Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2021 Q2 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 through Q2 FY2021

• Overall receipts totaled $1.74 trillion, reflecting an increase of $102 billion (6%) on a calendar adjusted basis compared to the same period last fiscal 

year. Corporate taxes were $25 billion (24%) higher FYTD, as every month except one has seen higher levels than last fiscal year. Corporate refunds 

were $5 billion (22%) higher, partially because of CARES Act provisions that expand allowances for net operating losses. Individual refunds were 

$27 billion (‐18%) lighter due to tax season timing changes and other factors. Adjusted withheld and FICA taxes were up just $13 billion (1%) due to 

the economic impact of COVID‐19 and the deferral of certain employer taxes through the end of December 2020. Non‐withheld and SECA taxes 

were $39 billion (21%) higher due primarily to strength in January, when quarterly estimated tax payments were due. Federal Reserve earnings 

were $10 billion (33%) higher reflecting lower interest rates that reduce the Fed's interest expenses and higher System Open Market Account 

(SOMA) holdings. Gross excise taxes were $8 billion (‐18%) lower. Receipts were 15.3% of GDP, unchanged from the same period last fiscal year. 

The full fiscal year average from 2000 to 2019 was 17.1%. 

• Overall outlays were $3.41 trillion, reflecting an increase of $1.06 trillion (45%) over the comparable period last fiscal year. Department of Treasury 

outlays were $476 billion (124%) higher due to the disbursement of $487 billion in Economic Impact Payments, $24 billion in rental assistance and 

$12 billion in airline assistance legislated in both the Consolidated Appropriations Act of 2021 and the American Rescue Plan of 2021. These were 

somewhat offset by $41 billion lower interest on the public debt. Department of Labor outlays were $194 billion higher due to increased 

unemployment costs attributable to the COVID-19 pandemic. Health and Human Services spending was $99 billion (16%) higher mainly due to the 

COVID-19 pandemic as well as overall increases to Medicare and Medicaid. Small Business Administration outlays were $184 billion higher, 

mainly due to the recognition of subsidy costs for PPP in February and March. Outlays were 30.6% of GDP, compared to 22.4% of GDP for the 

same period last fiscal year. The full fiscal year average from 2000 to 2019 was 20.8%. 

Projected Net Marketable Borrowing (FY2021)

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of $463 billion for Q3 FY2021, with 

an end-of-June cash balance of $800 billion. For Q4 FY2021, OFP forecasts a net privately-held marketable borrowing need of $821 billion assuming 

end-of-September cash balance of $750 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. Treasury is assuming a cash balance of approximately $450 billion at the expiration of the debt 

limit suspension on July 31 based on expected outflows under its cash management policies and consistent with its authorities and obligations, 

including the Bipartisan Budget Act of 2019.

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 May 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%)

(50%)

0 %

50%

100%

150%

200%

250%

300% Mar-11 Jun-11

Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13

Sep-13 Dec-13 Mar-14 Jun-14

Sep-14 Dec-14 Mar-15 Jun-15Sep-15 Dec-15 Mar-16 Jun-16Sep-16 Dec-16 Mar-17 Jun-17Sep-17 Dec-17 Mar-18 Jun-18

Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20

Sep-20 Dec-20 Mar-21 Year-over-Year % Change

Quarterly Tax Receipts

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

0

20

40

60

80

100

120

140

160

180 Mar-11 Jun-11 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 $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 

-1000

100

200

300

400

500

600

700

800

900

1,000 Treasury HHS SSA Defense Labor SBA Agriculture V A OPM Education Transportation Homeland Security Other Defense Civil $ bn

Largest Outlays

Oct - Mar FY 2020 Oct - Mar FY 2021
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q2-11 Q3-11 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 $ 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 Estimates represent the medians from the primary dealer survey in April 2021. The FY2021 net borrowing estimates are 

normalized with an assumption of end-of-September 2021 cash balance of $750 billion. 

