Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2023 Q3 Report
Table of Contents*

2

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

II. Recent Fiscal Results

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

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

C. Cumulative Budget Deficits p.8

III. Various Fiscal Forecasts

A. Recent Macroeconomic Forecasts p.10 

B. Recent Deficit Forecasts p.11

C. Historical Changes in Various Deficit Forecasts p.12

D. Interest Rate Assumptions for Various Forecasts p.13

IV. Estimated Borrowing Needs and Financing Implications 

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

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

C. Longer-Term Borrowing Estimates p.18

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

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

V. Select Portfolio Metrics

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

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

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

D. Historical & Hypothetical Projected Rollover Percentages p.26

VI. Select Demand Metrics

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

B. Investor Class Metrics p.33-37

C. Direct Awards and Primary Dealer Awards p.38 

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

VII. Appendix p.42-54

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

Executive Summary
Receipts and Outlays through Q3 FY2023

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

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

Latest Market Expectations for Treasury Financing in July 2023:

Highlights of Treasury’s August 2023 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

Fiscal Year Primary Dealers Median July 2023 

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

2023 2,440 2,378 2,193 

2024 2,078 2,324 2,105 

2025 1,750 1,809 1,844 

$ billions Change from same 

period last year ($ bn)

Change from same 

period last year (%)

As % of 

GDP

Change from same 

period last year 

(GDP %)

Total Receipts thru Q3 FY2023 $3,413 -$423 -11% 17.1% -3.3%

Total Outlays thru Q3 FY2023 $4,805 +$455 +10% 24.1% 0.9%

Treasury OFP Near Term Fiscal 

Projections

Net Privately Held Marketable 

Borrowing ($ billion)

Assumed End-of-Quarter 

Cash Balance ($ billion)

Q4 FY2023 1,007 650 (Sep)

Q1 FY2024 852 750 (Dec)

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

Uncertainty regarding funding needs in FY2024 and FY2025 remains relatively high, reflecting a variety of views on the path of 

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

• Primary dealers generally expected gradual increases to coupon auction sizes, beginning at the August refunding. In July, dealers 

boosted their aggregate median estimates for privately-held net marketable borrowing by a cumulative $770 billion for the FY23-

FY25 period, relative to their April estimates.

• Given the forecasted financing gap over FY2023 and beyond, all dealers noted that both bill and coupon auction sizes could be

increased to address near term financing gaps. Several dealers expect bills share to temporarily exceed TBAC’s recommended 15-

20% range. 

• Most dealers expected Treasury to gradually increase TIPS sizes in the upcoming quarters. 

4
Section II:

Recent Fiscal Results

Receipts, Outlays, and Deficits
6

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

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

customs duties and miscellaneous receipts. 

50

100

150

200

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

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other

Notable Receipt Category

YoY change thru 

Q3 FY23 ($ billion)

YoY change thru 

Q3 FY23 (%) Comments

Non-withheld and SECA taxes -$282 -27% Due to 40% lower tax receipts in the April-May period than last year's record level. 

Individual refunds -$116 -55%

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

inventory.

Federal Reserve earnings -$93 -99% Remittances have decreased year-over-year as administered rates moved higher. 

Withheld & FICA taxes 

(calendar adjusted) +$81 +3% Due to higher wages and employment, partially offset by December's lower bonuses.
7

200

400

600

800

1,000

1,200

1,400 $ bn

Largest Outlays

Oct - Jun FY2022 Oct - Jun FY2023

Outlays in the chart above are on calendar adjusted basis

Notable Outlay Category

YoY change thru 

Q3 FY23 ($ billion)

YoY change thru 

Q3 FY23 (%) Comments

Social Security Administration 

(calendar adjusted) +$101 +11%

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

increased number of beneficiaries. 

Health and Human Services 

(calendar adjusted) +$80 +7% Due to higher Medicare and Medicaid outlays. 

Department of Defense 

(calendar adjusted) +$45 +9%

Due to increased spending for military personnel, operations, maintenance, 

and procurement.

Department of Treasury -$68 -7%

Interest on the public debt is $131 billion (25%) higher; while outlays for tax 

credits are $93 billion (-30%) lower and Covid-19 relief grants are $89 billion 

(-99%) lower compared to last year. 

Other (not in the chart above) +$184 +133%

Federal Deposit Insurance Corporation outlays are $52 billion higher. FCC 

spectrum auction receipts (negative outlays) were booked in January 2022 

($81 billion).
8

0

500

1,000

1,500

2,000

2,500

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

Cumulative Budget Deficits by Fiscal Year

FY2021 FY2022 FY2023
Section III:

Various Fiscal Forecasts

Primary Dealers, OMB, CBO
10

Recent Economic Forecasts 

Note: Economic assumptions for March 2023 OMB and Feb 2023 CBO forecasts were established in November 2022 and December 2022,

respectively.

Economic assumptions from Jul 2023 CBO forecasts were not reflected in the most recent May CBO budget updates. Budget and Economic 

Data | Congressional Budget Office (cbo.gov)

Primary Dealer Median Estimates July 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real 1.1 0.9 na

 Nominal 4.3 3.2 na

Inflation

 CPI Headline 3.1 2.5 na

 CPI Core 3.9 2.7 na

 Fourth Quarter Levels 

Unemployment Rate (%) 4.0 4.7 na

FY2023 FY2024 FY2025

Deficits ($bil) $1,550 $1,600 $1,688

CBO Estimates February 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real 0.1 2.5 2.6

 Nominal 3.1 4.9 4.8

Inflation

 CPI Headline 4.0 2.4 2.1

 Fourth Quarter Levels 

Unemployment Rate (%) 5.1 4.8 4.6

FY2023 FY2024 FY2025

Deficits ($bil) $1,535 $1,501 $1,649

CBO Estimates July 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real 0.9 1.5 2.4

 Nominal 3.8 3.9 4.5

Inflation

 CPI Headline 3.3 2.7 2.2

 Fourth Quarter Levels 

Unemployment Rate (%) 4.1 4.7 4.5

OMB Estimates March 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real 0.4 2.1 2.4

 Nominal 3.2 4.3 4.6

Inflation

 CPI Headline 3.0 2.3 2.3

 Fourth Quarter Levels 

Unemployment Rate (%) 4.6 4.5 4.4

FY2023 FY2024 FY2025

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

11

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

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

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

noted a high degree of uncertainty around their estimates. 

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

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

• CBO projections are using estimates are from Table 1 of “How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt ,” 

June 2023. 

Deficit Estimates ($ billion)

PD 25th 

Percentile

Primary Dealers 

(Median)

PD 75th 

Percentile

Change from Prior 

Quarter (Median) OMB CBO

FY2023 1,450 1,550 1,625 150 1,570 1,535

FY2024 1,500 1,600 1,699 2 5 1,847 1,501

FY2025 1,650 1,688 1,800 3 8 1,672 1,649

As of date Jul-23 Jul-23 Jul-23 Mar-23 Jun-23
12

Evolution of Median Primary Dealer, OMB, and CBO

Deficit Estimates

400

600

800

1,000

1,200

1,400

1,600

1,800

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

May

2023

Aug

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Nov

2021

Feb 2022 May

2022

Aug

2022

Nov

2022

Feb 2023 May

2023

Aug

2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Nov 2022 Feb 2023 May 2023 Aug 2023 Nov 2023

$ bn

TBAC date

FY 2025

PD FY25 OMB FY25 CBO FY25
13

2.5

3

3.5

4

4.5

5

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

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 07/31/2023 OMB (Mar 2023)

CBO Budget (Feb 2023) CBO Econ Assumptions (Jul 2023)

1 0-Year Treasury Rate of 3.93% as of 07/31/2023
Section IV:

Estimated Borrowing Needs and 

Financing Implications
15

Assumptions for Financing Section (pages 16 to 20)

• Portfolio and SOMA holdings as of 6/30/2023, unless otherwise noted (see slide 20).

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

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

outstanding of ~$4.5 trillion, unless otherwise noted (see slide 20). 

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

as of 6/30/2023, unless otherwise noted (see slide 20).

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

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

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

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

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

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

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

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

additional legislation that may be passed.
16

Privately-Held Net Marketable Borrowing Outlook

$ 0

$200

$400

$600

$800

$1,000

$1,200

Q1 Q2 Q3 Q4

$ bn

FY21 FY22 FY23 FY23 (projection-OFP) FY24 (projection-OFP)
17

* Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs. 

** Assumes an end-of-September 2023 and end-of-December 2023 cash balances of $650 billion and $750 billion respectively versus end-of-June 2023 cash balance of $402

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

Implied Bill Funding for Next Two Quarters Based on 

Recent Borrowing Estimates

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

1,007

Net Coupon Issuance 158

Implied Change in Bills 849

Security Gross Maturing Net Gross Maturing Net

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

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

3-Year 120 108 12 480 334 146

5-Year 86 43 43 473 209 264

7-Year 70 51 19 385 297 88

10-Year 99 41 58 396 174 222

20-Year 27 0 27 144 0 144

30-Year 57 7 50 228 14 214

5-Year TIPS 0 0 0 80 43 37

10-Year TIPS 32 49 (17) 94 98 (4)

30-Year TIPS 8 0 8 17 0 17

Coupon Subtotal 651 493 158 3,031 2,048 982

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY23 Q4

July - September 2023

July - September 2023 Fiscal Year-to-Date

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

852

Net Coupon Issuance 216

Implied Change in Bills 636

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 76 (8) 68 76 (8)

2-Year 126 174 (48) 126 174 (48)

3-Year 120 131 (11) 120 131 (11)

5-Year 129 73 56 129 73 56

7-Year 105 73 32 105 73 32

10-Year 99 55 44 99 55 44

20-Year 39 0 39 39 0 39

30-Year 57 0 57 57 0 57

5-Year TIPS 40 0 40 40 0 40

10-Year TIPS 15 0 15 15 0 15

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 798 582 216 798 582 216

Sources of Privately-Held Financing in FY24 Q1

October - December 2023

October - December 2023 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance
18

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

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

• 2) assuming OFP’s end of fiscal year 2023 cash balance of $650 billion, held constant in out years. 

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

• CBO projections are using estimates are from Table 1 & 2 of “How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt ,” 

June 2023. 

