Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2023 Q1 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.38-39 

D. Foreign Demand at Auction and Treasury Security Holdings p.40-41

VII. Appendix p.43-54

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

Executive Summary

3
Receipts and Outlays through Q1 FY2023 (without calendar adjustment)

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

*These borrowing estimates are based upon current law. The cash balances for the next two quarter-ends assume enactment of

a debt limit suspension or increase. Treasury’s cash balance may be lower than assumed depending on several factors, including 

constrains related to the debt limit. If Treasury’s cash balance for the end of either quarter is lower than assumed, and assuming no

changes in the forecast of fiscal activity, Treasury would expect that borrowing would be lower by the corresponding amount(s).

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

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

Uncertainty regarding funding needs in FY2023 and FY2024 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. 

Latest Market Expectations For Treasury Financing In January:

• Primary dealers expected no changes to coupon auction sizes at the February refunding despite the fact dealers increased their aggregate median 

estimates for privately-held net marketable borrowing by $300 billion for the FY23-FY25 period in February, relative to their November estimates. 

• Given the forecasted funding gap over FY2023 and beyond, all dealers noted that bills could be used to address near term funding gaps because 

bills as a percentage of debt outstanding was close to the lower bound of the TBAC recommended range of 15 to 20 percent. Most dealers expect 

that auction sizes may need to eventually rise, but will depend how the borrowing outlook evolves, including with regard to the possibility of a 

recession and the timing when SOMA redemptions may end.

• Nearly all dealers recommended Treasury keep TIPS issuance stable in the upcoming quarter.

Highlights of Treasury’s February 2023 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4

Fiscal Year Primary Dealers Median January 

2023 ($ billion)

OMB 'Mid-Session Review'August 

2022 ($ billion)

CBO 'An Analysis of the President’s 2023 

Budget' September 2022 ($ billion)

2023 1,865 2,087 1,749 

2024 1,645 1,722 1,250 

2025 1,400 1,460 1,172 

$ 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 Q1 FY2023 $1,026 -$26 -3% 15.6% -1.2%

Total Outlays thru Q1 FY2023 $1,447 +$17 +1.2% 22.0% -0.9%

Treasury OFP Near Term Fiscal 

Projections

Net Privately Held Marketable 

Borrowing ($ billion)

Assumed End-of-Quarter 

Cash Balance ($ billion)

Q2 FY2023 932 500 (Mar)

Q3 FY2023 278 550 (Jun)
Section II:

Recent Fiscal Results

Receipts, Outlays, and Deficits

5
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 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 Sep-22 Dec-22 $bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other

Notable Receipt Category

Change from Q1 

FY22 to Q1 FY23 

($ billion)

Change from Q1 

FY22 to Q1 FY23 

(%) Comments

Withheld & FICA taxes 

(calendar adjusted) +$7 +1% Due to higher wages and employment, partially offset by December's lower bonuses.

Non-withheld and SECA taxes +$14 +19% Buoyed by large estimated payments of 2022 tax liability in October.

Individual refunds -$21 -68% A decrease in cash due to elevated IRS processing of refund backlogs.

Gross corporate taxes +$4 +3% Driven by higher corporate profits.

Federal Reserve earnings -$26 -98% Remittances have decreased year-over-year as administered rates moved higher. 
7

5 0

100

150

200

250

300

350

400

450 $ bn

Largest Outlays

Oct - Dec FY2022 Oct - Dec FY2023

All outlays are on calendar-adjusted basis

Notable Outlays Category

Change from Q1 FY22 to Q1 

FY23 ($ billion)

Change from Q1 FY22 to Q1 

FY23 (%) Comments

Department of Treasury +$20 +8%

Driven by higher interest on the public debt of $57 billion, partially offset by 

lower tax credits of $33 billion. 

Social Security Administration 

(calendar adjusted) +$25 +8%

Primarily due to the calendar year 2022 cost-of-living adjustment (5.7%) and 

increased number of beneficiaries.

Department of Education +$16 +41%

Due to upward modifications in Federal Direct Student Loans in November 

of $11 billion and December of $7 billion, offset by reduced outlays in the 

Office of Elementary and Secondary Education ($3 billion).

Health and Human Services 

(calendar adjusted) +$16 +4% Due to higher Medicare and Medicaid outlays.

Small Business Administration -$10 -95%

Due to Paycheck Protection Program (PPP) and Economic Impact Disaster 

Loan (EIDL) expenditures that were recognized last year.
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

9
10

Recent Economic Forecasts 

• Primary Dealer Median Estimates as of January 2023:

• Most Recent CBO and OMB Estimates: 

Note: Economic assumptions for OMB and CBO forecasts were established in June 2022 and March 2022 respectively. 

Primary Dealer Median Estimates January 2023

CY2023 CY2024 CY2025

 % Change from Q4 to Q4

GDP

 Real -0.3 1.5 na

 Nominal 3.1 4.0 na

Inflation

 CPI Headline 2.9 2.4 na

 CPI Core 3.2 2.6 na

 Fourth Quarter Levels 

Unemployment Rate 4.7 4.9 na

FY2023 FY2024 FY2025

Deficits ($bil) $1,130 $1,200 $1,309

OMB Estimates August 2022 CBO Estimates September 2022

CY2023 CY2024 CY2025 CY2023 CY2024 CY2025

 % Change from Q4 to Q4 % Change from Q4 to Q4

GDP GDP

 Real 1.8 2.0 2.0 Real 2.2 1.5 1.6

 Nominal 4.4 4.1 4.1 Nominal 4.5 3.6 3.6

Inflation Inflation

 CPI Headline 2.8 2.3 2.3 CPI Headline 2.7 2.3 2.3

 Fourth Quarter Levels Fourth Quarter Levels 

Unemployment Rate 3.8 3.8 3.8 Unemployment Rate 3.6 3.8 3.9

FY2023 FY2024 FY2025 FY2023 FY2024 FY2025

Deficits ($bil) $1,300 $1,311 $1,414 Deficits ($bil) $908 $921 $1,145
Recent Deficit Forecasts 

11

• Primary dealers increased their deficit estimates in January relative to estimates they provided in 

October. Their changes reflected forecast adjustments for higher interest costs and a slower 

economy.

• 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 “Mid-Session Review Budget of The U.S. Government Fiscal Year 2023,” August 2022.

• CBO projections are using estimates are from Table 2 of “An Analysis of the President’s 2023 Budget,” September 2022. 

Deficit Estimates ($ billion)

PD 25th 

Percentile

Primary Dealers 

(Median)

PD 75th 

Percentile

Change from Prior 

Quarter (Median) OMB CBO

FY2023 1,000 1,130 1,250 110 1,300 908

FY2024 1,100 1,200 1,250 5 0 1,311 921

FY2025 1,200 1,309 1,403 3 4 1,414 1,145

As of date Jan-23 Jan-23 Jan-23 Aug-22 Sep-22
12

Evolution of Median Primary Dealer, OMB, and CBO

Deficit Estimates

400

600

800

1,000

1,200

1,400

1,600

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

400

600

800

1,000

1,200

1,400

Nov 2021 Feb 2022 May 2022 Aug 2022 Nov 2022 Feb 2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

400

600

800

1,000

1,200

1,400

Nov 2022 Feb 2023 May 2023 Aug 2023 Nov 2023

$ bn

TBAC date

FY 2025

PD FY25 OMB FY25 CBO FY25
13

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

Implied Forward Rates as of 01/27/2023 OMB MSR (Aug 2022) CBO Budget (May 2022)

1 0-Year Treasury Rate of 3.52% as of 01/27/2023
Section IV:

Estimated Borrowing Needs and 

Financing Implications

14
15

Assumptions for Financing Section (pages 16 to 20)

• Portfolio and SOMA holdings as of 12/31/2022.

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

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

outstanding of ~$3.7 trillion. 

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

as of 12/31/2022.

• 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.

• All estimates assume enactment of a debt limit suspension or increase. 
16

Privately-Held Net Marketable Borrowing Outlook

$ 0

$100

$200

$300

$400

$500

$600

$700

$800

$900

$1,000

Q1 Q2 Q3 Q4

$ bn

FY21 FY22 FY23 FY23 (projection-OFP)
17

* Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made before the February 2023 refunding. 