2 Treasury's Office of Fiscal Projections (OFP) borrowing estimates announced on May 3, 2021.

3 CBO projections are using estimates are from Table 1 of "The Budget and Economic Outlook: 2021 to 2031,” February 2021 and 

addons of the American Rescue Plan Act of 2021. 

https://www.cbo.gov/system/files/2021-03/Estimated_Budgetary_Effects_of_HR_1319_as_passed_0.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. 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 OFP2 CBO3

FY2021 Deficit Estimate 3,347 3,422

FY2022 Deficit Estimate 1,750 1,585

FY2023 Deficit Estimate 1,330 1,077

FY2021 Deficit Estimate Range 3,000-3,700

FY2022 Deficit Estimate Range 1,100-2,600

FY2023 Deficit Estimate Range 870-1,700

FY2021 Privately-Held Net Marketable Borrowing Estimate 2,585 2,282 2,605

FY2022 Privately-Held Net Marketable Borrowing Estimate 1,750 1,610

FY2023 Privately-Held Net Marketable Borrowing Estimate 1,309 1,120

FY2021 Privately-Held Net Marketable Borrowing Range 1,300-3,672

FY2022 Privately-Held Net Marketable Borrowing Range 875-2,500

FY2023 Privately-Held Net Marketable Borrowing Range 531-1,700

Estimates as of: Apr-21 May-21 Feb-21

FY 2021-2023 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%

(4,000)

(3,500)

(3,000)

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 2030 Deficit to GDP $bn

Budget Surplus/Deficit*

OMB's (Feb 20) Surplus/Deficit (LHS)

CBO's (Feb 21) Surplus/Deficit with addon effects of the American Rescue Plan 2021 (LHS)

PD Survey (Apr 21) (LHS)

OMB's (Feb 20) Surplus/Deficit as a % of GDP (RHS)

*OMB’s projections are from OMB’s Table S-10 of “A Budget for America’s Future, Fiscal Year 2021,” February 2020.

OMB projections reflect pre-CARES Act forecasts and will be updated when new projections become available. 

CBO’s deficit projections are using estimates from CBO’s Table 1 of “The Budget and Economic Outlook: 2021 to 2031,” February

2021 and addons of the American Rescue Plan Act 2021 (https://www.cbo.gov/system/files/2021-

03/Estimated_Budgetary_Effects_of_HR_1319_as_passed_0.pdf).

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.

Privately-Held Net Marketable Borrowing Outlook*

$ 0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

Q1 Q2 Q3 Q4

$ bn

FY18 FY19 FY20 FY21 FY 21 (projection-OFP)
Section III:

Financing

14
15

Assumptions for Financing Section (pages 16 to 19)

• Portfolio and SOMA holdings as of 03/31/2021.

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

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

of ~$4.67 trillion. 

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

as of 03/31/2020.

• 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 (295) Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 696 4-Week 410 390 2 0 800 780 2 0

Subtotal: Net Marketable Borrowing 401 8-Week 465 455 1 0 920 910 1 0

13-Week 654 653 1 1,410 1,409 1

Ending Cash Balance 1,122 26-Week 618 612 6 1,332 1,323 9

Beginning Cash Balance 1,729 52-Week 102 6 0 4 2 238 123 115

Subtotal: Change in Cash Balance (607) CMBs

6-Week 375 360 1 5 795 780 1 5

Net Implied Funding for FY 2021 Q2** 1,007 15-Week 175 325 (150) 500 665 (165)

17-Week 370 360 1 0 790 835 (45)

22-Week 210 390 (180) 600 850 (250)

39-Week 0 7 0 (70) 0 7 0 (70)

Other 0 0 0 0 0 0

Bill Subtotal 3,379 3,674 (295) 7,385 7,745 (360)

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 8 0 5 6 2 4 154 111 4 3

2-Year 180 4 9 131 348 135 213

3-Year 174 5 8 116 336 115 221

5-Year 183 8 2 101 354 166 188

7-Year 186 8 4 102 354 145 209

10-Year 117 4 1 7 6 231 8 4 147

20-Year 7 5 0 7 5 148 0 148

30-Year 7 5 3 7 2 149 3 146

5-Year TIPS 0 0 0 3 2 0 3 2

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

30-Year TIPS 9 0 9 9 0 9

Coupon Subtotal 1,107 411 696 2,155 797 1,358

January - March 2021 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY21 Q2*

January - March 2021 January - March 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 February 2021 refunding. 

