Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2022 Q4 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.43-55

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

Executive Summary

3
Receipts and Outlays for FY2022

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

*These borrowing estimates are based upon current law. The end-of-December and end-of-March cash balances assume enactment of

a debt limit suspension or increase. While the debt limit is not currently binding, Treasury’s cash balance may be lower than assumed

depending on several factors, including constraints related to the debt limit.

Projected Net 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 monetary policy, the 

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

Latest Market Expectations For Treasury Financing In November:

• Primary dealers largely expect Treasury to leave nominal coupons auction sizes unchanged at the November refunding despite all dealers having 

increased their estimates for privately-held marketable borrowing needs in November relative to their August estimates. 

• Given the forecasted funding gap over FY2023 and beyond, all dealers noted that because bills as a percentage of debt outstanding was near the 15 

percent lower bound of the TBAC recommended range, there was ample room to increase bill issuance further in order to address near term 

funding needs.

• Dealers were evenly split on whether Treasury should consider increases to TIPS issuance by $1 billion for the 10-year TIPS new issues in January 

2023.

Highlights of Treasury’s November 2022 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4

Treasury OFP Near Term Fiscal 

Projections

Net Privately Held Marketable 

Borrowing ($ billion)

Assumed End-of-Quarter 

Cash Balance ($ billion)

Q1 FY2023 550 700 (Dec)

Q2 FY2023 578 500 (Mar)

Fiscal 

Year 

Primary Dealers Median October 

2022 ($ billion)

OMB “Mid-Session Review" 

August 2022 ($ billion)

CBO “Analysis of President Budget 

FY23” September 2022 ($ billion)

2023 1,765 2,087 1,678 

2024 1,433 1,722 1,250 

2025 1,402 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 for FY2022 4,896 +850 +21% 19.6% +1.7%

Total Outlays for FY2022 6,210 -612 -9.0% 25.1% -5.0%
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. 

Notable Receipt Category

Change from 

FY21 to FY22 

($ billion)

Change from 

FY21 to FY22 

(%) Comments

Withheld & FICA taxes +$382 +14% Reflecting rising wages and employment

Non-withheld and SECA taxes +$329 +37%

Buoyed by large final payment of 2021 tax liability in April associated with capital 

gains and other technical factors

Individual refunds -$32 -12%

Due to higher levels of taxable liability for 2021 than were anticipated by individuals, 

leading to fewer refunds.

Gross corporate taxes +$57 +14% Driven by higher corporate profits

Federal Reserve earnings +$7 +7%

Remittances increased through May, but have decreased year-over-year as higher 

interest rates paid on reserves could reduce or eliminate this source of receipts for up to 

several years.

0

50

100

150

200

250

Sep-12 Jan-13 May-13Sep-13 Jan-14 May-14Sep-14 Jan-15 May-15Sep-15

Jan-16

May-16

Sep-16 Jan-17 May-17Sep-17 Jan-18 May-18Sep-18 Jan-19 May-19Sep-19 Jan-20 May-20Sep-20 Jan-21 May-21Sep-21 Jan-22 May-22Sep-22 $bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other
7

All outlays are on calendar-adjusted basis

Notable Outlays Category

Change from 

FY21 to FY22 

($ billion)

Change from 

FY21 to FY22 

(%) Comments

Department of Treasury -$472 -9%

Driven by lower Economic Impact Payments and COVID-19 relief payments, partially 

offset by increased tax credits and higher interest on the public debt of $155 billion.

Department of Education +$379 +145%

Reflecting the large subsidy modification recognized in September, as well as increased 

spending on emergency grants through the Education Stabilization Fund to support K‐12 and postsecondary education.

Department of Labor -$353 -87%

Driven lower due to the reduction in unemployment and expiration of expanded 

benefits attributable to the COVID‐19 pandemic.

Small Business Administration -$300 -93% Due to the recognition of higher subsidy costs in FY 2021 than in FY 2022. 0

200

400

600

800

1,000

1,200

1,400

1,600

1,800 HHS SSA Treasury Defense Education V A Agriculture

Transportation OPM Homeland Security Other Defense Civil Labor SBA $ bn

Largest Outlays

Oct - Sep FY2021 Oct - Sep FY2022
8

0

500

1,000

1,500

2,000

2,500

3,000

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

Cumulative Budget Deficits by Fiscal Year

FY2020 FY2021 FY2022
Section III:

Various Fiscal Forecasts

Primary Dealers, OMB, CBO

9
10

Recent Economic Growth Forecasts 

• Nominal and Real Growth Estimates from Primary Dealers as of October 2022:

• Most Recent CBO and OMB Growth Forecasts: 

CBO Estimates May 2022

 % Change from Q4 to Q4

CY2022 CY2023 CY2024

GDP

 Real 3.1 2.2 1.5

 Nominal 7.4 4.5 3.6

OMB Estimates August 2022

 % Change from Q4 to Q4

CY2022 CY2023 CY2024

GDP

 Real 1.4 1.8 2.0

 Nominal 7.7 4.4 4.1

PD Growth 

Estimates 

Nominal Q4/Q4 % 

change (median)

Nominal Q4/Q4 % 

change (median) Change

Real Q4/Q4 % 

change (median)

Real Q4/Q4 % 

change (median) Change

October '22 est July '22 est October '22 est July '22 est

CY2022 6.7 5.5 1.2 0.3 0.6 -0.3

CY2023 3.5 3.2 0.3 0.1 1.0 -0.9

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

11

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

July. Their changes reflected forecasts adjustments for higher interest costs, lower Federal 

Reserve remittances, and a slower economy.

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

deficits, as well as 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 984 1,020 1,150 2 0 1,300 908

FY2024 1,055 1,150 1,250 185 1,311 921

FY2025 1,105 1,275 1,398 1,414 1,145

As of date Oct-22 Oct-22 Oct-22 Aug-22 Sep-22
12

Evolution of Median Primary Dealer, OMB and CBO

Deficit Estimates

0

200

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

$ bn

TBAC date

FY 2023

PD FY23 OMB FY23 CBO FY23

0

200

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

0

200

400

600

800

1,000

1,200

1,400

Nov 2021 Feb 2022 May 2022 Aug 2022 Nov 2022

$ bn

TBAC date

FY 2024

PD FY24 OMB FY24 CBO FY24
13

1.5

2

2.5

3

3.5

4

4.5

5

5.5

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

Interest Rate Assumptions: 10-Year Treasury Note

CBO Budget (May 2022) Implied Forward Rates as of 10/28/2022 OMB MSR (Aug 2022)

1 0-Year Treasury Rate of 

3.98% as of 10/28/2022
Section IV:

Estimated Borrowing Needs and 

Financing Implications

14
15

Assumptions for Financing Section (pages 16 to 20)

• Portfolio and SOMA holdings as of 09/30/2022.

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

coupons, TIPS, and FRNs given the issuance sizes in effect in October 2022, while using total bills 

outstanding of ~$3.64 trillion. 

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

as of 09/30/2022.