** Assumes an end-of-March 2023 and end-of-June 2023 cash balances of $500 billion and $550 billion respectively versus a beginning-of-January 2023 cash balance of 

$447 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**

932

Net Coupon Issuance 277

Implied Change in Bills 655

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 80 (12) 136 154 (18)

2-Year 168 204 (36) 252 298 (46)

3-Year 120 79 41 240 128 112

5-Year 172 73 99 258 98 160

7-Year 140 111 29 210 179 31

10-Year 99 38 61 198 91 107

20-Year 51 0 51 78 0 78

30-Year 57 5 52 114 7 107

5-Year TIPS 0 0 0 40 0 40

10-Year TIPS 32 50 (18) 47 50 (3)

30-Year TIPS 9 0 9 9 0 9

Coupon Subtotal 916 639 277 1,582 1,005 577

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY23 Q2

January - March 2023

January - March 2023 Fiscal Year-to-Date

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

278

Net Coupon Issuance 248

Implied Change in Bills 30

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 80 (12) 204 234 (30)

2-Year 126 154 (28) 378 451 (73)

3-Year 120 97 23 360 226 134

5-Year 129 67 62 387 165 222

7-Year 105 68 37 315 246 69

10-Year 99 42 57 297 133 164

20-Year 39 0 39 117 0 117

30-Year 57 0 57 171 7 164

5-Year TIPS 40 42 (2) 80 42 37

10-Year TIPS 15 0 15 62 50 12

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 798 550 248 2,380 1,555 825

Sources of Privately-Held Financing in FY23 Q3

April - June 2023

April - June 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 OMB’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 “Mid-Session Review Budget of The U.S. Government Fiscal Year 2023,” August 2022.

• CBO1 projections are using estimates are from Table 2 of “An Analysis of the President’s 2023 Budget,” September 2022. 

• CBO2 projections are using estimates are from Table 1-1 of “The Budget and Economic Outlook: 2022 to 2032,” May 2022. 

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 1,000 1,130 1,250 1,300 908 984

FY 2024 Deficit 1,100 1,200 1,250 1,311 921 1,056

FY 2025 Deficit 1,200 1,309 1,403 1,414 1,145 1,318

FY 2023 SOMA Redemption 720 720 720

FY 2024 SOMA Redemption 9 0 360 685

FY 2025 SOMA Redemption 0 0 4 5

FY 2023 Privately-Held Net Marketable Borrowing* 1,837 1,865 1,917 2,087 1,749 1,825

FY 2024 Privately-Held Net Marketable Borrowing* 1,394 1,645 1,702 1,722 1,250 1,384

FY 2025 Privately-Held Net Marketable Borrowing* 1,150 1,400 1,448 1,460 1,172 1,344

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

CBO2

Jan-23

Primary Dealer

CBO1 OMB MSR
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. 

0

500

1000

1500

2000

2500

Nov

2020

Feb

2021

May

2021

Aug

2021

Nov

2021

Feb

2022

May

2022

Aug

2022

Nov

2022

Feb

2023

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

0

500

1000

1500

2000

2500

Nov 2021 Feb 2022 May 2022 Aug 2022 Nov 2022 Feb 2023

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24

0

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 12/31/2022*

*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 “Mid-Session Review Budget of the U.S. Government Fiscal Year 2023,” Aug 2022. CBO’s borrowing projections are using estimates 

from Table 2 of CBO’s “An Analysis of the President’s 2023 Budget,“ Sept 2022. Both OMB and CBO borrowing estimates are normalized to 

privately-held net borrowing after adding PD survey median SOMA redemption assumptions for FY23/24/25. In addition, all the PD and CBO 

privately-held net borrowing estimates are normalized with OMB MSR FY23/FY24/FY25 ending cash balance of $650 billion. 

0

500

1,000

1,500

2,000

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

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Adj Privately-Held Net Borrowing from CBO's 'An Analysis of the President’s 2023 Budget', Sep 2022

Adj Privately-Held Net Borrowing from OMB MSR, Aug 2022 PD Survey Privately-Held Net Marketable Borrowing Estimates, Jan 2023

PD 75th 

percentile

PD 25th 

percentile

PD 50th percentile

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

Select Portfolio Metrics

21
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 January 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 $3.7 trillion as of 

12/31/2022 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 15.4% as of 

12/31/2022 and addresses any changes in financing needs by pro rata increasing or decreasing 

coupon, FRN, and TIPS auction sizes. 

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

60.7 months (Historical 

Average from 1980 to Present)

12/31/22

74.0 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 = 22.6%

Max 35.6%

12/31/22 

15.4%

Max 10.7%

12/31/22 

8.0%

12/31/22 

2.6%

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

12/31/22 

51.2%

12/31/22 

29.1%
Section VI:

Select Demand Metrics

Bid-to-Cover Data, Investor Class Data, 

Direct & Primary Dealer Awards, and Foreign Demand

27
28

 1.50

 2.00

 2.50

 3.00

 3.50

 4.00

 4.50

 5.00 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 Sep-22 Dec-22 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)

 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-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 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 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 Sep-22 Dec-22 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 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 Sep-22 Dec-22 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 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 Sep-22 Dec-22 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-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 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-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

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-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

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-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

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-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

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-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 % 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 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 $ 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 November 2022.

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0 %

10%

20%

30%

40%

50%

60%

0

1,000

2,000

3,000

4,000

5,000

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

Bills

Outstanding Foreign Holdings Foreign % (RHS)

11/30/22 

3,812

11/30/22 

24%

11/30/22 

906

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 $ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)

11/30/22 

20,137

11/30/22 

32%

11/30/22 

6,368
VII. Appendix

41

Contents

A. Quarterly Tax Receipts Chart p. 43

B. Treasury Non-Marketable Borrowing p. 44

C. Budget Surplus and Deficits p. 45

D. Sources of Financing: Reconciliation of last quarter p. 46

E. Privately-Held Net Marketable Borrowing Definition and Calculation Example p. 47

F. Detailed Reconciliation of Various Borrowing Estimates p. 48

G. Various Historical Debt Service Cost Metrics p. 49

H. Various Historical Treasury Interest Rate Metrics p. 50

I. Projected Privately-Held Net Marketable Borrowing Table p. 51

J. Auction Statistics Tables p. 52-55
 (100%)

 (80%)

 (60%)

 (40%)

 (20%)

0 %

20%

40%

60%

80%

100% 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 Sep-22 Dec-22 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 $ 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 Deficit to GDP $bn

Budget Surplus/Deficit*

OMB's MSR (Aug 22) Surplus/Deficit in $bn (LHS) CBO's President Budget (Sept 22) Surplus/Deficit (LHS)

PD Survey median estimates (Jan 23) (LHS) OMB's MSR (Aug 22) Surplus/Deficit in $bn (LHS)

CBO's President Budget (Sept 22) Surplus/Deficit as a % of GDP (RHS)

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

CBO’s deficit projections are using estimates from CBO’s Table 2 of “An Analysis of the President’s 2023 Budget,” Sept 2022.

Projections

44
45

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

Net Bill Issuance 7 3 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 300 4-Week 720 740 (20) 720 740 (20)

Subtotal: Net Marketable Borrowing 373 8-Week 645 630 1 5 645 630 1 5

13-Week 720 690 3 0 720 690 3 0

Ending Cash Balance 447 17-Week 330 0 330 330 0 330

Beginning Cash Balance 636 26-Week 582 567 1 5 582 567 1 5

Subtotal: Change in Cash Balance (189) 52-Week 136 136 (0) 136 136 (0)

CMBs

Net Implied Funding for FY23 Q1* 562 17-Week 9 3 390 (297) 9 3 390 (297)

CMBs 4 0 4 0 0 4 0 4 0 0

Bill Subtotal 3,689 3,329 7 3 3,402 3,329 7 3

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 6 8 7 4 (6) 6 8 7 4 (6)

2-Year 8 4 9 4 (10) 8 4 9 4 (10)

3-Year 120 4 9 7 1 120 4 9 7 1

5-Year 8 6 2 6 6 0 8 6 2 6 6 0

7-Year 7 0 6 7 3 7 0 6 7 3

10-Year 9 9 5 3 4 6 9 9 5 3 4 6

20-Year 2 7 0 2 7 2 7 0 2 7

30-Year 5 7 2 5 5 5 7 2 5 5

5-Year TIPS 4 0 0 4 0 4 0 0 4 0

10-Year TIPS 1 5 0 1 5 1 5 0 1 5

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 666 366 300 666 366 300

Total 4,355 3,695 373 4,068 3,695 373

Sources of Privately-Held Financing in FY23 Q1

October - December 2022 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

October - December 2022 October - December 2022 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

1 Estimates represent the medians/interquartile ranges from the primary dealer survey in January 2023.

2 OMB projections are using estimates are from Table S-1 of “Mid-Session Review Budget of The U.S. Government Fiscal Year 2023,” August 2022.

