Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2021 Q4 Report
Table of Contents

2

I. Executive Summary p. 4

II. Fiscal

A. Quarterly Tax Receipts p. 6

B. Monthly Receipt Levels p. 7

C. Largest Outlays p. 8

D. Treasury Net Nonmarketable Borrowing p. 9

E. Cumulative Budget Deficits p. 10

F. Deficit and Borrowing Estimates p. 11

G. Budget Surplus/Deficit p. 12

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

III. Financing

A. Sources of Financing p. 16

B. Interest Rate Assumptions p. 18

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

IV. Portfolio Metrics

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

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

C. Maturity Profile p. 24

V. Demand

A. Summary Statistics p. 26

B. Bid-to-Cover Ratios p. 27

C. Investor Class Awards at Auction p. 32

D. Primary Dealer Awards at Auction p. 36

E. Direct Bidder Awards at Auction p. 37

F. Foreign Awards at Auction p. 38

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

Executive Summary

3
Receipts and Outlays for FY2021

• Overall receipts totaled $4.046 trillion, reflecting an increase of $626 billion (18%) compared to the prior fiscal year. Non-withheld and SECA taxes 

were $225 billion (33%) higher reflecting generally higher income and a rebounding economy. Corporate taxes were $156 billion (59%) higher due 

to higher corporate profits. Adjusted withheld and FICA taxes were up $257 billion (11%) due to improved COVID‐19 condition in FY2021 and the 

end of the deferral of certain employer taxes through the end of December 2020. Half of these deferred taxes are due by January 3, 2022, and the 

remaining half by the end of calendar year 2022. Adjusted Federal Reserve earnings were $20 billion (25%) higher reflecting lower interest rates that 

reduce the Fed's interest expenses and higher System Open Market Account (SOMA) holdings that increase interest income. Partially offsetting the 

overall gains to receipts, adjusted individual refunds were $41 billion (17%) higher, but close to the 2019 level. This refund season was exhibiting a 

different pattern from last year due to tax season timing changes and other factors. FY2021 total receipts were 18.1% of GDP, compared to 16.3% for 

the same period last year. 

• Overall outlays were $6.818 trillion, reflecting an increase of $266 billion (4%) compared to the prior fiscal year. Department of Treasury outlays 

were $482 billion (42%) higher due to greater Economic Impact Payments of $301 billion (103%), Coronavirus Relief Fund payments to state, 

territorial, local, and tribal governments, and rental assistance payments of $132 billion (75%), tax credits of $51 billion (38%), and interest on the 

public debt of $40 billion (8%). This was offset by higher repayments associated with the Federal Reserve’s credit lending facilities of $31 billion (-

98%). Department of Agriculture outlays were $51 billion (28%) higher as relief payments for COVID-19 pandemic related legislation programs 

have picked up this year. Department of Labor outlays were lower by $73 billion (-15%) due to the reduction in unemployment and expanded 

benefits attributable to the COVID-19 pandemic. Small Business Administration outlays were lower by $255 billion (-44%), mainly due to the 

higher levels of Paycheck Protection Program loans originated in FY2020 versus this year. The subsidy or budget outlay was recorded when loans 

are originated, which was in advance of when loan forgiveness was paid. Health and Human Services spending was lower by $37 billion (-2%) 

mainly due to the COVID-19 effects seen last year and somewhat offset by increases in Medicaid. FY2021 total outlays were 30.5% of GDP, 

compared to 31.3% 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 $1,015 billion for Q1 FY2022, 

with an end-of-December cash balance of $650 billion. For Q2 FY2022, OFP forecasts a net privately-held marketable borrowing need of $476 billion 

and assuming an end-of-March cash balance of $650 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. The end-of-December and end-of-March cash balances assume enactment 

of a debt limit suspension or increase.

Demand for Treasury Securities

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

• Foreign demand remained stable.

Highlights of Treasury’s November 2021 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% Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 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 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 $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

1,800 Treasury HHS SSA Defense Labor SBA Education Agriculture V A OPM Transportation Homeland Security Other Defense Civil $ bn

Largest Outlays

FY 2020 FY 2021
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q4-11 Q1-12 Q2-12 Q3-12 Q4-12 Q1-13 Q2-13 Q3-13 Q4-13 Q1-14 Q2-14 Q3-14 Q4-14 Q1-15 Q2-15 Q3-15 Q4-15 Q1-16 Q2-16 Q3-16 Q4-16 Q1-17 Q2-17 Q3-17 Q4-17 Q1-18 Q2-18 Q3-18 Q4-18 Q1-19 Q2-19 Q3-19 Q4-19 Q1-20 Q2-20 Q3-20 Q4-20 Q1-21 Q2-21 Q3-21 Q4-21 $ 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

FY2019 FY2020 FY2021
11

1 Point estimates represent the medians from the primary dealer survey in Oct. 2021.

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

3 OMB projections are using estimates are from Table S-1 of “Mid-Session Review Budget of The U.S. Government Fiscal Year 2022,” August 2021. 

*FY2022 net borrowing estimates from both OMB and CBO assume that the cash balance remains constant at the end of FY2021 levels. The end of 

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

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

Market Account (SOMA) but includes financing required due to SOMA redemptions. Secondary market purchases of Treasury securities by SOMA 

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

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

amount.

Primary Dealers1 CBO2 OMB3

FY2022 Deficit Estimate 1,350 1,153 1,660

FY2023 Deficit Estimate 1,200 789 1,316

FY2024 Deficit Estimate 1,000 753 1,331

FY2022 Deficit Estimate Interquartile Range 1,299-1,613

FY2023 Deficit Estimate Interquartile Range 973-1,275

FY2024 Deficit Estimate Interquartile Range 923-1,200

FY2022 Privately-Held Net Marketable Borrowing Estimate 1,805 1,380* 1,921* 

FY2023 Privately-Held Net Marketable Borrowing Estimate 1,129 764 1,363

FY2024 Privately-Held Net Marketable Borrowing Estimate 1,075 803 1,350

FY2022 Privately-Held Net Marketable Borrowing Interquartile Range 1,638-2,000

FY2023 Privately-Held Net Marketable Borrowing Interquartile Range 1,025-1,313

FY2024 Privately-Held Net Marketable Borrowing Interquartile Range 948-1,198

Estimates as of: Oct-21 Jul-21 Aug-21

FY 2022-2024 Deficits and Privately-Held Net Marketable Borrowing Estimates**, in $ billions
(17.5%)

(15.0%)

(12.5%)

(10.0%)

(7.5%)

(5.0%)

(2.5%)

0.0%

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

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

Budget Surplus/Deficit*

OMB's (Aug 21) Surplus/Deficit (LHS) CBO's (Jul 21) Surplus/Deficit (LHS)

PD Survey (Oct 21) (LHS) OMB's (Aug 21) Surplus/Deficit as a % of GDP (RHS)

CBO's (Jul 21) Surplus/Deficit as a % of GDP (RHS)

*OMB’s projections are from OMB’s Table S-1 of “Mid-Session Review Budget of The U.S. Government Fiscal Year 2021,” Aug. 2021.

CBO’s deficit projections are using estimates from CBO’s Table 1 of “An Update to The Budget and Economic Outlook: 2021 to 

2031,” July 2021.

Projections

12
13

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

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

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

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

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

do not include any assumptions for the impact of additional legislation that may be passed. The end-of-December and end-ofMarch cash balances assume enactment of a debt limit suspension or increase.

Privately-Held Net Marketable Borrowing Outlook*

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4 $ bn

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

Financing

14
15

Assumptions for Financing Section (pages 16 to 19)

• Portfolio and SOMA holdings as of 09/30/2021.

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

TIPS, and FRNs given changes made before the November 2021 refunding, while using total bills 

outstanding of ~$3.71 trillion. 

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

as of 09/30/2020.

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

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

Market Account (SOMA) but includes financing required due to SOMA redemptions. Secondary market purchases of Treasury securities by 

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

not redeem any maturing securities, would increase the amount of cash raised for a given privately-held auction size by increasing the SOMA 

“add-on” amount.

