.8 0.0 0.0 0.8

15-Week 9/8/2020 0.115 3.54 25.0 51.8 7.6 40.6 0.0 0.0 0.8

15-Week 9/15/2020 0.115 3.70 25.0 48.0 7.8 44.2 0.0 0.0 0.8

15-Week 9/22/2020 0.100 3.76 25.0 54.2 10.6 35.2 0.0 0.0 0.8

15-Week 9/29/2020 0.090 4.08 25.0 54.0 12.4 33.6 0.0 0.0 0.8

15-Week 10/6/2020 0.095 3.61 25.0 44.2 4.9 50.9 0.0 0.0 0.8

Bills (cont.)
45

*Weighted averages of competitive awards.

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

Issue Settle Date

Stop 

Out 

Rate 

(%)*

Bid-to-Cover 

Ratio*

Competitiv

e Awards 

($bn)

% Primary 

Dealer* % Direct* % Indirect*

NonCompetitiv

e Awards 

($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equival

ent 

($bn)**

17-Week 7/9/2020 0.150 3.18 35.0 59.2 3.9 36.9 0.0 0.0 1.2

17-Week 7/16/2020 0.145 3.21 35.0 55.1 2.8 42.1 0.0 0.0 1.2

17-Week 7/23/2020 0.120 3.08 30.0 70.2 5.1 24.7 0.0 0.0 1.0

17-Week 7/30/2020 0.110 3.40 30.0 59.1 3.3 37.6 0.0 0.0 1.0

17-Week 8/6/2020 0.100 3.45 30.0 61.5 4.6 33.9 0.0 0.0 1.0

17-Week 8/13/2020 0.110 3.39 30.0 57.3 2.4 40.2 0.0 0.0 1.0

17-Week 8/20/2020 0.110 3.36 30.0 53.5 3.3 43.2 0.0 0.0 1.0

17-Week 8/27/2020 0.110 3.05 30.0 68.3 2.9 28.8 0.0 0.0 1.0

17-Week 9/3/2020 0.115 3.21 30.0 57.7 3.7 38.6 0.0 0.0 1.0

17-Week 9/10/2020 0.120 3.55 30.0 44.3 4.9 50.7 0.0 0.0 1.0

17-Week 9/17/2020 0.110 3.88 30.0 60.7 11.5 27.8 0.0 0.0 1.0

17-Week 9/24/2020 0.095 3.95 30.0 44.5 2.2 53.3 0.0 0.0 1.0

17-Week 10/1/2020 0.090 4.19 30.0 47.2 3.4 49.5 0.0 0.0 1.0

22-Week 7/7/2020 0.155 3.18 30.0 64.5 2.3 33.1 0.0 0.0 1.3

22-Week 7/14/2020 0.155 3.33 30.0 53.7 3.9 42.5 0.0 0.0 1.3

22-Week 7/21/2020 0.145 3.40 30.0 57.6 1.6 40.8 0.0 0.0 1.3

22-Week 7/28/2020 0.135 3.18 30.0 45.8 2.1 52.1 0.0 0.0 1.3

22-Week 8/4/2020 0.110 3.48 30.0 44.8 4.5 50.7 0.0 0.0 1.3

22-Week 8/11/2020 0.110 2.91 30.0 73.7 3.2 23.1 0.0 0.0 1.3

22-Week 8/18/2020 0.120 3.28 30.0 41.8 3.2 55.0 0.0 0.0 1.3

22-Week 8/25/2020 0.115 3.39 30.0 60.0 6.3 33.8 0.0 0.0 1.3

22-Week 9/1/2020 0.110 3.67 30.0 46.0 3.2 50.8 0.0 0.0 1.3

22-Week 9/8/2020 0.120 3.26 30.0 54.0 4.8 41.3 0.0 0.0 1.3

22-Week 9/15/2020 0.120 3.29 30.0 50.5 3.8 45.7 0.0 0.0 1.3

22-Week 9/22/2020 0.110 3.45 30.0 50.8 3.0 46.2 0.0 0.0 1.3

22-Week 9/29/2020 0.100 3.29 30.0 63.6 4.1 32.3 0.0 0.0 1.3

22-Week 10/6/2020 0.105 3.53 30.0 30.6 3.3 66.1 0.0 0.0 1.3

39-Week 7/23/2020 0.140 3.35 20.0 72.1 4.5 23.4 0.0 0.0 1.6

Bills (cont.)
46

*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. 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 7/31/2020 (0.930) 2.24 14.0 17.8 9.9 72.3 0.0 1.6 16.3