3 CBO projections are using estimates are from Table 2 of “An Analysis of the President’s 2023 Budget,” September 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 FY23/24/25. In addition, all the PD and CBO privately-held net borrowing estimates are normalized with OMB MSR 

FY23/FY24/FY25 ending cash balance of $650 billion. 

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

25th Median 75th

FY 2023 Deficit 1,000 1,130 1,250 1,300 908 984

FY 2024 Deficit 1,100 1,200 1,250 1,311 921 1,056

FY 2025 Deficit 1,200 1,309 1,403 1,414 1,145 1,318

FY 2023 Change in Cash Balance -223 -136 1 4 1 4 -71 -71

FY 2024 Change in Cash Balance 0 3 0 198 0 0 0

FY 2025 Change in Cash Balance 0 0 2 1 0 0 0

FY 2023 Total Net Marketable Borrowing 1,367 944 1,020

FY 2024 Total Net Marketable Borrowing 1,362 890 1,024

FY 2025 Total Net Marketable Borrowing 1,460 1,172 1,344

FY 2023 SOMA Redemption 720 720 720

FY 2024 SOMA Redemption 9 0 360 685

FY 2025 SOMA Redemption 0 0 4 5

FY 2023 Privately-Held Net Marketable Borrowing** 1,837 1,865 1,917 2,087 1,749 1,825

FY 2024 Privately-Held Net Marketable Borrowing** 1,394 1,645 1,702 1,722 1,250 1,384

FY 2025 Privately-Held Net Marketable Borrowing** 1,150 1,400 1,448 1,460 1,172 1,344

Estimates as of: Jan-23 Aug-22 Sep-22 May-22

Primary Dealer

OMB MSR CBO1 CBO2
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
50

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 12/31/2022*

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

for open-market outright purchases and subsequent rollovers.

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

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 73 307 668 50 (42) 1,056 

2024 0 28 682 75 (10) 776 

2025 0 (47) 704 10 0 667 

2026 0 (160) 700 28 0 568 

2027 0 (40) 583 10 0 553 

2028 0 0 271 (12) 0 259 

2029 0 0 386 (6) 0 381 

2030 0 0 507 9 0 516 

2031 0 0 339 (3) 0 337 

2032 0 0 363 (27) 0 336 
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 10/11/2022 2.920 2.75 48.2 44.1 1.5 54.5 1.8 2.2 0.5

4-Week 10/18/2022 3.250 2.50 58.2 42.1 1.5 56.4 1.8 2.7 0.6

4-Week 10/25/2022 3.430 2.35 63.0 52.0 1.2 46.8 2.0 2.0 0.6

4-Week 11/1/2022 3.600 2.48 62.1 42.1 1.6 56.3 2.9 2.2 0.6

4-Week 11/8/2022 3.620 2.53 62.4 44.5 0.8 54.7 2.6 1.8 0.6

4-Week 11/15/2022 3.580 2.65 62.5 33.3 9.8 56.8 2.5 2.2 0.6

4-Week 11/22/2022 3.795 2.54 62.9 37.5 1.4 61.1 2.1 1.9 0.6

4-Week 11/29/2022 3.970 2.55 53.1 39.9 4.7 55.4 1.9 1.8 0.5

4-Week 12/6/2022 3.950 3.43 41.8 41.8 2.4 55.8 3.2 1.2 0.4

4-Week 12/13/2022 3.650 3.19 42.4 29.6 0.0 70.4 2.6 1.5 0.4

4-Week 12/20/2022 3.780 3.16 42.6 24.7 1.9 73.4 2.4 1.2 0.4

4-Week 12/27/2022 3.610 2.88 42.9 29.5 0.8 69.7 2.1 1.2 0.4

4-Week 1/3/2023 3.830 2.64 43.0 46.2 1.6 52.2 2.0 0.9 0.4

8-Week 10/11/2022 3.230 2.53 44.0 58.7 2.2 39.2 1.0 1.9 0.8

8-Week 10/18/2022 3.480 2.48 48.9 41.3 1.3 57.4 1.1 2.2 0.9

8-Week 10/25/2022 3.690 2.49 53.9 43.8 1.3 54.9 1.1 1.7 1.0

8-Week 11/1/2022 3.820 2.67 53.3 45.2 2.1 52.7 1.7 1.8 1.0

8-Week 11/8/2022 3.880 2.75 54.0 36.7 1.0 62.3 1.0 1.5 1.0

8-Week 11/15/2022 3.850 2.68 53.8 38.6 1.3 60.2 1.2 1.9 1.0

8-Week 11/22/2022 4.020 2.46 54.0 44.8 1.2 53.9 1.0 1.6 1.0

8-Week 11/29/2022 4.120 2.81 48.9 32.1 1.8 66.1 1.1 1.6 1.0

8-Week 12/6/2022 4.080 2.76 43.7 36.2 1.7 62.1 1.3 1.2 0.9

8-Week 12/13/2022 3.940 2.94 44.0 27.0 0.0 73.0 1.0 1.5 0.9

8-Week 12/20/2022 4.060 2.72 43.7 38.5 2.6 58.9 1.3 1.2 0.9

8-Week 12/27/2022 3.985 2.68 44.2 34.4 1.4 64.2 0.8 1.2 0.9

8-Week 1/3/2023 4.250 2.41 44.2 52.5 1.9 45.5 0.8 0.9 0.9

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 10/6/2022 3.340 2.56 51.6 42.3 4.2 53.5 2.4 6.8 1.7