• 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, 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 near term 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

Q1 Q2 Q3 Q4

$ bn

FY21 FY22 FY23 (projection-OFP)
17

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

** Assumes an end-of-December 2022 and end-of-March 2023 cash balances of $700 billion and $500 billion respectively versus a beginning-of-October 2022 cash balance 

of $636 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**

550

Net Coupon Issuance 300

Implied Change in Bills 250

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 68 74 (6) 68 74 (6)

2-Year 84 94 (10) 84 94 (10)

3-Year 120 49 71 120 49 71

5-Year 86 26 60 86 26 60

7-Year 70 67 3 70 67 3

10-Year 99 53 46 99 53 46

20-Year 27 0 27 27 0 27

30-Year 57 2 55 57 2 55

5-Year TIPS 40 0 40 40 0 40

10-Year TIPS 15 0 15 15 0 15

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 666 366 300 666 366 300

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY23 Q1

October - December 2022

October - December 2022 Fiscal Year-to-Date

Assuming Constant 

Coupon Issuance Sizes*

Treasury Announced Net 

Marketable Borrowing**

578

Net Coupon Issuance 277

Implied Change in Bills 301

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 49 (17) 47 49 (2)

30-Year TIPS 9 0 9 9 0 9

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

Coupon Issuance

Sources of Privately-Held Financing in FY23 Q2

January - March 2023

January - March 2023 Fiscal Year-to-Date

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 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 984 1,020 1,150 1,300 908 984

FY 2024 Deficit 1,055 1,150 1,250 1,311 921 1,056

FY 2025 Deficit 1,105 1,275 1,398 1,414 1,145 1,318

FY 2023 SOMA Redemption 700 720 720

FY 2024 SOMA Redemption 9 0 360 697

FY 2025 SOMA Redemption 0 0 180

FY 2023 Privately-Held Net Marketable Borrowing 1,650** 1,765** 1,854** 2,087** 1,678** 1,754**

FY 2024 Privately-Held Net Marketable Borrowing 1,338 1,433 1,781** 1,722** 1,250** 1,384**

FY 2025 Privately-Held Net Marketable Borrowing 1,193 1,402 1,500 1,460** 1,172** 1,344**

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

Primary Dealer

OMB CBO1 CBO2
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

$ 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

$ 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 09/30/2022*

*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. FY2022 net borrowing estimates 

from PD and CBO are normalized with OMB MSR fiscal-year ending cash balance of $650 billion, held constant in out years. 

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 Adjusted Privately-held Net Borrowing from CBO's "An Analysis of the President’s 2023 Budget", Sept 2022

PD Survey Privately-Held Net Marketable Borrowing Estimates, Oct 2022 Adjusted Privately-Held Net Borrowing from OMB's MSR, Aug 2022

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 October 2022 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 $3.64 trillion as of 

9/30/2022 and increases or decreases coupon, FRN, and TIPS auction sizes in response to financing 

needs in a manner that maintains current issuance proportions starting in October 2022

3) “Prorated Bills and Coupons”: Treasury maintains T-bills share constant at 15.4% as of 

9/30/2022 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 end of FY2022 Q4 Bills Constant

Coupons Constant Prorated Bills and Coupons

60.6 months (Historical Average 

from 1980 to Present)

09/30/22 

74.4 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 Months

Calender 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%

09/30/22 

15.4%

Max 10.7%

09/30/22 

7.8%

09/30/22 

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

09/30/22 

50.8%

09/30/22 

28.3%
Section VI:

Select Demand Metrics

Bid-to-Cover Data, Investor Class Data, 

Direct & Primary Dealer Awards, and Foreign Demand

27
1.5

2

2.5

3

3.5

4

4.5

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

Bid-t o-Cover Ratios for Treasury Bills

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

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

28
29

1.5

2

2.5

3

3.5

4

4.5

5 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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
30

1.5

2

2.5

3

3.5

4

4.5

5 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 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
31

1.5

2

2.5

3

3.5

4

4.5

5 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 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
32

1.5

2

2.5

3

3.5

4

4.5

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

Bid-to-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% 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 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
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-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

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
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% 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

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
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% 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

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
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% 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

6-month moving average

Percent Awarded in FRN Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
38

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

10%

20%

30%

40%

50%

60%

70% 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 % of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

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

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

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

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% 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 % of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

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

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

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

Foreign includes both private sector and official institutions. 0

2 0

4 0

6 0

8 0

100

120

140

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

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/20/30 TIPS FRN
41

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

08/31/22 

3,725

08/31/22 

25%

08/31/22 

929

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)

08/31/22 

19,945

08/31/22 

33%

08/31/22 

6,580
VII. Appendix

42

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

Quarterly Tax Receipts

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

43

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
44

(40)

(30)

(20)

(10)

0

1 0

2 0

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

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

Budget Surplus/Deficit*

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

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

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

45
0

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

Net Bill Issuance 137 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 320 4-Week 645 585 6 0 2,020 1,890 130

Subtotal: Net Marketable Borrowing 457 8-Week 580 440 140 1,800 1,665 135

13-Week 690 627 6 3 2,790 2,766 2 4

Ending Cash Balance 636 26-Week 546 657 (111) 2,400 2,622 (222)

Beginning Cash Balance 782 52-Week 102 102 0 442 442 (0)

Subtotal: Change in Cash Balance (146) CMBs

17-Week 390 405 (15) 1,755 1,785 (30)

Net Implied Funding for FY 2022 Q4* 603 CMBs 6 0 6 0 0 735 825 (90)

Bill Subtotal 3,013 2,876 137 11,942 11,995 (53)

Security Gross Maturing Net Gross Maturing Net

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

2-Year 132 127 5 603 432 171

3-Year 126 8 3 4 3 579 311 268

5-Year 135 7 6 5 9 615 310 305

7-Year 111 7 3 3 8 564 301 263

10-Year 100 2 0 8 0 423 111 312

20-Year 4 1 0 4 1 210 0 210

30-Year 5 8 4 5 4 255 1 3 242

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

10-Year TIPS 3 2 4 0 (8) 9 0 8 0 1 0

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

Coupon Subtotal 811 491 320 3,712 1,838 1,873

Total 3,824 3,367 457 15,654 13,833 1,820

July - September 2022 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY22 Q4

July - September 2022 July - September 2022 Fiscal Year-to-Date

Bill Issuance Bill Issuance
47

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

25th Median 75th

FY 2023 Deficit 984 1,020 1,150 1,300 908 984

FY 2024 Deficit 1,055 1,150 1,250 1,311 921 1,056

FY 2025 Deficit 1,105 1,275 1,398 1,414 1,145 1,318

FY 2023 Change in Cash Balance -36 2 4 6 4 1 4 0 0

FY 2024 Change in Cash Balance 0 0 1 3 0 0 0

FY 2025 Change in Cash Balance 0 0 0 0 0 0

FY 2023 Total Net Marketable Borrowing 950*** 1,045*** 1,134*** 1,367 944 1,020

FY 2024 Total Net Marketable Borrowing 1,248*** 1,073*** 1,084*** 1,362 890 1,024

FY 2025 Total Net Marketable Borrowing 1,193*** 1,402*** 1,320*** 1,460 1,172 1,344

FY 2023 SOMA Redemption 700 720 720

FY 2024 SOMA Redemption 9 0 360 697

FY 2025 SOMA Redemption 0 0 180

FY 2023 Privately-Held Net Marketable Borrowing 1,650** 1,765** 1,854** 2,087** 1,678** 1,754**

FY 2024 Privately-Held Net Marketable Borrowing 1,338 1,433 1,781** 1,722** 1,250** 1,384**

FY 2025 Privately-Held Net Marketable Borrowing 1,193 1,402 1,500 1,460** 1,172** 1,344**

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

CBO

Primary Dealer 4

1

CBO3 OMB2

Oct-22

48

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

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. 
49

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/Premium Average Interest Rate (RHS) Interest / GDP (RHS)
50

Various Historical Treasury Interest Rate Metrics

Source: Bloomberg
51

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding 

Remain Constant as of 09/30/2022*

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

for open-market outright purchases and subsequent rollovers.