10-Year TIPS 9/30/2020 (0.966) 2.65 12.0 16.3 15.0 68.7 0.0 1.6 13.9

30-Year TIPS 8/31/2020 (0.272) 2.25 7.0 22.1 7.5 70.4 0.0 0.6 22.5

TIPS 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 7/31/2020 0.155 2.34 47.8 39.3 14.8 45.8 0.2 5.5 11.3

2-Year 8/31/2020 0.155 2.78 49.9 28.7 13.7 57.6 0.1 4.3 11.2

2-Year 9/30/2020 0.136 2.42 51.9 33.4 14.1 52.5 0.1 7.1 12.3

3-Year 7/15/2020 0.190 2.44 45.9 32.4 13.3 54.3 0.1 4.0 15.7

3-Year 8/17/2020 0.179 2.44 47.9 30.7 12.3 57.0 0.1 28.5 24.2

3-Year 9/15/2020 0.170 2.28 49.9 36.3 13.0 50.7 0.1 2.1 16.2

5-Year 7/31/2020 0.288 2.32 49.0 29.6 12.3 58.1 0.0 5.6 28.6

5-Year 8/31/2020 0.298 2.71 51.0 17.8 15.9 66.2 0.0 4.4 28.5

5-Year 9/30/2020 0.275 2.52 53.0 20.7 17.4 61.9 0.0 7.3 31.3

7-Year 7/31/2020 0.446 2.45 44.0 19.3 16.8 63.9 0.0 5.0 35.7

7-Year 8/31/2020 0.519 2.47 47.0 15.3 16.4 68.3 0.0 4.1 36.4

7-Year 9/30/2020 0.462 2.42 50.0 20.5 16.6 62.8 0.0 6.8 41.0

10-Year 7/15/2020 0.653 2.62 29.0 19.7 17.0 63.4 0.0 2.5 31.5

10-Year 8/17/2020 0.677 2.41 38.0 19.8 14.7 65.4 0.0 22.6 62.1

10-Year 9/15/2020 0.704 2.30 35.0 27.1 14.6 58.3 0.0 1.4 36.4

20-Year 7/31/2020 1.059 2.43 17.0 21.2 11.8 67.0 0.0 1.9 35.2

20-Year 8/31/2020 1.185 2.26 25.0 26.2 11.2 62.6 0.0 2.2 50.1

20-Year 9/30/2020 1.213 2.39 22.0 24.0 15.3 60.7 0.0 3.0 46.2

30-Year 7/15/2020 1.330 2.50 19.0 17.4 10.5 72.0 0.0 1.7 53.6

30-Year 8/17/2020 1.406 2.14 26.0 28.3 11.9 59.8 0.0 15.5 107.6

30-Year 9/15/2020 1.473 2.31 23.0 21.3 16.1 62.6 0.0 0.9 60.7

2-Year FRN 7/31/2020 0.055 3.29 24.0 33.2 1.3 65.6 0.0 2.7 0.0

2-Year FRN 8/28/2020 0.055 2.85 22.0 45.9 1.3 52.7 0.0 0.0 0.0

2-Year FRN 9/25/2020 0.058 2.88 22.0 74.4 9.4 16.3 0.0 0.0 0.0

Nominal Coupons
Treasury Bills Supply and Demand Dynamics and 

Issuance Recommendations

November 2020

In light of unprecedented borrowing needs, Treasury has more than doubled the supply of T-bills over the past year amid a surge in 

demand for high-quality, short-term assets. T-bills currently represent approximately 25% of total Treasury debt outstanding, exceeding 

the historical average of 23%, and are at the highest proportion since 2009.

Please discuss the drivers of supply and demand across Treasury bills and other high-quality, short-dated investments (e.g., CP, repo, 

agency discount notes), and expectations for money market conditions going forward.

As outlined in the last two quarterly refunding announcements, Treasury has been gradually shifting its financing from bills to longerdated tenors as a prudent means of managing its maturity profile. Please discuss considerations for Treasury as it evaluates the 

appropriate level of Treasury bills issuance for the medium- and long-term.
Executive Summary

1

Supply and demand landscape, and its implications

• Strong demand allowed Treasury to rapidly increase T-bills issuance (doubling the outstanding in ~3 months), following a typical

recession pattern

• Money market funds (MMFs) have steadily displaced foreign investors, in terms of percentage ownership, over the past few years

• This trend accelerated in 2020 with MMFs now holding ~40% of T-bills outstanding, compared to ~15% a few years ago

• We expect the rotation from Prime to Government MMFs and the increased MMFs allocation to T-bills are both structural

• MMFs concentration also puts a higher floor on the size of T-bills outstanding, given challenges around negative yields 