13-Week 10/13/2022 3.510 2.39 54.5 55.6 3.3 41.1 2.5 6.0 1.8

13-Week 10/20/2022 3.820 2.49 55.4 47.4 3.3 49.3 1.6 6.5 1.8

13-Week 10/27/2022 4.000 2.56 54.3 39.4 12.0 48.6 2.7 6.4 1.8

13-Week 11/3/2022 4.070 2.60 55.2 34.8 7.2 57.9 1.8 8.8 1.9

13-Week 11/10/2022 4.120 2.72 54.2 45.3 5.2 49.5 2.8 6.9 1.9

13-Week 11/17/2022 4.155 2.63 54.8 39.0 6.1 54.9 2.2 7.8 1.9

13-Week 11/25/2022 4.220 2.64 51.6 42.6 4.7 52.7 2.4 6.3 1.8

13-Week 12/1/2022 4.285 2.56 52.3 50.7 2.2 47.1 1.7 6.9 1.8

13-Week 12/8/2022 4.270 2.67 52.2 38.5 5.0 56.5 1.8 4.6 1.8

13-Week 12/15/2022 4.270 2.51 52.0 49.9 4.2 45.9 2.0 4.7 1.8

13-Week 12/22/2022 4.290 2.57 52.0 38.6 2.7 58.7 2.0 1.8 1.7

13-Week 12/29/2022 4.350 2.38 52.2 59.4 3.0 37.6 1.8 7.1 1.8

17-Week 10/25/2022 4.140 2.93 32.8 34.7 9.5 55.7 0.2 1.0 1.3

17-Week 11/1/2022 4.180 2.92 32.2 37.8 1.7 60.5 0.8 1.1 1.3

17-Week 11/8/2022 4.280 3.14 32.8 32.0 2.2 65.7 0.2 0.9 1.3

17-Week 11/15/2022 4.300 3.21 32.6 36.5 1.5 62.0 0.4 1.1 1.3

17-Week 11/22/2022 4.320 3.15 32.7 47.5 3.0 49.5 0.3 1.0 1.3

17-Week 11/29/2022 4.400 3.24 32.6 34.1 2.3 63.6 0.4 1.1 1.3

17-Week 12/6/2022 4.430 3.10 32.7 40.5 1.8 57.6 0.3 0.9 1.3

17-Week 12/13/2022 4.400 2.66 32.7 48.6 1.5 49.8 0.3 1.1 1.3

17-Week 12/20/2022 4.440 2.96 32.7 33.1 1.8 65.1 0.3 0.9 1.3

17-Week 12/27/2022 4.425 3.00 32.2 29.5 1.9 68.6 0.8 0.9 1.3

17-Week 1/3/2023 4.550 2.88 31.7 43.0 1.9 55.1 1.3 0.7 1.3

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)*

26-Week 10/6/2022 3.850 2.62 39.5 50.3 3.2 46.5 2.5 5.3 2.7

26-Week 10/13/2022 4.030 2.86 42.2 45.6 2.2 52.2 2.8 4.7 2.9

26-Week 10/20/2022 4.245 2.66 42.9 46.5 3.4 50.2 2.1 5.1 2.9

26-Week 10/27/2022 4.390 2.56 42.1 48.3 18.6 33.1 2.9 5.0 2.9

26-Week 11/3/2022 4.440 2.95 43.1 43.6 5.7 50.8 1.9 7.0 3.0

26-Week 11/10/2022 4.490 2.89 42.4 38.2 2.6 59.3 2.6 5.4 2.9

26-Week 11/17/2022 4.440 2.86 42.8 33.1 2.9 64.0 2.2 6.1 3.0

26-Week 11/25/2022 4.520 3.03 42.6 30.6 2.6 66.8 2.4 5.2 3.0

26-Week 12/1/2022 4.550 2.90 43.2 38.7 9.5 51.7 1.8 5.7 3.0

26-Week 12/8/2022 4.570 2.57 43.1 51.2 3.9 44.9 1.9 3.8 2.9

26-Week 12/15/2022 4.630 2.66 43.0 46.2 7.9 45.9 2.0 3.9 2.9

26-Week 12/22/2022 4.550 2.86 42.2 34.9 3.2 61.9 2.8 1.5 2.8

26-Week 12/29/2022 4.600 2.56 42.0 56.0 3.4 40.6 3.0 6.0 3.1

52-Week 10/6/2022 3.955 2.68 32.3 37.8 3.5 58.7 1.7 4.3 4.4

52-Week 11/3/2022 4.505 2.83 32.3 32.7 0.7 66.6 1.7 5.3 4.6

52-Week 12/1/2022 4.555 2.83 32.3 34.3 0.3 65.3 1.7 4.3 4.6

52-Week 12/29/2022 4.515 3.24 32.0 35.8 0.1 64.2 2.0 4.5 4.7

17-Week CMB 10/11/2022 3.700 3.19 29.9 36.7 2.5 60.7 0.1 0.0 1.1

17-Week CMB 10/18/2022 3.890 3.23 32.9 33.8 1.9 64.3 0.1 0.0 1.2

CMB 11/22/2022 3.800 2.38 40.0 79.9 4.5 15.6 0.0 0.0 0.2

Bills (cont.)

53

*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)**

5-Year TIPS 12/30/2022 1.504 2.51 18.8 8.1 17.8 74.1 0.2 0.0 10.6

5-Year TIPS 10/31/2022 1.732 2.38 20.7 7.7 17.0 75.3 0.3 0.0 11.7

10-Year TIPS 11/30/2022 1.485 2.25 15.0 9.5 16.1 74.4 0.0 1.6 18.6

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 10/31/2022 4.460 2.59 40.5 24.2 25.3 50.5 1.5 0.0 9.5

2-Year 11/30/2022 4.505 2.64 40.9 20.6 22.4 57.0 1.1 4.6 10.8

2-Year 1/3/2023 4.373 2.71 41.1 19.1 18.7 62.2 0.9 0.0 9.8

3-Year 10/17/2022 4.318 2.57 39.5 27.0 19.6 53.4 0.5 0.0 13.2

3-Year 11/15/2022 4.605 2.57 39.4 20.8 17.0 62.2 0.6 14.0 17.9

3-Year 12/15/2022 4.093 2.55 39.5 17.9 20.4 61.7 0.5 0.0 13.8

5-Year 10/31/2022 4.192 2.48 42.8 16.5 15.6 68.0 0.2 0.0 22.9

5-Year 11/30/2022 3.974 2.39 42.9 15.1 18.7 66.2 0.1 4.7 26.3

5-Year 1/3/2023 3.973 2.46 42.9 16.9 18.6 64.5 0.1 0.0 23.9

7-Year 10/31/2022 4.027 2.43 35.0 14.1 22.7 63.2 0.0 0.0 25.1

7-Year 11/30/2022 3.890 2.33 35.0 21.4 16.8 61.9 0.0 3.8 28.9

7-Year 1/3/2023 3.921 2.45 34.9 15.8 16.2 68.1 0.1 0.0 26.3

10-Year 10/17/2022 3.930 2.34 32.0 19.7 23.5 56.8 0.0 0.0 31.9

10-Year 11/15/2022 4.140 2.23 34.9 24.4 18.1 57.5 0.1 12.3 46.1

10-Year 12/15/2022 3.625 2.31 32.0 21.9 18.7 59.4 0.0 0.0 32.0

20-Year 10/31/2022 4.395 2.50 12.0 16.4 19.9 63.7 0.0 0.0 19.6

20-Year 11/30/2022 4.072 2.64 14.9 9.2 15.4 75.3 0.1 1.6 27.7

20-Year 1/3/2023 3.935 2.68 11.9 8.7 19.0 72.3 0.1 0.0 20.0

30-Year 10/17/2022 3.930 2.39 18.0 12.2 18.7 69.1 0.0 0.0 39.5

30-Year 11/15/2022 4.080 2.42 21.0 9.7 20.4 69.9 0.0 7.4 58.9

30-Year 12/15/2022 3.513 2.25 18.0 15.3 23.1 61.6 0.0 0.0 39.8

2-Year FRN 10/31/2022 0.140 2.65 24.0 25.9 1.5 72.6 0.0 0.0 0.0

2-Year FRN 11/25/2022 0.220 2.45 21.9 51.7 4.7 43.6 0.1 0.0 0.0

2-Year FRN 12/30/2022 0.239 3.40 22.0 38.4 0.9 60.7 0.0 0.0 0.0

Nominal Coupons & FRNs
 Most primary dealers supported a gradual approach for additional transparency for o

 Primary dealers provided a wide range of cap sizes (see next slide).

 Those favoring higher caps suggested that the price impact for disclosing large tra

day is minimal. Moreover, a small subset indicated caps are not necessary at all.

 Conversely, others indicated any effect on liquidity will not be known until data is 

therefore argued for more conservative caps and then assess later whether larger c

 To determine cap sizes, primary dealers indicated the following considerations:

 General uniformity across tenors in terms of interest rate risk (e.g., DV01), while m

design and the ability to re-calibrate cap sizes on a periodic basis.

 The liquidity profile of individual tenors (assessed through various liquidity metr Change in the liquidity environment, both the typical fluctuations over a 24-hour 

longer-term trends.

 When considering release of data after 60 minutes rather than end of day, a majority o

advised for lower caps sizes, with the most common response being to reduce caps by 

 When considering packaged transactions (e.g., on- vs. off-the-run spread trades), most 

were supportive of flagging those transactions with an identifier so that market particpotential price implications.

Primary Dealer Feedback on the Transparency P

1
Primary Dealer Responses on Cap Sizes 

2

0

100200300400500600700800900

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

$Billions

Primary dealer responses on notional cap sizes

Median Mean

0

50

100150200250300350400450500

2y 3y 5y 7y 

DV01 in $Thousands

...Approximate translatio

M

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

10th Percentile 60 50 38 22 22 7 7 10 10 20 10 

Median 460 250 250 250 170 100 100 90 70 110 150 

Mean 804 618 525 397 409 147 232 150 170 240 240 

90th Percentile 2,880 2,520 1,640 1,520 1,480 460 720 530 700 740 940 

Primary Dealer Responses in $M Approximate 
Considerations for Designing a 

Regular and Predictable Treasury 

Buyback Program

Treasury Borrowing Advisory Committee

January 31, 2023
Treasury continues to gather information regarding possible use cases and considerations for designing a 

potential buyback program. Most feedback to date has suggested that if Treasury were to consider a buyback 

program that it should be conducted in a regular and predictable manner, be used for liquidity support and 

cash management, and be neutral to the maturity structure of marketable debt outstanding.

Please discuss in more detail how Treasury could design a regular and predictable buyback program that could 

provide liquidity support as well as improve cash management. In your discussion, please outline the factors or 

indicators Treasury should consider when determining which Treasury securities to buy back. In addition, are 

there certain liquidity metrics that Treasury could monitor to consider whether buybacks are helping support 

liquidity? From a cash management perspective, what metrics could be used to measure the benefits? How 

should Treasury monitor whether buybacks are reducing costs for the taxpayer over time? 