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

Longer-Term Privately-Held Net Marketable Borrowing Estimates and 

SOMA Redemption Assumptions

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

25th Median 75th

FY 2023 Deficit 1,450 1,550 1,625 1,570 1,535

FY 2024 Deficit 1,500 1,600 1,699 1,847 1,501

FY 2025 Deficit 1,650 1,688 1,800 1,672 1,649

FY 2023 SOMA Redemption 699 720 720 698

FY 2024 SOMA Redemption 348 451 563

FY 2025 SOMA Redemption 0 0 0

FY 2023 Privately-Held Net Marketable Borrowing* 2,297 2,440 2,508 2,693 2,378 2,240

FY 2024 Privately-Held Net Marketable Borrowing* 1,913 2,078 2,094 2,324 2,002

FY 2025 Privately-Held Net Marketable Borrowing* 1,613 1,750 1,831 1,809 1,746

Estimates as of: Jul-23 Jul-23 Mar-23 Jun-23

Primary Dealer

OFP OMB CBO
19

Evolution of Median Primary Dealer, OMB, and CBO 

Privately-Held Net Marketable Borrowing Estimates*

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

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

normalized with the same cash balance changes. 

500

1000

1500

2000

2500

3000

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

May

2023

Aug

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

500

1000

1500

2000

2500

Nov

2021

Feb 2022 May

2022

Aug

2022

Nov

2022

Feb 2023 May

2023

Aug

2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

500

1000

1500

2000

2500

Nov 2022 Feb 2023 May 2023 Aug 2023 Nov 2023

$ bn

TBAC date

FY 2025

PD FY25 OMB FY25 CBO FY25
20

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 07/31/2023*

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

Table S-1 of “Budget of The U.S. Government Fiscal Year 2024,” March 2023. CBO’s borrowing projections are using estimates from Table 2 of 

“How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt ,” June 2023. OMB and CBO borrowing estimates from 

FY23 to FY25 are normalized to privately-held net borrowing after adding PD survey median SOMA redemption assumptions for FY23/24/25. 

In addition, all privately-held net borrowing estimates are normalized with OFP FY23 ending cash balance of $650 billion.

0

500

1,000

1,500

2,000

2,500

3,000

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

Fiscal Year

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

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

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

PD 75th 

percentile

PD 25th 

percentile

PD 50th percentile

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

Select Portfolio Metrics
22

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

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

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

Treasury financing. 

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

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

hypothetical issuance choices.

The scenarios are: 

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

in August 2023 and addresses any changes in financing needs by only increasing or decreasing Tbill auction sizes; 

2) “Bills Constant”: Treasury maintains T-bills aggregate supply constant at $4.8 trillion as of 

7/31/2023 and increases or decreases coupon, FRN, and TIPS auction sizes in response to financing 

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

3) “Prorated Bills and Coupons”: Treasury maintains T-bills share constant at 19% as of 7/31/2023 

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

and TIPS auction sizes. 

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

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

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0

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

Calendar Year

Weighted Average Maturity of Marketable Debt Outstanding

Projection Historical Historical Average from 1980 to Present

Bills Constant Coupons Constant Prorated Bills and Coupons

60.9 months (Historical Average 

from 1980 to Present)

07/31/23

72.8 months
24

Consolidated WANRR Calculation* 

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

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

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

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

period is used in the calculation. 

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

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

reset. 

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0

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

Calendar Year

 Private (ex SOMA) Total Consolidated
25

0 %

5 %

10%

15%

20%

25%

30%

35%

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

Calendar Year

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

Outstanding

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

Bills Historical Average = 22.4%

Max 35.6%

07/31/23 

19%

Max 10.7%

07/31/23 

7.6%

07/31/23 

2.1%

Max 2.7%
26

20%

30%

40%

50%

60%

70%

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

Calendar Year

Treasury Maturity Profile

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

Bills Constant Coupons Constant Prorated Bills and Coupons

07/31/23 

52.4%

07/31/23 

31.4%
Section VI:

Select Demand Metrics

Bid-to-Cover Data, Investor Class Data, 

Direct & Primary Dealer Awards, and Foreign Demand
28

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

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

Bid-to-Cover Ratios for Treasury Bills

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

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

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

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

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
30

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

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

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

( 6-Month Moving Average)

2-Year 3-Year 5-Year
31

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

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

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

Nominal Securities (6-Month Moving Average)

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

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

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

Bid-t o-Cover Ratios for TIPS

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

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

Institutions, Individuals, Pension and Insurance.

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

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

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
34

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

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

6-month moving average

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

Investor Class (6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
35

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

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

6-month moving average

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

Investor Class (6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
36

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80%

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

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
37

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

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

6-month moving average

Percent Awarded in FRN Auctions by Investor Class

(6-Month Moving Average)

 Other Dealers and Brokers Investment Funds Foreign & International Other
38

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

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

Direct Bidder Awards at Auction

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

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

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

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

160

180

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

Total Foreign Awards of Treasuries at Auction, $ billions

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

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

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0%

10%

20%

30%

40%

50%

60%

0

1,000

2,000

3,000

4,000

5,000

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

Bills

Outstanding Foreign Holdings Foreign % (RHS)

05/31/23 

3,993

05/31/23 

23%

05/31/23 

900

10%

20%

30%

40%

50%

60%

70%

0

4,000

8,000

12,000

16,000

20,000

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

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

05/31/23 

20,328

05/31/23 

33%

05/31/23 

6,627
VII. Appendix

41

Contents

A. Quarterly Tax Receipts Chart p. 42

B. Treasury Non-Marketable Borrowing p. 43

C. Budget Surplus and Deficits p. 44

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

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

F. Detailed Reconciliation of Various Borrowing Estimates p. 47

G. Various Historical Debt Service Cost Metrics p. 48

H. Various Historical Treasury Interest Rate Metrics p. 49

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

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

 (80%)

 (60%)

 (40%)

 (20%)

0 %

20%

40%

60%

80%

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

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

Quarterly Tax Receipts

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

42

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

The spike for Corporate Taxes was 781% and the 

spike for Non-Withheld was 541% as of 

6/30/2021

The spike for Non-Withheld 

was 245% as of 9/30/2020
43

(40)

(30)

(20)

(10)

0

1 0

2 0

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

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

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

(15.0%)

(12.5%)

(10.0%)

(7.5%)

(5.0%)

(2.5%)

0.0%

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

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

Budget Surplus/Deficit*

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

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

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

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

CBO’s projections are from Table 1 of “How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt ,”

June 2023. Table 1 of “How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt ,” June 2023. 

Projections

44
45

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

Net Bill Issuance 410 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 247 4-Week 665 695 (30) 2,240 2,210 3 0

Subtotal: Net Marketable Borrowing 657 8-Week 590 695 (105) 1,955 1,985 (30)

13-Week 779 759 2 0 2,258 2,169 8 9

Ending Cash Balance 402 17-Week 515 450 6 5 1,307 648 659

Beginning Cash Balance 178 26-Week 681 582 9 9 1,884 1,695 189

Subtotal: Change in Cash Balance 225 52-Week 108 102 6 346 340 6

CMBs

Net Implied Funding for FY23 Q3* 432 6-Week 145 0 145 145 0 145

CMBs 445 235 210 813 1,038 (225)

Bill Subtotal 3,927 3,518 410 10,947 10,084 863

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 6 8 8 0 (12) 204 234 (30)

2-Year 126 154 (28) 378 451 (74)

3-Year 120 9 7 2 2 360 226 134

5-Year 129 6 7 6 2 387 165 222

7-Year 105 6 8 3 7 315 246 6 9

10-Year 9 9 4 2 5 7 297 133 164

20-Year 3 9 0 3 9 117 0 117

30-Year 5 7 0 5 7 171 7 164

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

10-Year TIPS 1 5 0 1 5 6 2 5 0 1 2

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 798 551 247 2,380 1,555 824

Total 4,725 4,068 657 13,326 11,640 1,687

Sources of Privately-Held Financing in FY23 Q3

April - June 2023 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

April - June 2023 April - June 2023 Fiscal Year-to-Date

Bill Issuance Bill Issuance
46

Privately-Held Net Marketable Borrowing 

Definition and Calculation Example

• Actual deficits are sourced from the Monthly Treasury Statement.

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

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

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

student loans and loans to small businesses.

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

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

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

Reconciliation Table.

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

FY 2022 Actual Deficits and

Privately-Held Net Marketable Borrowing, in $ billions

FY 2022 Deficit 1,375

FY 2022 + Change in Cash Balance 421

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

FY 2022 = Total Net Marketable Borrowing 1,671

FY 2022 + SOMA Redemption 150

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

FY 2022 Actual
47

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

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

• 2) assuming OFP’s end of fiscal year 2023 cash balance of $650 billion, held constant in out years. 

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

• CBO projections are using estimates are from Table 1 & 2 of “How the Fiscal Responsibility Act of 2023 Affects CBO’s Projections of Federal Debt 

,” June 2023..

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

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

25th Median 75th OFP

FY 2023 Deficit 1,450 1,550 1,625 1,570 1,535

FY 2024 Deficit 1,500 1,600 1,699 1,847 1,501

FY 2025 Deficit 1,650 1,688 1,800 1,672 1,649

FY 2023 Change in Cash Balance -36 -36 -32 1 4 1 4 0

FY 2024 Change in Cash Balance 0 1 5 8 9 0 0

FY 2025 Change in Cash Balance 0 1 5 7 0 0

FY 2023 Total Net Marketable Borrowing 1,658 1,506

FY 2024 Total Net Marketable Borrowing 1,873 1,551

FY 2025 Total Net Marketable Borrowing 1,809 1,746

FY 2023 SOMA Redemption 699 720 720 698

FY 2024 SOMA Redemption 348 451 563

FY 2025 SOMA Redemption 0 0 0

FY 2023 Privately-Held Net Marketable Borrowing* 2,297 2,440 2,508 2,693 2,378 2,240

FY 2024 Privately-Held Net Marketable Borrowing* 1,913 2,078 2,094 2,324 2,002

FY 2025 Privately-Held Net Marketable Borrowing* 1,613 1,750 1,831 1,809 1,746

Estimates as of: Jul-23 Jul-23 Mar-23 Jun-23

Primary Dealer

OMB CBO
48

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

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

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

year-end-dates. 