*** Assumes an end-of-June 2021 cash balance of $800 billion versus a beginning-of-March 2021 cash balance of $1,122 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*** 463

Net Coupon Issuance 712

Implied Change in Bills (249)

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 8 0 5 6 2 4 234 167 6 7

2-Year 180 5 0 130 528 185 343

3-Year 174 6 2 112 510 177 333

5-Year 183 7 9 104 537 245 292

7-Year 186 8 9 9 7 540 234 306

10-Year 117 2 5 9 2 348 109 239

20-Year 7 5 0 7 5 223 0 223

30-Year 7 5 3 7 2 224 6 218

5-Year TIPS 3 3 4 1 (8) 6 5 4 1 2 4

10-Year TIPS 1 3 0 1 3 5 3 3 8 1 5

30-Year TIPS 0 0 0 9 0 9

Coupon Subtotal 1,116 404 712 3,271 1,202 2,069

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY21 Q3*

April - June 2021

April - June 2021 Fiscal Year-to-Date
18

*CBO’s February 2021 economic assumption of the annual average 10-Year Treasury note rates reflect projections for 2021, 2022, 2023, and 

averages for the periods 2024-25 and 2026-31 (Table 2-1). 

0.5

1

1.5

2

2.5

3

3.5

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 03/31/2021 CBO's "An Overview of the Economic Outlook: 2021 to 2031" (Feb 2021)

1 0-Year Treasury 

Rate of 1.742% as 

of 03/31/2021

CBO estimates 3.0% 

average over 2026-31

CBO estimates 2.0% 

average over 2024-25
0

500

1,000

1,500

2,000

2,500

3,000

2021 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)

American Rescue Plan Act 2021 adjusted CBO deficit estimates for FY2021 to FY2031, February 2021 OMB's FY2021 Budget, February 2020

PD Survey Privately-Held Net Marketable Borrowing Estimates, April 2021 OFP's FY 2021 Net Marketable Borrowing Estimate

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 03/31/2021*

Treasury’s latest primary dealer survey median estimates can be found on page 11. OMB’s borrowing projections are from Table S-10 of “A Budget for America’s 

Future, Fiscal Year 2021,” February 2020. CBO’s borrowing projections are using estimates from Table 1 of CBO's “The Budget and Economic Outlook: 2021 to 

2031,“ February 2021 and addons of the American Rescue Plan Act 2021. 

https://www.cbo.gov/system/files/2021-03/Estimated_Budgetary_Effects_of_HR_1319_as_passed_0.pdf

Future Fed purchases are derived from the Fed’s March 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/mar-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. 

OMB projections before April 2020 reflect pre-CARES Act forecasts and will be updated when new projections become available.
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 Q2 FY2021

03/31/2021 

66.7 months

60.2 months (Historical Average 

from 1980 to Present)
22

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 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%

03/31/21 

21.8%

03/31/21 

7.4%

03/31/21 

2.5%

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)

03/31/21 26%

03/31/21 $4,343 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

03/31/21 

56%

03/31/21 

33%
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 0.038 3.6 362.4 51.1 12.0 36.9 17.61 33.7 3.4