2

TBAC Charge
Table of Contents

• Executive Summary 4

• Recent TBAC Analysis and Guiding Principles 6

• Observations from Global Sovereign Buyback Programs 12

• Buybacks from a Cash Management Perspective 17

• Buybacks for Liquidity Support, Maturities <1y 21

• Buybacks for Liquidity Support, Intermediate and Long Maturities 26

• Evaluating the Market Liquidity Impact of Treasury Buybacks 30

• Framework for Sizing Treasury Buybacks 33

• Considerations for Structuring a Buyback Program 36

• Conclusion 40

3
Executive Summary

• Treasury buybacks could create significant value for Treasury and the taxpayer, but designing and executing a buyback 

program is highly complex and requires careful consideration. 

• In keeping with overall debt management objectives, a buyback program should be regular and predictable and preserve 

the maturity structure of the debt.

• A Treasury buyback program could support overall Treasury market liquidity and provide cash management benefits.

• Buybacks could provide direct liquidity support to specific securities and sectors, but the ultimate liquidity goal should be

to foster liquidity across the Treasury market. 

• Buybacks could smooth large receipts / outlays throughout the year, reduce bill issuance volatility and support a liquid 

benchmark curve.

• Many sovereign issuers regularly conduct buybacks, largely concentrated in the front end of the curve.

• Buybacks in the <1y maturity and >1y maturity segments of the curve should be considered separately given the 

replacement funding impact on bills and on-the-run coupons, respectively.

• Effectiveness of buybacks should be monitored closely to assess support for both broad market liquidity and off-the-runs 

liquidity. 

• Appropriate scale of buybacks should consider size and valuation of off-the-run securities, size of on-the-run securities, 

and specific cash management needs.

4
Recent TBAC Analysis on Buybacks and Guiding 

Principles

5
Recent TBAC Analysis on Buybacks

The August 2022 TBAC presentation, which encapsulates the 2015 study, concluded that:

• Potential benefits of buybacks include bolstering market function and thereby indirectly lowering the cost of 

Treasury financing, and directly saving taxpayers money by purchasing higher-yielding off-the-run securities and 

issuing lower-yielding on-the-run securities.

• 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 help achieve other debt management goals including managing the debt maturity profile, managing 

the TGA, and reducing 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. 

6
Guiding Principles

1. Operate within the “regular and predictable” framework to minimize negative 

externalities.

2. Main purposes are liquidity support and cash management.

3. Maintain neutrality to the maturity structure of marketable debt outstanding.

4. Be accretive to the taxpayer, through direct or indirect benefits.

5. Do no harm: mitigate uncertainties by approaching gradually and analyzing carefully.

6. Treasury buybacks are intended to support healthy market functioning but not mitigate 

episodes of acute stress in markets.

7
Guiding Principles: Buybacks for Liquidity Support

Two distinct aspects of liquidity support, both are valuable to Treasury market function:

Indirect

• A successful buyback program should support Treasury market liquidity. Improving Treasury market liquidity reinforces a 

key feature of Treasuries, that they can be readily converted into cash with minimal market impact.

• An improvement in investor perception of Treasury market liquidity should make all Treasuries (including on-the-runs) 

more desirable, and in turn incrementally reduce Treasury’s cost of financing.

8

Direct

• Buybacks can dampen the risk of any given off-the-run issue trading 

at idiosyncratically cheap levels.

• Historically, dealers played a larger role in achieving this outcome, 

but in recent years they are constrained by the size of their balance 

sheets relative to the size of the Treasury market.

• Treasury may generate small gains for the taxpayer by purchasing 

higher-yielding off-the-runs and replacing them by issuing loweryielding on-the-runs, but the more important result is the expected 

improvement in Treasury market liquidity. 

Source: Treasury, Federal Reserve

Dealers have lower capacity to finance USTs during acute 

market mispricing given the growth of Treasury market

10%

15%

20%

25%

30%

-5

0

5

10

15

20

Apr-13 Oct-14 Apr-16 Oct-17 Apr-19 Oct-20 Apr-22

bp

10Y on-the-run/off-the-run spread (LHS)

Primary dealer gross financing as a % of marketable debt (RHS)
Guiding Principles: Buybacks for Cash Management

Both short-term calendar-related and long-term cyclical reasons why buybacks can be an effective tool for cash management:

Calendar

• Treasury revenues and outlays may be lumpy, for reasons such as the timing of tax receipts or debt maturities.

• Buybacks of near-maturity securities can help to smooth the timing of these outlays, reducing volatility of the TGA and 

volatility of bills outstanding.

• This has come up from time to time in TBAC discussions with Treasury (e.g. Q1-2008 TBAC minutes: “A few members stated 

that Treasury should consider the repurchase of Treasury securities during particularly large debt maturity periods using 

seasonal large cash balances”).

Cyclical

• When the Treasury runs a surplus (for example 1998-2001), it may need to make decisions about how to best maintain its 

role as a regular and predictable issuer without overfunding.

9
Guiding Principles: Neutral to the Maturity Structure of 

Debt

• A buyback program should not meaningfully impact the maturity structure of the marketable debt outstanding.

• Longer-term adjustments to the Treasury debt WAM profile are best carried out by adjusting the size and 

distribution of issuance.

• Treasury could replace buybacks of off-the-run securities in a given sector of the curve with additional on-the-run 

issuance in the same sector.

• Buybacks in the <1y sector could be funded by issuing more bills with maturities that can best match the seasonal swings 

of funding needs.

• Buybacks of off-the-runs could be financed primarily with increased issuance of on-the-runs.

• Treasury should balance this guiding principle with practical considerations involved in the debt issuance process. The 

potential for de minimis changes in the maturity structure of marketable debt should not be an impediment to enacting a 

buyback program.

10
Observations from Global Sovereign Buyback 

Programs

11
Overview of Buyback Programs Across OECD Countries

• Most sovereign issuers have a buyback program in place, and 

many conduct buybacks on a regular basis.

• Primary reasons for buybacks are to smooth redemption profile, 

followed by liquidity enhancement and cash management.

• Buybacks tend to be focused on shorter dated (<2y) maturities. 

25 of 27 DMOs (93%) reported targeting bonds that are nearing 

redemption. 12 DMOs (44%) indicated using some measure of 

illiquidity as a criterion.

12

A 2012 OECD working paper provides helpful historical guidance on the role of buybacks across OECD sovereign bond markets. 

Our recent conversations with DMOs suggest that the broad conclusions remain accurate.

This refers to 

previous surplus 

era program.
Size, Scale from Four Representative Sovereign Issuers:

• Canada, France, Belgium and Australia have regularly bought back 20-30% of gross issuance or more.

• WAM of buybacks is short, predominantly < 1.5 years.

• On the subsequent slides are further details on two of the programs as representative case studies.

Source: Refinitiv, Presenting Member Calculations 13

Annual Buybacks, Bn Local Ccy

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

Canada 24.1 33.9 35.7 30.2 32.7 24.0 29.7 42.8 47.1 31.1 14.1 - 1.5

France 2.4 5.7 6.6 5.2 16.1 18.6 14.1 26.7 30.6 45.5 29.3 25.1 26.1

Belgium 9.2 11.1 9.6 10.1 6.7 7.1 7.1 8.2 6.9 5.9 1.6 2.7 1.7

Australia - - - - 2.1 9.0 17.9 20.2 26.3 15.9 2.4 - -

Annual Buybacks, % of Gross Issuance

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

Canada 26% 34% 41% 33% 35% 27% 24% 31% 45% 28% 4% - 1%

France 2% 5% 7% 3% 9% 9% 7% 14% 15% 20% 11% 10% 10%

Belgium 23% 29% 22% 25% 21% 20% 19% 23% 20% 20% 4% 7% 4%

Australia - - - - 3% 11% 18% 21% 41% 31% 1% - -

Buyback WAM

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

Canada 1.41 2.00 1.50 1.37 1.34 1.08 1.08 1.22 1.23 1.47 2.77 - 0.38

France 0.59 1.07 1.65 1.08 1.19 1.06 1.20 1.21 1.35 1.29 0.84 0.85 0.61

Belgium 0.60 0.71 0.58 0.56 0.57 0.55 0.54 0.55 1.25 1.85 0.83 1.13 1.16

Australia - - - - 1.31 0.30 0.77 1.05 1.18 1.39 1.67 - -
Canada: Three Forms of Buybacks

14

Buyback Type Goals Eligibility Implementation

Cash management 

bond buybacks

(CMBB)

1. Manage cash balances

2. Smooth variation in bill 

issuance

1. CGBs < 18m maturity

2. Amount outstanding > $12B

3. Free float (ex-BOC) > $8B

Weekly process

Outright 

(bond buybacks on a 

cash basis)

1. Enhance liquidity

1. Illiquid high coupon bonds

2. Large off-the-run bonds

3. Maturities 1y to 25y, excluding 

OTR benchmarks

Typically, on Wednesday 

following nominal bond 

auction

Switches

1. Enhance liquidity

2. Maintain issuance of onthe-run benchmarks

1. Illiquid high coupon bonds

2. Large off-the-run bonds

3. Maturities 1y to 25y, excluding 

OTR benchmarks

Duration neutral exchange of 

illiquid bonds into benchmark 

bonds
France: OTC Buybacks for Smoothing Redemptions

France’s AFT has been conducting buybacks since 2000:

• The initial goal was to increase issuance and ensure sufficient liquidity for benchmark 

maturities. Over time, the objective has shifted to smoothing redemption profiles and 

spreading future issuance more evenly.