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

Net Bill Issuance (561) Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 664 4-Week 415 505 (90) 1,735 1,785 (50)

Subtotal: Net Marketable Borrowing 103 8-Week 430 505 (75) 1,870 1,905 (35)

13-Week 723 798 (75) 2,874 2,910 (36)

Ending Cash Balance 215 26-Week 687 723 (36) 2,721 2,709 1 2

Beginning Cash Balance 852 52-Week 102 102 0 442 323 119

Subtotal: Change in Cash Balance (637) CMBs

6-Week 230 470 (240) 1,545 1,725 (180)

Net Implied Funding for FY 2021 Q4** 740 15-Week 0 0 0 500 890 (390)

17-Week 400 445 (45) 1,645 1,670 (25)

22-Week 0 9 0 (90) 600 1,330 (730)

39-Week 0 0 0 0 9 0 (90)

CMBs 180 9 0 9 0 180 9 0 9 0

Bill Subtotal 3,167 3,728 (561) 13,932 15,337 (1,405)

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 8 0 5 5 2 5 314 222 9 2

2-Year 180 9 1 8 9 708 276 432

3-Year 174 7 0 104 684 247 437

5-Year 183 8 5 9 8 720 329 391

7-Year 186 7 7 109 726 311 415

10-Year 117 3 2 8 5 465 141 324

20-Year 7 5 0 7 5 298 0 298

30-Year 7 5 3 7 2 299 9 290

5-Year TIPS 0 0 0 6 6 4 1 2 5

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

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

Coupon Subtotal 1,108 444 664 4,380 1,645 2,735

Total 4,275 4,172 103 18,312 16,982 1,330

July - September 2021 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY21 Q4*

July - September 2021 July - September 2021 Fiscal Year-to-Date

Bill Issuance Bill Issuance
17

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

but includes financing required due to SOMA redemptions. Secondary market purchases of Treasury securities by SOMA do not directly change net privately-held 

marketable borrowing but, all else equal, when the securities mature and assuming the Fed does not redeem any maturing securities, would increase the amount of cash 

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

** Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made before the November 2021 refunding. 

*** Assumes an end-of-December 2021 cash balance of $650 billion versus a beginning-of-October 2021 cash balance of $215 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*** 1,015

Net Coupon Issuance 678

Implied Change in Bills 337

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 8 0 5 5 2 5 8 0 5 5 2 5

2-Year 180 9 9 8 1 180 9 9 8 1

3-Year 174 7 6 9 8 174 7 6 9 8

5-Year 183 8 5 9 8 183 8 5 9 8

7-Year 186 7 8 108 186 7 8 108

10-Year 117 4 0 7 7 117 4 0 7 7

20-Year 7 5 0 7 5 7 5 0 7 5

30-Year 7 5 9 6 6 7 5 9 6 6

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

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

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 1,119 441 678 1,119 441 678

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q1*

October - December 2021

October - December 2021 Fiscal Year-to-Date
18

0.5

1

1.5

2

2.5

3

3.5

4

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

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 09/30/2021

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

OMB MSR (Aug 2021)

1 0-Year Treasury Rate 

of 1.488% as of 

09/30/2021
0

500

1,000

1,500

2,000

2,500

3,000

3,500

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

Fiscal Year

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

CBO's "An Update to the Budget Outlook: 2021 to 2031", July 2021 PD Survey Privately-Held Net Marketable Borrowing Estimates, October 2021

OMB's Mid-Session Review, August 2021

PD 75th 

percentile

PD 25th 

percentile

PD 50th 

percentile

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

19

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant as of 09/30/2021*

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

“Mid-Session Review Budget of the U.S. Government Fiscal Year 2022,” August 2021. CBO’s borrowing projections are using estimates from Table 1 of CBO’s 

“An Update to The Budget and Economic Outlook: 2021 to 2031,“ July 2021. FY2022 net borrowing estimates from both OMB and CBO assume that the cash 

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

consistent with its prudent cash balance policy.

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

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

spd-results.pdf

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

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

Portfolio Metrics

20
21

4 0

4 5

5 0

5 5

6 0

6 5

7 0

7 5

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

Calendar Year

Historical Weighted Average Maturity of Marketable Debt Outstanding

Historical Historical Average from 1980 to end of Q4 FY2021

09/30/2021 

71.9 months

60.3 months (Historical Average 

from 1980 to Present)
22

0

5

1 0

1 5

2 0

2 5

3 0

3 5

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

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.7%

Max 10.7%

Max 2.6%

09/30/21 

17.0%

09/30/21 

7.6%

09/30/21 

2.6%

Max 

35.6%
23

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45%

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

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000 $ bn

Private Bills Holdings as a Percentage of Total Private Holdings

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

09/30/21 

21%

09/30/21 

$3,388 bn
24

2 0

3 0

4 0

5 0

6 0

7 0

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

Calendar Year

Treasury Maturity Profile History

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

09/30/21 

52%

09/30/21 

29%
Section V:

Demand

25
26

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

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

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

Type Term Stop Out Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA 

"AddOns" ($bn)

10-Year 

Equivalent 

($bn)**

Bill 4-Week 0.045 3.6 415.1 52.8 9.1 38.1 9.92 40.3 3.9

Bill 8-Week 0.051 3.7 450.9 48.2 8.0 43.8 4.10 47.0 8.4

Bill 13-Week 0.048 3.3 657.2 40.4 6.6 53.0 8.79 81.3 20.3

Bill 26-Week 0.050 3.4 625.3 40.1 5.2 54.7 7.76 77.2 38.5

Bill 52-Week 0.077 3.6 100.4 46.1 6.6 47.2 1.58 11.4 12.4

CMB 6-Week 0.043 4.0 189.9 45.9 10.9 43.2 0.10 0.0 2.4

CMB 17-Week 0.047 4.0 395.0 46.1 7.1 46.8 0.02 0.0 14.0

CMB Other 0.054 3.0 180.0 56.0 9.7 34.2 0.05 0.0 2.2

Coupon 2-Year 0.255 2.5 179.5 25.7 21.4 52.9 0.50 20.5 43.4

Coupon 3-Year 0.446 2.5 173.9 26.4 18.6 55.1 0.13 41.6 70.5

Coupon 5-Year 0.844 2.4 182.8 23.1 18.5 58.4 0.15 20.9 108.4

Coupon 7-Year 1.179 2.3 186.0 20.4 19.7 59.8 0.05 21.2 151.1

Coupon 10-Year 1.349 2.5 117.0 13.6 15.7 70.8 0.03 28.6 148.0

Coupon 20-Year 1.845 2.4 75.0 18.9 18.8 62.2 0.00 8.6 149.2

Coupon 30-Year 1.986 2.3 75.0 17.9 18.4 63.7 0.01 18.6 228.5

TIPS 10-Year -0.980 2.5 30.0 13.6 15.7 70.8 0.04 1.7 34.2

TIPS 30-Year -0.292 2.3 8.0 12.7 12.4 74.9 0.01 1.0 27.9

FRN 2-Year 0.027 3.0 79.9 33.0 0.8 66.2 0.05 2.7 0.0

Total Bills 0.049 3.5 3,013.8 45.4 7.4 47.2 32.30 257.2 102.0

Total Coupons 0.952 2.4 989.1 21.8 18.9 59.2 0.87 159.9 899.1

Total TIPS -0.835 2.5 38.0 13.4 15.0 71.6 0.05 2.7 62.2

Total FRN 0.027 3.0 79.9 33.0 0.8 66.2 0.05 2.7 0.0

Summary Statistics for Fiscal Year 2021 Q4 Auctions
1.5

2

2.5

3

3.5

4 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 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for Treasury Bills

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

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

27
28

1.5

2

2.5

3

3.5

4 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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
29

1.5

2

2.5

3

3.5

4 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 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
30

1.5

2

2.5

3

3.5

4 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 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
31

1.5

2

2.5

3

3.5

4 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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

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

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

Institutions, Individuals, Pension and Insurance.

0 %

5 %

10%

15%

20%

25%

30%

35%

40%

45% Sep-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 1 3-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
33

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60% Sep-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

6-month moving average

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

Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
34

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% Sep-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

6-month moving average

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

Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
35

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80%

90% Sep-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

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
36

Competitive Amount Awarded excludes SOMA add-ons. 

10%

20%

30%

40%

50%

60%

70% 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 % of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

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

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

TIPS (6-month moving average)
37

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% 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 % of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

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

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

TIPS (6-month moving-average)
38

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

160 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/20/30 TIPS FRN
39

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

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0 %

10%

20%

30%

40%

50%

60%

0

1,000

2,000

3,000

4,000

5,000

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

Bills

Outstanding Foreign Holdings Foreign % (RHS)

0 %

20%

40%

60%

80%

100%

0

4,000

8,000

12,000

16,000

20,000 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 $ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)
Appendix

40
41

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 9/30/2021*

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

for open-market outright purchases and subsequent rollovers.

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

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

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

Historical/Projected 

Net Borrowing 

Capacity

2017 155 (66) 378 51 (0) 519 

2018 438 197 493 45 23 1,196 

2019 137 498 534 51 59 1,280 

2020 2,652 538 724 46 55 4,014 

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

2022 0 1,082 1,384 59 80 2,605 

2023 0 874 1,227 41 6 2,148 

2024 0 561 1,317 64 0 1,942 

2025 0 254 1,303 (2) 0 1,556 

2026 0 32 1,307 11 0 1,351 

2027 0 0 1,246 7 0 1,253 

2028 0 0 832 (10) 0 823 

2029 0 0 836 (6) 0 830 

2030 0 0 807 10 0 817 

2031 0 0 605 (6) 0 598 
42

*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 7/6/2021 0.050 3.46 39.2 49.8 21.8 28.4 0.8 3.2 0.4