0

0.5

1

1.5

2

2.5

3

3.5

4

0

5 0

100

150

200

250

300

350

400

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

Fiscal Year

Historical Marketable Treasury Debt Service Cost

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

Various Historical Treasury Interest Rate Metrics

Source: Bloomberg 1

2

3

4

5

6

0 10 20 30

Percent

Years to Maturity

Treasury Nominal Yield Curve 

as of specified dates 

6/30/2023 3/31/2023 12/30/2022

-1

0

1

2

3

4

0 10 20 30

Percent

Years to Maturity

Treasury Real Yield Curve 

as of specified dates 

6/30/2023 3/31/2023 12/30/2022

-100

0

100

2Y 5Y 10Y 30Y

Bps

Since

Nominal Yield Changes in Selected Tenors

Through the end of 06/30/23

12/30/2022 3/31/2023

-180

-160

-140

-120

-100

-80

-60

-40

-20

0

20

40

60

80

Jun-22 Aug-22 Oct-22 Dec-22 Feb-23 Apr-23 Jun-23

Bps

Bills-SOFR OIS spreads 

Through the end of 06/30/23 

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

-100

0

100

5Y 10Y 30Y

Bps

Since

Real Yield Changes in Selected Tenors

Through the end of 06/30/23

12/30/2022 3/31/2023

0

1

2

3

Dec-22 Feb-23 Apr-23 Jun-23

Percent

Breakevens

Through the end of 06/30/23

5Y 10Y 30Y
50

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 7/31/2023*

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

for open-market outright purchases and subsequent rollovers.

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

2018 438 197 493 45 23 1,196 

2019 137 498 534 51 59 1,280 

2020 2,652 538 724 46 55 4,015 

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

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

2023 1,178 307 668 50 (42) 2,160 

2024 0 28 682 75 (10) 776 

2025 0 (47) 704 10 0 666 

2026 0 (160) 700 28 0 568 

2027 0 (40) 583 10 0 553 

2028 0 0 271 (12) 0 259 

2029 0 0 387 (6) 0 381 

2030 0 0 507 9 0 516 

2031 0 0 339 (3) 0 337 

2032 0 0 363 (27) 0 336 

2033 0 0 384 (20) 0 364 
51

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

Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)*

4-Week 4/11/2023 4.440 2.81 56.9 35.7 2.2 62.1 3.1 1.3 0.6

4-Week 4/18/2023 4.030 3.08 56.8 25.2 2.5 72.3 3.3 1.4 0.6

4-Week 4/25/2023 3.190 3.01 47.3 27.2 1.6 71.2 2.7 1.2 0.5

4-Week 5/2/2023 3.830 2.50 47.9 35.8 4.8 59.4 2.1 1.2 0.5

4-Week 5/9/2023 5.840 2.51 47.8 47.9 10.0 42.1 2.2 1.2 0.5

4-Week 5/16/2023 5.605 3.18 30.5 51.5 5.2 43.3 4.5 1.0 0.3

4-Week 5/23/2023 5.370 3.15 30.9 41.3 3.2 55.5 4.1 0.9 0.3

4-Week 5/30/2023 5.750 2.79 31.7 43.4 2.6 54.0 3.3 0.8 0.3

4-Week 6/6/2023 5.130 2.85 32.1 52.8 3.2 44.0 2.9 0.7 0.3

4-Week 6/13/2023 5.090 2.49 55.8 54.7 6.3 39.0 4.2 0.8 0.5

4-Week 6/20/2023 5.010 3.03 61.3 39.6 1.8 58.6 3.7 0.8 0.6

4-Week 6/27/2023 5.010 2.93 66.5 30.4 2.2 67.4 3.5 0.8 0.6

4-Week 7/5/2023 5.085 2.53 66.8 43.2 3.0 53.9 3.2 0.8 0.6

8-Week 4/11/2023 4.650 2.50 48.9 44.7 3.1 52.1 1.1 1.0 0.9

8-Week 4/18/2023 4.790 2.52 48.8 51.9 3.4 44.8 1.2 1.2 0.9

8-Week 4/25/2023 4.850 2.47 43.7 52.4 2.0 45.6 1.3 1.1 0.8

8-Week 5/2/2023 4.940 2.70 43.7 39.6 3.1 57.4 1.3 1.0 0.8

8-Week 5/9/2023 5.400 2.93 43.3 16.2 1.0 82.7 1.7 1.1 0.9

8-Week 5/16/2023 4.680 3.04 33.7 18.7 0.0 81.3 1.3 1.0 0.7

8-Week 5/23/2023 5.020 2.39 34.1 62.3 3.4 34.3 0.9 0.9 0.6

8-Week 5/30/2023 5.350 2.82 34.1 41.1 2.9 56.0 0.9 0.8 0.6

8-Week 6/6/2023 5.220 2.83 34.1 57.7 3.0 39.2 0.9 0.7 0.6

8-Week 6/13/2023 5.120 2.86 46.6 43.5 2.7 53.8 3.4 0.7 0.9

8-Week 6/20/2023 5.080 3.06 51.7 44.2 2.5 53.3 3.3 0.7 1.0

8-Week 6/27/2023 5.140 2.78 56.7 49.3 2.7 48.0 3.3 0.7 1.1

8-Week 7/5/2023 5.190 2.61 57.6 48.5 2.4 49.0 2.4 0.7 1.1

Bills
52

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

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

13-Week 4/6/2023 4.780 2.49 54.7 44.5 2.7 52.9 2.3 6.6 1.9

13-Week 4/13/2023 4.980 2.28 54.6 55.1 4.2 40.8 2.4 5.7 1.9

13-Week 4/20/2023 5.080 2.59 54.0 35.5 4.2 60.3 3.0 6.6 1.9

13-Week 4/27/2023 5.065 2.74 53.8 36.1 2.7 61.3 3.2 6.2 1.9

13-Week 5/4/2023 5.120 2.44 54.2 44.9 6.6 48.5 2.8 8.4 1.9

13-Week 5/11/2023 5.140 2.66 53.5 41.2 4.1 54.7 3.5 6.5 1.9

13-Week 5/18/2023 5.060 2.79 54.7 29.2 3.9 66.9 2.3 7.5 1.9

13-Week 5/25/2023 5.250 2.56 55.0 32.8 3.0 64.2 2.0 5.8 1.8

13-Week 6/1/2023 5.300 2.38 61.3 54.9 3.0 42.1 1.7 5.0 2.0

13-Week 6/8/2023 5.220 3.15 61.0 27.8 5.0 67.3 4.0 3.3 2.0

13-Week 6/15/2023 5.150 2.99 60.6 31.9 4.2 63.9 4.4 3.9 2.0

13-Week 6/22/2023 5.130 2.58 61.7 44.7 3.4 51.9 3.3 1.4 1.9

13-Week 6/29/2023 5.180 2.99 62.7 47.3 4.4 48.3 2.3 5.2 2.1

17-Week 4/11/2023 4.750 2.81 35.2 43.6 5.7 50.7 0.8 0.8 1.4

17-Week 4/18/2023 4.980 2.70 35.1 42.3 4.2 53.5 0.9 0.8 1.4

17-Week 4/25/2023 5.060 2.91 35.1 44.3 2.9 52.8 0.9 0.9 1.4

17-Week 5/2/2023 4.975 2.85 35.2 39.9 3.1 57.0 0.8 0.8 1.4

17-Week 5/9/2023 4.980 2.95 35.4 30.6 2.9 66.5 0.6 0.9 1.4

17-Week 5/16/2023 5.000 2.98 35.6 41.5 2.3 56.2 0.4 1.1 1.4

17-Week 5/23/2023 5.100 2.57 38.7 55.4 3.6 41.0 0.3 1.0 1.5

17-Week 5/30/2023 5.260 2.73 41.6 54.2 5.8 40.0 0.4 1.0 1.6

17-Week 6/6/2023 5.325 2.97 43.6 38.3 2.8 58.9 0.4 0.9 1.7

17-Week 6/13/2023 5.200 3.36 43.3 33.4 3.6 63.0 2.7 0.6 1.8

17-Week 6/20/2023 5.150 3.18 43.6 39.7 2.9 57.4 2.4 0.6 1.8

17-Week 6/27/2023 5.220 3.27 45.2 42.9 3.5 53.7 0.8 0.5 1.8

17-Week 7/5/2023 5.225 3.44 45.3 43.2 3.3 53.5 0.7 0.5 1.8

Bills (cont.)
*Approximated using prices at settlement and includes both competitive and non-competitive awards. 53