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

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 0 341 679 46 (42) 1,024 

2024 0 66 695 71 (10) 822 

2025 0 (23) 716 4 0 697 

2026 0 (148) 712 22 0 586 

2027 0 (28) 595 4 0 571 

2028 0 0 282 (13) 0 269 

2029 0 0 398 (7) 0 391 

2030 0 0 508 8 0 517 

2031 0 0 339 (3) 0 336 

2032 0 0 363 (27) 0 336 
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)*

4-Week 7/12/2022 1.530 2.87 34.0 47.1 1.0 51.9 1.0 3.6 0.3

4-Week 7/19/2022 1.980 2.75 43.9 43.6 1.2 55.1 1.1 2.9 0.4

4-Week 7/26/2022 2.120 2.44 53.6 49.7 1.6 48.7 1.4 3.5 0.5

4-Week 8/2/2022 2.140 2.66 53.0 44.9 2.0 53.2 2.0 3.4 0.5

4-Week 8/9/2022 2.110 2.80 53.6 39.2 2.8 58.0 1.4 3.5 0.5

4-Week 8/16/2022 2.150 2.44 53.7 47.4 2.4 50.2 1.3 2.9 0.5

4-Week 8/23/2022 2.150 2.53 53.7 47.1 2.9 50.1 1.3 3.4 0.5

4-Week 8/30/2022 2.310 2.37 53.7 50.0 2.4 47.6 1.3 3.3 0.5

4-Week 9/6/2022 2.470 2.65 48.4 43.2 2.3 54.6 1.6 2.8 0.5

4-Week 9/13/2022 2.500 3.03 48.0 39.6 1.2 59.2 2.0 2.3 0.5

4-Week 9/20/2022 2.670 2.70 48.4 42.3 3.0 54.6 1.6 2.8 0.5

4-Week 9/27/2022 2.660 2.82 48.1 41.0 2.3 56.8 1.9 2.7 0.5

4-Week 10/4/2022 2.660 2.54 48.3 38.2 2.4 59.4 1.7 2.6 0.5

8-Week 7/12/2022 1.840 2.77 29.3 57.3 3.9 38.7 0.7 3.1 0.6

8-Week 7/19/2022 2.270 2.47 39.2 62.7 4.3 33.0 0.8 2.6 0.8

8-Week 7/26/2022 2.230 2.71 49.2 45.3 2.3 52.4 0.8 3.2 0.9

8-Week 8/2/2022 2.210 2.79 48.5 37.3 3.2 59.5 1.5 3.1 0.9

8-Week 8/9/2022 2.280 2.54 49.5 49.3 1.7 49.0 0.5 3.2 0.9

8-Week 8/16/2022 2.430 2.35 49.6 57.0 4.0 39.0 0.4 2.6 0.9

8-Week 8/23/2022 2.490 2.77 49.3 42.6 2.2 55.1 0.7 3.1 0.9

8-Week 8/30/2022 2.610 2.73 48.9 39.9 1.7 58.3 1.1 3.0 0.9

8-Week 9/6/2022 2.730 3.02 44.3 43.4 0.8 55.8 0.7 2.5 0.8

8-Week 9/13/2022 2.765 2.93 44.3 43.1 2.1 54.8 0.7 2.1 0.8

8-Week 9/20/2022 2.925 2.64 44.2 41.0 2.4 56.6 0.8 2.5 0.8

8-Week 9/27/2022 2.990 2.60 43.9 45.8 2.3 51.9 1.1 2.4 0.9

8-Week 10/4/2022 3.065 2.57 44.1 42.8 1.1 56.1 0.9 2.4 0.8

Bills
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)*

13-Week 7/7/2022 1.850 2.53 43.2 57.4 5.5 37.1 1.8 7.3 1.5

13-Week 7/14/2022 2.110 2.49 49.4 49.6 3.3 47.0 1.6 6.8 1.7

13-Week 7/21/2022 2.470 2.97 52.7 41.9 10.4 47.6 1.3 7.7 1.8

13-Week 7/28/2022 2.520 2.95 52.0 40.9 2.8 56.4 2.0 7.4 1.8

13-Week 8/4/2022 2.490 2.63 52.4 48.1 3.9 48.0 1.6 8.4 1.8

13-Week 8/11/2022 2.580 2.84 52.2 32.5 4.5 63.0 1.8 6.5 1.8

13-Week 8/18/2022 2.610 2.64 52.4 43.8 4.3 51.8 1.6 7.5 1.7

13-Week 8/25/2022 2.740 2.69 51.8 35.0 4.6 60.4 2.2 6.1 1.7

13-Week 9/1/2022 2.880 3.03 52.7 45.2 2.3 52.5 1.3 6.6 1.7

13-Week 9/8/2022 2.965 3.06 52.5 35.9 3.4 60.7 1.5 4.4 1.7

13-Week 9/15/2022 3.075 2.74 52.3 42.3 3.1 54.7 1.7 4.5 1.7

13-Week 9/22/2022 3.270 2.57 52.0 42.2 4.5 53.3 2.0 1.8 1.6

13-Week 9/29/2022 3.270 2.56 51.1 40.5 3.3 56.2 2.9 6.9 1.8

26-Week 7/7/2022 2.500 2.57 40.3 54.2 3.7 42.0 1.7 6.8 2.8

26-Week 7/14/2022 2.685 2.67 40.4 53.4 4.6 42.0 1.6 5.6 2.7

26-Week 7/21/2022 2.910 2.65 40.8 47.2 11.8 41.0 1.2 6.0 2.8

26-Week 7/28/2022 2.920 3.16 39.9 42.6 1.5 56.0 2.1 5.8 2.8

26-Week 8/4/2022 2.850 2.91 40.2 43.6 10.7 45.7 1.8 6.6 2.8

26-Week 8/11/2022 3.040 3.09 40.0 49.5 4.6 45.9 2.0 5.0 2.7

26-Week 8/18/2022 3.020 2.75 40.2 45.1 3.3 51.6 1.8 5.8 2.7

26-Week 8/25/2022 3.110 2.93 39.6 38.2 3.5 58.3 2.4 4.8 2.6

26-Week 9/1/2022 3.235 2.88 40.4 45.5 4.9 49.6 1.6 5.1 2.7

26-Week 9/8/2022 3.320 3.14 40.2 51.3 3.8 44.9 1.8 3.4 2.6

26-Week 9/15/2022 3.465 3.03 40.2 42.4 15.1 42.5 1.8 3.5 2.6

26-Week 9/22/2022 3.780 2.75 40.1 57.7 5.7 36.6 1.9 1.4 2.5

26-Week 9/29/2022 3.850 2.68 38.8 47.3 2.5 50.2 3.2 5.4 2.8

52-Week 7/14/2022 2.960 3.17 33.0 45.4 3.8 50.8 1.0 4.5 4.5

52-Week 8/11/2022 3.200 3.05 32.7 34.7 2.4 62.9 1.3 4.1 4.4

52-Week 9/8/2022 3.460 2.75 33.0 41.9 1.5 56.5 1.0 2.8 4.2

Bills (cont.)
54

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

Issue Settle Date Stop Out Rate 

(%)

Bid-toCover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitive 

Awards ($bn)

SOMA 

"Add Ons" 

($bn)

10-Year 

Equivalent 

($bn)*

17-Week 7/12/2022 2.230 3.40 29.7 41.9 1.7 56.4 0.3 0.0 1.1

17-Week 7/19/2022 2.600 2.95 29.7 62.3 4.6 33.2 0.3 0.0 1.1

17-Week 7/26/2022 2.720 3.87 29.9 46.2 0.6 53.1 0.1 0.0 1.1

17-Week 8/2/2022 2.690 3.69 29.5 36.6 4.0 59.3 0.5 0.0 1.1

17-Week 8/9/2022 2.730 3.35 29.9 51.1 2.4 46.4 0.1 0.0 1.1

17-Week 8/16/2022 2.780 2.82 29.7 45.9 2.1 52.0 0.3 0.0 1.1

17-Week 8/23/2022 2.890 3.06 29.9 53.9 11.0 35.1 0.1 0.0 1.1

17-Week 8/30/2022 2.970 3.40 29.5 43.7 4.8 51.6 0.5 0.0 1.1

17-Week 9/6/2022 3.100 3.54 30.0 57.3 2.4 40.3 0.0 0.0 1.1

17-Week 9/13/2022 3.195 3.63 29.9 41.0 2.4 56.6 0.1 0.0 1.1

17-Week 9/20/2022 3.550 3.14 29.8 48.9 3.7 47.4 0.2 0.0 1.1

17-Week 9/27/2022 3.590 3.76 29.9 39.7 0.0 60.3 0.1 0.0 1.1

17-Week 10/4/2022 3.590 3.05 29.0 47.7 1.7 50.5 1.0 0.0 1.1

CMB 8/25/2022 2.200 2.45 59.9 58.1 3.8 38.0 0.1 0.0 0.4

Bills (cont.)
55

*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 8/1/2022 3.015 2.58 44.3 17.9 20.0 62.0 0.7 3.9 11.1