4-Week 7/13/2021 0.050 3.37 39.3 58.0 8.1 33.9 0.7 3.3 0.4

4-Week 7/20/2021 0.045 3.73 39.2 40.3 5.5 54.3 0.8 2.9 0.4

4-Week 7/27/2021 0.045 3.41 39.4 62.1 9.1 28.9 0.6 3.4 0.4

4-Week 8/3/2021 0.045 3.45 39.3 43.3 9.5 47.2 0.7 3.4 0.4

4-Week 8/10/2021 0.040 3.34 39.3 54.0 5.8 40.1 0.7 3.5 0.4

4-Week 8/17/2021 0.045 3.30 39.3 50.4 6.6 43.0 0.7 3.0 0.4

4-Week 8/24/2021 0.040 3.46 34.4 51.4 5.7 42.8 0.6 3.6 0.3

4-Week 8/31/2021 0.035 3.83 29.3 49.5 9.0 41.5 0.7 3.3 0.3

4-Week 9/7/2021 0.035 3.85 24.3 48.5 8.2 43.3 0.7 3.1 0.2

4-Week 9/14/2021 0.060 4.29 19.3 52.9 9.7 37.5 0.7 2.2 0.2

4-Week 9/21/2021 0.055 3.96 14.3 71.2 10.2 18.6 0.7 2.2 0.1

4-Week 9/28/2021 0.050 4.74 9.2 71.3 7.5 21.3 0.8 1.8 0.1

4-Week 10/5/2021 0.045 4.59 9.2 83.0 11.5 5.5 0.8 1.7 0.1

8-Week 7/6/2021 0.045 4.46 39.7 34.6 16.8 48.6 0.3 3.2 0.7

8-Week 7/13/2021 0.045 4.15 39.8 36.5 6.3 57.2 0.2 3.3 0.7

8-Week 7/20/2021 0.050 3.65 34.8 54.3 7.6 38.2 0.2 2.5 0.6

8-Week 7/27/2021 0.045 4.17 34.8 59.1 10.6 30.3 0.2 3.0 0.6

8-Week 8/3/2021 0.045 3.52 34.8 55.4 9.6 35.0 0.2 2.9 0.6

8-Week 8/10/2021 0.050 3.42 34.8 61.9 8.8 29.3 0.2 3.0 0.6

8-Week 8/17/2021 0.055 3.23 34.8 50.9 11.8 37.3 0.2 2.6 0.6

8-Week 8/24/2021 0.055 3.61 29.7 39.3 2.6 58.1 0.3 3.1 0.5

8-Week 8/31/2021 0.060 3.45 29.7 47.2 7.1 45.8 0.3 3.3 0.6

8-Week 9/7/2021 0.065 3.02 29.7 64.1 5.9 30.0 0.3 3.7 0.6

8-Week 9/14/2021 0.065 3.21 28.8 52.5 8.6 38.9 1.2 3.3 0.6

8-Week 9/21/2021 0.055 3.45 29.7 43.7 7.6 48.6 0.3 4.4 0.6

8-Week 9/28/2021 0.035 3.90 24.9 30.7 2.0 67.3 0.1 4.4 0.5

8-Week 10/5/2021 0.040 3.71 24.8 42.0 1.6 56.4 0.2 4.4 0.5

Bills
43

*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 7/8/2021 0.050 2.92 56.4 45.1 17.7 37.2 0.6 7.2 1.7

13-Week 7/15/2021 0.050 3.05 53.3 58.2 6.0 35.7 0.7 6.6 1.7

13-Week 7/22/2021 0.050 3.44 53.2 49.0 7.9 43.1 0.8 7.2 1.7

13-Week 7/29/2021 0.050 3.37 53.3 33.7 4.7 61.6 0.7 6.7 1.7

13-Week 8/5/2021 0.050 3.03 53.3 44.5 6.7 48.8 0.7 7.6 1.7

13-Week 8/12/2021 0.050 3.16 53.2 40.0 5.5 54.5 0.8 6.1 1.7

13-Week 8/19/2021 0.070 2.59 50.2 43.4 7.9 48.7 0.8 7.1 1.5

13-Week 8/26/2021 0.055 3.30 50.2 28.1 5.5 66.4 0.8 5.6 1.5

13-Week 9/2/2021 0.045 3.78 50.3 30.7 3.9 65.4 0.7 7.4 1.6

13-Week 9/9/2021 0.045 3.84 50.4 36.1 5.3 58.6 0.6 5.1 1.5

13-Week 9/16/2021 0.040 3.55 47.3 39.2 5.6 55.2 0.7 5.3 1.4

13-Week 9/23/2021 0.035 3.74 44.4 29.5 2.9 67.6 0.6 2.0 1.3

13-Week 9/30/2021 0.035 3.36 41.6 44.4 4.9 50.7 0.4 7.2 1.3

26-Week 7/8/2021 0.050 3.59 53.6 33.2 6.3 60.5 0.4 6.9 3.3

26-Week 7/15/2021 0.050 3.74 50.3 32.8 3.0 64.2 0.7 6.2 3.1

26-Week 7/22/2021 0.050 3.50 50.5 48.1 7.7 44.2 0.5 6.8 3.2

26-Week 7/29/2021 0.050 3.18 50.4 49.5 5.2 45.4 0.6 6.4 3.1

26-Week 8/5/2021 0.055 3.25 50.4 35.7 4.5 59.8 0.6 7.2 3.2

26-Week 8/12/2021 0.050 3.59 50.4 36.0 4.1 59.9 0.6 5.8 3.1

26-Week 8/19/2021 0.050 2.87 47.3 45.5 4.6 49.9 0.7 6.7 2.9

26-Week 8/26/2021 0.050 3.02 47.3 41.9 6.8 51.3 0.7 5.3 2.8

26-Week 9/2/2021 0.055 3.16 47.4 46.3 3.9 49.7 0.6 7.0 3.0

26-Week 9/9/2021 0.050 3.79 47.5 31.7 4.8 63.5 0.5 4.8 2.9

26-Week 9/16/2021 0.050 3.78 44.4 36.4 3.7 59.9 0.6 5.0 2.7

26-Week 9/23/2021 0.045 3.62 44.3 39.7 6.8 53.4 0.7 2.0 2.5

26-Week 9/30/2021 0.050 3.24 41.4 46.1 6.1 47.7 0.6 7.2 2.7

Bills (cont.)
44

*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)*

52-Week 7/15/2021 0.075 3.46 33.8 49.6 6.7 43.6 0.2 4.2 4.2

52-Week 8/12/2021 0.080 3.62 33.8 43.5 7.8 48.7 0.2 3.8 4.2

52-Week 9/9/2021 0.075 3.75 32.8 45.2 5.4 49.4 1.2 3.4 4.0

6-Week 7/8/2021 0.045 3.70 40.0 31.0 19.1 49.9 0.0 0.0 0.5

6-Week 7/15/2021 0.045 3.89 35.0 44.9 5.4 49.7 0.0 0.0 0.4

6-Week 7/22/2021 0.045 3.97 35.0 54.2 9.6 36.3 0.0 0.0 0.4

6-Week 7/29/2021 0.040 4.41 20.0 59.3 11.2 29.5 0.0 0.0 0.3

6-Week 8/5/2021 0.040 4.35 20.0 38.8 9.7 51.5 0.0 0.0 0.3

6-Week 8/12/2021 0.040 4.00 20.0 48.7 10.2 41.2 0.0 0.0 0.3

6-Week 8/19/2021 0.040 4.24 20.0 54.3 7.6 38.2 0.0 0.0 0.2

17-Week 7/13/2021 0.050 3.81 35.0 45.7 7.2 47.2 0.0 0.0 1.2

17-Week 7/20/2021 0.050 4.00 30.0 37.8 7.4 54.9 0.0 0.0 1.1

17-Week 7/27/2021 0.050 4.18 30.0 53.0 7.2 39.8 0.0 0.0 1.1

17-Week 8/3/2021 0.050 3.50 30.0 52.7 8.3 39.0 0.0 0.0 1.1

17-Week 8/10/2021 0.050 4.11 30.0 44.8 4.0 51.2 0.0 0.0 1.1

17-Week 8/17/2021 0.045 4.45 30.0 29.0 2.7 68.3 0.0 0.0 1.1

17-Week 8/24/2021 0.045 3.93 30.0 44.2 6.2 49.6 0.0 0.0 1.0

17-Week 8/31/2021 0.050 3.88 30.0 47.0 6.2 46.9 0.0 0.0 1.1

17-Week 9/7/2021 0.045 4.99 30.0 34.4 3.5 62.1 0.0 0.0 1.1

17-Week 9/14/2021 0.045 4.38 30.0 44.5 7.6 47.9 0.0 0.0 1.1

17-Week 9/21/2021 0.045 4.35 30.0 42.3 11.6 46.1 0.0 0.0 1.1

17-Week 9/28/2021 0.035 3.37 30.0 51.5 9.9 38.6 0.0 0.0 1.1

17-Week 10/5/2021 0.050 2.92 30.0 72.9 10.7 16.4 0.0 0.0 1.1

CMB 8/19/2021 0.065 2.72 50.0 41.6 4.4 54.1 0.0 0.0 0.8

CMB 8/26/2021 0.060 2.87 40.0 57.8 8.7 33.6 0.0 0.0 0.8

CMB 9/2/2021 0.040 2.88 45.0 65.4 12.2 22.4 0.0 0.0 0.3

CMB 9/9/2021 0.050 3.39 45.0 61.2 14.1 24.7 0.0 0.0 0.3

Bills (cont.)
45

*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 8/2/2021 0.213 2.47 59.7 26.0 21.3 52.8 0.3 5.7 14.5