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

26-Week 4/6/2023 4.705 2.79 45.5 36.7 2.2 61.1 2.5 5.6 3.2

26-Week 4/13/2023 4.795 2.70 46.0 44.7 3.0 52.3 2.0 4.8 3.1

26-Week 4/20/2023 4.870 2.78 45.9 30.5 2.6 67.0 2.1 5.5 3.2

26-Week 4/27/2023 4.840 2.77 45.9 33.6 2.9 63.5 2.1 5.2 3.2

26-Week 5/4/2023 4.900 2.60 46.3 42.9 1.9 55.1 1.7 7.1 3.3

26-Week 5/11/2023 4.890 2.83 46.0 37.7 1.8 60.5 2.0 5.5 3.2

26-Week 5/18/2023 4.980 2.61 49.1 44.6 3.1 52.3 1.9 6.7 3.4

26-Week 5/25/2023 5.170 2.96 52.2 32.1 3.3 64.7 1.8 5.5 3.5

26-Week 6/1/2023 5.290 2.58 54.3 47.9 2.1 50.0 1.7 4.5 3.5

26-Week 6/8/2023 5.250 3.14 54.0 35.2 3.1 61.7 4.0 3.0 3.6

26-Week 6/15/2023 5.155 3.02 53.7 32.4 2.4 65.2 4.3 3.4 3.6

26-Week 6/22/2023 5.170 2.65 55.8 40.8 4.2 55.0 2.2 1.2 3.5

26-Week 6/29/2023 5.215 2.73 55.9 38.2 2.4 59.4 2.1 4.6 3.7

52-Week 4/20/2023 4.530 2.97 32.8 28.2 1.9 69.9 1.2 3.9 4.5

52-Week 5/18/2023 4.645 2.49 35.0 46.3 2.3 51.4 1.0 4.7 4.7

52-Week 6/15/2023 4.930 2.83 36.6 36.2 2.4 61.4 1.4 2.3 4.7

6-Week CMB 6/15/2023 5.020 3.38 44.9 53.2 4.9 42.0 0.1 0.0 0.6

6-Week CMB 6/22/2023 5.070 2.77 49.9 53.0 2.0 44.9 0.1 0.0 0.7

6-Week CMB 6/29/2023 5.105 2.79 49.9 45.5 2.7 51.8 0.1 0.0 0.7

CMB 5/1/2023 4.350 2.44 45.0 44.2 2.3 53.5 0.0 0.0 0.2

CMB 5/4/2023 4.490 2.59 40.0 41.2 4.2 54.6 0.0 0.0 0.3

CMB 5/16/2023 5.040 2.33 44.9 55.5 2.1 42.4 0.1 0.0 2.2

CMB 5/18/2023 5.075 2.68 44.9 49.1 1.3 49.7 0.1 0.0 2.2

CMB 5/23/2023 5.230 2.40 44.9 56.7 2.9 40.4 0.1 0.0 2.2

CMB 5/25/2023 6.200 2.21 34.8 77.7 3.4 18.9 0.2 0.0 0.2

CMB 6/1/2023 5.340 2.89 49.9 32.1 2.4 65.5 0.1 0.0 2.6

CMB 6/2/2023 6.150 2.38 25.0 71.4 3.0 25.6 0.0 0.0 0.0

CMB 6/5/2023 5.250 3.40 50.0 37.3 2.9 59.8 0.0 0.0 0.6

CMB 6/5/2023 5.060 4.11 15.0 43.1 6.0 50.9 0.0 0.0 0.0

CMB 6/6/2023 5.150 3.19 49.9 33.3 0.2 66.5 0.1 0.0 0.7

Bills (cont.)
Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

5-Year TIPS 4/28/2023 1.320 2.34 20.8 10.2 17.2 72.6 0.2 0.0 12.1

5-Year TIPS 6/30/2023 1.832 2.56 18.9 3.9 11.0 85.1 0.1 0.0 10.5

10-Year TIPS 5/31/2023 1.395 2.31 15.0 7.7 15.9 76.4 0.0 2.8 19.1

TIPS

54

*FRNs are reported on discount margin basis. 

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

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

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

2-Year 5/1/2023 3.969 2.68 41.6 18.9 19.9 61.2 0.4 4.1 10.7

2-Year 5/31/2023 4.300 2.90 41.7 16.2 15.6 68.2 0.3 7.9 11.3

2-Year 6/30/2023 4.670 2.86 41.5 13.3 18.2 68.5 0.5 0.0 9.6

3-Year 4/17/2023 3.810 2.59 39.8 17.7 21.0 61.3 0.2 2.6 14.4

3-Year 5/15/2023 3.695 2.93 39.9 13.0 13.7 73.3 0.1 10.9 17.5

3-Year 6/15/2023 4.202 2.70 39.9 16.7 21.7 61.5 0.1 0.0 13.4

5-Year 5/1/2023 3.500 2.54 42.9 13.6 17.3 69.1 0.1 4.2 26.0

5-Year 5/31/2023 3.749 2.58 42.9 9.3 18.0 72.7 0.1 8.1 27.7

5-Year 6/30/2023 4.019 2.52 42.9 12.2 19.7 68.1 0.1 0.0 23.3

7-Year 5/1/2023 3.563 2.41 35.0 14.8 21.1 64.1 0.0 3.4 28.7

7-Year 5/31/2023 3.827 2.61 35.0 10.4 17.3 72.3 0.0 6.6 30.4

7-Year 6/30/2023 3.839 2.65 35.0 8.1 16.6 75.3 0.0 0.0 25.7

10-Year 4/17/2023 3.455 2.36 31.9 17.1 19.9 63.0 0.1 2.0 34.0

10-Year 5/15/2023 3.448 2.45 35.0 13.0 19.5 67.5 0.0 9.5 45.6

10-Year 6/15/2023 3.791 2.36 32.0 17.8 19.9 62.3 0.0 0.0 32.0

20-Year 5/1/2023 3.920 2.66 12.0 12.0 19.2 68.7 0.0 1.2 21.8

20-Year 5/31/2023 3.954 2.56 14.9 11.3 18.1 70.6 0.1 2.8 29.0

20-Year 6/30/2023 4.010 2.87 12.0 7.8 17.6 74.6 0.0 0.0 19.7

30-Year 4/17/2023 3.661 2.36 18.0 11.1 19.8 69.1 0.0 1.2 41.5

30-Year 5/15/2023 3.741 2.43 21.0 10.2 17.4 72.4 0.0 5.7 58.0

30-Year 6/15/2023 3.908 2.52 18.0 9.0 18.1 72.9 0.0 0.0 38.8

2-Year FRN 5/1/2023 0.169 3.04 23.9 29.2 1.5 69.4 0.1 2.3 0.0

2-Year FRN 5/26/2023 0.170 2.88 22.0 27.1 1.0 71.9 0.0 0.0 0.0

2-Year FRN 6/30/2023 0.134 3.39 22.0 38.9 0.0 61.1 0.0 0.0 0.0

Nominal Coupons & FRNs
Office of Debt Management

Treasury’s Current Views on the Operational Design

of a Regular Buyback Program

August 2023
Executive Summary

2

This presentation provides Treasury’s current views on the operational design 

parameters of a regular buyback program for liquidity support and cash 

management.

 At the May 2023 Quarterly Refunding, Treasury announced plans to implement a regular buyback 

program in 2024 and released a presentation on its high-level current views on the use cases and 

design.

 The following slides go into more detail on Treasury’s current views on important operational 

design parameters, specifically:

 Buckets 

 Purchase Amounts

 Security Exclusions

 Purchase Limits per CUSIP

 Announcements

 Results

 Once the program is implemented, Treasury will regularly evaluate these parameters to determine 

if adjustments are needed in order to achieve its liquidity support and cash management objectives.
Buckets

3

Treasury plans to conduct buyback operations in 9 buckets across-the-curve for 

nominal coupon and TIPS securities. 

 For liquidity support: Treasury plans to conduct operations in each bucket 1 to 2 times per quarter (~ 

1 operation per week) but is still determining the exact number of operations per bucket.

 For cash management: Treasury anticipates conducting operations regularly, though the size and 

frequency will depend on a variety of factors, including the seasonality of fiscal flows.

 Possible that multiple operations could occur in a week

 Cash management buyback operations will likely occur predominantly during the weeks immediately 

surrounding major tax payment dates (e.g., April 15, June 15, September 15, and December 15)

Bucket # Product Objective Maturity Sector (Years)

1 Nominal Coupons Cash Management & Liquidity Support 0 to 2

2 Nominal Coupons Liquidity Support 2 to 3

3 Nominal Coupons Liquidity Support 3 to 5

4 Nominal Coupons Liquidity Support 5 to 7

5 Nominal Coupons Liquidity Support 7 to 10

6 Nominal Coupons Liquidity Support 10 to 20

7 Nominal Coupons Liquidity Support 20 to 30

8 TIPS Liquidity Support 0 to 7.5

9 TIPS Liquidity Support 7.5 to 30
Purchase Amounts

4

At each quarterly refunding, Treasury plans to announce the maximum amount it is 

willing to buy back during the upcoming quarter for liquidity support and cash 

management. 

 For liquidity support:

 Initially, Treasury plans to set a maximum amount of $30 billion per quarter across buckets.

 A maximum amount of $4 billion per bucket for nominal coupons per quarter. 

 A maximum amount of $1 billion per bucket for TIPS per quarter.

 Treasury anticipates that over time modest adjustments to the maximum amounts could be 

considered and any adjustments would be announced at quarterly refundings. 

 For cash management:

 The maximum amount per quarter may vary, but Treasury anticipates cash management 

buybacks in the first year of implementation will be no more than $120 billion.

 Treasury plans to conduct most cash management buybacks in the 0 to 2-year nominal coupon bucket but 

may also consider cash management buybacks in short maturity TIPS.

 Treasury does not plan to establish a fixed minimum amount to buy back in operations for liquidity 

support or for cash management.

 Actual buyback amounts will depend on market conditions and quality of offers in an operation. 

It is possible that Treasury may not buy back any securities during an operation.
Security Exclusions

5

Treasury plans to exclude securities from buyback operations that will not help it 

achieve its liquidity support and cash management objectives.

 In general, securities that have the characteristics below will likely be excluded:

 Cheapest-to-deliver against futures contracts

 Trading with extreme repo specialness

 Trading extremely rich based on relative value measures

 On-the-run and near off-the-runs

 Specifically, for cash management:

 Securities with maturity dates that would not benefit Treasury from a cash management 

perspective would also be excluded.

 For example, if Treasury bought back securities with maturities that occur on dates with 

high cash inflows (such as major tax payment dates) this would potentially amplify rather 

than mitigate cash balance and issuance volatility.
Purchase Limits per CUSIP

6

Treasury understands that if buybacks excessively reduce the amount of privately-held 

supply in a specific CUSIP this could harm rather than support secondary market 

liquidity.

 Treasury plans to set purchase limits per CUSIP based on maintaining a sufficient 

privately-held amount outstanding.

 Treasury will consider factors that may affect the actual privately-held float reasonably 

available for trading, such as STRIPS outstanding per CUSIP.

 Treasury will consider SOMA holdings.

 Limits may vary depending on product and maturity sector.
Announcements

7

Treasury anticipates announcing buyback operations in the following manner: 

 Tentative Schedule 

 At each quarterly refunding, Treasury will release a tentative schedule for liquidity support 

and cash management buyback operations for the upcoming quarter.

 The schedule will include dates, purpose, bucket, and maximum purchase amount.

 Announcement Date

 Treasury will generally confirm the details from the tentative schedule one business day in 

advance of the buyback operation.

 Treasury will also provide a list of potential eligible CUSIPs for the buyback operation.

 Operation Date

 The eligible CUSIP list for the buyback operation will be confirmed at or prior to the 

operation opening.

 Participants in the buyback operation will be notified via FedTrade when the operation begins 

and ends.
Results

8

Treasury plans to publicly release information regarding buyback results shortly after 

the end of each buyback operation.

 Treasury aims to provide transparency regarding operations while also avoiding any risks 

that might arise from providing market sensitive information too quickly. 

