Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2022 Q3 Report
Table of Contents

2

I. Executive Summary p. 4

II. Fiscal

A. Quarterly Tax Receipts p. 6

B. Monthly Receipt Levels p. 7

C. Largest Outlays p. 8

D. Treasury Net Nonmarketable Borrowing p. 9

E. Cumulative Budget Deficits p. 10

F. Deficit and Borrowing Estimates p. 12

G. Budget Surplus/Deficit p. 13

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

III. Financing

A. Sources of Financing p. 17

B. Interest Rate Assumptions p. 19

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

IV. Portfolio Metrics

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

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

C. Maturity Profile p. 26

V. Demand

A. Summary Statistics p. 28

B. Bid-to-Cover Ratios p. 29

C. Investor Class Awards at Auction p. 34

D. Primary Dealer Awards at Auction p. 39

E. Direct Bidder Awards at Auction p. 40

F. Foreign Awards at Auction p. 41

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

Executive Summary

3
Receipts and Outlays through Q3 FY2022

• Through Q3 FY2022, receipts were $3.835 trillion, $779 billion (26%) higher than the same period last year. Withheld & FICA taxes were up $334 

billion (17%) due to rising wages and employment, the required repayment by early January 2022 of 50% of the employer portion of the FICA taxes 

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

through December of 2020. Non-withheld and SECA taxes were $312 billion (42%) higher, buoyed by an exceptionally large final payment of 2021 

tax liabilities in April that include elevated liabilities on realized capital gains as well as other factors. Gross corporate taxes were $41 billion (14%) 

higher due to higher corporate profits. Federal Reserve earnings were $24 billion (35%) higher. Miscellaneous and other social insurance was $19 

billion (24%) higher due primarily to large Unemployment Trust Fund deposits. Customs duties were up $16 billion (25%) due to the recovery in 

international commerce. Gross excise taxes were $9 billion (17%) higher than last year with the largest difference stemming from highway excise 

taxes. Fiscal-year-to-date, receipts were 20.7% of GDP, compared to 18.2% for the same period last year. 

• Through Q3 FY2022, outlays were $4.350 trillion, $944 billion (-18%) lower than the same period last year. Department of Treasury outlays were 

$447 billion (-32%) lower due to lower Economic Impact Payments and Covid relief payments of $702 billion, partially offset by tax credits 

increasing by $123 billion and higher interest on the public debt of $102 billion. Department of Labor outlays were $286 billion (-87%) lower due to 

the reduction in unemployment and expiration of expanded benefits attributable to the COVID-19 pandemic. Small Business Administration 

outlays were $303 billion (-93%) lower primarily due to the recognition of higher subsidy costs in FY2021 than in FY2022. Health and Human 

Services outlays were $106 billion (10%) higher mainly due to increases in Medicare and Medicaid. Social Security Administration outlays were $59 

billion (7%) higher due to increases in the number of beneficiaries and in the average benefit amount. Department of Education outlays were $25 

billion (20%) higher due to increased spending on emergency grants to the Education Stabilization Fund to support K-12 and postsecondary 

education. Other outlays were $95 billion (-24%) lower due to lower net outlays for the Federal Communications Commission Spectrum Auctions (-

$77 billion). Fiscal-year-to-date, outlays were 23.5% of GDP, compared to 31.6% for the same period last year. 

Projected Net Marketable Borrowing

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of $444 billion for Q4 FY2022, with 

an end-of-September cash balance of $650 billion. For Q1 FY2023, OFP forecasts a net privately-held marketable borrowing need of $400 billion and 

end-of-December cash balance of $700 billion. These borrowing estimates are based upon current law and do not include any assumptions for the 

impact of additional legislation that may be passed. 

Demand for Treasury Securities

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

• Foreign demand remained stable.

Highlights of Treasury’s August 2022 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4
Section II:

Fiscal

5
6

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

Source: United States Department of the Treasury

(100%)

0 %

100%

200%

300%

400%

500%

600%

700%

800%

900% Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Year-over-Year % Change

Quarterly Tax Receipts

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

0

50

100

150

200

250 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 $bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other

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

Taxes include withheld and non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF deposits, FUTA and RUIA. Other 

includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. 

Source: United States Department of the Treasury 
8

Source: United States Department of the Treasury 0

200

400

600

800

1,000

1,200

1,400

1,600 HHS SSA Treasury Defense V A Agriculture Education OPM Transportation Homeland Security Labor Other Defense Civil SBA $ bn

Largest Outlays

Oct - Jun FY2021 Oct - Jun FY2022
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q3-12 Q4-12 Q1-13 Q2-13 Q3-13 Q4-13 Q1-14 Q2-14 Q3-14 Q4-14 Q1-15 Q2-15 Q3-15 Q4-15 Q1-16 Q2-16 Q3-16 Q4-16 Q1-17 Q2-17 Q3-17 Q4-17 Q1-18 Q2-18 Q3-18 Q4-18 Q1-19 Q2-19 Q3-19 Q4-19 Q1-20 Q2-20 Q3-20 Q4-20 Q1-21 Q2-21 Q3-21 Q4-21 Q1-22 Q2-22 Q3-22 $ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

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

Source: United States Department of the Treasury 0

500

1,000

1,500

2,000

2,500

3,000

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

Cumulative Budget Deficits by Fiscal Year

FY2020 FY2021 FY2022
11

Privately-Held Net Marketable Borrowing 

Definition and Calculation Example

• Actual deficits are sourced from the Monthly Treasury Statement.

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

of Sept 28, 2018 - cash balance of Sept 29, 2017

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

student loans and loans to small businesses.

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

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

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

Reconciliation Table.

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

FY 2018 Actual Deficits and

Privately-Held Net Marketable Borrowing, in $ billions

FY 2018 Deficit 779

FY 2018 + Change in Cash Balance 225

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

FY 2018 = Total Net Marketable Borrowing 1,039

FY 2018 + SOMA Redemption 156

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

FY 2018 Actual
12

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

2 Treasury's Office of Fiscal Projections (OFP) borrowing estimates announced on August 1, 2022.

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

4 CBO projections are using estimates are from Table 1-1 of “The Budget and Economic Outlook: 2022 to 2032,” May 2022. 

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

Account (SOMA) but includes financing required due to SOMA redemptions. Secondary market purchases of Treasury securities by SOMA do not 

directly change net privately-held marketable borrowing but, all else equal, when the securities mature and assuming the Fed does not redeem any 

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

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

assumptions for FY22/23/24. In addition, all the PD, CBO and OMB’s FY22 privately-held net borrowing estimates are normalized with OFP’s FY22 

ending cash balance of $650 billion. 