2-Year 8/31/2021 0.242 2.65 59.9 18.3 21.2 60.5 0.1 7.5 14.4

2-Year 9/30/2021 0.310 2.28 59.9 33.0 21.7 45.3 0.1 7.2 14.5

3-Year 7/15/2021 0.426 2.41 58.0 28.6 18.3 53.2 0.0 9.5 22.2

3-Year 8/16/2021 0.465 2.54 58.0 26.2 18.4 55.4 0.0 25.9 27.8

3-Year 9/15/2021 0.447 2.45 58.0 24.4 19.0 56.7 0.0 6.2 20.5

5-Year 8/2/2021 0.710 2.36 60.9 24.2 17.7 58.1 0.1 5.8 36.3

5-Year 8/31/2021 0.831 2.35 61.0 19.8 17.5 62.7 0.0 7.7 36.0

5-Year 9/30/2021 0.990 2.37 61.0 25.5 20.2 54.3 0.0 7.3 36.1

7-Year 8/2/2021 1.050 2.23 62.0 22.2 19.4 58.4 0.0 5.9 50.7

7-Year 8/31/2021 1.155 2.34 62.0 20.1 18.9 61.1 0.0 7.8 50.2

7-Year 9/30/2021 1.332 2.24 62.0 19.0 20.9 60.1 0.0 7.5 50.2

10-Year 7/15/2021 1.371 2.39 38.0 19.0 17.5 63.5 0.0 6.3 44.2

10-Year 8/16/2021 1.340 2.65 41.0 9.6 13.1 77.2 0.0 18.3 61.8

10-Year 9/15/2021 1.338 2.59 38.0 12.3 16.6 71.1 0.0 4.0 42.0

20-Year 8/2/2021 1.890 2.33 24.0 20.9 18.9 60.2 0.0 2.3 46.5

20-Year 8/31/2021 1.850 2.44 27.0 19.0 18.7 62.3 0.0 3.4 54.3

20-Year 9/30/2021 1.795 2.36 24.0 16.9 18.9 64.2 0.0 2.9 48.4

30-Year 7/15/2021 2.000 2.19 24.0 22.3 16.6 61.1 0.0 4.0 66.8

30-Year 8/16/2021 2.040 2.21 27.0 18.3 21.0 60.7 0.0 12.0 97.5

30-Year 9/15/2021 1.910 2.49 24.0 13.1 17.2 69.7 0.0 2.6 64.2

2-Year FRN 8/2/2021 0.029 3.04 28.0 27.0 1.1 71.9 0.0 2.7 0.0

2-Year FRN 8/27/2021 0.026 3.17 26.0 29.6 1.3 69.0 0.0 0.0 0.0

2-Year FRN 9/24/2021 0.026 2.84 26.0 42.7 0.0 57.3 0.0 0.0 0.0

Nominal Coupons

Issue Settle Date Stop Out 

Rate (%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add 

Ons" 

($bn)

10-Year 

Equivalent 

($bn)**

10-Year TIPS 7/30/2021 (1.016) 2.50 16.0 14.3 15.5 70.1 0.0 0.0 17.6

10-Year TIPS 9/30/2021 (0.939) 2.55 14.0 12.7 15.8 71.5 0.0 1.7 16.6

30-Year TIPS 8/31/2021 (0.292) 2.34 8.0 12.7 12.4 74.9 0.0 1.0 27.9

TIPS
Primary Dealer Discussion Topic: 

17-Week Cash Management Bill (CMB)

1

 Most primary dealers suggested that Treasury consider promoting the regular 17-week CMB to benchmark status:

 Typical arguments in favor included: 1) that a 17-week bill would enable Treasury to moderate the scale of

future increases to auction sizes for existing bill benchmarks and 2) that the regular 17-week CMB has attracted 

robust investor demand to-date, which would be expected to persist.

 Those opposed generally argued that anticipated bill supply could reasonably be achieved with existing 

benchmarks over the near- to medium-term.

 How large could existing benchmark bill auction sizes become without resulting in significant yield deviations 

from fair value? The median primary dealer response was (in $ billions):

 The median primary dealer response implies that (in $ billions):

 For context, aggregate bill supply totaled $3,714 billion at the end of FY2021.

1-Month 2-Month 3-Month 6-Month 1-Year

Median Primary Dealer Response 77.5 7 0 6 5 6 0 4 0

Max Auction Size Without Causing Significant Yield Deviation from Fair Value

1-Month 2-Month 3-Month 6-Month 1-Year

310 560 845 1,560 520

(77.5 x 4) (70 x 8) (65 x 13) (60 x 26) (40 x 13)

Max Privately-Held Bill Funding

Capacity via Existing Benchmarks

Current SOMA Portfolio Holdings 326

Total Implied Bill Funding

Capacity via Existing Benchmarks 4,121

3,795

Implied Funding Capacity
TIPS Supply

Since January 2021, Treasury has gradually increased TIPS issuance in order to 

stabilize the percent of TIPS to total marketable debt outstanding and, at the 

August quarterly refunding, announced expectations for total gross issuance of 

TIPS to increase by $15 to $20 billion in CY2021. Please discuss what Treasury 

should consider for TIPS issuance in CY2022, in the context of the committee’s 

views on the appropriate level of TIPS supply in the medium and long-term.

November 2021
Executive summary

Valuation considerations

– Ex-post direct cost estimates conclude that the TIPS program has benefited Treasury relative to nominal

securities.

– Ex-ante estimates are more ambiguous. Treasury has regularly issued TIPS at breakeven inflation rates below

survey based measures of longer-term inflation expectations. However, models that adjust for the relative

illiquidity of TIPS suggest that inflation risk premiums are positive, and more recently have risen.

– Some of the factors contributing to higher risk premiums, such as Fed’s tolerance for above target inflation, are

likely to persist.

Demand-side considerations 

– Domestic investment fund demand has been steady and increasing in the past two years. The growth of Target

Date Funds is potentially a growing source of TIPS demand.

– TIPS concentration within foreign portfolios is likely to continue mirroring Treasury issuance patterns,

supporting increased TIPS issuance.

Post-pandemic, the TIPS share of Treasury debt outstanding has fallen. Treasury should 

gradually return the TIPS share towards the pre-pandemic range.

– Longer term target of 8-9% for TIPS as a share of treasuries outstanding signals a continued commitment to

the TIPS program. It also allows for some cushion as TIPS share can drop following recessions.

– Post-pandemic, TIPS share declined to 7.5%, but a steady increase of $10 to $20bn per year starting in 2022

could return the TIPS share towards 8% by the end of 2024 and would be in line with a regular and predictable

issuance pattern.

– We recommend that gross issuance increases be tilted toward the 5yr and 10yr tenors, given consistent

liquidity and demand.

1
Ex-post, TIPS have benefited Treasury relative to nominal securities 

• Based on debt payments to date, the TIPS program has saved Treasury an estimated $17bn relative to nominal

issuance, indicating that Treasury has captured inflation risk premium over time.

2

-10

0

10

20

30

1998199920002001200220032004200520062008200920102011201220132014201520162017201820192021

30yr TIPS: Cumulative Benefit vs. Nominals ($B)

-10

0

10

20

30

1997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021

5yr TIPS: Cumulative Benefit vs. Nominals ($B)

-10

0

10

20

30

1997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021

10yr TIPS: Cumulative Benefit vs. Nominals ($B)

-20

-10

0

10

20

30

40

50

60

1997199819992000200120022004200520062007200820092011201220132014201520162018201920202021

All TIPS: Cumulative Benefit vs. Nominals ($B)

Sources: Treasury, TBAC Calculations. As of September 2021
Ex-ante estimates of the program’s costs are more ambiguous

• Based on various surveys of professional forecasters’ and consumers’ inflation expectations, Treasury has regularly

issued TIPS at a higher ex-ante cost than nominal securities. However, consumer surveys can be biased indicators

of inflation expectations.*

3

Sources: Philadelphia Federal Reserve Bank, Federal Reserve Bank of New York, University of Michigan, Haver

As of September 2021

*For example see: Malmendier et al, Exposure to Grocery Prices and Inflation Expectations, Journal of Political Economy, Volume 129, Number 5, May 2021.

 (2.5)

 (2.0)

 (1.5)

 (1.0)

 (0.5)

 -

 0.5

 1.0

Sep-97 Sep-01 Sep-05 Sep-09 Sep-13 Sep-17 Sep-21

10yr Breakeven less 

SPF Median CPI over the next 10yrs

SPF 10yr Ahead Median Infl Exp

New York Fed 3yr Ahead Median Infl Exp

U of Mich 5 to 10yr Infl Exp

%

>0 → TIPS benefit Treasury

<0 → TIPS cost Treasury 

 (5.0)

 (4.0)

 (3.0)

 (2.0)

 (1.0)

 -

 1.0

Sep-97 Sep-01 Sep-05 Sep-09 Sep-13 Sep-17 Sep-21

5yr Breakeven less 

SPF and New York Fed Inflation Expectation*

SPF 5yr Ahead Median Infl Exp

New York Fed 3yr Ahead Median Infl Exp

U of Mich 5 to 10yr Infl Exp

%

>0 → TIPS benefit Treasury

<0 → TIPS cost Treasury 
Model based measures of TIPS inflation risk and liquidity premiums support 

a continued commitment to the program

• A Federal Reserve Board Staff model estimates that inflation risk premiums have historically been positive. While

they had declined over time, they have increased more recently and are just above zero. The TIPS liquidity

discount to nominal Treasury securities has also recently declined.