 Given these aims, Treasury plans to release the following results shortly after each 

operation ends:

 Total Offers Accepted

 Total Offers Submitted

 Offers Accepted per CUSIP

 Weighted Average Price of Offers Accepted per CUSIP

 Treasury plans to regularly evaluate the appropriate degree and timing of information 

provided in connection with conclusion of a buyback.
Outstanding Issues for Further Consideration

9

 Pricing methodology for evaluating offers

 Number of operations per quarter in each bucket

 Approach to scheduling buyback operations (expected day and timeslots, 

adjustments around holidays/market events, etc.) 
TBAC CHARGE
2

“In the May 2023 quarterly refunding announcement, Treasury indicated it may need to modestly increase auction 

sizes as early as the August 2023 refunding announcement. If Treasury begins increasing coupon issuance, in 

which tenors and sectors should Treasury change auction sizes? Do certain tenors or sectors show greater 

demand or capacity for increased auction sizes than others? How should the outlook for Treasury bill demand 

affect Treasury’s approach to increasing coupon issuance?”
3

Executive Summary

This presentation addresses a variety of considerations that Treasury should assess when determining how and where they 

increase issuance to meet future financing needs:

• Optimal Treasury Debt Structure Model refreshed for current market conditions, including additional analysis under different 

term premium scenarios

‒ Highlights the increased cost to Treasury relative to 2019 and 2022 updates

• Demand for coupon Treasuries, through a review of Treasury auction performance across tenors

‒ Highlights generally strong auction demand; however secondary market conditions warrant some caution around increasing 

7y and 20y auction sizes relative to other tenors 

• Current market functioning

‒ Examines relative volume metrics, market depth as well as secondary market pricing efficiency across tenors 

• Demand for increased Bill issuance for remainder of the year

‒ Highlights that Money Market Funds are well positioned to absorb the expected issuance

• Different issuance scenarios 

‒ Shows how WAM, TIPS and Bills-share evolves across various issuance scenarios

Key findings from the analysis include:

• Treasury should increase coupon issuance across the curve, including in TIPS

• Some tenors exhibit better liquidity and support in the secondary market, including 5s, 10s and 30s, and should be considered

to absorb a higher percentage of issuance increase than other tenors, such as 7s and 20s

• If TIPS share is increased at a rate of 1bn per auction, TIPS share will decline below the TBAC recommended range. Higher 

increases in TIPS issuance will be needed to maintain TIPS share in 7%-9% range. Further study to consider options like 

adjustment in TIPS calendar schedule to accommodate higher total issuance could be helpful
4

Optimal Treasury Debt Structure Model and Term Premium Considerations
5

Optimal Debt Structure Model* – Comparison as of 2023 vs 2019 of 

Macroeconomic and Fiscal Variable Behavior Model Projections

• After an initial COVID induced dislocation, major macro-economic variables (Unemployment gap, Real GDP, Core 

PCE) revert to the pre-COVID trend

• The 2023 projection anticipates significantly higher deficits compared to the 2019 projection due to the significant 

fiscal expansion during COVID

* Refer: https://w ww.brookings.edu/articles/optimizing-the-maturity-structure-of-u-s-treasury-debt/

* https://home.treasury.gov/system/files/221/CombinedChargesforArchivesQ32022.pdf
6

Optimal Debt Structure Model – Comparison as of 2023 vs 2019 of Model Rate 

Projections

• Different initial conditions have a strong effect on the path of main variables in the model, but terminal distributions 

are similar

• Cost and variability of each issuance strategy depends upon the entire path. So it is important to note the 

significantly different evolutions implied by the two sets of initial conditions

• While these macroeconomic and rates models are useful for analyzing long term effects of debt management 

decisions, they are not sophisticated forecasting models and these outputs should not be understood as taking a 

meaningful view on the near-term outlook for either rates or the economy
7

Model Output: Comparisons as of 2019, 2022, and 2023 of Model Cost and 

Volatility for Each Individual Security that Treasury Issues

• Single security issuance model output has been shifting up and to the right over the past several years (i.e. more 

cost and more volatility), primarily due to increased size of the stock of Treasury Debt 
8

Efficient Frontiers and Historical Issuance • Efficient frontiers are calculated by comparing the trade-off 

between debt service costs and the volatility in the size of 

the deficits over time

• Here we compare the model efficient frontier using 

macroeconomic and fiscal environments observed at the 

end of 2019Q4 (blue line), to those observed at the end of 

2023Q1 (red line)

• The efficient frontier has moved up (higher cost) and to 

the right (higher volatility). This is largely driven by change 

in fiscal environment

• The blue and the red dots in the upper right represent 

Treasury’s issuance kernel as of 2019Q1 and 2023Q1 

respectively. The degree to which issuance lies off the 

model efficient frontier has remained about the same

• The graph on the lower right shows the efficient frontier 

using the macroeconomic environment in 2019Q4, but 

fiscal environment from 2023Q1. To do this, we use debt 

stock from 2023Q1 shifted back 17 quarters and rescaled 

to nominal GDP. We also use the primary deficit as 

percentage of GDP from 2023Q1

• The modified 2019Q4 frontier lies almost on top of the 

2023Q1 frontier, implying that most of the difference in the 

frontiers is attributable to the shift in fiscal environment 
9

Term Premium

Source: Presenting Member Data

* Refer Q2b under https://www.newyorkfed.org/medialibrary/media/markets/survey/2023/jun-2023-spd-results.pdf

• While historically Term Premium (TP) has tended be positive, more recently ACM and KW models TP has stayed negative

• The ACM TP Model shows that even after making a 1 StdDev adjustment higher to the current TP level, TP would still be flat to negative 

• Kim-Wright (KW) model shows that most of the decline in TP is coming from decline in real term premium

• If one measures TP as difference between current 10y and average expected FF rate over the next 10 years then, based upon the NY

Fed dealer survey*, TP has been positive and moved higher more recently

• TP is an important variable for Optimal Debt Structure Model. Note, there are many factors that have played a role in lower TP. It could 

move higher from levels seen in last 10y years given increase in aggregate debt outstanding, potential increase in inflation risk premium 

and if QE programs are less ambitious during future downturns

-2

-1

0

1

2

3

4

5

1981 1985 1989 1993 1997 2001 2005 2009 2013 2017 2021

%

5Y ACM Term Premium and Standard Deviation

TP+1SD TP TP-1SD

-4

-2

0

2

4

6

8

1981 1985 1989 1993 1997 2001 2005 2009 2013 2017 2021

%

10Y ACM Term Premium and Standard Deviation

TP+1SD TP TP-1SD

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 2023

%

5y KW Term Premium Model (Decomposed into 

Real and Inflation Components)

TP TP (Real) TP (Inflation)

-2

-1

0

1

2

3

1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 2023

%

10y KW Term Premium Model (Decomposed into 

Real and Inflation Components)

TP TP (Real) TP (Inflation)
10

Term Premium Across 2y, 10y, and 30y Tenors, Using Standard and Lower TP 

Assumptions 
11

Sensitivity of Model Cost and Volatility for Lower Term Premium Scenarios

• In the plots below, we show outputs as of 2023 using the standard model assumption, and then scenarios if 10y term premium is 25bps 

or 50bps lower than the standard assumption (with term premium for rest of the curve adjusted per the Model)

• Model continues to favor belly issuance under lower term premium assumptions, but also shows a significant reduction in the relative 

cost of longer-dated issuance in the lower term premium scenarios
12

Efficient Frontier under Lower Term Premium (TP) Scenarios

• Under lower Term Premium scenarios, current issuance kernel moves further away from the efficient frontier. This is 

because a sustained reduction in Term Premium would call for more issuance further out the curve 

Base TP10 Down 25 TP10 Down 50
13

Insights for Future Issuance

• Fundamental conclusions remain similar to Q3-2022 TBAC study. The model continues to favor more belly, 

Bill, TIPS and FRN issuance, and favors increasing issuance less in the longer end relative to the current 

issuance mix

• When risk is measured as volatility in the deficit (right chart), increasing TIPS issuance is a small 

positive, as it lowers expected cost and does not increase risk (hence, it moves the issuance pattern 

closer to the efficient frontier)

• When risk is measured by the variation in funding costs (left chart), expected cost can only be 

reduced if more risk is assumed. However, that trade-off appears reasonably attractive, especially if 

achieved by increasing belly issuance
14

Insights for Future Issuance under Lower Term Premium Scenarios

• Increasing issuance of longer maturities reduces both volatility of debt service costs as well as volatility in 

the size of future deficits. This doesn’t increase debt service costs significantly, especially when 

considering scenarios assuming reduced future term premium

Base TP10 Down 25 TP10 Down 50
15

Sensitivity of Model Cost and Volatility for Higher Term Premium Scenarios

• In the plots below, we show outputs as of 2023 using the standard model assumption, and then scenarios if 10y term premium is 25bps 

or 50bps higher than the standard assumption (with term premium for rest of the curve adjusted per the model)

• Model continues to favor belly issuance under higher term premium assumptions, and also shows a significant additional increase in 

the relative cost of longer-dated issuance in the higher term premium scenarios
16

Efficient Frontier Under Higher Term Premium Scenarios

• Under higher Term Premium scenarios, the current issuance kernel is even closer to the efficient frontier, suggesting 

proportionate increases in future debt issuance if this is the expected future term premium

Base TP10 Up 25 TP10 Up 50
17

Demand Assessment 
18

Auction Statistics over Time

• Customer takedown trending higher over past decade across all sectors points to broadly robust demand for 

issuance

• Less variability in bid-to-cover among tenors over the past decade points to a more balanced demand picture

Source: Bloomberg

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2011 2013 2015 2017 2019 2021 2023

Customer Takedown per Tenor (Average per Year)

2 3 5 7

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2011 2013 2015 2017 2019 2021 2023

Customer Takedown per Tenor (Average per Year)

10 20 30 TIPS

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Bid-to-Cover (Average per Year)

2 3 5 7

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Bid-to-Cover (Average per Year)

10 20 30 TIPS

Source: Bloomberg
19

Auction Allotment over Time

Source: Treasury

• Dealer participation in issuance has steadily 

declined over the past decade

• Increased percentage of supply is being absorbed 

by investment funds while foreign participation has 

remained range bound

• Increased reliance on investment funds implies:

‒ Larger tails when those funds are less 

enthusiastic to provide liquidity

‒ Stops way through the pre-auction levels when 

those funds are motivated to buy

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

All Issuance Excluding Bills

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other
20

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

3s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

2s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

Auction Allotment over Time – Split by Tenor

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

5s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

7s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

Source: Treasury
21

Auction Allotment over Time – Split by Tenor

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

30s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2020 2020 2020 2021 2021 2021 2021 2022 2022 2022 2022 2023 2023

20s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

10s

Depository

 institutions

Individuals Dealers

 and

 brokers

Pension

 and

 Retirement

 funds and

 Ins. Co.