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

25th Median 75th

FY 2022 Deficit 800 916 1,000 1,415 1,036

FY 2023 Deficit 900 1,000 1,060 1,154 984

FY 2024 Deficit 900 965 1,083 1,200 1,056

FY 2022 Change in Cash Balance 435 435 485 435 535 350

FY 2023 Change in Cash Balance -75 0 0 0 0

FY 2024 Change in Cash Balance 0 0 0 0 0

FY 2022 Total Net Marketable Borrowing 1,300*** 1,550*** 1,571*** 1,658 2,552 1,889

FY 2023 Total Net Marketable Borrowing 730*** 900*** 1,105*** 1,197 1,020

FY 2024 Total Net Marketable Borrowing 919*** 895*** 1,042*** 1,238 1,024

FY 2022 SOMA Redemption 150 150 180 150

FY 2023 SOMA Redemption 720 720 720

FY 2024 SOMA Redemption 113 405 590

FY 2022 Privately-Held Net Marketable Borrowing 1,450** 1,700** 1,751** 1,808 2,602** 2,124**

FY 2023 Privately-Held Net Marketable Borrowing 1,450 1,620 1,825 1,917** 1,740**

FY 2024 Privately-Held Net Marketable Borrowing 1,032 1,300 1,632 1,643** 1,429**

Estimates as of: Aug-22 Mar-22 May-22

Primary Dealer1

CBO4 OMB3

Jul-22

OFP2
(17.5%)

(15.0%)

(12.5%)

(10.0%)

(7.5%)

(5.0%)

(2.5%)

0.0%

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 Deficit to GDP $bn

Budget Surplus/Deficit*

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

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

CBO's (May 22) Surplus/Deficit as a % of GDP (RHS)

*OMB’s projections are from OMB’s Table S-1 of “Budget of The U.S. Government Fiscal Year 2023,” March 2022.

CBO’s deficit projections are using estimates from CBO’s Table 1-1 of “The Budget and Economic Outlook: 2022 to 2032,” May 2022.

Projections

13
14

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

System Open Market Account (SOMA) but includes financing required due to SOMA redemptions. Secondary market purchases of 

Treasury securities by SOMA do not directly change net privately-held marketable borrowing but, all else equal, when the securities 

mature and assuming the Fed does not redeem any maturing securities, would increase the amount of cash raised for a given 

privately-held auction size by increasing the SOMA “add-on” amount. These borrowing estimates are based upon current law and 

do not include any assumptions for the impact of additional legislation that may be passed. 

Privately-Held Net Marketable Borrowing Outlook*

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4 $ bn

FY20 FY21 FY22 FY23 (projection-OFP) FY22 (projection-OFP)
Section III:

Financing

15
16

Assumptions for Financing Section (pages 17 to 21)

• Portfolio and SOMA holdings as of 06/30/2022.

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

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

outstanding of ~$3.52 trillion. 

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

as of 06/30/2022.

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

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

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

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

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

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

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

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

Net Bill Issuance (405) Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 412 4-Week 455 485 (30) 1,375 1,305 7 0

Subtotal: Net Marketable Borrowing 7 8-Week 390 440 (50) 1,220 1,225 (5)

13-Week 627 774 (147) 2,100 2,139 (39)

Ending Cash Balance 782 26-Week 567 630 (63) 1,854 1,965 (111)

Beginning Cash Balance 652 52-Week 102 102 (0) 340 340 (0)

Subtotal: Change in Cash Balance 131 CMBs

17-Week 390 505 (115) 1,365 1,380 (15)

Net Implied Funding for FY 2022 Q3* (124) CMBs 0 0 0 675 765 (90)

Bill Subtotal 2,531 2,936 (405) 8,929 9,119 (190)

Security Gross Maturing Net Gross Maturing Net

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

2-Year 141 111 3 0 471 305 166

3-Year 135 7 3 6 2 453 227 226

5-Year 144 7 8 6 6 480 235 245

7-Year 126 7 8 4 8 453 228 225

10-Year 103 2 3 8 0 323 9 1 232

20-Year 4 7 0 4 7 169 0 169

30-Year 6 1 0 6 1 197 9 188

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

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

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 877 465 412 2,901 1,348 1,553

Total 3,408 3,401 7 11,830 10,467 1,363

April - June 2022 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q3

April - June 2022 April - June 2022 Fiscal Year-to-Date

Bill Issuance Bill Issuance
18

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

** Assumes an end-of-September 2022 cash balance of $650 billion versus a beginning-of-July 2022 cash balance of $782 billion.

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

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

Assuming Constant Coupon Issuance Sizes*

Treasury Announced Net Marketable Borrowing** 444

Net Coupon Issuance 340

Implied Change in Bills 104

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 6 8 6 8 0 282 240 4 2

2-Year 135 127 8 606 432 174

3-Year 129 8 3 4 6 582 311 271

5-Year 138 7 6 6 2 618 310 308

7-Year 114 7 3 4 1 567 301 266

10-Year 102 2 0 8 2 425 111 314

20-Year 4 5 0 4 5 214 0 214

30-Year 6 0 4 5 6 257 1 3 244

5-Year TIPS 0 0 0 7 4 4 0 3 4

10-Year TIPS 3 2 3 9 (7) 9 0 8 0 1 0

30-Year TIPS 8 0 8 1 7 0 1 7

Coupon Subtotal 831 491 340 3,732 1,838 1,894

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q4

July - September 2022

July - September 2022 Fiscal Year-to-Date
19

1.5

2

2.5

3

3.5

4

4.5

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

Interest Rate Assumptions: 10-Year Treasury Note

CBO Budget (May 2022) Implied Forward Rates as of 06/30/2022 OMB Budget (Mar 2022)

1 0-Year Treasury Rate 

of 3.016% as of 

06/30/2022
20

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 06/30/2022*

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

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

Economic Outlook: 2022 to 2032,“ May 2022. Both OMB and CBO borrowing estimates are normalized to privately-held net borrowing after adding PD survey 

median SOMA redemption assumptions for FY22/23/24. FY2022 net borrowing estimates from PD, OMB and CBO are normalized with OFP’s FY22 ending 

cash balance of $650 billion (details can be found on page 12). 

0

500

1,000

1,500

2,000

2,500

3,000

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

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Adjusted Privately-held Net Borrowing from CBO's "The Budget and Economic Outlook: 2022 to 2032", May 2022

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

OFP's FY2022 Privately-Held Net Marketable Borrowing Estimate

PD 75th 

percentile

PD 25th 

percentile

PD 50th 

percentile

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

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

0

20

40

60

80

100

120

140

160

180

200

7/1/2022

10/1/2022

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

10/1/2023

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

10/1/2024

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

10/1/2025

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

10/1/2026

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

10/1/2027

1/1/20284/1/20287/1/2028

$bn$bn

Federal Reserve SOMA Treasury Holdings Maturity Profile as of 

6/30/2022

COUPONS/TIPS/FRN BILLS Cumulative (RHS)

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

Portfolio Metrics

22
23

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

8 0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable Debt Outstanding

Historical Historical Average from 1980 to end of FY2022 Q3

06/30/2022 

74.3 months

60.5 months (Historical Average 

from 1980 to Present)
24

0

5

1 0

1 5

2 0

2 5

3 0

3 5

4 0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.6%

Max 10.7%

Max 2.7%

06/30/22 

15.1%

06/30/22 

7.7%

06/30/22 

2.7%

Max 

35.6%
25

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45%

50% 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000 $ bn

Private Bills Holdings as a Percentage of Total Private Holdings

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

06/30/22 

18%

06/30/22 

$3,198 bn
26

2 0

3 0

4 0

5 0

6 0

7 0

8 0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Percent

Calendar Year

Treasury Maturity Profile History

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

06/30/22 

51%

06/30/22 

28%
Section V:

Demand

27
28

*Weighted averages of Competitive Awards. FRNs are reported on discount margin basis. 