Bill 8-Week 0.045 3.5 421.5 49.0 8.6 42.5 8.51 38.4 7.7

Bill 13-Week 0.051 3.0 695.3 47.4 6.4 46.2 15.76 81.2 21.2

Bill 26-Week 0.064 3.1 659.4 44.1 5.3 50.5 12.59 76.7 40.0

Bill 52-Week 0.077 3.6 101.2 50.7 4.7 44.6 0.78 9.6 11.9

CMB 6-Week 0.043 3.4 414.8 56.0 9.6 34.4 0.21 0.0 5.1

CMB 15-Week 0.073 3.9 150.0 52.6 11.1 36.3 0.02 0.0 4.7

CMB 17-Week 0.056 3.6 404.9 46.0 7.1 46.9 0.12 0.0 14.1

CMB 22-Week 0.077 3.5 180.0 51.7 9.4 38.9 0.01 0.0 8.2

Coupon 2-Year 0.132 2.6 179.3 30.0 15.1 54.9 0.73 31.9 45.2

Coupon 3-Year 0.262 2.5 173.6 32.8 16.3 50.9 0.40 30.5 65.5

Coupon 5-Year 0.632 2.3 182.9 26.4 15.0 58.5 0.11 32.4 113.5

Coupon 7-Year 1.083 2.2 185.9 28.1 18.8 53.1 0.08 32.9 157.9

Coupon 10-Year 1.277 2.4 116.9 21.9 18.2 59.9 0.07 21.0 138.7

Coupon 20-Year 1.954 2.3 75.0 25.6 15.9 58.5 0.01 13.4 157.2

Coupon 30-Year 2.014 2.3 75.0 18.7 18.2 63.1 0.02 13.7 216.9

TIPS 10-Year -0.798 2.6 27.9 14.5 17.5 68.0 0.07 2.3 32.1

TIPS 30-Year -0.040 2.3 9.0 17.2 14.6 68.1 0.02 0.0 28.2

FRN 2-Year 0.043 3.0 79.9 39.6 1.3 59.1 0.05 3.8 0.0

Total Bills 0.054 3.4 3,389.5 48.8 7.8 43.4 55.60 239.6 116.3

Total Coupons 0.843 2.4 988.6 27.3 16.7 56.0 1.41 175.9 895.0

Total TIPS -0.614 2.5 36.9 15.1 16.8 68.0 0.09 2.3 60.2

Total FRN 0.043 3.0 79.9 39.6 1.3 59.1 0.05 3.8 0.0

Summary Statistics for Fiscal Year 2021 Q2 Auctions
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 May-11 Aug-11 Nov-11 Feb-12 May-12

Aug-12 Nov-12 Feb-13 May-13Aug-13 Nov-13 Jan-14 May-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19 Jul-19 Oct-19 Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-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

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Jun-14

Sep-14 Dec-14 Mar-15 Jun-15Sep-15 Dec-15 Mar-16 Jun-16Sep-16 Dec-16 Mar-17 Jun-17Sep-17 Dec-17 Mar-18 Jun-18Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20Sep-20 Dec-20 Mar-21 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
29

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Mar-16 May-16

Jul-16

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Mar-16 May-16

Jul-16

Sep-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-21 Bid-to-Cover Ratio

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

Nominal Securities (6-Month Moving Average)

7-Year 10-Year 20-Year 30-year
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Feb-08 May-08

Aug-08 Nov-08 Feb-09 May-09Aug-09 Nov-09 Feb-10 May-10Aug-10 Nov-10 Feb-11 May-11Aug-11 Nov-11 Feb-12 May-12

Jul-12 Oct-12 Jan-13

Apr-13

Jul-13 Oct-13 Jan-14

Apr-14

Jul-14 Oct-14 Jan-15

Apr-15

Jul-15 Oct-15 Jan-16

Apr-16

Jul-16 Oct-16 Jan-17

Apr-17

Jul-17 Oct-17 Dec-17 Mar-18 Jun-18

Sep-18 Dec-18 Mar-19 Jun-19Sep-19 Dec-19 Mar-20 Jun-20Sep-20 Dec-20 Mar-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% Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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% Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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% Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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% Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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-16 Nov-16 Jan-17 Mar-17 May-17

Jul-17

Sep-17 Nov-17 Jan-18 Mar-18 May-18

Jul-18

Sep-18 Nov-18 Jan-19 Mar-19 May-19

Jul-19

Sep-19 Nov-19 Jan-20 Mar-20 May-20

Jul-20

Sep-20 Nov-20 Jan-21 Mar-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 Mar-19 Apr-19

May-19

Jun-19

Jul-19

Aug-19

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 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

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

$ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

39

Source: Treasury International Capital (TIC) System as of February 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 %

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

$ 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 3/31/2021*

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

2016 289 (107) 515 58 41 795 

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 (360) 1,256 1,327 52 92 2,367 

2022 0 1,044 1,373 49 80 2,545 

2023 0 796 1,208 31 6 2,042 

2024 0 509 1,303 52 0 1,864 

2025 0 236 1,296 (14) 0 1,518 

2026 0 14 1,290 (1) 0 1,303 

2027 0 0 1,229 (1) 0 1,228 

2028 0 0 810 (19) 0 791 

2029 0 0 826 (12) 0 814 

2030 0 0 802 2 0 805 

2031 0 0 592 (15) 0 577 
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 1/12/2021 0.080 3.46 28.4 57.1 19.6 23.3 1.6 2.9 0.3