Investment

 funds

Foreign

 and

 international

Other

Source: Treasury
22

Historical Auction Tails

Source: Presenting Member Data

• On average, auctions have cleared very close to 

pre-auction levels indicating the market is well 

suited at time of auction to take down supply 

• COVID-related fiscal increases in 2020-2021 

resulted in larger auction sizes, but Fed buying also 

increased, absorbing much of that issuance

• More recently, as the Fed is reducing balance 

sheet, auctions have continued to clear in line with 

pre-auction yields but that has coincided with a 

modest reduction in auction sizes

• It remains to be seen how auctions will perform 

as issuance sizes increase while the Fed 

continues to reduce balance sheet

• The auction process can demonstrate unintuitive 

results:

• 20y auctions have averaged well through the 

deadline yield, pointing to the market using the 

auction as a liquidity event

• While 10s are the most liquid coupon in the 

secondary market, they have cleared on average 

at a small tail more recently. This shouldn’t be 

interpreted as a lack of demand in the 10y sector, 

rather that investors are less reliant on the 

auction process to source liquidity for 10s

-1

-0.5

0

0.5

1

1.5

2

2y 3y 5y 7y 10y 20y 30y

bps

Tenor

Average Tail (+=Tail)

2009 2010 2011 2012 2013 2014 2015 2016

2017 2018 2019 2020 2021 2022 2023
23

Intraday Performance Before and After Auction

*Source: Presenting Member Data

*Total gross concession in the 2hrs preceding auction and 2hrs post auction

Higher the number, more the intraday concession required to clear supply

-6

-5

-4

-3

-2

-1

0

1

2

3

4

2y 3y 5y 7y 10y 20y 30y

bps

Tenor

Concession +/-2hrs from Auction Clearing Time

2009 2010 2011 2012 2013 2014 2015 2016

2017 2018 2020 2020 2021 2022 2023

• 2s/3s/5s have shown a propensity over time to require 

an intraday concession to clear supply

• 7s/10s/20s/30s exhibit more mixed performance in the 

hours surrounding the auction

• Similarly, auctions seem to be good liquidity events for 

20s and 30s as evidenced by negative concession and 

negative tails on average

• Both intraday performance and tail data generally 

demonstrate that there is consistent strong demand for 

Treasury auctions

• The small tail and intraday concession in the 10y both 

likely indicate that there is less need for end users to 

tap auction liquidity in this sector. Secondary liquidity 

and relative valuation metrics both point to healthy 

end-user demand for the 10y sector

• Auction statistics and concessions are just a few of the 

many metrics to consider when evaluating issuance, 

and should be observed in the context of overall 

valuations and secondary liquidity
24

Relative Value Considerations Using Swap Spreads

• Duration neutral swap spread butterflies indicate that:

• On-the-run 7s have generally been cheap vs 5s and 

10s

• On-the-run 20s have generally been cheap vs 10s 

and 30s

• On-the-run 3s could be somewhat volatile locally 

relative to 2s and 5s but have not exhibited 

consistent cheapness as exhibited by 7s and 20s

Source: Riskval; Fly weights: -1/2/-1; more negative the number cheaper the belly vs wings

-25

-20

-15

-10

-5

0

5

10

15

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

2s3s5s Matched Maturity Asset Swap Spread 

Fly 

Avg

-60

-50

-40

-30

-20

-10

0

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

10s20s30s Matched Maturity Asset Swap 

Spread Fly

Avg

this is w hen 20y auction sizes 

dropped to current steady 

state of 15bn/12bn/12bn

-16

-14

-12

-10

-8

-6

-4

-2

0

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

5s7s10s Matched Maturity Asset Swap 

Spread Fly 

Avg
25

Relative Value Considerations Using Cash Butterflies

• Duration neutral butterflies support the assessment from 

the swap spread analysis : 

• On-the-run 7s have generally been cheap vs 5s and 

10s. More recently 7s have normalized on the 

5s7s10s fly, but they are at the rich end of their history

• On-the-run 20s have generally been cheap vs 10s 

and 30s

• On-the-run 3s have no discernable cheapness vs 2s 

and 5s

Source: Riskval; Fly duration weights: -1/2/-1; more positive the number cheaper the belly vs wings

-5

0

5

10

15

20

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

5s7s10s Duration Neutral Treasury Butterfly 

Yield

Avg

0

10

20

30

40

50

60

70

80

90

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

10s20s30s Duration Neutral Treasury Butterfly 

Yield

Avg

-50

-40

-30

-20

-10

0

10

20

30

40

May-20 Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

2s3s5s Duration Neutral Treasury Butterfly 

Yield

Avg
26

Relative Value Considerations Across Broad Curve Segments

• Swaps spreads have materially declined post the GFC (USTs 

cheapened). The swaps spread curve trades very inverted – UST 

curve steeper than swap curve

• There are structural reasons behind demand for off-balance sheet 

long duration needs. There is no indication of this dynamic 

disappearing. The decline in long end swap spreads is more likely a 

function of the off-balance sheet supply/demand imbalance, rather 

than an indication of excessive Treasury supply

• Swap spreads have become significantly less correlated to Treasury 

supply. 

• Refer to Q-1 2021 TBAC charge* for a more detailed discussion on 

swap spread dynamics

Source: Bloomberg

* https://home.treasury.gov/system/files/221/CombinedChargesforArchivesQ12021.pdf(page 68 onwards)

-100

-50

0

50

100

150

200

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022

bps

Spread of Libor Swap Curve to Treasury Curve

2y 5y 7y 10y 30y

-90

-70

-50

-30

-10

10

30

Oct-20 Mar-21 Aug-21 Jan-22 Jun-22 Nov-22 Apr-23

bps

Spread of SOFR Swap Curve to 

Treasury Curve (More Recent History)

2y 5y 7y 10y 20y 30y

Source: JP Morgan Research

SOFR swap spreads prior to 2019 are estimated using post-2019 relationship between SOFR & 

OIS swap spreads and historical OIS swap spreads.

Above chart assumes that Treasury is transparent with their refunding needs and that 6M look 

ahead expectations are mostly in line with actual subsequent issuance

R2 = 0.5142

R2 = 0.0018

-120

-100

-80

-60

-40

-20

0

20

40

60

80

0 500 1000 1500 2000

Swap spreads (bps)

6M Forward looking coupon issuance in $bln (10y 

equivalents)

30y Swap Spreads vs Fwd Looking Total 

Coupon Issuance(Pre & Post 2009)

Pre 2009 Post 2009
27

Assessing Market Demand Using Trading Volumes Relative to Auction Size

• While 5s and 10s constitute >50% of trading volumes, they only make up 31% of annual issuance

• On the other hand 7s and 20s constitute only 11% of trading volumes, while they make up 21% of annual issuance

• Pension and Insurance investors, who tend to trade less frequently, have a bigger footprint in longer tenors than 

shorter on the curve. Additionally, 30y on-the-run trading volumes are distorted lower relative to shorter on-the-run 

tenors because 30y corporate bonds are traded off of once-old 30yrs, while shorter tenor corporates are traded off of 

on-the-run issues 

• 5s and 10s are preferred hedging points for IG and MBS community, garnering more volumes 

• The trading volume data suggests there is capacity for Treasury to concentrate more of its issuance in 5s, 10s, and 

30s, while making smaller increases in issue sizes of 7s and 20s

* Based on on-the-run trading volumes during the period (TRACE data)

Trading Volumes and Issuance Split Across 

Benchmark Points (Jan2022-May2023)

Treasury Volume Treasury Issuance Trading $/ Issuance $*

2s 16% 18% 31

3s 13% 17% 26

5s 29% 18% 54

7s 8% 15% 18

10s 23% 13% 58

20s 3% 6% 15

30y 6% 8% 27

5y TIPs 1% 2% 15

10y TIPs 1% 3% 9

30y TIPs 0.2% 1% 12
28

TIPS Discussion

• TIPS share is currently 7.6%. Under current auction sizes, TIPS 

share declines further - driven by original issue 20y TIPS maturing 

in the coming years. TIPS share generally declines further during 

recessions

• Investor demand, especially for shorter duration TIPS, has 

increased over past decade. However, more recent data is 

showing outflows from such funds which could indicate a less 

favorable backdrop relative to the prior two years for a larger 

increase in TIPS issuance

• The growth of Target Date Funds (TDFs) continues to add to TIPS 

demand, with an estimated 2% allocation to TIPS 

• TBAC charges from Q2 2023* and Q4 2021** discuss TBAC’s 

assessment of recommended TIPS share and demand 

assessment. Treasury should also further explore options like 

adjustment in TIPS calendar schedule and sizes to incorporate 

larger total TIPS issuance as total Treasury debt increases

3,197

1

10

100

1,000

10,000

1999 2002 2005 2008 2011 2014 2017 2020 2023

Target Date Funds Assets Under 

Management ($B, log scale)

0

50

100

150

200

250

300

350

1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 2023

$bn

TIPS Assets Under Management 

Short-dated TIPS Broad TIPS

0%

2%

4%

6%

8%

10%

12%

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022

TIPS Share of Marketable Debt

NBER Recessions TBAC Recommended TIPS Share

TIPS Share of Marketable Debt

* https://home.treasury.gov/system/files/221/CombinedChargesforArchivesQ22023.pdf

** https://home.treasury.gov/system/files/221/CombinedChargesforArchivesQ42021.pdf

Source: Morningstar; Above AUM only includes dedicated TIPS funds
29

Market Functioning and Liquidity Analysis
30

Market Functioning – Market Depth

• Even with a modest improvement relative to 2022, 

market depth remains lower versus pre-COVID period, 

pointing to somewhat tighter liquidity conditions

• Market depth is generally a function of volatility. When 

volatility is elevated market depth is generally shallow

• As issuance has picked up post-COVID, market depth 

as percentage of issuance has receded

Source: JPM DataQuery

Market depth: cash market depth is the average of the top 3 bids and offers on hot-run Treasuries in the inter-dealer broker CLOB, averaged between 8:30am ET and 10:30am ET daily

0

5

10

15

20

25

30

35

40

45

0

50

100

150

200

250

300

350

2010 2012 2014 2016 2018 2020 2022

auction size ($bn)

mkt depth ($mm)

10y Market Depth vs 10y Auction Size

10y cash market depth 3M MA 3M MA 10y auction size

0

100

200

300

400

500

600

2010 2012 2014 2016 2018 2020 2022

Issuance per unit mkt depth

Ratio of 10y Auction Size to 10y Market Depth

Ratio

0

1

2

3

4

5

6

7

8

9

0 10

50

100

150

200

250

300

350

2010 2012 2014 2016 2018 2020 2022

daily vol (bps)

mkt depth ($mm)

10y Market Depth vs 3m10y Daily Implied Vol

10y cash market depth 3M MA (LHS)

Implied daily volatility from 3m10y swaption market in basis points RHS (Inverted)
31