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-year 

equivalent, a constant auction BEI is used as the inflation assumption. Security 

Type Term Stop Out Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % Indirect*

NonCompetitive 

Awards ($bn)

SOMA 

"AddOns" ($bn)

10-Year 

Equivalent 

($bn)**

Bill 4-Week 0.73 3.04 442.48 49.12 2.83 48.05 12.53 44.29 4.38

Bill 8-Week 0.96 3.20 383.34 48.65 3.57 47.78 6.67 37.96 7.50

Bill 13-Week 1.10 2.83 610.19 45.30 5.45 49.26 16.82 84.50 20.22

Bill 26-Week 1.61 3.01 550.13 41.91 2.76 55.33 16.87 76.47 36.52

Bill 52-Week 2.33 3.19 99.48 37.54 5.48 56.98 2.52 13.52 13.17

CMB 17-Week 1.40 3.36 386.34 43.95 2.98 53.08 3.66 - 14.49

Coupon 2-Year 2.73 2.62 138.37 16.99 22.91 60.10 2.63 17.24 35.40

Coupon 3-Year 2.82 2.51 133.85 24.66 19.68 55.66 1.15 45.05 58.93

Coupon 5-Year 2.93 2.38 143.47 19.08 19.73 61.19 0.53 17.60 86.52

Coupon 7-Year 2.98 2.53 125.94 13.07 18.66 68.27 0.06 15.47 102.85

Coupon 10-Year 2.90 2.44 102.92 15.64 18.19 66.18 0.08 35.24 137.26

Coupon 20-Year 3.28 2.63 46.97 11.36 17.18 71.47 0.03 5.84 90.12

Coupon 30-Year 3.00 2.34 60.98 14.54 17.45 68.01 0.02 21.28 189.49

TIPS 5-Year (0.01) 2.67 37.73 6.64 6.53 86.82 0.27 1.38 22.15

TIPS 10-Year 0.23 2.24 13.97 17.85 11.42 70.73 0.03 2.10 17.86

FRN 2-Year (0.03) 3.06 67.84 33.12 11.07 55.81 0.16 3.33 0.07

Total Bills 1.22 3.06 2,471.95 45.22 3.71 51.07 59.06 256.74 96.29

Total Coupons 2.90 2.49 752.49 17.36 19.57 63.07 4.51 157.74 700.56

Total TIPS 0.06 2.56 51.70 9.67 7.85 82.47 0.30 3.48 40.01

Total FRN (0.03) 3.06 67.84 33.12 11.07 55.81 0.16 3.33 0.07

Summary Statistics for Fiscal Year 2022 Q3 Auctions
1.5

2

2.5

3

3.5

4

4.5

5 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for Treasury Bills

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

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

29
30

1.5

2

2.5

3

3.5

4

4.5

5 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
31

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

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

( 6-Month Moving Average)

2-Year 3-Year 5-Year
32

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

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

Nominal Securities (6-Month Moving Average)

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

1.5

2

2.5

3

3.5

4

4.5

5 Apr-17 Jul-17 Oct-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) 30-Year
34

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

Institutions, Individuals, Pension and Insurance.

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45% 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 1 3-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
35

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

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

6-month moving average

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

Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
36

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% 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

6-month moving average

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

Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
37

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80%

90% 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

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
38

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% 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

6-month moving average

Percent Awarded in FRN Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
39

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

10%

20%

30%

40%

50%

60%

70% 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 % of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

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

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

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

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% 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 % of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

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

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

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

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

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

Total Foreign Awards of Treasuries at Auction, $ billions

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

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

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0%

10%

20%

30%

40%

50%

60%

0

1,000

2,000

3,000

4,000

5,000

6,000

200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023

$ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

05/31/22 

3,673

05/31/22 

25%

05/31/22 

913

0%

20%

40%

60%

80%

100%

0

4,000

8,000

12,000

16,000

20,000

200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023

$ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

05/31/22 

19,628

05/31/22 

33%

05/31/22 

6,509
Appendix

43
44

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 06/30/2022*

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

for open-market outright purchases and subsequent rollovers.