4

Sources: D'Amico, Kim, and Wei (2018), "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," updated by Kim, Walsh, and 

Wei (2019), FEDS notes, "Tips from TIPS: Update and Discussions.“. As of September 2021

 (0.40)

 (0.20)

 -

 0.20

 0.40

 0.60

 0.80

 1.00

Sep

'99

Sep

'01

Sep

'03

Sep

'05

Sep

'07

Sep

'09

Sep

'11

Sep

'13

Sep

'15

Sep

'17

Sep

'19

Sep

'21

% Inflation Risk Premium 

 (0.50)

 -

 0.50

 1.00

 1.50

 2.00

Sep

'99

Sep

'01

Sep

'03

Sep

'05

Sep

'07

Sep

'09

Sep

'11

Sep

'13

Sep

'15

Sep

'17

Sep

'19

Sep

'21

% TIPS Relative Liquidity Premium 
Recently TIPS breakevens have risen back to the middle of their historical range

• In 2014, the 5y5y forward TIPS breakeven inflation rate declined by roughly 70bps, but it has more recently moved

back to the middle of its historical range. This has happened amid rising survey-based measures of longer-term

inflation expectations.

5

Sources: Philadelphia Federal Reserve Bank, University of Michigan, Haver. 

As of October 2021

 1.0

 1.5

 2.0

 2.5

 3.0

 3.5

 4.0

Sep '00 Sep '03 Sep '06 Sep '09 Sep '12 Sep '15 Sep '18 Sep '21

% Long-Term Inflation Expectations from Surveys 

vs 5y5y TIPS Breakeven 

U of Mich Mean

Livingston

Survey of Professional Forecasters

Fed 5y5y

 1.2

 1.4

 1.6

 1.8

 2.0

 2.2

 2.4

 2.6

 2.8

 3.0

 3.2

Oct '00 Oct '03 Oct '06 Oct '09 Oct '12 Oct '15 Oct '18 Oct '21

5y5y Forward TIPS Breakeven

5y5y BEI Mean 25% Pct (5y5y BEI) 75% Pct (5y5y BEI)

%
Market based measures of TIPS liquidity have been relatively steady, while 

volumes have steadily improved

• Inflation “iota” spreads – a market-based measure of TIPS relative liquidity – suggest that TIPS liquidity has been

relatively steady since the 2008 financial crisis, and has remained within a roughly 20-30bp range.

• TIPS transactions have generally increased as a percentage of nominal transactions, although more recently have

moderated somewhat.

• In the past, Federal Reserve asset programs have had only a limited discernable impact on these measures.

6

*Inflation iota spreads are defined as the spread between zero coupon inflation swaps, and constant maturity TIPS breakeven inflation rates calculated from a

par yield curve.

Source: Bloomberg, Haver, Federal Reserve Bank of New York. As of September 2021

0

1

2

3

4

5

6

7

Sep '05 Sep '07 Sep '09 Sep '11 Sep '13 Sep '15 Sep '17 Sep '19 Sep '21

TIPS as a % of Nominal Transaction Volumes

 (0.1)

 -

 0.1

 0.2

 0.3

 0.4

 0.5

 0.6

 0.7

 0.8

 0.9

Sep-05 Sep-07 Sep-09 Sep-11 Sep-13 Sep-15 Sep-17 Sep-19 Sep-21

Inflation Market "Iota" Spreads

(Market Measure of TIPS Relative Liquidity)

10yr Iota

%
Inflation risk premiums have risen in the current uncertain environment 

7

Sources: University of Michigan, Board of Governors, Haver

As of September 2021

1.5

2

2.5

3

3.5

4

 1.0

 1.5

 2.0

 2.5

 3.0

 3.5

Sep '97 Sep '01 Sep '05 Sep '09 Sep '13 Sep '17 Sep '21

5y5y Forward TIPS Breakeven

vs Forecast Dispersion

5y5y TIPS Breakeven U of Mich Forecast Dispersion

% %

 -

 1.0

 2.0

 3.0

 4.0

 5.0

 6.0

Sep '97 Sep '01 Sep '05 Sep '09 Sep '13 Sep '17 Sep '21

% Longer-term Inflation Forecast Dispersion 

U of Mich Mean 75 Percentile U of Mich Mean 25 Percentile

• Inflation forecast dispersion, a measure of inflation risks, has increased along with TIPS breakevens. According to

the University of Michigan survey the 75th percentile expectation has risen over 1ppt.
...And some of the factors that have contributed to the increase are likely to 

persist

• Recent changes to the Fed’s monetary policy strategy and the central bank’s tolerance for above target inflation

argue for persistently higher inflation risk premiums.

• The recent period of elevated realized inflation has likely buoyed investors’ perceptions of upside inflation risks.

Although we expect realized inflation to moderate, the Fed’s new-found inflation tolerance suggest that average

realized inflation in the next several years is still likely to be higher than what was realized before the pandemic.

• Additional fiscal policy expansion should also support growth, inflation and inflation expectations. Trends toward

supply chain diversification and greater environmental protection policies should also support prices, although

manufacturing innovation could offset the price effects of these trends over time.

8
Demand considerations – strong domestic investment fund demand

• Assets in TIPS Investment Funds have grown steadily over the years, and more rapidly over the past year. Short

dated TIPS have seen more demand through funds that are dedicated to low duration strategies, in addition to

demand from broad TIPS funds.

• The growth of Target Date Funds (TDFs) has also added to TIPS demand, with an estimated 2% allocation to TIPS.

TDFs are currently under invested in TIPS. The recent bout of elevated inflation underscored the inflation risks of

near-retirement target date funds, in particular, which hold a higher percentage of their portfolios in fixed income

securities.

9

* Only includes funds/ETFs tracked by Morningstar. Short-Dated TIPS include funds/ETFs that focus on <=5yr maturity TIPS.

Sources: Morningstar

As of August 2021

3,049 

 0

 1

 10

 100

 1,000

 10,000

Aug '97 Aug '00 Aug '03 Aug '06 Aug '09 Aug '12 Aug '15 Aug '18 Aug '21

Target Date Funds Asset Under Management 

($B, log scale)*

 -

 50

 100

 150

 200

 250

 300

Aug '97 Aug '00 Aug '03 Aug '06 Aug '09 Aug '12 Aug '15 Aug '18 Aug '21

TIPS Asset Under Management ($B)*

Broad TIPS

Short-dated TIPS
TIPS auction data also shows strong domestic investment fund demand

• The rise of domestic investment funds’ demand is also evident in TIPS auction participation statistics. Investment

Funds’ participation has increased steadily to over 70%, taking shares from dealers.

10

Sources: US Treasury. As of September 2021 

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2011 2013 2015 2017 2019 2021

All TIPS Auction Participation (3-auction moving avg)

Dealers and brokers

Investment funds

Foreign and international

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2009 2011 2013 2015 2017 2019 2021

5yr TIPS Auction Participation (3-auction moving avg)

Dealers and brokers

Investment funds

Foreign and international

0%

20%

40%

60%

80%

100%

2009 2011 2013 2015 2017 2019 2021

10yr TIPS Auction Participation (3-auction moving avg)

Dealers and brokers

Investment funds

Foreign and international

0%

20%

40%

60%

80%

100%

2011 2013 2015 2017 2019 2021

30yr TIPS Auction Participation (3-auction moving avg)

Dealers and brokers

Investment funds

Foreign and international
Foreign portfolio concentration of TIPS follows Treasury issuance pattern 

• In recent years, foreign holdings of TIPS have generally followed Treasury issuance pattern. Indeed, as Treasury

increased the TIPS share of Treasuries outstanding from 2010 to 2017, foreign investors also increased their

portfolio concentration of TIPS, in aggregate. Similarly, these portfolios mirrored the pandemic related fall in the

TIPS share in 2020.

• Looking ahead, we expect this pattern to persist, and for foreign holders to increase their portfolio concentration

as Treasury normalizes the TIPS share. This should support demand for the increased issuance sizes.

11

Sources: US Treasury Annual TIC data on Long-Term Treasury holdings of foreign investors. As of YE 2020

6

6.5

7

7.5

8

8.5

9

9.5

0

2

4

6

8

10

12

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Foreign Holdings of TIPS 

Foreign Holdings of TIPS, % of TSY Holdings (lhs) TIPS % of TSY Outstanding (rhs)
Other considerations - global inflation linked issuance

12

* Inflation-uplifted notional.

Sources: Bloomberg

As of September 2021

Country ILB Market Size ($B)* Total debt Outstanding ($B) ILB as % of Total 

Debt

US 1,652 21,961 7.5%

UK 668 2,772 24.1%

France 239 2,808 8.5%

Italy 174 2,636 6.6%

Germany 87 2,384 3.6%

Japan 99 10,463 0.9%

Spain 70 1,397 5.0%

Canada 50 1,222 4.1%

Australia 31 627 4.9%

Sweden 20 127 15.7%

New Zealand 15 108 13.9%

Total 3,105 46,505 6.7%

Total(ex-Japan) 3,006 36,042 8.3%

• Inflation indexed debt makes up a meaningful portion of the debt stock for a number of sovereign issuers.