• Limited to 2 years or shorter maturities.

• Buybacks conducted via secondary market OTC operations or as reverse auctions, 

although only OTC buybacks in recent years.

• Buyback decisions factor in market conditions, including liquidity and price.

Other France debt-management programs:

• Securities swaps (inactive since 2008): Replace old, illiquid securities with those in 

higher demand via auctions or syndicated deals.

• Interest-rate swaps (suspended since 2002): Reduce average maturity of residual debt, 

achieving a balance between lower interest expense and greater variability of 

expense. 

15

30.6

45.5

29.3

25.1

26.1

0.0 10.0 20.0 30.0 40.0 50.0

2018

2019

2020

2021

2022

AFT Buybacks, €B
Buybacks From a Cash Management 

Perspective

16
An Additional Tool for Treasury’s Cash Management Strategy

• Treasury’s cash balance policy is to hold sufficient funds to cover its one-week ahead cash needs (including the gross volume of

maturing marketable debt), subject to a minimum balance of roughly $150bn.

• Bills are used as an issuance “shock absorber”; Treasury’s cash above its policy minimum is effectively funded by bill supply.

• Viewed narrowly from a debt management perspective, the cost of carrying a TGA balance materially in excess of the policy 

minimum could be viewed as being the full cost of bill issuance to fund the excess balance, as the TGA does not earn interest.

• That said, additional TGA balances displace Fed liabilities that otherwise would earn IORB. Since the Fed remits its net income 

to the Treasury, on a consolidated basis the cost of excess TGA balances is limited to the difference between the rate Treasury 

pays on marginal bill issuance and IORB.

• However, the interaction of changes in the size of the TGA with bank reserve balances could contribute to short-term funding 

market strains, particularly if the level of reserves is low. This is an additional factor making a more stable level of the TGA

desirable.

17

• In recent years, economic and policy uncertainty has increased the 

frequency of Treasury holding elevated cash balances, while structural 

changes have increased overall demand for bills. 

• Circumstances when debt limit suspensions were not granted on a timely 

basis have created the need for Treasury to shed cash balances quickly.

• Buybacks could be an effective tool to reduce excess cash balances 

without relying solely on shrinking bill supply, which could help Treasury 

achieve a smoother pattern of bill issuance. This could be especially 

important when bill-share is approaching the bottom of TBAC’s 15-20% 

recommended range. Source: Treasury

TGA balances have been elevated and more volatile in 

recent years

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

$bn

2015-2019 range 2020 2021 2022
Case Study: Buybacks After a Record Tax Season in 2022

• April 2022’s tax receipts were the largest on record, driven by strong wage 

gains and pandemic-related legislation. This helped push the TGA balance to 

$975bn at its peak.

• Between March and July, Treasury paid down more than $500bn of bills to 

reduce its cash balance closer to target. This caused a decline in bill share of 

total marketable debt from 17.5% to 15.1%, near the bottom of the TBAC’s 

recommended range.

• Treasury could have bought back short coups to shed its excess cash more 

quickly while minimizing the impact to bill supply.

• We estimate that completing $300bn in hypothetical buybacks during this 

period could have lowered Treasury’s interest expense by ~$225mm*.

• Alternatively Treasury could have combined short coup buybacks with a 

similarly fast reduction in bill supply, which would have allowed for a faster 

reduction in TGA balances.

18

Calculations: *$300bn buyback of short coups between 6m and 12m maturity (average 9m maturity) * 0.10% spread between short coups and bill 

auction rate; $300bn*0.001*9/12 = $225mm

Source: Treasury

3400

3500

3600

3700

3800

3900

4000

4100

500

550

600

650

700

750

800

850

900

950

1000

Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22

$bn

Bill supply used to reduce elevated cash balance

Cash Balance T-bills Outstanding (RHS)

Amount potentially 

could be deployed for 

buybacks
Additional Use and Measuring the Benefits

• Treasury can pursue cash-management buybacks as an independent objective. Alternatively, it can step up purchases of 

short coups during calendar periods of excess cash inflows, such as late April and after quarterly corporate tax payment 

dates.

• Treasury could also use buybacks to reduce the maturity peaks in outstanding debt, which can help smooth its redemption 

profile.

• Buybacks for cash management purposes (a) could be conducted proportionally across the curve; or (b) if the expectation 

is that the cash management would later be funded by bill issuance, then buybacks should primarily be maturities < 1yr.

• Overall capacity for buybacks of short coups is large, as there is currently ~$2T privately-held short coups outstanding and 

a steady supply ($100bn-200bn per month) rolling into the 12m maturity window over the next several years.

• Effectiveness of cash management buybacks could be measured by observing:

• Smaller seasonal variation in bill issuance sizes.

• Bill-share more consistently staying within TBAC’s recommended 15-20% range. 

• Less feed-through of volatility in bill rates into other money market rates.

• More efficient Treasury cash balances relative to cash balance policy.

• More closely matched actual versus assumed end-of-quarter balances.

19
Buybacks for Liquidity Support, 

Maturities <1y

20
A Dichotomy Between Bills and Short Coups

• Notes and bonds that have rolled down to a maturity of < 1y (often referred to as “short coups”) with maturities between 

6m and 1y tend to trade at wider spreads while exhibiting significant yield dispersion compared to like-maturity bills.

• The increased dispersion of asset-swap spreads for issues below the 1y maturity point also indicates idiosyncratic trading 

behavior and is consistent with poor liquidity.

• Yield spreads of 10 to 20bp between short coups and bills of comparable maturities are not uncommon.

• Investors who own short coups often confront wide spreads if they try to sell large sizes, which in some cases could affect 

desired investment decisions.

21

• Buybacks in this sector could reduce yield dispersion while increasing 

liquidity for holders of short coups.

• If six to twelve month short coup buybacks were funded with any 

combination of maturities across the bills curve, the impact on WAM 

would be de minimis. We estimate the WAM impact to be less than 0.05 

months for even large buyback programs.

Source: Deutsche Bank (Jan 27, 2023 snapshot)

Wide dispersion of ASW spreads below 1y maturity

-30

-25

-20

-15

-10

-5

0

5

10

15

0.0 0.5 1.0 1.5 2.0 2.5 3.0

bp

Years to Maturity

Matched-Maturity OIS Spread
Enhance Liquidity by Freeing Up Dealer Balance Sheet

• Indexers managing against the Bloomberg US Aggregate Index (the “Agg”) become forced sellers of short coups when 

these securities shorten to maturity <1y and drop out of the index.

• Short coups absorb valuable space on dealer balance sheets, as the velocity of dealer balance sheet in bills is higher than 

in short coups.

• Front end purchases are the most common focus of other DMOs conducting buybacks in sovereign markets, both for cash 

management and liquidity support purposes.

• Treasury is uniquely positioned to convert less liquid short coups into more liquid bills. This would enhance liquidity not 

only for the short coups, but also for the entire Treasury market, as it would free up dealer balance sheet that could be 

deployed further out the yield curve.

22

Short coups tend to trade cheap 

to similar bill maturities, with 

some notable exception periods, 

including recently.

Source: Deutsche Bank par spline series for coupons; Bloomberg GB6 and GB12 series for bills.

-15

-10

-5

0

5

10

15

20

25

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

bp

UST Coupon - Bill Spread

 6m 1y
Buybacks of Short Maturity TIPS

• TIPS with maturity < 1y pose a similar or perhaps greater liquidity challenge than short coups.