• Robust demand should provide substantial room for an increase in T-bills issuance despite the recent increase in outstanding, both 

nominal and as a percentage of marketable debt

T-bills issuance policy recommendations

• Maintaining the share of T-bills in outstanding debt at levels modestly above its historical average may be appropriate for a time, as

• T-bills can continue to act as an important channel for meeting unexpected funding needs, and

• Adjustments to coupon issuance only gradually raise their net supply

• Over the longer term, T-bills outstanding can be lowered as a percentage of marketable debt, as Treasury moves to a more optimal debt 

profile

• Lower T-bills share of outstanding would give Treasury ‘space’ in the event of future crises

• Previous TBAC charges have highlighted the benefits of moving issuance into short- and intermediate-term coupons

• T-bills outstanding averaged ~15% of marketable debt in several years leading up to Covid-19; while there is room to comfortably

run T-bills at a higher percentage share of outstanding marketable debt, a return to 15-20% would allow T-bills to retain their 

efficacy as a shock absorber
2

Supply and demand drivers across T-bills and other 

short dated instruments
3

T-bills supply increased sharply in the 2020 recession, much like in previous ones

T-bills supply increased dramatically this year Large supply 

• T-bills functioned as shock absorbers to fund the 

financing needs related to Covid-19

• Following the passage of the CARES act, T-bills 

outstanding increased by $2.5trn - from $2.5trn 

to $5.1trn outstanding - in a span of 3 months

• Over the same period, total marketable debt 

increased $3trn, resulting in T-bills contributing 

84% of the increased supply

• This large role of T-bills is typical in recessions

• T-bills were 78% of the net supply in the 

2008 recession and 117% in the 2001 

recession

• Subsequently, T-bills as % of outstanding decline to 

pre-recession levels. However, this typically takes 

years and is mostly driven by increased overall 

issuance rather than large decline in outright T-bills 

T-bills supply has been the dominant share of total supply in recessions outstanding

Source: Federal Reserve, Haver

Source: Bloomberg, Calculations

0%

5%

10%

15%

20%

25%

30%

35%

40%

80 85 90 95 00 05 10 15 20

% of bills in total marketable debt

% of bills in total marketable debt (ex-fed)

'01 recession '08 recession '20 recession

T-bills outstanding %, pre-recession 20% 21% 15%

T-bills outstanding %, high 29% 34% 26%

Increase in T-bills outstanding, $bn 334 1,066 2,515

Time to increase T-bills allocation 31 months 12 months 3 months

Increase in marketable debt outstanding, $bn 286 1,358 2,987

Increase in T-bills, % of increase in marketable debt 117% 78% 84%

Date of T-bills reaching pre-recession level Jun-07 Sep-10 ?

Decline in T-bills outstanding, $bn 86 215

Time to get to pre-recession share 52 months 22 months ?
4

Strong demand has resulted in T-bills trading well despite the large supply

T-bills have traded in range despite large supply shock...

• In the initial flight to quality, T-bills traded ~15bp below 

OIS before cheapening to 10bp over OIS amid the large 

supply

• This range is fairly tight given the magnitude of supply. 