2-Year 8/31/2022 3.307 2.49 43.0 23.0 17.3 59.7 1.0 5.7 11.1

2-Year 9/30/2022 4.290 2.51 41.1 22.2 24.8 53.0 1.9 0.0 9.7

3-Year 7/15/2022 3.093 2.43 42.7 20.3 19.4 60.4 0.3 5.5 16.3

3-Year 8/15/2022 3.202 2.50 41.7 19.6 17.3 63.1 0.3 26.6 23.1

3-Year 9/15/2022 3.564 2.49 40.8 23.6 21.9 54.5 0.2 0.0 13.5

5-Year 8/1/2022 2.860 2.46 45.9 16.8 16.8 66.4 0.1 4.0 27.4

5-Year 8/31/2022 3.230 2.30 44.9 20.6 18.2 61.2 0.1 5.9 27.1

5-Year 9/30/2022 4.228 2.27 43.8 21.7 18.7 59.6 0.2 0.0 23.3

7-Year 8/1/2022 2.730 2.60 38.0 10.6 18.4 70.9 0.0 3.3 31.0

7-Year 8/31/2022 3.130 2.65 37.0 8.6 15.7 75.7 0.0 4.8 30.2

7-Year 9/30/2022 3.898 2.57 35.9 12.8 24.7 62.5 0.1 0.0 25.8

10-Year 7/15/2022 2.960 2.34 33.0 20.7 18.0 61.3 0.0 4.2 37.2

10-Year 8/15/2022 2.755 2.53 35.0 9.9 15.6 74.5 0.0 22.1 59.0

10-Year 9/15/2022 3.330 2.37 32.0 19.8 17.9 62.3 0.0 0.0 32.0

20-Year 8/1/2022 3.420 2.65 14.0 7.9 14.1 78.0 0.0 1.2 25.8

20-Year 8/31/2022 3.380 2.30 15.0 14.7 18.3 67.0 0.0 2.0 28.2

20-Year 9/30/2022 3.820 2.65 12.0 8.1 16.6 75.3 0.0 0.0 19.9

30-Year 7/15/2022 3.115 2.44 19.0 10.5 16.3 73.2 0.0 2.4 49.5

30-Year 8/15/2022 3.106 2.31 21.0 10.8 18.5 70.6 0.0 13.3 79.9

30-Year 9/15/2022 3.511 2.42 18.0 10.9 17.1 72.1 0.0 0.0 40.0

2-Year FRN 8/1/2022 0.037 3.13 24.0 29.5 1.1 69.4 0.0 2.1 0.01

2-Year FRN 8/26/2022 0.090 2.57 22.0 42.1 0.9 57.1 0.0 0.0 0.03

2-Year FRN 9/30/2022 0.092 2.84 22.0 34.1 1.7 64.2 0.0 0.0 0.03

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 7/29/2022 0.630 2.18 16.9 15.8 17.1 67.1 0.1 0.0 19.4

10-Year TIPS 9/30/2022 1.248 2.54 15.0 7.9 21.3 70.8 0.0 0.0 16.7

30-Year TIPS 8/31/2022 0.920 2.69 8.0 11.1 12.0 76.9 0.0 1.0 30.0

TIPS
November 2022

Additional Public Transparency in Treasury Markets
Treasury Charge 

Additional Public Transparency

Treasury recently received public comments in response to its request for information (RFI) on additional post-trade transparency in 

secondary market transactions of Treasury securities. Responses were broadly supportive of efforts to incrementally increase 

transparency, but recommendations varied regarding the pace and extent of additional transparency. Commenters noted potential 

benefits, such as improving price discovery and enhanced investor confidence, and potential risks, such as increasing the cost of 

trading large positions in less liquid securities. Many supported steps to minimize those risks by limiting dissemination for large 

trades or for certain securities using trade size caps and delays as well as aggregation. They noted similar approaches used for 

transparency for other fixed income securities and for interest rate derivatives.

How does the Committee assess these benefits and risks of additional public transparency for post-trade transactions? What are the 

Committee's views on varying treatment for different security types, dissemination caps and delays, and implementation 

approaches? How would the Committee measure the effectiveness of additional post-trade transparency?

1
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
US Treasuries have lagged other asset classes with dissemination rules

Regulatory Data Collection and Post-Trade Dissemination in U.S. Fixed Income Markets (1997–2017)

Timeline shows implementation of regulatory data collection and post-trade dissemination between 1997 and 2017 for U.S. municipal bonds, corporate bonds, agency debentures, asset-backed 

securities, mortgage-backed securities, and Treasury securities. Primary Market description – “Dealers report all U.S. agency debenture transactions, as well as primary market transactions in TRACEeligible securities.

Source: Bessembinder , Spatt, and Venkataraman (2020) A Survey of the Microstructure of Fixed-Income Markets

2
Reporting and Dissemination Rules Differ Across Asset Classes

Asset Class Implementation / Phase-in Reporting Public dissemination of price 

and volume information

Block trade regime

Cash

U.S. Corporate 

Bonds: TRACE

Began 2002 Within 15 mins Immediate Dissemination Volume masking in public 

dissemination

◼ Phased-in 2002 – 2006, starting with 

dissemination of largest bonds and with 

longer dissemination delays

◼ All bonds in scope from Jan 2006.

◼ Dealers report transaction to TRACE 

within 15 minutes.

◼ Investment Grade >$5m disseminated 

as $5m+

◼ High Yield >$1m disseminated as $1m+

MBS TBA: 

TRACE

Began 2012 Between 15 mins and T+1 Immediate Dissemination Volume masking in public 

dissemination

MBS To-be-announced (TBA) transactions 

are included for public dissemination from 

Nov 2012.

◼ Dealers report to TRACE between 15 

minutes and T+1 depending on 

transaction type.

◼ Public dissemination is immediate 

subject to certain exceptions.2

◼ MBS TBA for Good Delivery > $25m 

disseminated as $25m+

◼ MBS TBA not for Good Delivery > $10m 

disseminated as $10m+

Municipal 

Bonds: EMMA

Began 1997 Within 15 mins Immediate Dissemination Volume masking in public 

dissemination

◼ Phased-in 1997 – 2005. 

◼ Subject to public dissemination within 

15- mins since January 2005.

◼ Dealers report all transactions to EMMA 

within 15 minutes. 

◼ Trades >$5m are masked for 5 days in 

public reporting.

Non-cash

Interest Rate 

Futures: CFTC 

Part 38

~2012 Immediate (except blocks) Immediate Dissemination No volume masking in public 

dissemination

◼ Block trades subject to reporting 

determined by exchange (e.g., 5 – 15 

minutes).

◼ Block thresholds and reporting 

determined by the exchange and differ 

across contract type.

◼ Block trades disseminated upon receipt.

Interest Rate 

Swaps: CFTC 

Part 431

Began 2013 Immediate Immediate Dissemination Volume masking and 

dissemination delays

◼ Block regime subject to multi-year 

phase-in, starting with lower block trade 

thresholds and longer dissemination 

delays.

◼ Dealers report transaction to Swap Data 

Repository “as soon as 

technologically practicable”.

◼ Public dissemination is immediate 

unless subject to a time delay (ie Blocks 

on 15min delay)

◼ Volume masking in public dissemination, 

dependant on currency and maturity.

◼ Dissemination delay 15-mins to 24-

hours depending on underlying / 

counterparty type.

Source: FINRA 6700; CFTC Part 43; CFTC Part 38; CME Rule 526; MSRB G-14

1 Revised block thresholds and notional caps will be in effect from December 4, 2023

2 See exceptions to immediate public dissemination in FINRA 6750. Dissemination of Transaction Information https://www.finra.org/rules-guidance/rulebooks/finra-rules/6750

3
Treasury trade data has been collected since 2017, but transaction level data has not 

been publicly disseminated

Note: Labels are at the start of the year. 