• U.K. stands out at 24% Inflation Linked Debt as a percentage of Total Government Debt as many U.K. defined

benefit pension liabilities have embedded inflation indexation and form a persistent demand base.

• Japan is on the lower end at <1%, most likely attributable to the issuance pause from 2008-2013, persistently low

inflation and large total debt.

• Outside of U.K. and Japan, range for Inflation Linked Debt for other countries is between ~4% to ~15% with U.S.

near the middle of that range.
Other considerations – comparing changes in TIPS issuance vs changes in 

nominal coupon issuance

• Changes in TIPS issuance have tended to be more gradual than changes in nominal coupon issuance.

• Since 2006, Quarterly TIPS issuance changes have averaged around $20-$25bn. This compares to $225bn for

nominal coupon Treasuries. The maximum net issuance in any given quarter was $56bn for TIPS (4Q2020), whereas

the maximum issuance for coupons was $680bn.

13

Sources: Treasury, TBAC Calculations.

As of September 2021

0

2

4

6

8

10

12

14

16

18

-60 -50 -40 -30 -20 -10 0 10 20 30 40 50 60

Frequency

Quarterly Net Issuance Changes ($bns)

Closer look at distribution of Quarterly TIPS 

Net Issuance Changes , 2006-Today

0

10

20

30

40

50

60

-800 -500 -200 0 200 500 800

Frequency

Quarterly Net Issuance Changes ($bns)

Distribution of Quarterly Treasury Net 

Issuance Changes 2006-Today

Coupons TIPS

TIPS issuance 

changes smaller,

more gradual
TIPS as a percentage of outstanding Treasuries has dropped

14

6.00%

6.50%

7.00%

7.50%

8.00%

8.50%

9.00%

9.50%

10.00%

10.50%

11.00%

Sep '06 Sep '09 Sep '12 Sep '15 Sep '18 Sep '21

TIPS Outstanding as a Percent of Marketable Debt Outstanding

• In 2010, Treasury re-affirmed its commitment to the TIPS program and gradually increased the TIPS share of

outstanding Treasuries to ~8-9%. Post-pandemic, TIPS share has dropped to 7.5%.

• Recognizing that TIPS share will drop during most recessions as a result of the necessary increases in nominal

issuance, Treasury should prioritize returning the TIPS share back to the long-term target during normal times, so

the share doesn’t continue to decline over time.

Sources: Treasury, TBAC Calculations. 

As of September 2021
TIPS as a percentage of outstanding Treasuries projections

15

• A steady increase in TIPS issuance starting in 2022 could bring TIPS share of outstanding debt towards 8% by

year-end 2024 and would be in line with the gradual increase witnessed after the Global Financial Crisis (GFC).

From 2011-2014 Treasury increased the TIPS share around 0.4ppt per year.

• A more aggressive increase would restore the percentage sooner, but would also raise annual net supply

significantly and could be disruptive to the market.

Projection scenarios: Projections are based on CBO deficit forecasts, Treasury’s recent guidance and TBAC projection of coupon issuance in the future. 

Without any increase in TIPS issuance, the TIPS share eventually starts to fall as mandatory spending and deficits grow. TIPS principal accretion is projected to 

grow at 2.5% per year. 

6.0%

6.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%

10.0%

10.5%

Mar '18

Jul '18

Nov '18

Mar '19

Jul '19

Nov '19

Mar '20

Jul '20

Nov '20

Mar '21

Jul '21

Nov '21

Mar '22

Jul '22

Nov '22

Mar '23

Jul '23

Nov '23

Mar '24

Jul '24

Nov '24

Mar '25

Jul '25

Nov '25

Mar '26

Jul '26

Nov '26

Mar '27

Jul '27

Nov '27

Projected TIPS Outstanding as a Percent of Marketable Debt Outstanding

Act No Increase 12bn inc / year 22bn inc /year 44bn inc / year
TBAC recommendation for consideration

• As shown through projections of TIPS outstanding earlier, a steady increase of TIPS issuance is needed to allow for

TIPS share of Treasuries outstanding to reach 8-9%.

• An increase of $10-$20bn per year starting in 2022 could return the TIPS share towards 8% by the end of 2024.

• Note that dealer consensus expectation for 2022 gross issuance is $177bn (a continuation of current pace, and

+$5bn vs 2021). Current valuation, risk premium, liquidity and demand considerations support a steady increase

for 2022. Future increases for 2023 and beyond should continue to be re-evaluated as those considerations can

change over time.

• Charts below use the upper-end of the recommended range ($22bn) to illustrate the potential impact on issuance

sizes and net supply.

16

Sources: Treasury, Federal Reserve, Barclays Capital, TBAC Calculations

Scenario illustration 

2022 TIPS issuance 5yr 10yr 30yr Total

January 17 17 

February 10 10 

March 15 15 

April 20 20 

May 15 15 

June 18 18 

July 18 18 

August 9 9 

September 16 16 

October 21 21 

November 16 16 

December 19 19 

Total 2022 78 97 19 194

Total 2021 70 85 17 172

Increase 2021 to 2022 8 12 2 22

* Uses projected TIPS issuance growing at 22bn per year through 2024.

$38 $41 

$79 $94 $97 

$80 $87

$44 $48 $39

$56 

$(141)

$(19)

$60 

$81 $89

-200

-150

-100

-50

0

50

100

150

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024

Estimated TIPS Net Supply (after Fed Purchases, $B)*
Additional consideration – issuance pattern

• As Treasury increases TIPS issuance further, it is also worth considering additional studies regarding

issuance pattern.

• More frequent issuance could help enhance TIPS liquidity and potentially reduce concessions going into auctions.

More evenly distributed issuance calendar also allows for future increases of auction sizes.

• For example, increasing 5yr auctions to 6 times per year, and 30yr auctions to 4 times per year could spread out

issuances more evenly especially if auction sizes grow further. Although that would also require additional auction

slots in certain months.

• Further studies are needed to determine the optimal issuance pattern if TIPS issuance grows.

17
Conclusions

• Post-pandemic, as issuance of nominal securities surged, the share of TIPS in outstanding debt declined notably.

A steady increase of $10-$20bn per year in TIPS gross issuance is recommended to gradually normalize the TIPS

share of outstanding debt.

• Such an increase would be (1) in line with previous TIPS issuance changes which have tended to be smaller than

changes in coupon issuance, (2) consistent with Treasury’s regular and predictable objective and (3) likely well

absorbed by the market given the demand factors discussed in the presentation.

• Even with such an increase, it will take a while for TIPS share to get back to target range.

• Since TIPS share tends to drop during recessions Treasury should target gradual increases during nonrecessionary times. Overtime, maintaining TIPS share at 8-9% will support the market’s perception of Treasury’s

commitment to the program while allowing Treasury to capture the cost benefits of the product.

• A 2018 TBAC study of the ALM benefits to Treasury of issuing TIPS suggests that under most economic scenarios

for growth and inflation, Treasury benefits by issuing TIPS.

• Continued monitoring of TIPS sectors is warranted to reaffirm future adjustments to auction sizes and the longerterm issuance targets, as various factors could change over time.

• As TIPS issuance increases, calendar adjustments may be warranted to promote liquidity and consistency of

issuance.

18
TBAC Charge

November 2021 Treasury 

Refunding Meeting
TBAC Charge: T-bills Supply

In November 2020, the Committee recommended that Treasury, over the

medium to longer term, strive to maintain T-bills in a range of 15 to 20 percent of

outstanding debt. How should Treasury consider this recommended range

within the context of future adjustments to coupon auction sizes and the evolving

fiscal outlook, including in the short-term? What other metrics could

complement Treasury's understanding of the appropriate size of the bill market?

2
Outline and Executive Summary

• T-bill Supply on the Current Path of Issuance in the Short-Term

– Given TBAC’s previous recommendation for coupon cuts, we consider how T-bills as a % of debt would evolve under a 

range of fiscal outcomes highlighting sensitivity to both coupon cuts and infrastructure.

– If there are no coupon cuts, T-bills will fall below 15% of total debt stock before the end of 2022 and continue to fall further

by the end of 2023.

– Even with sizeable coupon cuts, T-bills as a percentage of outstanding stock is likely to dip below the 15-20% range in an 

effort to maintain stable and predictable coupon issuance.

• Determining the Appropriate T-bill Share over the Intermediate Term

– Holdings of T-bills are increasingly concentrated in MMFs, though foreign investors still make up 25% of the market.

– As T-bill supply has been declining, usage of RRP has increased indicating MMFs have no better alternatives for their 

investments given agency debt supply and CP supply are also low versus history.

– Pricing indicates that T-bills are modestly rich to other parts of the curve, though this richness may be understated given 

RRP usage alleviates price dislocations. T-bills are not particularly rich to other front-end substitutes, but again, this is 

more due to the fact that supply of other front-end assets is also limited.