For instance, in late August 2019, T-bills traded 15bp 

cheap to OIS on a liquidity impacted growth scare, when 

net 12m net issuance was far smaller at ~$130bn

• This reflects the balance between supply and demand 

factors 

• Flight to quality in economic scares results in assets 

migrating to MMFs, coincidental with a rise in supply

Source: Bloomberg

Rotation out of prime MMFs contributed to cheapening of 

short term alternatives relative to T-bills

Source: Bloomberg

Despite $2.5trn net supply, T-bills traded no cheaper than 

in the August 2019 growth scare

-20

-15

-10

-5

0

5

10

15

20

Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20

bp

3m T-bills spread over OIS

...particularly with respect to short-term alternatives

• Other non-bill short term investments cheapened 

significantly in the March crisis with 3m CP, repo and 

Agencies discount notes trading 200bp, 80bp and 30bp 

above T-bills respectively

• This likely reflects broader investor preference for 

liquidity and is coincidental with investors rotating out of 

prime market funds into government ones

-100

0

100

200

300

400

500

600

Jan-20 Mar-20 May-20 Jul-20 Sep-20

bp

3m Agy Disc spread over bills 3m CP spread over bills

Repo spread over 3m bills Muni VRDO spread over 1m bills
5

Strong demand from MMFs helped absorb increased T-bills supply

T-bills issuance, as % of total, in range

• Even as the notional amount of T-bills issuance was large, 

it was within historical ranges as a percent of total 

marketable issuance 

Robust demand allowed rapid increase in T-bills issuance 

• Demand kept pace with this increased supply

• Of the ~$2.5trn supply post Covid-19, MMFs absorbed 

$1.5trn, of which $1.2trn was by Government MMFs

• MMF assets have increased following an increase in 

reserves and a flight to quality

• This pattern is typical around recessions

12m T-bills supply, as a percent of total issuance, is still 

below the ‘08 crisis

Source: Bloomberg

MMF assets have increased alongside T-bills outstanding

$0

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

96 98 00 02 04 06 08 10 12 14 16 18 20

$bn

Money Market Funds, Assets Bills Outstanding

Source: Bloomberg, Macrobond

-50%

-30%

-10%

10%

30%

50%

70%

90%

-$500

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

$3,500

02 04 06 08 10 12 14 16 18 20

$bn

12m net issuance, bills Share of bills in 12m net issuance (RHS)
6

Both Government and prime MMFs have increased their allocation to T-bills

Government MMF’s allocation to T-bills has increased to more 

than 50%

• Increased demand for T-bills from MMFs is due to 

increase in assets as well as an increase in allocation 

to T-bills 

• Government MMF’s allocation to T-bills has 

increased from 30-40% of assets to now well greater 

than 50%

• Some of this allocation has been a rotation from 

repo and agency debt into T-bills as their 

spreads over T-bills have compressed

...and Prime MMFs too

• Allocation at prime funds has also shifted in favor of 

T-bills following the flight to quality event in March 

• As prime funds seek stability in NAV and face 

redemption volatility, they have increased their 

liquidity buffers and allocated more to T-bills

Source: NY Fed

Prime MMFs have done the same

0%

10%

20%

30%

40%

50%

60%

70%

10 12 14 16 18 20

US Treasuries US Agencies Tsy Rpo Agy Repo

Source: NY Fed

Greater allocation to T-bills from Government MMFs...

0%

10%

20%

30%

40%

50%

60%

10 12 14 16 18 20

Repo CD Unsecured CP ABCP T-bills and other
7

MMFs share of T-bills outstanding has eclipsed that of foreign investors

MMFs displaced foreign investors in the T-bills universe

• As a share of the T-bills market, MMFs have steadily 

displaced foreign investors over the past few years. This 

trend accelerated this year

• MMFs now own ~40% of the T-bills outstanding, compared 

with ~15% pre MMF reform

• Foreign investors, on the other hand, now own 20% of 

outstanding compared with ~50% in 2015. Even as foreign 

official holdings have increased, they haven’t kept pace 

with issuance

• The following factors have contributed to this trend

• 2016 MMF reforms,

• Slower pace of FX reserve accumulation, and 

• More recently, a lack of large increase in T-bills allocation 

in foreign official portfolios, unlike in previous flight to 

quality episodes

Some Prime MMF assets have rotated into more T-bills 

leaning Government funds

• Increasing role of MMFs in T-bills space is driven by a 

rotation out of prime MMFs into government MMFs

• 2016 MMF reform, which among other changes, sought 

stable NAV for retail and government MMFs but required 

institutional funds to have floating NAVs, contributed to 

this trend 

• We believe this trend is likely to continue

• Prime MMF assets have declined significantly in 2008 and 

2020 crises as investors sought safe-haven assets

• In August, ~$130bn in prime MMF assets (12% of total 

prime MMF assets) converted to government funds

Source: ICI

The increase in demand for T-bills was driven by a sharp 

increase in Government MMFs assets

Source: Federal Reserve, Macrobond

MMFs own ~40% of the T-bills universe, an increase from 

15% a few years ago

0%

10%

20%

30%

40%

50%

60%

94 96 98 00 02 04 06 08 10 12 14 16 18 20

Fed Money Market Funds Mutual Funds Foreign

$0

$1,000

$2,000

$3,000

$4,000

08 10 12 14 16 18 20

$bn

Prime, Total Retail, Total Taxable Government, Total
8

Foreign share of the T-bills outstanding has steadily declined

Foreign official demand led the way in ‘08 but foreign private 

demand drove foreign T-bills purchases in 2020

Foreign demand now more driven by private investors

• In the ‘08 crisis, share of T-bills in foreign official Treasury 

portfolios increased from 12% to ~25%. This drove 

foreign T-bills holding to ~45% of T-bills outstanding, 

which steadily increased to 50% by 2015

• However, in the 2020 crisis, the share of T-bills in foreign 

official portfolios increased marginally from 7% to 9%

• Since February, even as T-bills outstanding increased by 

$2.5trn, foreign holdings increased only $310bn

• Of this $310bn, financial centers (likely private investors) 

accounted for $190bn, half was which was attributable 

to Ireland. The latter might have been driven by 

idiosyncratic factors

Foreign investors have increased their preference for 

coupon Treasuries

• In general, foreign private and official investor demand 

for T-bills has been falling, as a percent of total T-bills 

outstanding, over the past few years.