Source: DEPARTMENT OF THE TREASURY (Docket No. TREAS-DO-2022-0012) 2017 2018 2019

202020212022

FINRA members required 

to report TSY secondary 

market transactions

TSY analysis on 

cost/benefits of additional 

transparency; addition of 

transaction type “flags”

Alternative trading 

systems required to 

identify non-FINRA 

member

counterparties with 

increased granularity FINRA solicits comments 

on enhancements to 

TRACE transaction data

Weekly publication of 

TRACE "Treasury 

Aggregate Statistics"

Changes to aggregates:

historical data since 2019, 

include 20yr sector

Certain depository

institutions to report 

transactions to TRACE 

FINRA filed to amend 

TRACE reporting to 

include more granular

timestamps and use 60 

minute reporting limit

TSY seeks public 

comments on TRACE 

transparency

requirements

4
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
Rates volatility remains historically elevated, which is negatively impacting broad 

measures of Treasury market liquidity

Duration-weighted Treasury market depth*; 1-month moving 

average; regressed on 3Mx2Y implied swaption vol (bp/day), 

regression over the 2 years; $mn 10-year Treasury equivalents

Source: J.P. Morgan research

y = 2.0349x2- 62.6158x + 552.2053

R2 = 91.2%

100

200

300

400

500

600

0 2 4 6 8 10 12

3Mx2Y vol; bp/day

* Market depth is the sum of the three bids and offers by queue position, averaged between 

8:30 and 10:30am daily. his is the sum of 2-, 5-, 10-, and 30-year depth in 10-year 

equivalents

Source: J.P. Morgan, BrokerTec

3Mx10Y implied swaption vol; bp/day

Source: J.P. Morgan research

2

4

6

8

10

12

14

2002 2006 2010 2014 2018 2022

• Increased volatility in the treasury market typically correlates with lower market depth as we are seeing today

5
Changing Treasury market intermediation opens the door to further study transparency for 

Treasuries...

• The Treasury market has more than doubled over the last decade, but dealer inventories and bank balance sheets in general have 

not kept pace in recent years. A combination of post-GFC capital and liquidity regulations, and associated changes in risk 

management approach, have left banks with less flexibility to absorb Treasuries in times of volatility

• Moreover, as the share of liquidity offered by more algorithmic providers has increased over the last decade, liquidity has become 

less resilient, declining at times of extreme stress

Total marketable US Treasury debt outstanding (lhs, $bn) 

versus absolute value of primary dealer positions in Treasuries 

(1m moving average, rhs, $bn)

Source: Federal Reserve Bank of New York

0

50

100

150

200

250

300

0

5,000

10,000

15,000

20,000

25,000

2002 2006 2010 2014 2018 2022

Total UST outstanding (lhs)

Total dealer positions in UST (rhs)

20%

30%

40%

50%

60%

70%

80%

90%

2008 2012 2015 2019

* Orders created less than 0.3 milliseconds after the prior order book update.

** Market depth defined as the total notional available in the central limit order book (CLOB) 

at the best three prices, averaged across both the bid and ask stacks, see Drivers of price 

impact and the role of hidden liquidity, JPM research, 1/13/17. They take snapshots of the 

live order book for every $500mn in traded notional, and average market depth 

measurements from these snapshots, thus forming a volume-weighted average.

Source: J.P. Morgan research

Fast* share of 10-year Treasury market depth**; %

6
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
Responses to RFI on Additional Transparency are mixed

• Nearly all respondents, regardless of view on benefits and risks, agreed on phased-in dissemination and block trade exemptions if 

there are new dissemination rules implemented

• Respondents cited U.S. corporate bond market studies to support arguments both for and against additional transparency

27 RFI responses 

(9 trade association, 4 PTF, 3 asset manager, 3 consumer group, 3 hedge fund, 2 primary dealer, and 3 other) 

.

Possible Benefits

(cited mostly by public interest groups, hedge funds, PTFs 

and related trade associations)

Possible Risks 

(cited mostly by primary dealers, asset managers and related 

trade associations)

Lower transaction costs Negatively impact intermediation and risk transfer in less liquid 

segments and for large transactions

Increase liquidity (and new intermediaries) Unlikely to boost liquidity; could decrease liquidity

Increase “market confidence”

Increase dissemination avoidance: move flows outside the U.S., 

incentivize smaller trading sizes

Improve risk management Reduce participation in auction process or potential weaker pricing

Improve resilience during market stress Harm households via holdings in mutual funds, pensions, and 

insurers who rely on trading quickly and in large size

7
SIA Partners/SIFMA Survey Results

60 participants, 56% private firms, $68tn in combined participant AUM

Do you believe that additional transparency would incentivize or 

disincentivize intermediation?

Do you believe that additional transparency would improve 

Treasury market resilience?

Should volumes be capped if data is disseminated at the transaction level 

as is done for other fixed-income securities (i.e. corporate bonds)?

Should transparency requirements be different in less liquid segments 

(i.e. off-the-run) than in more liquid market segments (On-the-run)? 

Participants (>75%) largely agreed... 

• Additional transparency would disincentivize intermediation and would not help Treasury market resilience

• Volumes should be capped and transparency requirements should be different in less liquid segments

• Dissemination implementation should be phased in over time

• Do not favor shortening reporting to 60 minutes, or only support this for on-the-runs, as costs incurred could outweigh benefits

* Source: Additional Transparency for Secondary Market Transactions of Treasury Securities- A Study on the Impact to the Market and Market Participants – October 2022. 

Sia Partners, was asked by SIFMA to conduct a study reviewing the Department of Treasury RFI related to transparency for U.S. Treasury products.

8
Post-Implementation Studies

Sources: Benos, Payne, and Vasios (2020). Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd Frank Act; Gousgounis, Onur

and Tuckman (2020) Large Order Size Liquidity in Treasury Markets; Schultz and Song 2019, Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage 

backed security market

◼ Market liquidity has been impacted by a number of factors over the last two decades

◼ Quantitative easing and a period of extended low volatility 

◼ Technological developments, including electronification and high frequency trading 

◼ New participants, including algorithmic, high frequency trading firms, and ETFs 

◼ Behavioral change, including more buy and hold investment 

◼ Regulatory change, including pre/post-trade transparency, centralized trading, prudential regulations, central clearing, etc. 

◼ Analysis of long-term trends is limited due to incomplete time series in some asset classes

◼ Observations on liquidity indicators in other markets may not be relevant to Treasuries in a different macro-economic and 

regulatory environment

Post Implementation Studies in Swaps and Futures

Swaps

◼ The Dodd-Frank derivatives market reforms, including pre- and post-trade transparency and centralized trading requirements, led 

to an improvement in liquidity metrics for IRS of between 12% and 19%, driven by an increase in competition between dealers 

(Benos, Payne, and Vasios 2020) 

Futures

◼ The mean-variance frontier becomes significantly worse as order size increases, but that the frontier has improved over time. The 

costs of executing large orders on behalf of customers are significantly worse as order size increases (Gousgounis, Onur and 

Tuckman 2020)

9
Post-Implementation Studies: U.S. Mortgage Bonds

The U.S. Mortgage bond market transparency experience is a good proxy for Treasuries

Sources: Schultz and Song, Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market (2019)

◼ The introduction of post-trade transparency in the TBA market was successful at reducing transaction costs

Trading costs ◼ Trading costs fell for investors and dealers have less need for interdealer trading (Schultz and Song 2019)

Dealer capital 

commitment

Trading activity 

and turnover

◼ Trade volume declined by almost 13% while the number of trades declined by 2.5% pre- to post-transparency 

(Schultz and Song 2019)

◼ Dealers can commit less capital (Schultz and Song 2019)

Transaction size ◼ Implied average transaction sizes have increased (Schultz and Song 2019)

Industry 

concentration

◼ Industry concentration increases as “peripheral dealers” less competitive (Schultz and Song 2019)

10
Dealer capital 

commitment

◼ Liquidity provision evolved away from the traditional commitment of bank-affiliated dealer capital to absorb 

customer imbalances (Bessembinder, Jacobsen, Maxwell and Venkataraman 2016).

Post-Implementation Studies: U.S. Corporate Bonds

The U.S. Corporate bond market has the most extensive literature on post-implementation impacts

Transaction size

◼ The average trade size for the 1,000 most active issues dropped almost 35% between 2007 and 2013 (Mizrach

2015).

Block trades

◼ Participants reported that large transactions were more difficult to execute, which resulted in increased transaction 

costs and lower daily liquidity for investors (Greenwich Associates 2015).