• The returns of TIPS with maturity < 1y are highly sensitive to short term fluctuations in inflation, while providing minimal 

diversification for investors to changes in longer term inflation expectations. As a result, there is minimal real demand for

these securities.

• Instead, the short maturity TIPS market is dominated by arbitrageurs who demand high expected returns in exchange for 

holding these bonds and hedging with gasoline futures and other short term inflation proxies.

23

• By conducting buybacks of short-maturity TIPS funded by issuing bills, 

Treasury could effectively enhance liquidity to the broader TIPS sector, 

potentially creating additional demand for longer maturity TIPS. We 

suggest funding with bills instead of TIPS for practical reasons, since 

currently the shortest newly issued TIPS is five-year maturity.

• Treasury can evaluate short dated TIPS valuation by monitoring assetswap levels versus CPI swaps; there is no need to do additional inflation 

modeling.

• Given that the short maturity TIPS sector is relatively small, this could be 

a topic that Treasury marks for further evaluation, rather than a priority 

to implement in an initial buyback program.

TIPS cheapen to nominals (on asset swap) as they 

roll to less than one year to maturity

Source: Deutsche Bank

0

5

10

15

20

25

30

14 13 12 11 10 9 8 7 6 bp

Remaining Months to Maturity

TIPS Asset Swap - Nominal Asset Swap

(Averaged over last eight TIPS rolling down to 1y point)
Funding Buybacks of Short Maturity Treasuries

• Although there are ~$2.6 trillion of short coups outstanding (31% of which is 

held in SOMA), it is unclear how large the supply of available free float is after 

accounting for securities that may have been stashed away and are unlikely to 

ever be traded.

• It is possible, however, that there could be significant supply as some investors 

who currently feel constrained to hold these positions to maturity might 

instead choose to sell if there were enhanced liquidity.

• The main constraint on Treasury’s ability to absorb this supply would be 

demand for the additional bills that Treasury would need to issue to fund 

these purchases.

• Treasury could choose to fund these purchases with additional issuance across 

the bills curve. Historically there has been more variability in sizing of shorter 

maturity bills than 52-week bills, but Treasury could take into account supply 

demand dynamics at the time, including the potential impact of the buybacks 

themselves on demand for various maturity bills. 

24

30

35

40

45

50

55

60

65

Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23

$bn

13-week bill issuance, 2018-2023

18

20

22

24

26

28

30

32

34

36

Jan-18 Jan-19 Jan-20 Jan-21 Jan-22 Jan-23

$bn

52-week bill issuance, 2018-2023 Source: Treasury
Buybacks for Liquidity Support, 

Intermediate and Long Maturities 

25
Buybacks of Intermediate and Long Maturities

• TBAC presentations at both the May-2022 and Nov-2022 meetings 

highlighted increased macro uncertainty and volatility and corresponding 

to more challenging liquidity conditions for the Treasury market during 

2022. 

• Average cheapness of off-the-run securities as indicated by the Morgan 

Stanley Treasury Relative Opportunity Value Index (MSTVI) increased 

significantly during 2022, with a subsequent modest recovery after 

peaking in Oct-2022. This increase was likely exacerbated by heightened 

macro volatility.

• Historically, off-the-runs have traded at an average spread of about 

0.5bps wider than the on-the-run spline as measured by this index. More 

recently, that spread is 3x to 4x as wide.

• Using off-the-run spreads as an indicator of liquidity, Treasury could 

improve overall market functioning and create value for the taxpayer by 

focusing purchases on affected off-the-run issues.

• Treasury could consider buybacks of off-the-run intermediate and long 

maturity TIPS. The TIPS sector might benefit even more than nominals 

from liquidity support through buybacks. But Treasury would need to be 

comfortable that TIPS on-the-run auction sizes could be increased 

sufficiently to fund those buybacks. This could be a topic for future study. 

26

Source: Bloomberg

0

0.5

1

1.5

2

2.5

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

bp

Morgan Stanley Treasury Relative Opportunity Value 

Index
Buybacks of Intermediate and Long Maturities

• Conducting buybacks of intermediate and long maturity Treasuries poses more risk and complexity for Treasury than 

buybacks at the front end of the curve.

• Longer maturity Treasuries have greater duration risk, increasing the exposure of Treasury to potentially large yield swings 

between executing buybacks and when it issues on-the-run securities to finance those purchases.

• Some foreign DMOs manage this duration risk by executing buybacks as switches, simultaneously buying off-the-run 

securities and exchanging new benchmark on-the-run securities.

• However, switches create tension between reducing noise in buyback execution versus keeping issuance regular and 

predictable. It could be operationally complex to repeatedly reopen Treasury issues to accommodate each switch 

transaction.

• Executing switches would likely require Treasury to build out additional infrastructure, while funding buybacks with 

additional on-the-run issuance relies on an already existing process. 

• In our view, the more important consideration is the impact of buybacks on Treasury’s WAM. The day-to-day fluctuations 

in yields between when Treasury conducts buybacks vs financing those buybacks should tend to cancel out over time.

• The WAM impact of conducting buybacks across the curve and correspondingly increasing issuance is likely to be quite 

small, not inconsistent with multiple other short-term factors affecting WAM. 

• Therefore, we believe that Treasury could better adhere to the guiding principles by executing buybacks and financing 

those buybacks separately.

27
Funding Buybacks of Intermediate and Long Maturities

• To maintain neutrality to the market structure of marketable debt outstanding while acting in a regular and predictable 

manner, Treasury could indicate a buyback size for each maturity sector at the time of the Refunding Announcement. 

• Treasury could then incorporate additional issuance of on-the-runs to finance the anticipated purchases of off-the-runs. 

Additional considerations related to this topic are discussed in the later section, Considerations for Structuring a Buyback 

Program.

• Treasury could reserve the right not to purchase securities in an announced buyback operation. Alternatively, Treasury 

could conclude that it would be more desirable to follow through on all announced purchases except in exceptional 

circumstances. Ultimately Treasury will need to strike a balance between pricing sensitivity in any given buyback versus the 

guiding principle of a buyback program being regular and predictable. 

• A potential concern is the impact on WAM and the cost of term premium incurred due to buying back off-the-runs funded 

by issuing longer maturity on-the-runs. 

• We believe that the term premium concern is minor, as Treasury is both paying and receiving term premium of 

similar maturity in the process of buying back off-the-runs and issuing on-the-runs.

• As previously mentioned, the impact on WAM is expected to be de minimis, well within the scope of WAM 

perturbations that Treasury routinely encounters due to the timing of maturities, issuance, etc. 

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Evaluating the Market Liquidity Impact of 

Treasury Buybacks

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Evaluating the Market Liquidity Impact of Treasury Buybacks

• If Treasury chooses to enact a buyback program, we expect there would be some observable improvement in the liquidity 

of off-the-runs and short coups, starting with an anticipatory announcement effect and continuing as the program moves 

forward.

• Dealers would likely become more willing to provide liquidity in off-the-runs and short coups, and Treasury investors 

would likely accept a smaller amount of yield liquidity premium to hold those securities.

• We recommend that Treasury actively monitor the observable resulting changes in market liquidity for several reasons:

• To evaluate the success of the buyback program in improving overall Treasury market liquidity.

• To help inform decisions about future adjustments to the size or focus of the buyback program.

• To help guide decisions about individual buyback operations.

• Treasury could evaluate the offers it receives in each buyback operation as indicative of whether Treasury is effectively 

providing liquidity support. If those offers suggest that there are only reluctant sellers, it could imply that Treasury’s 

buybacks in that instance might not be constructive for improving market liquidity.

• Treasury could consider the factors on the following page as measures of market liquidity. Treasury could use other 

indicators to correct for movements in liquidity measures due to non-buyback factors such as general macro stress or 

LSAPs.

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Evaluating the Market Liquidity Impact of Treasury Buybacks

31

Treasury could consider a variety of indicators to evaluate liquidity conditions.