• This decline has outpaced the decline in total foreign 

holdings as percent of marketable debt outstanding

• From 2015 to present, foreign Treasury holdings 

have declined from 50% to 35%

• Over the same period, foreign T-bills holding 

have declined from 50% to 20%

• This implies that their preference for coupon 

Treasuries has increased on a relative basis

Source: Treasury, Bloomberg

Note: Financial Centers include UK, Ireland, Belgium, Cayman Islands, Switzerland, 

Luxembourg and the Caribbean. Source: Treasury, Macrobond

0%

10%

20%

30%

40%

50%

60%

00 02 04 06 08 10 12 14 16 18 20

Foreign bills holdings, % of bills outstanding

% of bills in foreign official Treasury portfolio

Financial centers have driven recent foreign T-bills 

purchases

0

100

200

300

400

500

12 13 14 15 16 17 18 19 20

$bn

Tsy holdings in Financial Centers, bills

of which, Ireland

Foreign Official, Treasury Bills
9

Prime funds have increased preference for T-bills over CP/CD

Institutional prime fund assets dropped during March while retail 

prime funds were more stable

Prime MMFs have increasingly preferred T-bills over 

alternatives...

• Prime MMF assets, especially institutional, declined in 

March

• While floating NAV regulations likely reduced the 

flight out of prime funds in March 2020, relative to 

the experience in 2008 and 2011, it didn’t completely 

eliminate the redemption pressure on these funds

• Institutional investors likely redeemed because of 

unwillingness to be subject to redemption fees and 

gates in case the fund's liquidity buffer dipped below 

30%

...contributing to a decline in CP and CD outstanding

• Decline in prime MMFs assets coincides with a drop 

in commercial paper outstanding 

• Since March, both retail and institutional prime funds 

have reduced their CD/CP holdings

• Financial CP/CD, non-financial CP, ABCP outstanding 

have declined to near 3y lows

• This should result in continued higher demand for Tbills from prime MMFs 

Since March both retail and institutional prime funds have 

reduced their CD/CP exposure

Source: Federal Reserve, Runs and Interventions in the Time of COVID-19: Evidence from Money 

Funds

Source: Crane

35

40

45

50

55

60

65

70

75

Oct-16 Jul-17 Apr-18 Jan-19 Oct-19 Jul-20

CD/CP holdings of prime funds as % of AUM

Institutional Retail
10

Should T-bills supply decline, MMFs are likely to allocate into repo

There is room for Government MMFs to invest more in the repo 

market

• Since March, government MMFs have decreased their 

investments in the repo market. This is likely due to the large 

increase in T-bills issuance and a compression of repo 

spreads over T-bills

• MMFs have a new avenue to access the repo market via 

sponsored repo which they did not have at the previous ZLB

• Sponsored repo, which allows for netting of trades through 

a central clearing counterparty, has been a key reason that 

MMFs have been able to increase their investments in repos 

over the past few year, pre-2020 crisis

• Even given fund prospectus constraints and internal 

counterparty risk guidelines, there is room for government 

MMFs to increase investment in the repo market, both on a 

percentage of holdings basis and absolute dollar basis

• This might become necessary for MMFs if T-bills supply 

declines while MMF assets remain elevated. On margin, this 

makes MMFs more robust to a decline in T-bills supply 

Usage of RRP quickly picked up after its introduction at the 

ZLB. Sponsored repo could drive MMF pickup in the future

Source: Crane

Source: Bloomberg

0

200

400

600

800

1000

1200

Oct-16 Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20

Government MMFs invested in repo, $bn

0

50

100

150

200

250

0

50

100

150

200

250

300

350

400

450

500

Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19

O/N RRP accepted bids $bn RRP award rate, % (RHS)
11

Agency discount notes supply is unlikely to increase

• The largest issuer of discount notes has been the 

FHLBs who had ramped up issuance during March 

and April as they expected demand for advances. 