◼ The proportion of total volume traded in blocks of $5million or more fell by almost 15% (Mizrach 2015).

Bid-ask spreads

◼ Bid-ask spreads narrowed and trading costs reduced by some measures (Mizrach 2015; Asquith, Covert and 

Pathak 2019).

◼ Except for very large trades, spreads on newly transparent bonds decline relative to bonds that experience no 

transparency change (Goldstein, Hotchkiss, Sirri 2007). 

◼ Investors have benefited from the increased transparency, through substantial reductions in the bid-ask spreads 

(Maxwell, Bessembinder, and Hendrik 2008).

Trading activity 

and turnover

◼ Trading activity for some categories of bonds declined after the TRACE rules went into effect. Large trades as well 

as high yield trades saw the largest negative impact in trading activity (Asquith, Covert and Pathak 2019).

Sources: Jacobsen and Venkataraman 2018, Does trade reporting improve market quality in an institutional market? Evidence from 144A corporate bonds; Mizrach 2015, Analysis of Corporate Bond Liquidity; Greenwich Associates 

2015, The Continuing Corporate Bond Evolution; Asquith, Covert and Pathak 2019, The Effects of Mandatory Transparency in Financial Market Design: Evidence from the Corporate Bond Market; Bessembinder, Jacobsen, Maxwell, 

and Venkataraman 2016, Capital Commitment and Illiquidity in Corporate Bonds; Maxwell, Bessembinder, and Hendrik 2008, Transparency and the Corporate Bond Market. Michael A. Goldstein, Edith S. Hotchkiss, Erik R. Sirri, 

Transparency and Liquidity: A Controlled Experiment on Corporate Bonds, The Review of Financial Studies, Volume 20, Issue 2, March 2007

Transaction costs

◼ For 144A bonds, transaction costs decreased following trade dissemination by approximately 10% with larger 

reductions observed for block transactions and bonds with lower dealer competition (Jacobsen and Venkataraman 

2018).

◼ Introduction of transparency through TRACE is associated with a decline in trading costs for at least some bonds 

(Goldstein, Hotchkiss, Sirri 2007). 

11
Transparency appears to have limited impact in reducing volatility during times of stress

1-month delivered vol* in 10-year Treasury yields, investment grade corporate credit spreads, and 30-year current coupon MBS; bp

* 1-year standard deviation of monthly changes in yields and spreads

Source: J.P. Morgan research

0

10

20

30

40

50

60

70

80

2007 2010 2013 2016 2019 2022

10y UST Investment grade corproate MBS

12
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
Cross-asset comparison shows the Treasury market is more highly concentrated in fewer 

CUSIPS, with lower direct retail ownership

Agency MBS Corporates Municipals UST On-the-run UST Off-the-run

Total outstanding ~$8.5tn ~$10tn ~$4tn $0.3tn $17tn

Average daily volume 

(2021 average notional 

value)

~$275bn ~$37bn ~$9bn ~$400bn ~$120bn

Average daily 

transaction volume

(2021 average 

transactions)

~10,500 ~64,000

2021 IG+HY transactions

~30,000 ~140,000 ~17,000

Average trade size ~$25mn ~$600,000 ~$300,000 ~$3mn ~$7mn

Electronification 50 – 60%

TBA market

30% IG

12% HY

10 – 15% 65% 35%

Number of issuers 3 ~10,000 ~50,000 1 1

Number of securities ~1 million ~90,000 ~1 million ~7 ~300

Retail Investors 4.5% 34.7% 26.4% 7.6%

On-the-Run + Off-the-Run

Note: All figures are approximate and indicative only; UST on- and off-the-run figures are for nominal coupons only

Source: SIFMA, MSRB Factbook, CBOE, FINRA, TRACE Factbook, Greenwich Associates, World Bank, JPM Research, U.S. Department of the Treasury

13
Off-the-run Treasuries size and trading volume are more similar to corporates, munis and 

Agency MBS 

Average daily trading volumes in various fixed income products, ($bn); versus total outstanding by product ($tn); 

dot sizes scaled by total outstanding in each product 

Agency MBS 

Corporates Municipals 

UST On-the-run

UST Off-the-run

0

50

100

150

200

250

300

350

400

450

0 2 4 6 8 10 12 14 16 18 20

Average daily trading volumes; $bn

Total outstanding; $tn

14

Note: All figures are approximate and indicative only; UST on- and off-the-run figures are for nominal coupons only

Source: SIFMA, MSRB Factbook, CBOE, FINRA, TRACE Factbook, Greenwich Associates, World Bank, JPM Research, U.S. Department of the Treasury
Treasuries are supported more by foreign buyers than direct retail buyers

0%

20%

40%

60%

80%

UST Agency MBS Corporate

Foreign

Fed

Ownership of Treasury market by investor type ($bn lhs, % rhs) Federal Reserve and foreign share of US bond markets; %

ETF and mutual fund share of US bond markets; %

• In contrast to other large US fixed income markets, the Treasury market is disproportionately held by foreign institutional investors, 

while retail ownership is significantly smaller

• Foreign holders tend to be concerned with the ability to execute large blocks of risk with minimal price impact

Source: Federal Reserve Z.1

Source: Federal Reserve Z.1

Source: Federal reserve Z.1

0%

10%

20%

30%

40%

UST Agency MBS Corporate Muni

Mutual Fund

ETF 15
Though foreign official institutions are longer-term holders of Treasuries, there have been 

bouts of selling in recent years, largely in off-the-run Treasuries

Global foreign exchange reserves (lhs; $bn) versus Treasuries held in custody for foreign official and 

international accounts (rhs, $bn)

2750

2800

2850

2900

2950

3000

3050

3100

3150

3200

10000

10500

11000

11500

12000

12500

13000

13500

2012 2014 2016 2018 2020 2022

Global FX reserves (lhs)

Treasury custody holdings (rhs)

Source: Bloomberg Finance L.P., Federal Reserve

• FX reserve managers are not just buy and hold investors, but have been significant sellers of Treasuries numerous times over the

last decade to intervene in currency markets or fund local needs for USD

16
There are three main investor types who support the auction process

62.0%

20.3% 16.8%

0.4% 0.4% 0.1% 0.0%

0%

20%

40%

60%

80%

Inv.funds Dealers Foreign Individuals Other Pension/Ins. Depository

Institutions

Auction allotments by investor type, YTD 2022 average*; %

* Across nominals, TIPS, and FRNs, weighted by par mount

Source: US Treasury

• The Treasury auction process is integral to regular and predictable, cost-effective funding for Treasury

• RFI feedback from Treasury’s main investors should be strongly considered to ensure strong turnout at auctions

17
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
There is strong liquidity in on-the run securities, with significantly quicker turnover than offthe-runs, Bills, FRNs, TIPS and STRIPS...

* 4+ includes all off-the-runs greater than the 3rd off-the-run

Source: FINRA TRACE, U.S. Department of the Treasury

0

20

40

60

80

100

120

140

160

180

200

OTR

1x2x3x

4+

OTR

1x2x3x

4+

OTR

1x2x3x

4+

OTR

1x2x3x

4+

OTR

1x2x3x

4+

OTR

1x2x3x

4+

OTR

1x2x3x

4+

Bills

FRNs

TIPS

STRIPS

[0, 2y] (2, 3y] (3, 5y] (5, 7y] (7, 10y] (10, 20y] (20, 30y] Other

# of Days

Implied full turnover in number of days

Based on average daily volumes and float amount that excludes SOMA holdings and stripped amounts in 2022

250 days 333 days

18
...and on-the-run securities make up a large portion of overall Treasury trading volume...