Market Functioning – UST Yield Error vs Spline

• Local dislocations, as measured by yield error vs fitted 

spline, have come down from peak levels observed in 

2022 but remain wider than the pre-COVID period

• Yield error vs spline, sector comparison:

• If we look at different maturity sectors, yield errors (mkt vs 

fitted spline) are more stretched in the front end of the curve 

than the very long end of the curve (with the exception of the 

20y sector)

• Due to aged issues rolling down, there are more issues with 

wider range of coupons and issue size per maturity window as 

time to maturity shrinks, i.e. there are more issues per sector 

in the 0-7yr range than the 7y+ range

• 20y sector continues to exhibit higher yield error even as yield 

error has improved vs last year

Source: Barclay s research

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

2010 2012 2014 2016 2018 2020 2022

bps

Average Yield Error vs Spline (>1y USTs)

Source: Bloomberg

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

bps

Average Yield Error vs Spline Split by Sector

0.5-2y 2-3y 3-6y

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

bps

Average Yield Error vs Spline Split by Sector

6-11y 11-21y 21y+ Source: Barclay s research
32

Market Functioning – Bid-Ask Spreads

• At the start of the year, bid-ask spreads widened to 

levels similar to those experienced during pandemic 

stress. Bid-ask spreads are off the highs of the year but 

still elevated vs pre-COVID levels

• Both yield error vs spline and bid-ask spread data 

suggest that the 7y and 20y are more challenged than 

other points on the curve

Source: Barclays Research

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

2016 2017 2018 2019 2020 2021 2022 2023

bps

Duration Weighted Bid-Ask Across Tenors

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

2016 2017 2018 2019 2020 2021 2022 2023

bps

Bid-Ask Spreads for On-the-Run 

2y/3y/5y Notes

2y 3y 5y

0

0.2

0.4

0.6

0.8

1

1.2

2016 2017 2018 2019 2020 2021 2022 2023

bps

Bid-Ask Spreads for On-the-Run 7y/10y 

Notes

7y 10y

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

2016 2017 2018 2019 2020 2021 2022 2023

bps

Bid-Ask Spreads for On-the-Run 

20y/30y Bonds

20y 30y

Source: Barclays Research Source: Barclays Research

Source: Barclays Research
33

Assessment of Market Functioning

• Market conditions can sustain additional coupon issuance increases but metrics such as relative value and bid-ask 

spreads warrant caution when increasing auction sizes more meaningfully in 7s and 20s and also favor relative 

increases in 5s, 10s and 30s

• Treasury market liquidity is driven by many factors: exogenous ones like elevated uncertainly in the macro outlook 

causing higher realized volatility, as well as micro ones such as aggregate dealer balance sheet size relative to the 

overall US Treasury market and a lack of true all-to-all platform

• Measures of liquidity such as market depth, yield error, and bid-ask spreads have improved from their most stretched 

metrics in 2022 but have not returned to their pre-COVID levels

• Trading and liquidity conditions are hard to gauge precisely. In periods of stress, intermediation demand has 

sometimes exceeded capacity. Treasury should remain vigilant, but we do not see an issue with market functioning 

at present as it pertains to increases in Treasury coupon issuance

* https://home.treasury.gov/system/files/221/CombinedChargesforArchivesQ22022.pdf
34

Bills Discussion
35

Bills – Ownership Breakdown

• Over the last two years the biggest migration has been from Govt MMF to “Other” which is a catchall for a variety of 

participants including individuals, investment funds, and corporate treasury accounts

Source: JPM research, Cranes data, TIC data, Federal Reserve Bank of New York, Fitch, Company 10-Qs and other disclosures

T-Bill Ownership as of 3/31/23

Foreign Other Prime MMF

Govt MMF Primary Dealers Fed

Local Govts Stablecoins Offshore MMF

T-Bill Ownership 3/31/21

Foreign Other Prime MMF

Govt MMF Primary Dealers Fed

Local Govts Stablecoins Offshore MMF
36

Bills – Recent Demand

• Since the debt ceiling resolution, the inflow of recent 

T-Bill issuance has been well absorbed

• Money Market Funds (mainly Government Only 

MMFs) have been supportive of absorbing this new 

issuance (uptick from near low % of ownership of 

bills outstanding)

• MMFs likely to help absorb the estimated additional 

$250bn-$800bn bill supply over the second half of 

2023. Currently Gov MMFs ~500bn under their 

average UST holdings as % of AUM

Source: IMoneyNet, Bank of America Research, Bloomberg, committee member data, committee member dealer survey

*committee member dealer survey

0%

10%

20%

30%

40%

50%

60%

70%

2012 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

US Tsys as % of Gov MMF AUM

UST Debt Average

0%

5%

10%

15%

20%

25%

30%

35%

1996 1998 2000 2003 2005 2007 2010 2012 2014 2017 2019 2021

Bills as % of Total UST Outstanding

Low 

($1045bn)

High 

($1562bn)

0

200

400

600

800

1000

1200

1400

1600

31-May 30-Jun 31-Jul 31-Aug 30-Sep 31-Oct 30-Nov 31-Dec

Cumulative Net Bill ($bn)

Cumulative Net T-Bill June through 

December (Realized and Expected*)

Cumulative Net Bill ($bn) Low High
37

Bills – MMF Capacity and WAM

• Government only MMFs have gradually lengthened WAM 

over the course of 2023, but are still well below the historical 

average of about 30.5 days WAM

• The bills absorbed by MMFs since debt ceiling resolution 

have largely been funded by reductions in ON RRP

• As MMFs perceive that we are nearing the end of the Fed’s 

hiking cycle, they have capacity to increase both their WAM 

and their allocation to bills to more historically typical levels. If 

MMFs move back to their average WAM while buying bills 

with an average tenor of 85 days, they would need to need to 

buy ~$600bn* (estimated by extrapolating capacity of Top 15 

RRP Counterparties based upon their share of AUM)

Source: Cranes data, Bloomberg

*The grid represents how much of Y tenor the top 15 RRP counterparties would need to buy to achieve an increase in X days of WAM. These top 15 RRP counterparties make up ~46% of total MMF AUM. To add 10 days of WAM, they would need to buy 

~300bn 85 day bills. Extrapolating that across the entire MMF complex indicates roughly double that for a 10 day increase.

0

10

20

30

40

50

60

July-18 July-19 July-20 July-21 July-22 July-23

days

Money Market Fund WAMs 

WAM 15 Largest RRP Counterparties (Days)

5y Average (30.5 Days)

0%

10%

20%

30%

40%

50%

60%

0

1000

2000

3000

4000

5000

6000

July-18 July-19 July-20 July-21 July-22 July-23

$bn

MMF AUM and RRP

RRP (LHS, $bn) MMF AUM (LHS, $bn)

RRP/MMF AUM (RHS, %)

MMF AUM ($bn) 5458

Top 15 RRP Counterparty AUM ($bn) 2519

Top 15 RRP Counterparty RRP ($bn) 1192

Current WAM 21

Average WAM 30

Max WAM 48

$bn to Buy 4 8 12 16 20 24 28

75 134 269 403 537 672 806 940

80 126 252 378 504 630 756 882

85 119 237 356 474 593 711 830

90 112 224 336 448 560 672 784

95 106 212 318 424 530 636 742

100 101 202 302 403 504 605 705

105 96 192 288 384 480 576 672

*Current WAM of Issuance ~84 Days/Week excluding 52-Week

**Top 15 RRP Counterparties represent ~46% of MMF AUM as of May 31st Issuance WAM (days)

Days to Add for Top 15 RRP Counterparties 
38

Bills – Valuation Sensitivity to Issuance Changes

• 3m Bills spread to 3m OIS shows very little sensitivity to 

issuance changes

• In 2020 when issuance went up ~2.5T, 3m bills widened 

~10bps to 3m OIS

• During the 2022 aggressive hiking cycle, bills remained rich 

to what the market was pricing for Fed action

• Net, there appears to be sufficient demand from MMFs to 

further increase Bills supply slated for rest of the year. Over 

the medium to longer term, Bills issuance should be looked 

at in context of overall WAM as well as Bills as a percentage 

of Treasury Debt Outstanding, generally staying within the 

TBAC recommended range of 15-20% bill share

Source: Bloomberg

y = -8E-05x + 0.0012

R2 = 0.1053

 (20)

 (15)

 (10)

 (5)

 -

 5

 10

 15

 20

-500 0 500 1000 1500

bps

$bn

Change Bills Outstanding vs Change 3m 

Bill OIS

-20

-10

0

10

20

30

40

50

0

1000

2000

3000

4000

5000

6000

2013 2014 2015 2017 2018 2019 2020 2021 2022

$

bps

bn

Bills Out vs 3m Bill - 3m OIS

Bills Out 3m OIS - Bill Spread
39

Issuance Scenarios
40

Issuance Scenarios

* https://home.treasury.gov/system/files/221/TBACRecommendedFinancingTableQ32023 -05032023.pdf

We analyze different issuance scenarios to better understand the impact on WAM, Bills share & TIPS share

• Baseline - Status Quo Scenario where issuance increases in line with the TBAC recommendations to the 

Treasury from Q2-2023* and then stays static

• Scenario 1: Neutral Issuance Scenario – Coupon issuance increases proportionately along the curve including in 

TIPS with smaller increase in 7s and 20s with the objective of keeping bills in the 15-20% range long term. Under 

this scenario, we incorporate the need to increase coupon issuance across the curve as demonstrated by the 

output of Status Quo. We take into consideration concerns about the relative liquidity of 7s and 20s by increasing 

those sectors proportionately less vs surrounding sectors

• Scenario 2: Longer Tenors – Here we incorporate the history suggesting that term premium could be less steep 

than assumed in the Optimal Debt Structure Model & increase issuance in longer tenors while reducing issuance 

in shorter tenors proportionately. Per the output of the Optimal Debt Structure model, this reduces deficit volatility 

while incurring only a small increase in cost

• Scenario 3: Shorter Tenors – Here we adopt a strategy focused on cost minimization & increase issuance in 

shorter tenors while proportionately reducing issuance in longer tenors. While expected costs are reduced, this 

increases deficit volatility
41

Issuance Scenarios Details

Status Quo Scenario (in $bn) Status Quo Scenario Increases (in $bn)

Scenario 1: Neutral Issuance (in $bn) Scenario 1: Neutral Issuance Increases (in $bn)