Overall Treasury market liquidity, including onthe-runs

Off-the-run liquidity Treasury funding liquidity

Bid/offer spreads Off-the-run/on-the-run spreads (vs asset-swap or fitted 

spline curve) Repo specialness

Top of book (TOB) order size FINRA bid/offer width of off-the-runs vs on-the-runs Changes in swap spreads

Market depth (e.g., transaction cost of executing 

a specific-sized trade)

Aggregate index of off-the-run spreads, such as MSVTI or 

JPM RMSE

Availability and spreads of term repo

Total trading volumes Off-the-run trading volumes

Size and frequency of auction tails Sector indices of off-the-run spreads, such as MSVTI 

sectors

Dealer inventory sizes and sector composition First three off-the-run / on-the-run spreads

Dispersion of off-the-run spreads

Monetary policy/LSAPs

Regulatory changes and effects on market intermediation

Use the quarterly refunding questionnaire to solicit qualitative feedback from primary dealers

Feedback from market participants through regular communication or investor RFIs

Quantitative Measures

Qualitative Measures

Macro Liquidity Drivers (to control for in identifying buyback-related effects)

Treasury market volatility (e.g. MOVE Index)

Dollar funding premia (e.g. cross-currency bases)
Framework for Sizing Treasury Buybacks

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Framework for Sizing Treasury Buybacks

• Sizing of buybacks can be measured: 

• As a proportion of gross issuance.

• As a proportion of debt held by the public.

• As a proportion of the size of off-the-runs in each sector broken down by maturity. 

• Note that these proportions would not be static – during periods of lower financing needs, a larger buyback program could be 

supported and vice versa.

• Context is important:

• If the primary goal of buybacks is liquidity support, then the available float of off-the-runs in each sector should be considered, 

along with the market capacity to support increases in the size of the on-the-run for each corresponding sector. 

• In periods when financing needs are lower and on-the-run issue sizes are relatively small, there is likely to be more capacity to 

increase auction sizes and support a larger buyback program. 

• In periods when the Treasury is running a surplus (such as 1998-2001), Treasury could consider what size of cash management 

buybacks is required to maintain sufficiently large-sized benchmark on-the-run issuance. 

• Sizing of a buyback program could be bifurcated between <1y maturities (funded by issuing bills) and >1y maturities (funded 

by issuing on-the-run coupons). 

• Treasury could evaluate how much leeway is acceptable in matching the WAM of buybacks with the WAM of issuance to 

finance those buybacks. In the context of Treasury’s overall debt profile, modest mismatches between buybacks and issuance 

will not have a material impact on the maturity structure of marketable debt outstanding.

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Framework for Sizing Treasury Buybacks

• Boundary conditions for sizing:

• Lower bound: A buyback program should be large enough to have some observable impact on liquidity support and/or cash 

management, or else it will only serve the purpose of testing operational procedures.

• Upper bound: Buybacks should not be so large that they cause the market or auction process for on-the-run Treasuries or 

bills to be overwhelmed with excessive supply. This could result in destruction of the on-the-run liquidity premium. 

• A buyback program also should not be so large that it threatens to significantly erode the tradable float of off-the-run 

securities targeted for purchase, rendering the residual issue sizes disproportionately small and therefore less liquid.

• On-the-runs at different points on the curve may have differing capacities to absorb issuance increases to fund buybacks, even 

after adjusting for duration differences. 

• We would recommend initiating a buyback program at the lower end of the range of potential sizing, so that Treasury could learn 

from the initial implementation and then choose to increase the sizing if that became desirable. 

• An example of an initial sizing framework reflecting current auction sizes could be $5B-$10B <1y maturities per month, along with 

$5B-$10B > 1y maturities per month. 

• These sizes would require modest increases in the size of on-the-run issuance and bill issuance.

• They are sufficiently large to have some measurable impact on Treasury market liquidity. 

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Considerations for Structuring a Buyback 

Program

35
Considerations for Structuring a Buyback Program

• Buybacks could be bifurcated into maturity <1y and maturity >1y programs:

• Maturity <1y for (a) liquidity support and/or (b) cash management.

• Maturity >1y for (a) liquidity support and/or (b) cash management in periods of fiscal surplus.

• Maximum (“up to”) buyback amounts for each could be announced as part of the Quarterly Refunding process.

• These maximum amounts would leave Treasury with flexibility if propositions received in buyback operations are 

inconsistent with achieving liquidity support or cash management goals. 

• That said, Treasury would need to balance the guiding principles of regular and predictable, providing liquidity 

support, and doing no harm. Treasury could conclude that while it would be desirable to conduct buybacks in a 

regular and predictable manner, there may be a lower threshold for departures from that than for Treasury auctions, 

given the other competing considerations. 

• Treasury could take into account the expected size of buybacks when determining and announcing the sizes of upcoming 

bill and coupon auctions.

• See the earlier section, Framework for Sizing Treasury Buybacks, for more on sizing considerations.

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Considerations for Structuring a Buyback Program

• Buyback operations could be conducted by sector, with offers evaluated both on attractiveness versus market pricing as 

well as based on valuation metrics. Treasury would likely be better served by maintaining flexibility in how it makes these 

decisions, as market liquidity conditions and other dynamic factors could be important to consider. 

• The Fed’s experience with LSAPs could inform the design of purchase sectors.

• Valuation metrics could include discount to spline, yield-based ASW, zero-coupon ASW, and on- vs off-the-run 

spreads (if considering only the first three off-the-runs).

• Treasury should establish securities exclusions and concentration limits.

• Exclude on-the-run securities. It may also be appropriate to exclude the futures cheapest-to-deliver (CTD), given the 

CTD is typically a liquid point on the curve not requiring additional liquidity support. Treasury could also consider 

excluding Treasuries trading very special in repo, but such issues tend to trade at richer spreads in any case.

• Set limits on the % of a purchase operation allocated to a given CUSIP and on cumulative % of a CUSIP outstanding 

(less SOMA holdings and stripped securities) that can be bought back.

• Schedule operations to balance effectiveness, risk, and operational complexity.

• It would be preferable if Treasury could schedule buybacks on days (and at times) that are least likely to conflict with 

Treasury market auctions, or with important data releases or policy decisions. 

• If <1y buyback operations have a cash management purpose (i.e., purchases are not being financed through bill 

issuance or otherwise), the timing of cash receipts or outlays should also inform scheduling. 

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Considerations for Structuring a Buyback Program

• Reverse auction methodology:

• Since Treasury would be evaluating offers of multiple securities simultaneously in each sector, a single-price auction 

(like the Treasury auction process) is not feasible. Treasury could consider using a single-price for each CUSIP but 

would need to evaluate whether this creates value versus using a multi-price model within as well across CUSIPs.

• Treasury would need to define minimum offer size and increment, and the number of offers that can be submitted 

per security, considering trade-offs between flexibility and operational cumbersomeness. 

• Turning around results quickly is important, as participants will view making fixed-price offerings as being short an 

option and will build more cushion into their offerings if it takes longer to know if their offerings are accepted. 

• Eligible counterparties:

• An important issue to consider is which counterparties can sell to Treasury in the buyback operations.

• Conceptually the same set of market participants that can participate in Treasury auctions could also participate in 

buybacks. However, operational constraints may limit participation to primary dealers.

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Conclusion

39
Conclusion

• Treasury should consider buybacks to provide liquidity support to the overall Treasury market and to achieve cash management goals. 

• Designing a buyback program is complex, as it requires myriad operational, analytical, and market judgements. Treasury should carefully 

consider whether to move forward. 

• If Treasury does decide to move forward, the suggestions below should all be subject to substantial additional analysis to enable Treasury to 

design an implementation plan that best meets its goals.

• Buybacks of <1y maturity are good candidates for most cash management purposes and can be funded by additional issuance across the bill 

curve. Buybacks of <1y maturity TIPS could be considered along with nominals. 

• Buybacks of >1y maturity could be broken down by sector and funded by corresponding issuance of on-the-runs. TIPS could possibly be 

included, subject to capacity to increase on-the-run TIPS auctions sizes to fund purchases. 

• Treasury can use a variety of valuation measures to assess which securities and sectors would most benefit from liquidity support and to 

select offers to accept during buyback operations. These, along with other broad measures of market liquidity, can be used to assess the 

liquidity support impact of buybacks. 

• A key consideration in sizing buybacks is the capacity to issue additional benchmark on-the-runs to fund purchases. This capacity is timevarying and context-specific.

• While buybacks should be consistent with the regular and predictable framework, Treasury should reserve flexibility on whether to execute 

any specific buyback operation.

• Treasury would need to consider a number of operational aspects to facilitate a buyback program, including determining eligible 

participants, timing of buybacks, size limitations, and other operational constraints. 

• A successful buyback program should result in benefits for the taxpayer, either through providing liquidity support to the market that 

results in lower financing costs, by giving Treasury an additional tool for efficient cash management, or both.

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