– As a result, it seems that the market can easily digest a larger fraction of outstanding debt stock in T-bills, at least based 

on experience in recent years. As such, 15-20% may modestly undershoot what the market can absorb. 

– Market changes including balance sheet normalization and MMF reform should be considered as they could impact 

demand for T-bills. 

• Conclusion

– There is flexibility in the TBAC’s recommended range for T-Bills to either fall below 15% of outstanding stock (in which 

case excess cash will likely get absorbed by the RRP facility) or for T-bills to rise modestly above 20% while still 

maintaining financing flexibility for Treasury. 

3
T-bill Supply on the Current Path of Issuance in the Short-Term

We consider several issuance scenarios to address the first part of the charge:

How should Treasury consider this recommended range within the context of

future adjustments to coupon auction sizes and the evolving fiscal outlook,

including in the short-term?

Conclusion: Even if coupon cuts are introduced in November, T-bills as a % of

UST debt outstanding would likely fall below 15%. Coupon cuts would need to

occur over the next several quarters in order to maintain T-bills in the 15-20%

range. Given this 15-20% target is an intermediate-term objective, it is

acceptable to move towards the lower edge of the range insofar as doing so

helps to maintain stable and predictable coupon issuance.

4
• We consider three scenarios: (1) there are no coupon cuts, (2) there are coupon cuts only in 

November consistent with the TBAC sizes indicated in August refunding, and (3) there are cuts 

in into the 3rd quarter of 2022.

• If there are no coupon cuts and CBO deficit estimates are realized, T-bills will be below the 

recommended 15-20% range both at the end of 2022 and 2023. Even if there are coupon cuts 

in November, T-bills will be at 15% by the end of 2022 and below 15% by the end of 2023 if (1) 

CBO deficits are realized and (2) the TGA was raised to $800bn before YE2022 and remains 

stable. 

T-bills as a % of total UST debt outstanding, YE2022 T-bills as a % of total UST debt outstanding, YE2023

Source: US Treasury, CBO

T-bill Supply on the Current Path of Issuance in the Short-Term

5
• Using the same three scenarios, we model out how T-bills as a % of outstanding debt and UST 

WAM would evolve. 

• Only under a scenario in which there are sizeable coupon cuts for the next several quarters will 

T-bills as a % of debt be stable within the recommended 15-20% range. In this case, UST WAM 

remains stable at just under 6 years.

• If there are no coupon cuts or only coupon cuts in November, T-bills will fall sharply below the 

recommended 15-20% range and UST WAM will grow to 6.5-7 years by the end of 2023. 

T-bills as a % of total UST debt outstanding UST WAM in various issuance scenarios

Source: US Treasury, CBO

T-bill Supply on the Current Path of Issuance

6

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5

Apr-08 Jun-13 Aug-18 Oct-23 Dec-28

Overall UST WAM

Coupon Cuts into 3Q22 Issuance Scenario

No Coupon Cut Scenario

November Cuts Only

Years
Determining the Appropriate T-bill Share over the Intermediate 

Term

Next, we turn to the second part of the charge, which focuses on T-bill supply in

the longer run:

What other metrics could complement Treasury's understanding of the

appropriate size of the bill market?

Conclusion: Given there is (1) an increasing amount of demand for T-bills

coming from MMFs coupled with (2) an excess amount of cash sitting in the

RRP waiting to earn yields greater than 5bp and (3) lack of other front-end

assets, the share of T-bills in outstanding debt could likely increase above 20%

without dislocating the T-bill market.

7
Supply in the T-bills Market • On the supply side, T-bills outstanding has fallen notably over the course of 2021 after rising rapidly in 2020. As a % of total

outstanding debt, T-bills currently take up around 17%, right within the 15-20% recommended range. Presently, T-bills as a % of 

UST debt ex SOMA is slightly higher at just over 20%. 

• Part of the decline in T-bills in 2021 has been constraints driven by the debt ceiling. Treasury had to pay down T-bills in order to 

avoid exceeding the debt limit imposed on August 1, 2021. This debt limit was increased by $480bn, but until there is a more 

long-lasting solution to the debt ceiling, T-bill supply is likely to be constrained by this debt limit once again in late 

November/December. 

• T-bills as a % of UST debt is essentially back to pre-COVID levels, whereas T-bills as a % of UST debt ex SOMA is still 

elevated compared to pre-COVID levels. This discrepancy can be explained by the fact that from September 2019 – March 

2020, the Fed had been buying T-bills and reducing the stock of privately held T-bills relative to other UST securities. However, 

since Fed LSAPs began in March 2020, the reverse has been true, and the Fed is reducing the stock of non-T-bill privately held 

UST securities relative to that of T-bills.

Source: US Treasury, Federal Reserve, Bloomberg

5%

10%

15%

20%

25%

30%

35%

40%

Apr-96 May-01 Jun-06 Jul-11 Aug-16 Sep-21

T-bills as % of Outstanding Marketable UST Debt

T-bills as % of Outstanding Marketable UST Debt

ex SOMA

%

0%

5%

10%

15%

20%

25%

30%

Jan-07 Sep-10 May-14 Jan-18 Sep-21

T-bills as % of GDP (rhs)

T-bills ex SOMA as % of GDP

%

T-bills as a % of outstanding debt has fallen in 2021 T-bills as a % of GDP is still above longer-run averages of 

~10%, but is falling rapidly 

8
Demand Structure in the T-bills Market 

• Foreign investment and MMFs continue to make up over 60% of T-bill ownership. 

• However, over the last several years, and particularly in early 2020, MMFs have become a 

more dominant owner of T-bills. MMF ownership now exceeds 35% of the total market, 

whereas foreign holders have fallen to just under 25%.

• In auctions, investment funds (including MMFs) represent a growing portion of T-bill takedowns. 

This increase in takedowns from MMFs has eroded broker/dealer and foreign share. However, 

dealers still take down roughly half of new issues.

Ownership of T-bills is dominated by MMFs

0%

20%

40%

60%

80%

100%

Sep-11 Sep-14 Sep-17 Sep-20

Other

Foreign and international

Investment funds (incl. MMFs)

Dealers and brokers

Investment Funds (incl. MMFs) are an increasing proportion of 

auction takedown of T-bills

Source: US Treasury, Federal Reserve 9
Zooming in on MMF Demand • Though MMFs have become increasingly large players in the T-bills market, their holdings of UST securities 

as a % of MMF AUM has actually declined. This decline in UST holdings as a % of AUM is likely because:

– Overall MMF AUM has grown substantially in the last year alongside Fed’s LSAP. Most of this AUM growth has been experienced by Government 

MMFs, which now represent nearly 90% of the MMF industry. 

– The debt ceiling has recently constrained T-bill supply. Once there is a more long-lasting solution to the debt ceiling and the Treasury can resume 

normal T-bill issuance, some of this decline in UST holdings as a percentage of MMF AUM will naturally reverse. 

• This growth in Government MMFs is coming from (1) banks encouraging large clients to deposit with MMFs 

instead of the bank directly and (2) continued transition of Prime MMFs into Government MMFs.

• UST debt holdings as a percentage of MMF AUM have declined though MMFs represent a growing portion of 

T-bill holdings. This suggests that the market could absorb more supply.

Repo holdings as a % of Government MMF AUM is at multiyear highs

Overall MMF AUM growing, but driven by growth in 

Government MMF

Source: US Treasury, Federal Reserve, Crane Data, ICI 10

1500

2000

2500

3000

3500

4000

4500

5000

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jan-07 Sep-10 May-14 Jan-18 Sep-21

Government MMF as % of Total MMF AUM

Total MMF AUM (rhs)

% $bn

0%

10%

20%

30%

40%

50%

60%

70%

May-17 Jun-18 Jul-19 Aug-20 Sep-21

Repo as a % of Government MMF AUM

UST Debt as a % of Government MMF AUM
Zooming in on MMF Demand

• Not only have Government MMFs been increasing holdings of UST debt and repo, but Prime 

MMFs have as well. Holdings of UST and repo are increasing both in dollar amounts and as a 

% of overall Prime MMF AUM.

• Total T-bills outstanding ex SOMA as a % of MMF AUM has been declining.

• These patterns suggest that T-bill supply may not be large enough to keep pace with the 

potential demand for T-bills from MMFs. 

Prime MMF holdings of UST debt and repo increasing T-bills relative to overall MMF AUM is nearly back to preCOVID levels

Source: US Treasury, Federal Reserve, Crane Data, ICI

50

100

150

200

250

300

350

400

450

500

550

10%

15%

20%

25%

30%

35%

40%

45%

50%

Apr-17 May-18 Jun-19 Jul-20 Aug-21

Repo and UST Debt as a % of Prime MMF AUM

Prime MMF Repo and UST Debt Holdings ($bn)

%

5%

25%

45%

65%

85%

105%

125%

145%

Jan-07 Sep-10 May-14 Jan-18 Sep-21

T-bills + FRNs (ex SOMA) as % of MMF AUM

T-bills (ex SOMA) as % of MMF AUM

%

11
Considering RRP’s Role in the Front-End

• Increased usage in the RRP facility indicates that there is excess cash sitting in the front-end as 

MMFs wait to earn market yields higher than 5bp. This growth in the RRP really began in March 

2021, when large T-bill paydowns began. While tracking cash can be difficult, it is reasonable to 

assume that a lot of the cash generated from T-bill paydowns in 2021 has been invested in the 

RRP.