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

5 2023 42 40 43 35 35 15 21 0 15 0 22

6 2023 42 40 43 35 32 12 18 20 0 0 22

7 2023 42 40 43 35 32 12 18 0 17 0 24

8 2023 44 42 45 36 37 16 23 0 0 8 22

9 2023 46 44 47 37 34 13 20 0 15 0 22

10 2023 46 44 47 37 34 13 20 22 0 0 24

11 2023 46 44 47 37 37 16 23 0 15 0 22

12 2023 46 44 47 37 34 13 20 20 0 0 22

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 42 40 43 35 32 12 18 0 17 0 24

8 2023 45 43 46 37 38 17 24 0 0 8 22

9 2023 48 46 49 39 35 14 21 0 15 0 22

10 2023 51 49 52 41 35 14 21 23 0 0 25

11 2023 54 52 55 43 41 19 27 0 15 0 23

12 2023 57 55 58 45 38 16 24 21 0 0 23

1 2024 59 57 60 46 38 16 24 0 18 0 26

2 2024 61 59 62 47 43 20 29 0 0 10 24

3 2024 63 61 64 48 40 17 26 0 16 0 24

4 2024 65 63 66 49 40 17 26 24 0 0 27

5 2024 67 65 68 50 45 21 31 0 16 0 25

6 2024 69 67 70 51 42 18 28 22 0 0 25

7 2024 69 67 70 51 42 18 28 0 19 0 27

8 2024 69 67 70 51 45 21 31 0 0 9 25

9 2024 69 67 70 51 42 18 28 0 17 0 25

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

5 2023 0 0 0 0 0 0 0 0 0

6 2023 0 0 0 0 0 0 0 0 0

7 2023 0 0 0 0 0 0 0 0 0 0

8 2023 2 2 2 1 2 1 2 0 0

9 2023 2 2 2 1 2 1 2 0 0

10 2023 0 0 0 0 2 1 2 0 0

11 2023 0 0 0 0 0 0 0 0 0

12 2023 0 0 0 0 0 0 0 0 0

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 0 0 0 0 0 0 0 0 0

8 2023 3 3 3 2 3 2 3 0 0

9 2023 3 3 3 2 3 2 3 0 0

10 2023 3 3 3 2 3 2 3 1 1

11 2023 3 3 3 2 3 2 3 0 1

12 2023 3 3 3 2 3 2 3 1 1

1 2024 2 2 2 1 3 2 3 1 1

2 2024 2 2 2 1 2 1 2 1 1

3 2024 2 2 2 1 2 1 2 1 1

4 2024 2 2 2 1 2 1 2 1 1

5 2024 2 2 2 1 2 1 2 1 1

6 2024 2 2 2 1 2 1 2 1 1

7 2024 0 0 0 0 2 1 2 1 0

8 2024 0 0 0 0 0 0 0 1 0

9 2024 0 0 0 0 0 0 0 1 0
42

Issuance Scenarios Details

Scenario 2: Longer Tenors (in $bn) Scenario 2: Longer Tenors Increases (in $bn)

Scenario 3: Shorter Tenors (in $bn) Scenario 3: Shorter Tenors Increases (in $bn)

MM Y Y

2Y3Y

5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 42 40 43 35 32 12 18 0 17 0 24

8 2023 44 42 45 36 39 17 25 0 0 8 22

9 2023 46 44 47 37 36 14 22 0 15 0 22

10 2023 48 46 49 38 36 14 22 23 0 0 25

11 2023 50 48 51 39 43 19 29 0 15 0 23

12 2023 52 50 53 41 40 16 26 21 0 0 23

1 2024 54 52 55 42 40 16 26 0 18 0 26

2 2024 56 54 57 43 46 21 32 0 0 10 24

3 2024 58 56 59 44 43 18 29 0 16 0 24

4 2024 60 58 61 45 43 18 29 24 0 0 27

5 2024 62 60 63 46 49 23 35 0 16 0 25

6 2024 64 62 65 47 46 20 32 22 0 0 25

7 2024 64 62 65 47 46 20 32 0 19 0 27

8 2024 64 62 65 47 49 23 35 0 0 9 25

9 2024 64 62 65 47 46 20 32 0 17 0 25

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 42 40 43 35 32 12 18 0 17 0 24

8 2023 46 43 47 37 38 16 23 0 0 8 22

9 2023 50 46 51 39 35 13 20 0 15 0 22

10 2023 54 49 55 41 35 13 20 23 0 0 25

11 2023 58 52 59 43 41 17 25 0 15 0 23

12 2023 62 55 63 45 38 14 22 21 0 0 23

1 2024 65 57 66 46 38 14 22 0 18 0 26

2 2024 68 59 69 47 43 17 26 0 0 10 24

3 2024 71 61 72 48 40 14 23 0 16 0 24

4 2024 74 63 75 49 40 14 23 24 0 0 27

5 2024 77 65 78 50 45 17 29 0 16 0 25

6 2024 79 67 81 51 42 14 24 22 0 0 25

7 2024 79 67 81 51 42 14 24 0 19 0 27

8 2024 79 67 81 51 45 17 29 0 0 9 25

9 2024 79 67 81 51 42 14 24 0 17 0 25

MM Y Y

2Y3Y

5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 0 0 0 0 0 0 0 0 0

8 2023 2 2 2 1 4 2 4 0 0

9 2023 2 2 2 1 4 2 4 0 0

10 2023 2 2 2 1 4 2 4 1 1

11 2023 2 2 2 1 4 2 4 0 1

12 2023 2 2 2 2 4 2 4 1 1

1 2024 2 2 2 1 4 2 4 1 1

2 2024 2 2 2 1 3 2 3 1 1

3 2024 2 2 2 1 3 2 3 1 1

4 2024 2 2 2 1 3 2 3 1 1

5 2024 2 2 2 1 3 2 3 1 1

6 2024 2 2 2 1 3 2 3 1 1

7 2024 0 0 0 0 3 2 3 1 0

8 2024 0 0 0 0 0 0 0 1 0

9 2024 0 0 0 0 0 0 0 1 0

MM Y Y

2Y3Y5Y7Y

10Y20Y30Y

5Y TIP

10Y TIP30Y TIP2Y FRN

7 2023 0 0 0 0 0 0 0 0 0

8 2023 4 3 4 2 3 1 2 0 0

9 2023 4 3 4 2 3 1 2 0 0

10 2023 4 3 4 2 3 1 2 1 1

11 2023 4 3 4 2 3 1 2 0 1

12 2023 4 3 4 2 3 1 2 1 1

1 2024 3 2 3 1 3 1 2 1 1

2 2024 3 2 3 1 2 0 1 1 1

3 2024 3 2 3 1 2 0 1 1 1

4 2024 3 2 3 1 2 0 1 1 1

5 2024 3 2 3 1 2 0 3 1 1

6 2024 2 2 3 1 2 0 1 1 1

7 2024 0 0 0 0 2 0 1 1 0

8 2024 0 0 0 0 0 0 0 1 0

9 2024 0 0 0 0 0 0 0 1 0
43

Issuance Scenarios

• If Coupon issuance is not increased beyond 2023Q2 

TBAC recommendations, Bills share increases 

significantly and WAM declines

• Bills share exceeds 20% for a period before stabilizing 

within recommended range in all increased coupon 

issuance scenarios but begins to decline below the 

15%-20% range sooner under Scenario 3 (higher 

shorter tenor issuance)

• Without further increases to TIPS auction sizes, TIPS 

share falls in all issuance scenarios. Stabilizing TIPS 

issuance within the 7-9% range requires increasing 

TIPS auction sizes by 2bn at each auction

• Further study to consider options like adjustment in 

TIPS calendar schedule to accommodate higher total 

TIPS issuance could be helpful

6%

7%

8%

9%

Jul-23 Jan-24 Jul-24 Jan-25 Jul-25 Jan-26 Jul-26 Jan-27 Jul-27

TIPS as a %age of Treasury Debt Outstanding

TBAC Recommended TIPS Share Status Quo

Neutral Shorter Tenors

Longer Tenors Neutral+more TIPS (2bln increases)

10%

15%

20%

25%

30%

Jul-23 Jan-24 Jul-24 Jan-25 Jul-25 Jan-26 Jul-26 Jan-27 Jul-27

Bills as a %age of Treasury Debt Outstanding

TBAC Recommended Bill Share Status Quo

Neutral Shorter Tenors

Longer Tenors

62

64

66

68

70

72

74

76

78

80

82

Jul-23 Jan-24 Jul-24 Jan-25 Jul-25 Jan-26 Jul-26 Jan-27 Jul-27

WAM (months)

WAM

Status Quo Neutral Shorter Tenors Longer Tenors
44

Conclusions

• Optimal Debt Structure Model highlights elevated debt service cost, primarily due to increased size of the stock of Treasury 

debt 

• Model preferences include belly issuance, small TIPS issuance increases, and if lower term premium persists, increases in 

longer dated issuance, which would reduce deficit volatility at small incremental costs

• While demand for Treasury issuance remains strong across all tenors, some segments bear watching:

• Cheapness in 7s has reduced recently, but could reemerge as auction sizes increase

• Cheapness in 20s has been persistent and supports lower relative increases in issuance

• Given its funding needs, Treasury should increase coupon issuance in a regular and predictable manner across the curve, 

including in TIPS, while making less than proportionate increases in 7s and 20s.(Scenario 1)

• Decline in Term Premium, if it persists, supports additional incremental issuance in longer tenors vs shorter tenors (Scenario 

2). Note, some of the factors that have lead to decline in term premium can reverse

• Treasury should continue to focus on Bills share, TIPS share, WAM and relative sector valuation when analyzing its auction 

choices, and will need to make trade-offs recognizing the increase in coupon issuance needed

• TIPS demand has declined somewhat more recently as shorter dated TIPS ETFs have seen outflows. Nonetheless, we think 

the market can absorb increases of at least 1bn per auction across TIPS tenors due to generally healthy demand. Further 

study to consider options like adjustment in TIPS calendar schedule to accommodate higher total TIPS issuance could be 

helpful

• The recent rapid increase in Bills supply has been well absorbed. MMFs have significant room to absorb additional Bills 

supply particularly as we approach the late stages of the hiking cycle, when MMFs may find it desirable to extend WAM 

toward prior averages, which can be facilitated by adding more Bills 

• Market functioning analysis continues to point towards weaker liquidity environment relative to pre-COVID period with 

elevated volatility as the largest driver. Treasury should remain vigilant, but we do not see an issue with market functioning at 

present as it pertains to increases in Treasury issuance