19

* 4+ includes all off-the-runs greater than the 3rd off-the-run

Source: FINRA TRACE, U.S. Department of the Treasury
...but the implied time to transact a significant block of duration rises sharply in more 

deeply off-the-run securities

* 4x is only 4th off-the-run security

Source: FINRA TRACE, U.S. Department of the Treasury

20
36%

65% 57%

80% 69%

64%

35% 43%

20% 31%

0%

20%

40%

60%

80%

100%

Nominal cpns

on-the-run

Nominal cpns

off-the-run

TIPS on-therunTIPS off-therunT-bills

Interdealer/ATS Customer

Less liquid securities are more commonly traded as Dealer to Customer (DTC)

Treasury trading volume by product type, customer vs 

interdealer/ATS share; % Treasury trading volumes by counterparty, week of 7/22/22; $bn

Source: FINRA TRACE

Source: FINRA TRACE, SIFMA estimates

Nominal coupons and TIPS separated into remaining years-to-maturity to include current onthe-runs. Strips included in nominal coupons off-the-run volume. 

161.7 322.1 166.1

273.4

1043.8 607.9

0

200

400

600

800

1000

1200

1400

1600

ATS/ID Dealer to Customer

On-the-run Off-the-run Bills/FRNs

• Dealer to Customer trading represents more of the customer base who is likely to trade off-the-run securities

• RFI feedback from this group argues against dissemination given concerns over liquidity 

• ATS and interdealer market is increasingly dominated by high frequency traders who trade on-the-run securities

• RFI feedback from this group argues in favor of additional transparency across all treasury securities to drive increased trading 

volumes

21
Treasury market liquidity is not uniformly distributed across the curve

Treasury market depth* by on-the-run tenor, 1-week moving average; $mn 10-year Treasury equivalents

0

50

100

150

200

250

300

350

400

450

500

Oct 17 May 18 Nov 18 Jun 19 Dec 19 Jul 20 Feb 21 Aug 21 Mar 22 Sep 22

2y

5y

10y

20y

30y

* Market depth is the sum of the three bids and offers by queue position, averaged between 8:30 and 10:30am daily. 

Source: BrokerTec, J.P. Morgan research

• Liquidity across tenors differs greatly and shifts over time, making DV01 equivalents an important consideration for any proposed 

dissemination regime

22
On-the-run Treasuries closely resemble swaps liquidity and price action with a high 

degree of correlation over the last 15 years

0

1

2

3

4

5

6

2007 2010 2013 2016 2019 2022

10y UST

10y swap y = 0.946x + 0.0148

R2 = 0.9408

-40

-20

0

20

40

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

1d10y UST 1d chg; bp

10y swap 1d chg; bp

10-year Treasury and 10-year swap yields; %

Daily changes in 10-year Treasury yields regressed on daily 

changes in 10-year swap yields (bp), regression over the last 15 

years; bp

Source: J.P. Morgan research Source: J.P. Morgan research

• Given that on-the-run Treasury price action closely resembles that of swaps, the swaps reporting regime may be a good 

guide for on-the-run Treasuries

23
On-the-run Treasuries volumes also closely resemble Treasury futures

Daily traded DV01 in on-the-run Treasuries is more similar to futures than off-the-run

Source: Baker, McPhail, and Tuckman (2018) The Liquidity Hierarchy in the U.S. Treasury Market: Summary Statistics from CBOT Futures 

and TRACE Bond Data

• Given that on-the-run Treasury volumes closely resemble that of Treasury futures, the futures reporting regime may be a 

good guide for on-the-run Treasuries

24
Treasury future block dissemination has price impacts

3yr average impact numbers by instrument (All Blocks in 32nds, negative means move against liquidity 

provider): 

FV contract TY contract

US contract WN contract

Source: TBAC member proprietary data

-1.0

-0.5

0.0

-15 -10 -5 0 5 10 15 20 25 30

Minutes around block trade report

-1.5

-1.0

-0.5

0.0

-15 -10 -5 0 5 10 15 20 25 30

Minutes around block trade report

-4

-3

-2

-1

0

1

-15 -10 -5 0 5 10 15 20 25 30

Minutes around block trade report

-8

-7

-6

-5

-4

-3

-2

-1

0

1

2

-15 -10 -5 0 5 10 15 20 25 30

Minutes around block trade report

25
Treasury future block dissemination price impacts have varied over the years and is 

largest in times of stress

Average annual impact numbers (All Blocks in 32nds, negative means move against liquidity provider): 

Average impact by years

Impact in price (in 32nds, negative is against liquidity provider): 

Source: TBAC member proprietary data

26

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

-15 -10 -5 0 5 10 15 20 25 30

Minutes around block trade report

2020

2021

2022
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
Summary of Findings

◼ Changing Treasury market intermediation opens the door to further study transparency for Treasuries

◼ While RFIs and Surveys offered mixed views on whether increased transparency will benefit liquidity and resilience, participants

agreed on phased-in dissemination, dissemination delays and volume caps

◼ Post-trade transparency studies showed dissemination in other asset classes helped drive tighter bid/offer, but at the expense of 

smaller trade sizes, lower volumes and difficulty executing large transactions

◼ Treasury trade dissemination may enable PTFs to expand their footprint beyond on-the-runs, but they tend to pull back liquidity in 

times of stress

◼ Data shows strong parallels to Treasury futures and swaps for On-the-runs and corporate bonds and MBS for Off-the-runs, which 

may be used in consideration of a differentiated transparency approach

Treasury Market Summary On-the-runs Off-the-runs, Bills, FRNs, TIPS, STRIPS

Market resembles: Treasury futures and swap markets Corporate and MBS markets

Outstanding (largest amount) P

Volume (greatest amount) P

# Securities (>300) P

Turnover (highest) P

Daily traded DV01% (low) P

Common execution platform Alternative trading system Dealer to customer

27
Recommendations

1. On-the-run securities should be subject to increased transparency and dissemination

◼ Implementation should be gradual to assess potential impacts

◼ Implementation should strive to minimize operational costs to market participants

2. On-the-run securities have similar volumes and liquidity profiles to futures and swaps 

◼ Evidence from the futures market suggests that a volume cap should be applied for block trades

◼ Evidence from the swaps market suggests delays should be applied for block trades

◼ Block trade thresholds should be determined on a risk-adjusted basis similar to swaps thresholds (see appendix)

◼ Thresholds may need to be adjusted over time as the market environment changes

◼ Overnight Treasury trading has lower volume and market depth, suggesting delayed reporting, similar to other TRACE 

securities

3. Impact of increased transparency and dissemination of on-the-run-securities should be assessed quantitatively and 

qualitatively 

– Quantitatively against key performance indicators below – accounting for changes in market structure and the macroenvironment 

◼ Average/median trade size

◼ Trade volumes

◼ Market depth

◼ Price impact for varying trade sizes

◼ Material changes to Treasury holdings by investor type

◼ Bid/Ask spread 

◼ Changes to auction stats (direct vs non-direct, etc.)

– Qualitatively through RFIs of feedback from market participants and other stake holders

◼ Block sizes, caps and delays may need to be adjusted as the market changes

28
Recommendations

4. Off-the-runs, TIPS, STRIPS, Bills should continue to be subject to periodic aggregate disclosures

5. After assessing the impact of dissemination, incorporate observations into any evaluation of expanding to further 

segments

◼ First off-the-run securities may have enough volumes and liquidity to be evaluated for additional transparency and 

dissemination as part of a later implementation phase 

◼ Further off-the-run securities, TIPS, STRIPS, Bills and FRNs should not be considered for transaction level reporting until 

dissemination impact is better understood

6. Continue to review other reforms that could address risk intermediation challenges 

◼ Ensure completeness in reporting if market structure changes occur

◼ Examples cited in RFI responses, SIA Partners/SIFMA survey and other industry forums include:

◼ Centralized Treasury and Repo Clearing

◼ Adjustments to prudential requirements

◼ Treasury buyback programs

29
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
References

• Asquith, Covert and Pathak (2019) The Effects of Mandatory Transparency in Financial Market Design: Evidence from the 

Corporate Bond Market

• Baker, McPhail, and Tuckman (2018) The Liquidity Hierarchy in the U.S. Treasury Market: Summary Statistics from CBOT Futures 

and TRACE Bond Data

• Bessembinder, Jacobsen, Maxwell, and Venkataraman (2016), Capital Commitment and Illiquidity in Corporate Bonds; 

• Bessembinder, Maxwell and Venkataraman (2013) Trading Activity and Transaction Costs in Structured Credit Products