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

2017 155 (66) 378 51 (0) 519 

2018 438 197 493 45 23 1,196 

2019 137 498 534 51 59 1,280 

2020 2,652 538 724 46 55 4,015 

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

2022 (190) 762 1,044 59 42 1,717 

2023 0 443 769 39 (42) 1,209 

2024 0 174 797 64 (10) 1,026 

2025 0 43 812 (3) 0 852 

2026 0 (112) 808 15 0 712 

2027 0 2 691 (2) 0 691 

2028 0 0 372 (19) 0 353 

2029 0 0 490 (13) 0 477 

2030 0 0 558 2 0 561 

2031 0 0 387 (10) 0 378 
45

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

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)*

4-Week 4/12/2022 0.205 3.38 34.4 32.4 1.2 66.4 0.6 3.5 0.3

4-Week 4/19/2022 0.370 2.84 34.3 56.3 3.6 40.1 0.7 3.6 0.3

4-Week 4/26/2022 0.500 3.21 34.3 53.3 4.0 42.7 0.7 2.9 0.3

4-Week 5/3/2022 0.480 3.50 33.7 41.4 0.4 58.2 1.3 3.5 0.3

4-Week 5/10/2022 0.490 3.06 33.5 43.4 2.1 54.6 1.5 3.5 0.3

4-Week 5/17/2022 0.600 2.70 34.1 70.5 2.9 26.6 0.9 3.6 0.3

4-Week 5/24/2022 0.640 3.07 34.2 47.0 4.0 49.1 0.8 3.0 0.3

4-Week 5/31/2022 0.740 2.79 34.2 56.4 3.8 39.8 0.8 3.6 0.3

4-Week 6/7/2022 0.860 3.07 34.3 47.9 0.9 51.2 0.7 3.5 0.3

4-Week 6/14/2022 1.040 2.82 33.8 51.7 3.0 45.3 1.2 3.6 0.3

4-Week 6/21/2022 1.180 3.17 33.8 50.2 4.0 45.8 1.2 3.0 0.3

4-Week 6/28/2022 1.100 2.90 34.0 44.5 2.5 53.0 1.0 3.6 0.3

4-Week 7/5/2022 1.240 2.97 34.1 43.4 4.5 52.2 0.9 3.5 0.3

8-Week 4/12/2022 0.500 2.96 29.8 59.1 16.1 24.8 0.2 3.0 0.6

8-Week 4/19/2022 0.570 3.56 29.8 40.5 0.8 58.7 0.2 3.1 0.6

8-Week 4/26/2022 0.625 3.24 29.5 55.3 2.9 41.8 0.5 2.5 0.6

8-Week 5/3/2022 0.710 3.64 28.8 46.4 6.8 46.9 1.2 3.0 0.6

8-Week 5/10/2022 0.710 3.55 29.3 42.7 0.0 57.3 0.7 3.0 0.6

8-Week 5/17/2022 0.755 3.02 29.7 63.1 3.4 33.6 0.3 3.1 0.6

8-Week 5/24/2022 0.900 2.90 29.7 53.8 4.2 42.0 0.3 2.6 0.6

8-Week 5/31/2022 0.915 3.36 29.3 44.7 0.9 54.3 0.7 3.1 0.6

8-Week 6/7/2022 1.040 3.23 29.4 43.2 2.1 54.7 0.6 3.0 0.6

8-Week 6/14/2022 1.150 3.06 29.5 49.8 1.9 48.3 0.5 3.1 0.6

8-Week 6/21/2022 1.470 3.28 29.4 40.7 2.4 56.9 0.6 2.5 0.6

8-Week 6/28/2022 1.500 2.97 29.6 42.8 1.9 55.3 0.4 3.0 0.6

8-Week 7/5/2022 1.650 2.89 29.7 50.1 2.9 47.1 0.3 3.0 0.6

Bills
46

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

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

13-Week 4/7/2022 0.670 2.46 56.2 59.9 8.7 31.4 0.8 7.8 1.8

13-Week 4/14/2022 0.785 2.64 55.9 44.4 4.7 50.9 1.1 7.1 1.8

13-Week 4/21/2022 0.860 2.72 56.0 47.3 2.7 50.0 1.0 7.4 1.8

13-Week 4/28/2022 0.890 2.96 49.1 52.8 4.6 42.7 1.9 7.0 1.6

13-Week 5/5/2022 0.910 3.27 43.7 37.3 6.5 56.2 1.3 8.0 1.5

13-Week 5/12/2022 0.900 3.18 42.9 41.6 10.5 47.9 2.1 6.2 1.4

13-Week 5/19/2022 1.050 2.82 43.9 40.5 7.9 51.6 1.2 6.9 1.5

13-Week 5/26/2022 1.060 3.06 43.4 36.3 4.9 58.7 1.6 5.8 1.4

13-Week 6/2/2022 1.120 2.98 43.9 35.4 2.7 61.9 1.1 7.8 1.5

13-Week 6/9/2022 1.230 2.98 44.0 29.8 2.7 67.6 1.0 5.2 1.4

13-Week 6/16/2022 1.640 2.27 43.9 76.8 3.9 19.2 1.1 5.2 1.5

13-Week 6/23/2022 1.670 2.83 43.4 41.7 6.3 52.0 1.6 2.1 1.4

13-Week 6/30/2022 1.750 2.84 44.1 39.5 5.0 55.5 0.9 8.1 1.5

26-Week 4/7/2022 1.110 3.29 46.9 34.4 5.2 60.5 1.1 6.6 3.0

26-Week 4/14/2022 1.220 3.32 46.8 29.6 4.9 65.5 1.2 6.0 3.0

26-Week 4/21/2022 1.250 3.29 46.9 31.9 1.0 67.1 1.1 6.2 3.0

26-Week 4/28/2022 1.370 2.99 43.3 47.3 1.8 50.9 1.7 6.2 2.9

26-Week 5/5/2022 1.420 2.99 40.8 35.5 0.1 64.4 1.2 7.5 2.8

26-Week 5/12/2022 1.385 2.72 40.2 60.7 3.4 35.8 1.8 5.8 2.7

26-Week 5/19/2022 1.490 3.09 40.8 47.4 3.1 49.5 1.2 6.4 2.8

26-Week 5/26/2022 1.530 3.07 40.6 35.1 1.8 63.1 1.4 5.4 2.7

26-Week 6/2/2022 1.580 2.81 40.9 46.9 2.8 50.3 1.1 7.3 2.8

26-Week 6/9/2022 1.710 2.87 41.0 42.5 2.0 55.5 1.0 4.8 2.7

26-Week 6/16/2022 2.160 3.26 41.1 28.3 3.7 68.1 0.9 4.9 2.7

26-Week 6/23/2022 2.390 2.44 40.8 66.1 3.8 30.2 1.2 1.9 2.5

26-Week 6/30/2022 2.500 2.79 40.1 43.7 2.2 54.2 1.9 7.6 2.9

52-Week 4/21/2022 1.870 3.31 33.3 44.3 10.6 45.1 0.7 4.4 4.3

52-Week 5/19/2022 2.100 3.12 33.1 35.8 3.5 60.7 0.9 5.2 4.5

52-Week 6/16/2022 3.020 3.14 33.1 32.4 2.3 65.2 0.9 3.9 4.4

Bills (cont.)
47

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

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

17-Week 4/12/2022 0.910 3.70 30.0 36.8 7.5 55.7 0.0 0.0 1.1

17-Week 4/19/2022 0.965 3.59 30.0 41.9 3.5 54.6 0.0 0.0 1.1

17-Week 4/26/2022 1.070 3.82 30.0 51.3 1.8 46.9 0.0 0.0 1.1

17-Week 5/3/2022 1.110 3.56 29.6 33.5 0.0 66.5 0.4 0.0 1.1

17-Week 5/10/2022 1.225 3.31 29.8 42.0 0.9 57.1 0.2 0.0 1.1

17-Week 5/17/2022 1.160 3.29 29.0 47.0 3.8 49.2 1.0 0.0 1.1

17-Week 5/24/2022 1.250 3.05 29.9 54.5 3.3 42.1 0.1 0.0 1.1

17-Week 5/31/2022 1.280 3.21 29.6 41.6 5.5 52.9 0.4 0.0 1.1

17-Week 6/7/2022 1.390 3.09 29.8 35.2 3.3 61.6 0.2 0.0 1.1

17-Week 6/14/2022 1.510 3.14 30.0 38.2 2.1 59.7 0.0 0.0 1.1

17-Week 6/21/2022 2.090 3.20 30.0 53.3 1.7 45.1 0.0 0.0 1.1

17-Week 6/28/2022 2.060 3.00 29.8 54.9 2.6 42.5 0.2 0.0 1.1

17-Week 7/5/2022 2.185 3.72 29.0 40.9 2.7 56.3 1.0 0.0 1.1

Bills (cont.)
48

*FRNs are reported on discount margin basis. 