• As a result, the amount of RRP done with the Fed compared to overall MMF repo holdings has 

grown to nearly 80%. Even though the counterparty size limitations are conducive to large 

usage, it is unlikely the Fed wants to play such a central role in MMF functioning in the long-run.

RRP usage has been steadily growing as T-bills have been 

paid down through 2021 Nearly 80% of all MMF repo is RRP done with the Fed

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Feb-21 Apr-21 Jun-21 Aug-21

RRP FICC Cleared Other

Source: US Treasury, Federal Reserve, Crane Data 12
T-bill Valuations Relative to Other Parts of the UST Curve

• As a result of the shifting supply/demand dynamics, T-bills have richened modestly versus other 

points of the curve YTD.

• On a historical basis, T-bills are not trading particularly rich compared to other points on the 

curve.

• However, large availability of repo via the RRP is likely limiting demand for T-bills <5bps and 

thus understating richness of T-bills relative to other parts of the curve.

-40

-30

-20

-10

0

10

20

30

40

50

60

70

Oct-11 Oct-13 Oct-15 Oct-17 Oct-19

3m T-bill - OIS 1y T-bill - OIS

5y UST - OIS 10y UST - OIS

bp

UST – OIS at various points on the curve, 10y history Spread of 3m T-bills – OIS vs other points on the UST curve, 

10y history

Source: US Treasury, Federal Reserve, Bloomberg 13
T-bill Valuations Relative to Other Front-End Substitutes

• Compared to other front-end substitutes, T-bills have been trading fairly in line.

• It is hard for T-bills to richen more from here given MMFs would rather earn 5bp placing their 

cash at the RRP facility.

• Other front-end assets, such as CP and agency debt, remain rich given a lack of supply. For 

example, non-financials corporates have become the largest owners of CP, whereas they used 

to be net issuers of CP. This is a result of increased cash that corporates have on hand.

T-bills aren’t necessarily trading rich to 

other front-end assets

Supply of overall CP is roughly flat to 

pre-COVID levels, whereas supply of 

Non-Fin CP has declined

-10

0

10

20

30

40

Oct-20 Jan-21 Apr-21 Jul-21

3m AA Fin CP - 3m T-bill

3m DN - 3m T-bill

3m A2 Non-Fin CP - 3m T-bill

bp

Source: US Treasury, Federal Reserve, Bloomberg, Fannie Mae, Freddie Mac, FFCB, FHLB

0

200

400

600

800

1,000

1,200

1,400

Sep-19 Apr-20 Nov-20 Jun-21

Total CP Outstanding

Total Non-Fin CP Outstanding

Total Fin CP Outstanding

$bn

Supply of agency DNs has declined to 

$250bn from over $700bn in March 2020 

0

100

200

300

400

500

600

700

800

Aug-15 Aug-17 Aug-19

FN FHLMC FHLB FFCB

$bn

14
Other Considerations: 

Does Flow of Issuance Matter in Addition to Stock?

• In 2020, T-bills were able to grow by nearly $3tn without any substantial dislocation of the T-bills market. The 

most cheapening seen was in April 2020 when the pacing of T-bill issuance far outweighed the speed at 

which new MMF AUM was created. There was nearly $1.5tn new T-bills issued that month alone. Yet, T-bills 

cheapened only 7bp relative to OIS.

• However, in other instances, T-bill issuance picking up led to substantial cheapening of T-bills vs OIS. For 

example, in late 2017 to early 2018, an increase in T-bill issuance, albeit smaller than in 2020, led to almost 

20bp of cheapening over the course of several months. 

• So, perhaps it is worth considering if not only stock of T-bill outstanding, but also flow of issuance matters for 

T-bill sizing. As with overall stock of T-bills, as the supply of broad money grows and the deficit continues to 

grow over time, the amount the market can absorb in any given month is likely not a static number either.

15 Source: US Treasury, Federal Reserve, Bloomberg

T-bills cheapen in late 2017-early 2018 amidst larger issuance T-bill cheapening was more muted in 2020

-20

-15

-10

-5

0

5

-150

-100

-50

0

50

100

150

200

250

Jun-17 Nov-17 Apr-18

Monthly T-bill Issuance 3m T-bill - OIS

$bn

-2

-1

0

1

2

3

4

5

6

7

8

-200

0

200

400

600

800

1,000

1,200

1,400

1,600

Jan-20 May-20 Sep-20

Monthly T-bill Issuance 3m T-bill - OIS

$bn
Other Considerations: 

Does the Fed Balance Sheet Matter for T-bill Sizing?

• While the Fed and Treasury are independent entities, the balance sheet policy the Fed employs 

could have implications for the right amount of T-bills that the Treasury should issue.

• While the Fed is expanding their balance sheet, this is often initially met with an increase in 

MMF AUM. This also tends to coincide with a fiscal impulse which leads to more T-bill 

issuance, so T-bills are readily absorbed by the growth in MMF AUM. After the recovery takes 

foot, MMF AUM growth tends to taper off, even if balance sheet keeps increasing, as investors 

put cash to work in other risk assets. 

Early stages of balance sheet growth tend to coincide with 

growth in MMF AUM

• But is the converse true when the Fed is 

shrinking their balance sheet? In 2018-

2019, MMF AUM grew despite a shrinking 

Fed balance sheet. 

• It is difficult to quantify the impact on T-bills 

as on one hand, (1) a shrinking balance 

sheet means fewer reserves which in 

theory means less cash available to absorb 

T-bill supply, but (2) the portfolio balance 

channel effect of LSAPs tends to have a 

larger impact on rates further out the 

curve, which could lead to further 

cheapening of coupons relative to T-bills. 

Source: US Treasury, Federal Reserve, Bloomberg 16
Other Considerations:

Should FRNs be Included in this Metric?

• Rather than looking at T-bills as a % of UST debt, should TBAC consider T-bills + FRNs as a % 

of UST debt? FRNs make up a small portion of UST debt outstanding, roughly 4% currently, so 

this shift doesn’t make a massive difference presently. 

• Given their similar demand base, it may be worthwhile considering the two in conjunction with 

one another. This may be especially true should the Treasury pursue issuance of a SOFR FRN.

• Right now, T-bill + FRNs take up around 20% share of total marketable debt and just under 

25% ex SOMA. Given the Fed has not been purchasing T-bills or FRNs under LSAPs, the 

spread between T-bill + FRN share of total outstanding debt and that of outstanding debt ex 

SOMA has been driven wider.

Source: US Treasury, Federal Reserve 17

5%

10%

15%

20%

25%

30%

35%

Oct-13 Jun-17 Feb-21

T-bills + FRNs as % of Outstanding Marketable UST Debt ex SOMA

T-bills as % of Outstanding Marketable UST Debt ex SOMA

%
Other Considerations:

Financial Stability and MMF Reform

• In prior TBAC charges, as well as academic research*, it has been suggested that increased 

supply of public sector short-term, liquid assets may reduce attractiveness of other short-term 

liabilities, namely those of the private sector. This could help to enhance stability in the financial 

system.

– It is also worth considering whether banks have a preference for T-bills vs other UST securities. Though the two forms of 

HQLA are treated similarly under capital requirements, the difference in maturity could have different implications for 

internal liquidity metrics. The decision on what proportion of T-bills to hold vs coupons is also not likely the same bank to 

bank, but pinpointing individual bank’s preferences can be difficult. 

• Given the large outflows that the Prime MMFs experienced in March 2020, there are ongoing 

discussions regarding future MMF reform. Many of the proposals considered in the President’s 

Working Group Report** from December 2020 are likely to lead to further outflows from Prime 

MMFs and into Government MMFs. In this case, on margin, there would likely be even more 

demand for T-bills given Prime MMFs invest in a broader universe of front-end assets 

compared to Government MMFs. 

Source:

TBAC Charge, November 2017

* “The Demand for Short-Term, Safe Assets and Financial Stability” by Carlson, Duygan-Bump, Natalucci, Nelson, Ochoa, Stein, and den Heuvela

**“Report of the President’s Working Group on Financial Markets Overview of Recent Events and Potential Reform Options for Money Market Funds”, 

President’s Working Group 18
Conclusion

• In the short-run, even if coupon cuts are introduced in November, T-bills as a % of UST debt 

outstanding would likely fall below 15%. Coupon cuts would need to occur over the next several 

quarters in order to maintain T-bills in the 15-20% range. Given this 15-20% target is an 

intermediate-term objective, it is acceptable to move towards the lower edge of the range to 

help maintain stable and predictable coupon issuance. 

• Given there is (1) increasing demand for T-bills from MMFs coupled with (2) a large amount of 

cash at the RRP earning 5bps and (3) a lack of other front-end assets, there is likely scope for 

T-bill issuance to increase above 20% without creating pressure on T-bill valuations.

• As such, there is flexibility in the TBAC’s recommended range for T-bills to either fall below 15% 

of outstanding stock in which case excess cash will likely get absorbed by the RRP facility or for 

T-bills to rise modestly above 20% while still maintaining financing flexibility for the Treasury.

19