• Bessembinder , Spatt, and Venkataraman (2020) A Survey of the Microstructure of Fixed-Income Markets

• Benos, Payne and Vasios (2018) Centralized trading, transparency and interest rate swap market liquidity: evidence from the 

implementation of the Dodd-Frank Act

• Department of the Treasury (2022) Notice Seeking Public Comment on Additional Transparency for Secondary Market 

Transactions of Treasury Securities

• Goldstein, Hotchkiss, and Sirri (2007) Transparency and Liquidity: A Controlled Experiment on Corporate Bonds

• Greenwich Associates (2015) The Continuing Corporate Bond Evolution

• Jacobsen and Venkataraman (2018), Does trade reporting improve market quality in an institutional market? Evidence from 144A 

corporate bonds

• Maxwell, Bessembinder, and Hendrik (2008), Transparency and the Corporate Bond Market

• Mizrach (2015), Analysis of Corporate Bond Liquidity

• Schultz and Song (2019) Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage 

backed security market

• SIFMA and Sia Partners (2022) Additional Transparency for Secondary Market Transactions of Treasury Securities. A Study on the 

Impact to the Market and Market Participants

30
Agenda

Page

1 History of Post-Trade Reporting Across Asset Classes 2

2 Current Dynamics in the Treasury Market 5

3 Conclusions from Surveys and Post-Trade Reporting Across other Asset Classes 7

4 Exploring the Unique Nature of Treasuries 13

5 Analyzing the Data to Guide Potential Rules for Treasury Reporting 18

6 Findings and Recommendations 27

7 References 30

8 Appendix 31
Appendix

31

4+ includes all off-the-runs greater than the 3rd off-the-run

Source: FINRA TRACE; U.S. Department of the Treasury
Appendix

32

Source: FINRA TRACE; U.S. Department of the Treasury

4x is only the 4th off-the-run security. For "Other securities," calculations at the security-level then aggregated with averages or medians as noted in the header. 

Median and average notional trade sizes excludes trades < $1M.
4x is only the 4th off-the-run security. For "Other securities," calculations at the security-level then aggregated with averages or medians as noted in the header. 

Median and average notional trade sizes excludes trades < $1M.

Appendix

33

TRACE trade statistics, dealer-to-customer

By remaining maturity and on- vs. off-the-run status; 8am - 4pm, Jan. - Sep. 2022; Implied trade time measures the minutes to trade a given size based on hourly volumes

Nominals Med. Notional Avg. Notional Med. Notional Avg. Notional Med. 100k DV01 Avg. 100k DV01 Med. Notional Avg. Notional Med. 100k DV01 Avg. 100k DV01

[0, 2y] OTR 1,958.8 2,376.5 2.0 16.2 529.7 529.8 0.060 0.408 16.2 13.4

1 x 183.4 446.0 8.2 49.8 550.1 551.7 2.7 6.7 179.9 74.2

2 x 44.3 148.1 6.7 40.6 579.7 580.8 9.0 16.4 785.4 235.3

3 x 13.8 75.3 5.0 31.5 611.2 611.4 21.7 25.1 2,654.1 487.0

4 x 6.7 40.6 5.0 23.0 643.9 643.9 44.6 33.9 5,750.2 952.3

(2, 3y] OTR 1,769.3 2,450.3 1.8 13.6 357.4 378.1 0.060 0.330 12.1 9.3

1 x 112.7 330.6 5.6 42.9 369.7 368.3 3.0 7.8 196.8 66.8

2 x 19.9 87.6 5.5 32.7 380.4 381.3 16.7 22.4 1,146.0 261.1

3 x 6.9 47.2 5.0 27.5 394.6 394.2 43.4 35.0 3,427.6 501.5

4 x 3.9 34.5 5.0 24.9 407.2 406.1 76.4 43.3 6,221.8 706.0

(3, 5y] OTR 4,019.6 4,495.2 1.0 7.9 218.4 222.5 0.012 0.102 3.3 3.0

1 x 211.8 508.2 7.0 42.1 223.0 222.4 2.0 5.0 63.2 26.3

2 x 56.9 139.0 8.5 32.8 230.7 229.6 9.0 14.1 243.2 99.1

3 x 29.5 121.8 9.8 38.8 233.5 233.0 19.9 19.1 474.3 114.8

4 x 14.1 72.9 8.0 29.2 240.5 239.3 34.0 24.0 1,021.3 197.0

(5, 7y] OTR 982.2 1,682.3 1.5 12.2 164.8 179.1 0.090 0.432 10.1 6.4

1 x 76.4 258.8 10.0 48.6 162.5 162.3 7.9 11.3 127.6 37.6

2 x 13.3 68.6 5.9 30.1 166.4 166.6 26.5 26.3 748.6 145.6

3 x 8.2 64.5 5.0 31.8 172.2 171.0 36.6 29.6 1,260.1 159.0

4 x 5.3 39.2 4.1 24.3 177.8 176.0 46.4 37.3 2,012.9 269.5

(7, 10y] OTR 3,343.1 3,609.6 1.0 6.6 117.8 118.8 0.012 0.108 2.1 2.0

1 x 216.1 392.4 5.8 27.7 126.2 124.8 1.6 4.2 35.0 19.1

2 x 36.1 108.8 5.0 24.0 134.6 134.6 8.3 13.2 224.0 74.2

3 x 18.2 71.7 5.0 23.6 133.4 131.6 16.5 19.8 440.3 110.1

4 x 11.9 54.1 5.0 22.7 126.5 131.6 25.3 25.2 639.5 146.0

(10, 20y] OTR 420.4 705.5 1.5 8.7 71.3 76.3 0.210 0.738 10.2 6.5

1 x 29.9 107.9 7.0 26.6 74.2 72.4 14.0 14.8 148.7 40.3

2 x 11.4 48.2 6.0 22.1 83.8 80.7 31.5 27.5 439.1 100.4

3 x 6.1 31.7 5.0 19.1 82.7 78.6 49.3 36.2 814.5 148.7

4 x 4.0 26.7 5.0 18.7 81.5 82.2 75.9 42.1 1,236.6 184.7

(20, 30y] OTR 918.3 1,045.3 1.0 4.9 52.5 52.3 0.060 0.282 3.4 3.0

1 x 314.9 446.9 3.7 9.1 57.3 55.3 0.7 1.2 10.9 7.4

2 x 34.1 123.3 6.2 25.1 61.2 58.1 10.9 12.2 107.7 28.3

3 x 13.1 51.7 6.4 23.5 83.7 69.5 29.3 27.3 382.4 80.7

4 x 6.9 37.6 5.9 20.9 57.7 57.3 51.2 33.3 500.8 91.4

Other securities Med. Notional Avg. Notional Med. Notional Avg. Notional Med. Notional Avg. Notional

Bills 85.0 247.2 7.5 39.9 6.1 10.0

FRNs 3.6 28.6 7.7 31.0 223.4 74.5

TIPS 36.5 62.1 9.5 19.9 201.4 60.4

STRIPS 6.7 12.0 12.9 22.5 2,789.6 270.6

Hourly Volume ($millions) Trade Size ($millions) Implied Trade Time for Specified Sizes (minutes)

Hourly Volume ($millions) Trade Size ($millions) Implied Trade Time for Specified Sizes (minutes)

Source: FINRA TRACE; U.S. Department of the Treasury
Appendix

TRACE trade statistics; Jan-Sep 2022 

Avg. daily volume

• On-the-run ~ $430B

• Off-the-run ~ $130B

Avg. daily # of transactions

• On-the-run ~ 187k

• Off-the-run ~ 38k

Avg. transaction size

• On-the-run ~ $2.3M

• Off-the-run ~ $3.4M

34

On- and off-the-run figures are for nominal coupons only

Source: FINRA TRACE; U.S. Department of the Treasury
Appendix

USD Swap Reporting Thresholds

35

Swaps 

Tenors

Cap Notl 

(mm) DV01

6m<=1y 1100 111

1y<=2y 460 90

2y<=5y 240 108

5y<=10y 170 139

10y<=30y 120 217

*DV01 uses current rates and 

longest tenor in bucket