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

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

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

2-Year 5/2/2022 2.585 2.74 47.0 12.6 21.4 66.0 1.0 6.7 12.0

2-Year 5/31/2022 2.519 2.61 46.2 15.4 22.1 62.6 0.8 7.1 12.2

2-Year 6/30/2022 3.084 2.51 45.1 23.2 25.3 51.5 0.9 3.5 11.3

3-Year 4/18/2022 2.738 2.48 45.6 29.0 17.6 53.4 0.4 11.0 18.4

3-Year 5/16/2022 2.809 2.59 44.7 20.0 18.0 62.0 0.3 31.5 25.0

3-Year 6/15/2022 2.927 2.45 43.6 24.9 23.6 51.5 0.4 2.6 15.5

5-Year 5/2/2022 2.785 2.41 48.8 16.5 19.5 64.0 0.2 6.8 29.4

5-Year 5/31/2022 2.736 2.44 47.8 17.0 20.0 62.9 0.2 7.2 29.8

5-Year 6/30/2022 3.271 2.28 46.9 23.8 19.7 56.5 0.1 3.6 27.3

7-Year 5/2/2022 2.908 2.41 44.0 15.2 19.8 65.0 0.0 6.1 35.9

7-Year 5/31/2022 2.777 2.69 42.0 6.4 15.8 77.9 0.0 6.3 35.5

7-Year 6/30/2022 3.280 2.48 40.0 17.7 20.4 61.9 0.0 3.1 31.5

10-Year 4/18/2022 2.720 2.43 34.0 18.7 17.0 64.3 0.0 8.1 42.0

10-Year 5/16/2022 2.943 2.49 35.9 11.5 18.2 70.3 0.1 25.2 60.4

10-Year 6/15/2022 3.030 2.41 33.0 17.0 19.4 63.6 0.0 1.9 34.9

20-Year 5/2/2022 3.095 2.80 16.0 8.7 15.3 75.9 0.0 2.2 31.6

20-Year 5/31/2022 3.290 2.50 17.0 13.0 16.4 70.6 0.0 2.6 33.0

20-Year 6/30/2022 3.488 2.60 14.0 12.4 20.2 67.4 0.0 1.1 25.5

30-Year 4/18/2022 2.815 2.30 20.0 15.9 18.9 65.2 0.0 4.8 58.6

30-Year 5/16/2022 2.997 2.38 22.0 13.7 16.6 69.7 0.0 15.4 84.9

30-Year 6/15/2022 3.185 2.35 19.0 14.1 16.9 69.0 0.0 1.1 46.0

2-Year FRN 5/2/2022 (0.075) 2.51 23.9 49.6 20.9 29.5 0.1 3.3 0.01

2-Year FRN 5/27/2022 0.000 3.22 22.0 22.3 4.6 73.1 0.0 0.0 0.03

2-Year FRN 6/24/2022 (0.003) 3.49 21.9 25.9 6.9 67.2 0.1 0.0 0.04

Nominal Coupons

Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

5-Year TIPS 4/29/2022 (0.340) 2.73 19.9 6.5 4.0 89.5 0.1 0.0 11.3

5-Year TIPS 6/30/2022 0.362 2.61 17.9 6.8 9.3 83.9 0.1 1.4 10.9

10-Year TIPS 5/31/2022 0.232 2.24 14.0 17.9 11.4 70.7 0.0 2.1 17.9

TIPS
• Since the start of the pandemic, there have been substantial changes to macroeconomic 

conditions, fiscal and monetary policy, and Treasury issuance. Given these changes, 

pursuant to the extensive TBAC work over the last several years on an optimal debt 

model, please provide an update on the output of the model. How have the model’s 

results changed and what have been the main drivers of those changes? What insights 

can the model offer about the current stock of debt and upcoming issuance decisions?

TBAC Charge – Update of Model Results for 

Optimal Treasury Debt Structure

1
• This presentation provides an update on the output of the optimal debt issuance model that has been used 

previously by TBAC.1The update shows the model results as of the end of the first quarter of 2022 and compares 

them to the results from the last quarter of 2019, just before the onset of the COVID-19 pandemic. • While model outputs should not be (and are not being) used prescriptively, they do provide a number of insights 

on how the shift in the macroeconomic and fiscal environments, along with the debt issuance decisions made over 

this period, have affected the expected cost of U.S. debt and the risks surrounding these costs. • The model results show that the Treasury faces a less favorable frontier for the expected cost of its debt at given 

levels of risk relative to the situation in 2019Q4. This outward shift in the frontier mainly reflects the increased size 

of the outstanding debt stock, with only a small portion explained by the change in the macroeconomic 

environment. - The shift in the macroeconomic environment is seen as less important in the model in part because of the 

substantial mean-reverting properties of the model - Alternative model structures that do not assume the same degree of mean reversion could produce different 

conclusions - In addition, this version of the model includes the full stock of outstanding debt, without taking into 

consideration the effects of the SOMA portfolio

• Similar to previous results, the model continues to see increased issuance of Bills, short- and intermediate-maturity 

Notes, TIPS, and FRNs as most favorable. According to the results, the expected cost of Treasury debt could be 

lowered by several tenths of a percent of GDP, with only limited incremental risk to the overall fiscal deficit, by 

shifting issuance in those directions.

Executive Summary

2

1Belton, Dawsey, Greenlaw, Li, Ramaswamy, and Sack, “Optimizing the maturity structure of U.S. Treasury debt: A model-based framework”, The Hutchins Center on Fiscal and 

Monetary Policy, Brookings Institution (October 10, 2018). https://www.brookings.edu/research/optimizing-the-maturity-structure-of-u-s-treasury-debt/
Macroeconomic, Fiscal, and Market Context

3
Change in Macroeconomic Environment

As the US emerges from the COVID-19 pandemic, supply / demand imbalances have driven the economy into a period 

of elevated inflation.

4

Overall consumption has returned to trend, but goods 

consumption is extremely elevated relative to pre-pandemic 

levels, while services consumption is lagging

After experiencing significant job losses during 2020, the labor 

market is now extremely tight

The demand for labor, significant changes in consumption 

behavior, supply chain disruptions, and global events have 

resulted in inflation reaching multi-decade highs

In response, the Federal Reserve has begun to raise the 

target range for the Federal Funds Rate aggressively
Change in Fiscal and Monetary Environment

The US government’s response to the COVID-19 pandemic included large fiscal outlays and an increase in the public 

debt. Separately, the Federal Reserve significantly increased its balance sheet.

5

The balance sheet of the Federal Reserve has increased 

$4.7TN since the end of 2019Q4, up more than 100%. Treasury total marketable debt has increased $6.6TN since the 

end of 2019Q4, up about 40%. 

The Federal budget deficit has averaged -11.4% of GDP 

since 2019Q4

The weighted average maturity (WAM) of Treasury 

marketable debt has increased from 69.7 months prepandemic to 74.3 months currently
Change in Financial Market Environment

After an initial steep decline at the onset of the pandemic, US bond market yields have responded to the rapid pace of 

Fed tightening, largely returning to pre-pandemic levels or higher.

6

Some of the increase in Treasury yields has been due to an 

increase in term premium

Treasury yields, after dropping to historic lows, have now risen 

and are above pre-pandemic levels

Spot market measures of inflation have increased 

significantly, but market implied forward inflation expectations 

remain contained. Real rates have risen significantly.