Since then they have decreased discount notes 

issuance given the decline in advances

• While FHLB discount notes issuance has declined, 

their outstanding as percentage of total GSE debt 

is now close to pre-covid levels (~40%)

• FNMA and FHLMC have not increased their 

discount notes issuance as they look to extend 

their debt and diversify from short-end SOFR FRNs

• Overall it does not appear that discount notes 

issuance will be increasing in the near-term

Outstanding agency discount notes have been decreasing 

since April

Percentage of discount notes of total outstanding debt has 

declined as well

0%

10%

20%

30%

40%

50%

60%

70%

Jan-20 Mar-20 May-20 Jul-20 Sep-20

% of Discount notes out of Total Debt Outstanding FNMA

FHLMC

FHLB

0

100

200

300

400

500

600

700

Jan-20 Mar-20 May-20 Jul-20 Sep-20

$ bn

Discount notes outstanding FHLMC

FNMA

FHLB

Source: FHLB, FNMA, FHLMC

Source: FHLB, FNMA, FHLMC
12

Trends in bank demand – a likely front-end backstop but they are extending out

• Deposit growth has increased at banks since March driven by 

reserve growth from the Fed’s asset purchases

• It is likely to increase next year as QE continues and the TGA 

balance is eventually drawn down

• Since April, there has been an increase in demand for USTs, 

and MBS to a lesser extent, by bank portfolios

• Temporary SLR exclusion may drive front-end demand

• On April 1st, the Fed announced that Treasuries and 

Reserves are excluded from SLR calculation for bank 

holdings companies until March 31st 2021. On May 15th, 

this rule was extended to include depository Institutions

• Auction allotment data show that banks are buying coupon 

Treasuries

• Demand may be driven from a Fed on hold for an extended 

period of time and a lack of loan growth

Deposits have increased on the back of the Fed’s asset purchases

Since April first there has been an increasing preference for USTs 

(included in the Non-MBS category) over MBS at banks

-50

0

50

100

150

200

250

300

0 2 4 6 8 10 12 14 16 18 20 22 24 26

$bn

Weeks from Apr 1st 2020

MBS

Non-MBS

Source: Federal Reserve H8

Source: Federal Reserve H8

10,000

11,000

12,000

13,000

14,000

15,000

16,000

17,000

Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20

Deposits (large time deposits + other)

$bn
13

Policy implications of the changing supply-demand landscape for T-bills

Robust demand suggests that the market has capacity to digest an increase in T-bills issuance should a near term need arise

• MMFs have driven the robust demand for T-bills. As their assets have increased, they are now a greater share of the T-bills universe 

than foreign investors. MMFs are also allocating more of their portfolios to T-bills. Spread compression and regulatory factors have 

both played a role

• This robust demand has enabled greater flexibility in the issuance strategy for T-bills in the medium term. Even if MMF assets decline 

as the economy recovers, there is room for these funds to allocate more to T-bills 

• A 10% greater allocation to T-bills corresponds to new net demand of $500bn all else equal

• This is before taking into account that a new crisis is likely to spur an inflow into MMF assets

– A $1trn of new inflow into MMFs with a moderate increase in allocation to T-bills corresponds to net new demand of $500-

600bn

– There is room for T-bills demand from other sources, especially if the front end of the Treasury curve remains flat with the 

Fed at ZLB for an extended period

• We therefore expect pricing implication of an unexpected increase in T-bills supply to be minimal

A substantial decline in T-bills supply is not desirable

• MMFs absorbed $1.5trn of the $2.5trn net T-bills issuance this year. This greater MMF participation has increased concentration risks

• MMFs now own ~40% of the T-bills universe and foreign investors only 20% 

• The average 7d yield on an institutional prime fund is just 5bp and institutional government fund is 2bp

• As the Fed stays at zero lower bound, stable value Government MMFs face challenges should T-bills yields become negative for 

sustained periods

• Outside of repo, it is hard to envision a suitable short term investment alternative for ~$2trn in T-bills holding at MMFs. Supply for 

Agency discount notes, CP and CD are at multi-year lows and is small relative to T-bills outstanding

• This effectively increases the level of T-bills, as percent of outstanding, that can be absorbed by the market without a significant price 

impact. 

• A rapid decline in T-bills outstanding is likely to increase the possibility of negative rates amid financial stress and a Fed target range 

of 0-25bp
14

Appropriate level of T-bills issuance over medium 

and long term
15

• There is considerable near-term uncertainty on two fronts:

1. The timing and size of further fiscal stimulus 

2. The outlook for coupon auction sizes

• For purposes of scenario analysis, we assume:

• Current coupon sizes are static (see Appendix)

• Fed purchases continue at $80b/month with no 

change in maturity composition

• The TGA balance will be drawn down to $800bn

• $521bn of PPP loans will be paid out in FY 2021

• Without further fiscal stimulus, T-bills outstanding, as a 

percent of total marketable debt, will decline to ~14% by 

the end of FY 2022

• Under this scenario, decline in the T-bills share of 

outstanding would be slightly slower than in ’08

• A decline in the share of T-bills outstanding could give 

Treasury flexibility in the event of a future shock or the 

upcoming fiscal stimulus

If there is no further fiscal stimulus, T-bills supply will naturally 

decline as a % of marketable debt

Assumptions: All numbers are in $bn. Deficit assumptions are per the CBO. We assume the $521bn of 

PPP is paid out in FY 2021. Source: Calculations, CBO

Notes and bond issuance has been increasing over the 

past few years

Source: Treasury, calculations

What is the T-bills trajectory assuming no further fiscal stimulus?