The forward curve implies a continuation of Fed hikes but 

then a quick reversal, likely due to the risk of the Fed 

responding to a slowing economy
Model Review and Outputs

7
• The debt optimization model contains: - A macroeconomic model for the unemployment gap, core PCE inflation, headline CPI, the Fed Funds target rate, the rate of change 

of potential real GDP, and the equilibrium real rate of interest - A model for the nominal and real Treasury yield curves using expected Fed policy and risk premiums - A fiscal equation for the primary budget deficit - A debt dynamics module that tracks debt based on current and future issuance of Bills, Notes, Bonds, TIPS, and FRNs

• The model can be used to assess the effects of various hypothetical debt management decisions: - It can trace out frontiers reflecting the trade-off between expected debt cost and risk under various issuance strategies - It can be used to optimize static issuance strategies (in which issuance fractions are held constant) - And it can be used for dynamic optimizations (in which issuance fractions depend on macro variables) • The results of the model are forward looking

- These results are affected by the macroeconomic, financial market, and fiscal conditions prevailing at the start of the simulation. - Following previous work, we focus on the distribution of debt outcomes at a horizon of 20 years. • None of the parameters that determine the forward evolution of model macroeconomic and rates variables have been changed since 

the last time the model was used. However, we did make a few changes to the model: - The Bond kernel has been modified to include the 20Y Bond, with 20Y and 30Y issued at their current ratio. - An additional liquidity premium has been introduced for the 20Y Bond. This liquidity premium begins at 15 bp and linearly drops to 

zero over 5 years. - We are using the last published value of Laubach-Williams R-star as the initial value, and imputing long term R-star from the FOMC 

Summary of Economic Projections. • The model implementation is the author’s and is the source for all of the charts displayed in what follows. Another implementation of 

the model is now publicly available, courtesy of the Hutchins Center at the Brookings Institution, at the Brookings Institution GitHub: 

https://github.com/BrookingsInstitution/Treasury-Issuance-Model. - These results of these two code bases are largely in agreement, although there are some small differences.

Model Description

8
Model Macroeconomic and Fiscal Variable Behavior

We display simulated paths from 2019Q4, and actual paths + simulated paths from 2022Q1. We display the sample 

mean and 15%/85% percentile bands for a collection of model variables.

9
Model Rates Variable Behavior

We display simulated paths from 2019Q4, and actual paths + simulated paths from 2022Q1. We display the sample 

mean and 15%/85% percentile bands for a collection of model variables.

10

• The different initial conditions have a strong effect on the path 

of various variables in the model, but the terminal 

distributions are not significantly different. • The cost and variability of an issuance strategy does depend 

on the entire path, however, so it is important to note the 

significantly different evolutions implied by the two sets of 

initial conditions. • While the 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 rates or the economy
Model Output: Single Security Issuance Strategies

Results show average debt service cost in year 20 versus two different measures of variance across the path 

population.

11

• In the model, economic variables (such as inflation, the unemployment gap, etc.), interest rates, and the primary budget deficit are 

forecasted first along each path in the simulation. These depend only on the initial conditions put into the model, and the model’s 

own internal equations used to generate evolution along the paths; they are independent of the choice of issuance. • The control variable in the model is the choice of how to issue debt at each time step and on each path of the simulation, and is 

called the issuance strategy. • Strategy results are evaluated on the basis of expected future cost (debt service) versus risk (variation of either debt service or 

deficit). • While the model has the ability to vary issuance strategies at each time step and along each path in response to the changes of 

various macroeconomic variables, we do not employ that technology here. Instead, we focus only on static issuance strategies, for 

which an array of issuance percentages is applied to all the available Bills, Notes, Bonds, TIPS, and FRNs. The results for such a static 

strategy reflect the outcome should Treasury pick a single strategy and not change it for the next 20 years. • We begin by considering single security issuance strategies, in which one element of the array is 100%, and the rest are 0%. That is, 

the Treasury chooses to issue nothing but Bills, or nothing but 2Y Notes, or nothing but long Bonds, for the next 20 years.

− These strategies are of course unrealistic, but they serve to illustrate the properties of each of the available securities under 

the assumptions of the model. • Single security issuance plots are displayed on the next page. The qualitative behavior of the strategies remains the same from

2019Q4 to 2022Q1, with all strategies shifting up and to the right.
Model Output: Single Security Issuance Plots

Single security issuance results have shifted up and to the right (more cost and more volatility), primarily due to the 

increased size of the stock of Treasury debt.

12
Impact of Current Debt Management Choices

13
Historical Issuance

Projecting observed Treasury issuance patterns

14

• We can evaluate the Treasury issuance pattern at a 

given point in time by assuming it is a static strategy that 

will be maintained going forward.

• The steady-state debt stocks1implied by Treasury’s 

issuance patterns in 2019Q4 and 2022Q1 are displayed 

to the right. These show the steady-state amount of 

outstanding debt, grouped by original issue maturity.

• The charts show the effect of changes to the issuance 

strategy post the onset of the pandemic. The most 

notable change was the introduction of the 20Y Bond, 

which involved a relative decrease in issuance of Bills, 

5Y – 10Y Notes, 30Y Bonds, TIPS, and FRNs. 

• The second chart highlights the significant increase in 

long-end issuance by combining 20Y and 30Y into a 

single bucket. This demonstrates how the change in 

issuance is dominated by the increased supply in the 

long end.

• We compare these strategies in the different 

environments in what follows.

• The assumption that Treasury would not modify its 

issuance pattern over the course of 20 years is not 

reasonable; nevertheless, these analyses can provide a 

way to compare issuance choices and suggest changes. 1

For a review of how to derive the steady-state debt stock from a given quarterly or annual issuance pattern, see the Appendix to the charge “Fixed vs. Floating Rate Treasury 

Securities”, published in the 2019Q2 quarterly refunding documents 
Efficient Frontiers and Historical Issuance

Macroeconomic and fiscal environment just before the pandemic compared to recent environment

15

• Efficient frontiers are obtained by comparing the trade-off 

between debt service and the standard deviation of the deficit 

under various static issuance strategies.

• Here we compare the model efficient frontier using 

macroeconomic and fiscal environments observed at the end of 

2019Q4 (blue line), to the model efficient frontier as computed 

using the macroeconomic and fiscal environments as of the end 

of 2022Q1 (red line).

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

(higher volatility). As we will show below, this is primarily due to 

the change in the fiscal environment between 2019Q4 and 

2022Q1.

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

Treasury’s issuance kernel as of 2019Q4 and 2022Q1, 

respectively. The degree to which issuance lies off the model 

efficient frontier has remained about the same.

• The graph in the lower right shows the efficient frontier using 

the macroeconomic environment in 2019Q4, but the fiscal 

environment from 2022Q1. To do this, we use the debt stock 

from 2022Q1 shifted back in time 9 quarters and rescaled by 

nominal GDP, in order to ascertain the effect of having a debt to 

GDP ratio in 2019Q4 equal to that in 2022Q1. We also use the 

primary deficit as a percent of GDP from 2022Q1.

• The modified 2019Q4 frontier lies almost on top of the 2022Q1 

frontier, implying that most of the difference in the frontiers in 

the upper chart can be attributed to the shift in the fiscal 

environment. The remaining distance is due to the difference in 

the macroeconomic environment.
Efficient Frontiers and Historical Issuance

Comparing recent Treasury issuance patterns in differing macroeconomic and fiscal environments

16

• Next we consider Treasury’s current and previous issuance in 

the same environment. We examine both 2019Q4 and 

2022Q1.

• The chart in the upper right displays the efficient frontier as 

computed in 2019Q4 for the macroeconomic and fiscal 

environment observed in 2019Q4, and the blue and red dots 

represent the cost and volatility of holding fixed the issuance 

patterns used in 2019Q4 and 2022Q1, respectively. The chart 

in the lower right represents the same analysis performed 

using the macroeconomic and fiscal environment existing in 

2022Q1. • The two issuance patterns are close to each other, but in 

both cases, the modeled cost of the 2022Q1 issuance 

pattern is judged to be slightly higher than that in 2019Q4, 

while their risk is quite similar. This is mostly due to the 

increased issuance in the long end and reduction in Bills 

and belly issuance, as a percentage of the overall 

issuance. • Both the 2019Q4 and the 2022Q1 issuance patterns are 

close to the efficient frontier, particularly the 2022Q1 

frontier, but the issuance strategies are near the very 

steep (risk averse) part of the frontier.
Insights for Future Issuance

Recommendations from the model

17

• Although the macroeconomic and fiscal situations have changed significantly since the advent of the COVID-19 pandemic, 

looking much further out into the future, the fundamental conclusions from the model listed in previous charges have not 

significantly changed, in large part due to the substantial mean-reverting properties of the model.

• The model continues to favor more belly, Bill, TIPS, and FRN issuance, while decreasing issuance in the longer end.

− When risk is measured by the variation of the deficit (right chart), increasing TIPS issuance is strictly improving initially, as 

it lowers expected cost and does not increase risk (hence, it moves the issuance pattern closer to the efficient frontier). 

Increased belly, Bill, and FRN issuance initially reduce cost with minimal additional risk, but then become more risk 

additive. These observations are consistent with the comparison of 2019Q4 to 2022Q1 issuance on the previous page.

− 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 relatively attractive, especially in terms off increased belly issuance.

• While taking the model output into account in its objective of minimizing cost and risk to the US tax payer, Treasury should also 

consider the benefits of maintaining a regular and predictable issuance strategy and preserving market liquidity across a range of 

maturity points. Additionally, Treasury should consider the extent to which different models could produce different conclusions.
Revisiting Treasury Buybacks

1
TBAC Charge

Treasury last conducted “non-test” buyback operations between March 2000 and April 2002 to support its

debt management goals during a period of budget surpluses. In the last several years, Treasury has conducted

regular test buyback operations to maintain operational capabilities. Some have suggested that Treasury

conduct buybacks to achieve various objectives, including promoting liquidity of on-the-run securities,

improving cash management, and reducing variations in auction sizes (for example, see Garbade and

Rutherford, 2007).

Should Treasury consider regular buyback operations? If regular buyback operations were conducted, what

considerations should inform their design? How might regular buyback operations help Treasury achieve its

objectives? What are the key limitations of buyback operations, in particular during periods of market stress?

2
Agenda

 Summary of prior TBAC work on buybacks  Market developments since 2015

 Buybacks as a tool to improve liquidity and cost of funding

 Design and potential limitations of buybacks  Conclusion

3
Summary of Prior TBAC Work on Buybacks

4
Summary of Prior TBAC Work on Buybacks  The 2015 TBAC Charge examined the pros and cons for Treasury buybacks. On the potential benefits, the

Charge suggested that buybacks could:  Enhance the liquidity of Treasury securities through buybacks of off-the-runs and issuing larger on-the-runs  Span temporary periods of overfunding

 Dampen swings in bills issuance / cash balances  Reduce maturity peaks in outstanding debt  Allow more efficient changes to debt profile

 However, buybacks could have costs:  To create the cash needed to fund buybacks, Treasury would need to increase issuance of either bills or coupons,

which would need to factor in quarterly refunding needs. Raising issue sizes could also be costly; for example, by

increasing auction concession sizes and on-the-run yield levels  Buybacks that are too variable in size or timing might be at odd with Treasury’s regular and predictable debt

management strategy

5
Market Developments since 2015

6
US Treasury Outstanding Has Grown Materially since 2015

The growth of the US Treasury Market: • Debt outstanding has doubled since 2015 and stands at historical highs

• Going forward, debt to GDP is projected to grow steadily

• The share of public debt held by the private sector will also have to increase as a consequence of Fed balance sheet 

runoff

Sources: US Treasury, Congressional Budget Office, Federal Reserve, Haver Analytics

7
• Supplementary Leverage Ratio (final rule effective in 2018): • SLR acts as a constraint on the balance sheet growth of banks – including holding and intermediating US Treasuries. 

SLRs have been particularly binding during a time of large and rapid monetary and fiscal stimulus

• GSIB capital surcharges (phased in from 2016): • Intermediation capacity is sensitive to size and complexity sub-scores

• SA-CCR Stress capital buffer (effective 2022): • Can increase risk capital sensitivity to balance sheet intensive businesses

• Broad adoption of Basel III banking regulation standards globally (finalized 2017 with adoption at various 

times thereafter) • In addition to regulatory constraints, VAR constraints reduce risk appetite in moments of heighted volatility

Regulatory changes and increased volatility have reduced dealers’ intermediation capacity

8

Market Developments since 2015
• US Treasury market growth has outpaced the growth in 

bank capital • Dealers’ transaction volume falling as % of debt outstanding

The growth of the market and changes in regulation have impacted intermediation capacity

Various metrics suggest dealers face binding constraints resulting in low participation relative to the growth of the market 

Sources: U.S. Treasury, Federal Reserve, Haver Analytics

9

Market Developments since 2015
Liquidity measures have worsened somewhat recently. Two suggestive metrics are Treasury curve deviations and 

Treasury market depth. The changes of these liquidity proxies could be related to changes in macroeconomic 

conditions but are likely to have been exacerbated by the market developments described previously

Sources: JPMorgan DataQuery 10

Market Developments since 2015
Buybacks as a Tool to Improve Liquidity and Cost of 

Funding

11
Potential Benefits of Buybacks

This presentation builds on the work presented in the 2015 Charge and focuses on the following benefits

1. Buybacks could potentially lower the cost of funding indirectly by promoting Treasury market liquidity

2. Buybacks could potentially generate savings for the taxpayers directly by purchasing cheaper securities while

Treasury issues richer securities, which also improves liquidity

12
Academic Work on the Value of Liquidity

 Academic studies have shown that liquidity is valuable for the Treasury and ultimately saves taxpayers

money:  A liquid market for Treasury securities provides financial services premia that can be captured by the Treasury (see

Greenwood, Hanson, Rudolph and Summers 2016; and Brunnermeier, Merkel and Sannikov 2021)  The cost of illiquidity borne by taxpayers is directly observable via the liquidity premia embedded in higher yields of

less liquid Treasury securities (see Amihud and Mendelson 1991; Warga 1992; Krishnamurthy 2002; and

Krishnamurthy and Vissing-Jorgensen 2012)  Additional costs to illiquidity can emerge in periods of market stress if the market participants come to question the

assumed liquidity of securities they hold, sparking liquidity events akin to a bank run (Logan 2020)

13
Recent evidence suggests that better liquidity can lower the cost of funding: • One narrow channel is that liquidity – measured by Treasury curve dispersion – appears to be correlated with auction tails

• As suggested by the academic literature, other channels likely exist by which greater liquidity lowers Treasury yields • However, there may be an optimal issue size to maximize capturing liquidity premium. From 1998-2007, the average 

quarterly 10-year note issuance size was $18bn, and the on-the-run premium was 19.4bps as measured by the Fed’s offthe-run yield curve. From 2013-2022, however, the average issuance size rose to $77bn and the premium fell to 3.8bps