CBO 

deficit TGA bills coups

FY2020 3132 1782 0 4014 2652 1362 25%

FY2021 1810 800 521 1349 -1038 2387 18%

FY2022 1336 800 0 1336 -870 2206 14%

Fiscal 

Year

PPP 

payout

Total funding 

needs

Chg in net mrkt 

debt Bills as % of 

total mrkt debt

-1500

-1000

-500

0

500

1000

1500

2000

2500

3000

3500

08 09 10 11 12 13 14 15 16 17 18 19 20 21 22

$bn 12m rolling bill supply

12m rolling coupon supply
16

• Further fiscal stimulus in 2021 would lead to increased Tbills supply in 2021

• Under the same assumptions, T-bills share would get to:

• 19% by FY 2022 under a $1.5tn package

• 24% by FY 2022 under a $3tn package

• Treasury has significant flexibility to fund stimulus either 

through T-bills or an increase in both T-bills and coupons

• The elevated level of the TGA balance provides Treasury 

further flexibility

Further fiscal stimulus, without coupon increases, would lead 

to a slower decline in the share of T-bills outstanding

Assumptions: All numbers are in $bn. Deficit assumptions are per the CBO. We assume the $521bn of 

PPP is paid out in FY 2021. Source: Calculations, CBO

How would potential stimulus impact the trajectory?

-2000

-1000

0

1000

2000

3000

4000

08 09 10 11 12 13 14 15 16 17 18 19 20 21 22

$3tn stimulus

$1.5tn stimulus

T-bills net supply is likely to decline in 2022

$1.5tn fiscal package in 2021

CBO 

deficit TGA bills coups

FY2020 3132 1782 0 4014 2652 1362 25%

FY2021 3310 800 521 2849 462 2387 24%

FY2022 1336 800 0 1336 -870 2206 19%

$3tn fiscal package in 2021

CBO 

deficit TGA bills coups

FY2020 3132 1782 0 4014 2652 1362 25%

FY2021 4810 800 521 4349 1962 2387 28%

FY2022 1336 800 0 1336 -870 2206 24%

Fiscal 

Year PPP payout

Total 

funding 

needs

Chg in net mrkt debt

Bills as % 

of total 

mrkt debt

Fiscal 

Year PPP payout

Total 

funding 

needs

Chg in net mrkt debt Bills as % 

of total 

mrkt debt

Source: Calculations
17

• We estimate T-bills outstanding across different fiscal 

packages including historical maximums and minimum 

levels

• The top end of the historical range is 34% and the 

low range is 10% 

• We assume no further coupon hikes

• A return to 34% T-bills share of outstanding in the future 

would result in a large absolute level of T-bills

• We do expect some mitigating factors if funding needs 

required T-bills issuance to approach historic capacity:

• Banks portfolios would likely provide a soft 

backstop on the yield level of T-bills. This would 

be especially true if the temporary exclusion from 

SLR was extended or made permanent

• If issuance needs were driven by a flight to quality 

event, similar to March/April, then the Fed might 

be engaging in QE or other measures that could 

increase reserves in the system

Scenario analysis around historical ranges in the T-bills market

How does T-bills capacity compare to the historical maximum share?

Source: Calculations

0%

10%

20%

30%

40%

Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22

Bills % outstanding, $bn

Historic max of 34% Current path

$3tn fiscal in FY21 $1.5tn fiscal in FY21

Historic minimum of 10%

Bills 

outstanding, $bn

Current 

path

$1.5tn fiscal 

in FY21

$3tn fiscal 

in FY21

Historic 

Max

FY21 3991 5491 6991 9129

FY22 3121 4621 6121 10250

Shock 

capacity, $bn

Current 

path

$1.5tn fiscal 

in FY21

$3tn fiscal 

in FY21

FY21 5138 3638 2138

FY22 7129 5629 4129

Shock absorber capacity in FY21/22

Source: Calculations
18

Considerations for evaluating optimal share of T-bills

Debt due over the next 2y, as a percentage of outstanding, is 

still well below levels from the ‘08 recession

Note: ex-TIPS, Source: Calculations

Long-end term premia has compressed relative to the front-end

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

70 75 80 85 90 95 00 05 10 15 20

%

1y Term Premium 10y Term Premium

Note: Source: Calculations

30%

35%

40%

45%

50%

55%

60%

07 08 09 10 11 12 13 14 15 16 17 18 19 20

Bills+0-2y nominal notes/bonds+FRNs, % of marketable

Source: Bloomberg

• A number of factors should be considered in determining the 

appropriate share of T-bills in outstanding debt

• Previous TBAC charges indicated that T-bills can be an 

attractive source of funding when fiscal risk is measured by 

variation in the budget deficit

• However, several considerations push against making the 

share of T-bills too high:

o An unusually high level of T-bills (share or absolute) 

can raise operational challenges for Treasury

o Many of the benefits of T-bills in the optimal debt 

structure can be achieved with floating rate notes, 

short- and intermediate-term coupon securities

o Proximity to the ZLB reduces some of the correlation 

benefits from issuing T-bills

o Low term premia make issuing coupon debt less 

expensive than otherwise

o The increase in the SOMA portfolio has significantly 

increased the sensitivity of Treasury debt cost to shortterm rates

• On balance, we believe that these considerations argue for 

managing T-bill share to 15-20%

• This approach would prudently maintain capacity for 

shock absorption, while still operating in a regular and 

predictable manner
19

Longer term T-bills issuance strategy: Terming out the debt profile 

Since 2015, Treasury has successfully increased the share of Tbills while maintaining WAM of marketable debt pre-Covid 10% T-bills share was deemed too low in 2015

• In 2015 Q2 Quarterly Refunding statement, Treasury 

noted that “The supply of bills outstanding as a 

percentage of the total Treasury portfolio is at a multidecade low of approximately 11 percent... Treasury 

believes that it is prudent to increase the level of Treasury 

bills outstanding...should not be interpreted as changing 

Treasury’s debt issuance strategy of extending the weighted 

average maturity of the debt.”

• Since then, Treasury successfully increased the T-bills 

share of outstanding to 15% pre-Covid, while maintaining 

weighted average maturity of marketable debt at ~70m

• This was achieved through continued terming out 

of the notes and bonds universe

• WAM of the non-bills universe increased from 

high70s to mid 80s months, while overall WAM 

remained steady at 70months

Post Covid-19, room to continue terming out

• Once the near term uncertainties around Covid related 

funding needs are resolved, there is room for Treasury to 

continue terming out the debt profile

• This can be achieved via a combination of T-bills 

reverting to 15-20% of the marketable debt and further 

terming out of notes/bonds universe

• Within the nominal notes/bonds universe, the increase in 

share of the 15-30y sector has largely come at the 

expense of 5-10y sector

• Further terming out can be achieved through a issuance 

profile that favors 5-10y sector on the margin over 2-5y

Source: Calculations

 40

 45

 50

 55

 60

 65

 70

 75

 80

 85

 90

07 08 09 10 11 12 13 14 15 16 17 18 19 20

Months

Notes, Bonds, TIPS, FRNS Bills, Notes, Bonds, TIPS, FRNS

Within the nominal notes and bonds universe, the share of 5-10y 

sector has declined as 15-30y sector has increased

Note: ex-FRN and TIPS. Source: Calculations

0%

5%

10%

15%

20%

25%

30%

35%

40%

07 08 09 10 11 12 13 14 15 16 17 18 19 20

0-1y notes+Bonds 1-2y 2-5y

5-10y 10-15y 15-30y
20

Conclusions

• Treasury retains significant flexibility when it comes to T-bills issuance under various fiscal stimulus scenarios:

• The market well absorbed the ~$2.5tn T-bills issuance following the CARES act

• There is ample room to increase T-bills issuance over the next few years due to any further fiscal shocks

• The current level of the TGA provides flexibility around meeting near-term outflows while avoiding abrupt increases in 

issuance sizes

• On balance, allowing T-bills to run back down to 15-20% of marketable debt, in a regular and predictable manner, in favor of 

other short or intermediate instruments, would be prudent

• Rollover risks remain low as the debt due over the next 2y remains well within historical ranges

• The ancillary benefits of short issuance (T-bills vs 2-5y coupon debt) becomes less meaningful with compressed term 

premium and absolute yields

• Operational considerations should be a factor

• The increase in the SOMA portfolio has significantly increased the sensitivity of Treasury debt cost to short-term rates

• As indications of market appetite for T-bills and their use in a broader portfolio, Treasury could continue to monitor:

• Valuation spreads: T-bills yields against matched maturity OIS and term GC

• MMF assets and their product allocation

• Cost/benefit between FRNs, a new SOFR FRN for example, and T-bills

• Valuations and auction performance of coupons