14

Empirical Evidence for the Value of Liquidity

Sources: US Treasury, JPMorgan DataQuery, author’s calculations Note: Price dispersion is measured as the Root Mean Square Error (RMSE) of a fitted US Treasury curve.
Buybacks can potentially support market liquidity 

and in turn indirectly improve the cost of funding: • The Fed conducts operations for monetary policy 

purposes as well as to support market function in 

times of stress. Treasury buybacks should not be 

considered a substitute to central bank policy

• However, the experience of the Federal Reserve 

suggests that market liquidity benefited from regular 

purchases of less liquid off-the-run securities

• Market liquidity – measured by the on-the-run/offthe-run average spread across the US Treasury curve 

as well as Treasury curve price dispersion –

deteriorated at times when Fed purchases diminished 

or were terminated

Sources: Author’s own sources, Federal Reserve

Empirical Evidence for How Buybacks Could Improve Liquidity

15

Note: Red font indicates monetary policy decisions which contributed to the increase of market liquidity; e.g., Fed 

purchases, while blue font refers to events which had the opposite effects, e.g. tapering asset purchases and 

termination of Fed purchases.
Academic Work on On-The-Run/Off-The-Run Spreads  Academic studies have also explained why on-the-run bonds and bills tend to have lower yields than

corresponding off-the-run securities:  On-the-run bonds benefit from greater liquidity as well as repo value since purchasers can lend these instruments to

short sellers and earn additional income (Duffie 1996 and Garbade and Rutherford 2007)  Treasury bills also benefit from a liquidity premium. Furthermore, due partly to their short maturity, bill yields are

further richened due to safety and moneyness of these securities (Cashin, Ferris, and Klee 2020; Gorton 2017; and

Greenwood, Hanson, and Stein 2015)  Under these circumstances, buying cheaper off-the-runs while issuing more expensive on-the-runs and bills could

reduce the cost of funding. If issuance sizes were increased large enough, however, the on-the-run liquidity

premium could diminish

16
• One example is buybacks of off-the-run securities that

are discounted compared to on-the-runs that are issued

with liquidity premia. However, this discount vs premium

gap appears to be smaller in recent years, in part

reflecting larger issuance sizes for on-the-runs.

Treasury buybacks could potentially lower the cost of funding directly by purchasing higher-yielding 

securities while at the same time issuing lower-yielding securities. One concern is that greater buybacks 

coupled with greater issuance could erode the discount vs premium gap

17

Empirical Evidence on On-The-Run/Off-The-Run Spreads

• Another example: When bills are more expensive than old 

notes and bonds, buybacks of coupons paired with 

issuance of bills may save taxpayers money. Treasury could 

calibrate the magnitudes of purchases and issuance based 

on the relative pricing of bills and old coupons

Sources: Federal Reserve, Haver Analytics, JPMorgan DataQuery, author’s own sources and calculations

Note: The spread is calculated as the difference between the on-the-run yield and the Fed’s offthe-run yield curve. A more positive spread indicates higher off-the-run versus on-the-run yields Note: The spread is calculated as the asset swap spread between short-term (6+ months) offthe-run coupons and 3-month bills
Design and Potential Limitations of Buybacks 

18
1. Size

 Over time, buybacks would likely result in greater issuance. It’s difficult to determine the point at which the cost savings

of purchases alluded to earlier could be outweighed by the reduction in on-the-run premia that would result in costlier

issuance (Garbade and Rutherford 2007)  Illustrative examples for sizing buybacks:  2000-2002 buybacks amounted to $67.5bn

 2015 TBAC Charge estimated conservatively that Treasury could buy at least $100bn per year. Scaling for change in

market size today, the equivalent purchase amount would be $200bn

 $100-200bn per year could be meaningful in the context of the evolution of primary dealers inventories between 2018

and 2022. Such a size may improve intermediation capacity and market liquidity and, in turn, lower the cost of funding

Key parameters to consider for buyback design: size, frequency, composition, market impact, and funding

19

Design and Potential Limitations of Buybacks 
2. Frequency

 There is a trade-off between increased flexibility of buybacks and Treasury’s long-standing regular and predictable debt

management strategy  Ways in which buybacks could be made flexible include the timing and magnitude of purchases. For example, buybacks

could be more attractive when there is a greater discount of off-the-run coupons versus on-the-run bonds as well as bills  Flexibility can be introduced via the Treasury refunding process bringing it in line with the existing issuance strategy while

providing Treasury with an additional lever to use to achieve its debt management goals  There are a number of debt management goals that flexible buybacks could help Treasury achieve. For example,

managing the Treasury General Account (TGA) to enable a more efficient operating balance relative to target. And

reducing the maturity peaks in outstanding debt, which has become more notable as the size of debt has increased

 One limit to how flexible Treasury buybacks can be is that, unlike Federal Reserve purchases, a Treasury program would

be more limited in scope and would not be intended to support market functioning in periods of acute market stress

20

Design and Potential Limitations of Buybacks 
3. Composition

 The composition of purchases may greatly affect the economic impact. For example, if Treasury issues more 10-year notes

and systematically buys them back one year later, Treasury is paying the 10-year rate and roll down for effectively 1 year

of funding

4. Market impact  Buybacks would need to be monitored for market impact with implementation calibrated accordingly  Adverse market impact could reduce the ability of buybacks to lower the cost of funding or, in a more extreme scenario,

increase the cost of funding

 For example, market concessions around buybacks and auctions could erode the benefits of a buyback program. A

potential design to lower the impact of concessions is to institute exchange auctions whereby Treasury simultaneously

purchases off-the-runs while issuing on-the-runs. Such an exchange program, however, would likely be more operationally

intensive

21

Design and Potential Limitations of Buybacks 
5. Funding

 As discussed previously, buybacks would, over time, result in greater issuance. Treasury would need to consider various

factors to determine how this issuance takes place; for example, the relative pricing of auctions versus purchases  WAM (weighted-average maturity) of the debt is also a factor to consider. How operations impact the WAM requires

further analysis, and this Charge has highlighted WAM-neutral implementations such as purchasing off-the-runs versus

matched-maturity on-the-runs  A final, potentially complicating factor is the debt ceiling; for example, if there is a timing mismatch between greater

issuance that precedes buybacks

22

Design and Potential Limitations of Buybacks 
Conclusion

23
Conclusion

 Prior work including the 2015 TBAC Charge has discussed the pros and cons of buybacks  Lower market liquidity likely raises Treasury yields and hence is a cost to taxpayers. One potential benefit of

buybacks is to bolster market function and, in doing so, indirectly lower the cost of Treasury financing

 Buybacks could also directly save taxpayers money if, for example, operations were conducted to purchase

higher-yielding off-the-run securities while Treasury issues lower-yielding on-the-run bonds and bills  The case for buybacks may have increased recently as debt outstanding has increased and market liquidity

has deteriorated coincident with regulatory changes that have impacted dealers’ intermediation capacity  Buybacks may allow Treasury to achieve other goals in its debt management strategy including the

optimization of debt WAM, the management of the TGA, and the reduction of debt maturity peaks  Further study is warranted. In particular on the cost of larger auction sizes to the on-the-run liquidity

premium. More analysis is also needed on how a program could be designed to provide Treasury flexibility

while still operating within the well-established regular and predictable framework

24
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