4-Week 1/19/2021 0.075 3.62 28.7 57.7 8.7 33.6 1.3 2.8 0.3

4-Week 1/26/2021 0.070 3.95 28.8 45.6 9.4 45.0 1.2 2.9 0.3

4-Week 2/2/2021 0.055 3.91 28.1 46.2 8.0 45.8 1.9 2.4 0.3

4-Week 2/9/2021 0.030 3.86 28.8 57.8 12.4 29.7 1.2 2.9 0.3

4-Week 2/16/2021 0.030 4.10 28.6 41.5 11.7 46.8 1.4 2.8 0.3

4-Week 2/23/2021 0.025 3.65 28.7 54.6 19.7 25.7 1.3 2.9 0.3

4-Week 3/2/2021 0.035 3.30 28.1 49.7 9.3 41.0 1.9 2.4 0.3

4-Week 3/9/2021 0.030 3.40 28.7 51.8 10.4 37.8 1.3 2.9 0.3

4-Week 3/16/2021 0.030 3.81 28.5 48.8 5.6 45.6 1.5 2.8 0.3

4-Week 3/23/2021 0.005 3.30 38.6 44.1 21.0 34.9 1.4 3.2 0.4

4-Week 3/30/2021 0.015 3.10 38.2 57.9 6.7 35.4 1.8 2.6 0.3

8-Week 1/12/2021 0.085 3.81 34.7 37.2 12.2 50.6 0.3 3.4 0.6

8-Week 1/19/2021 0.080 3.23 34.1 66.0 7.2 26.8 0.9 3.3 0.6

8-Week 1/26/2021 0.080 3.50 34.4 54.0 15.0 31.0 0.6 3.4 0.6

8-Week 2/2/2021 0.065 3.83 33.8 41.2 4.9 54.0 1.2 2.8 0.6

8-Week 2/9/2021 0.035 3.84 34.4 54.0 6.5 39.5 0.6 3.4 0.6

8-Week 2/16/2021 0.035 3.39 34.4 46.6 12.4 41.0 0.6 3.3 0.6

8-Week 2/23/2021 0.030 3.78 34.4 45.3 15.6 39.1 0.6 3.4 0.6

8-Week 3/2/2021 0.040 3.05 33.8 59.6 5.5 34.9 1.2 2.8 0.6

8-Week 3/9/2021 0.035 3.34 34.5 45.3 4.5 50.2 0.5 3.4 0.6

8-Week 3/16/2021 0.035 3.40 34.7 38.0 1.2 60.8 0.3 3.3 0.6

8-Week 3/23/2021 0.010 3.10 39.4 59.8 9.9 30.3 0.6 3.2 0.7

8-Week 3/30/2021 0.020 3.44 38.8 40.5 7.8 51.7 1.2 2.6 0.7

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 1/7/2021 0.090 2.95 53.3 45.8 4.6 49.7 0.7 6.9 1.6

13-Week 1/14/2021 0.090 2.92 52.5 49.6 11.7 38.6 1.5 6.6 1.6

13-Week 1/21/2021 0.085 2.99 52.8 52.2 3.2 44.6 1.2 7.6 1.7

13-Week 1/28/2021 0.080 2.92 52.3 55.6 7.0 37.4 1.7 7.4 1.6

13-Week 2/4/2021 0.065 2.88 52.8 52.7 8.9 38.4 1.2 7.3 1.7

13-Week 2/11/2021 0.035 3.02 52.9 46.3 15.8 37.9 1.1 6.1 1.6

13-Week 2/18/2021 0.040 2.72 52.9 43.9 4.4 51.7 1.1 7.1 1.6

13-Week 2/25/2021 0.030 2.88 52.3 51.5 7.3 41.2 1.7 6.0 1.6

13-Week 3/4/2021 0.040 3.06 53.0 41.1 2.7 56.2 1.0 7.2 1.6

13-Week 3/11/2021 0.045 3.06 53.1 41.9 3.6 54.6 0.9 5.2 1.6

13-Week 3/18/2021 0.030 3.31 55.9 41.3 5.8 52.9 1.1 4.9 1.6

13-Week 3/25/2021 0.015 3.16 55.5 37.7 3.5 58.8 1.5 2.0 1.6

13-Week 4/1/2021 0.020 2.68 56.0 56.6 5.0 38.4 1.0 6.9 1.7

26-Week 1/7/2021 0.090 3.24 50.5 39.4 4.3 56.3 0.5 6.5 3.1

26-Week 1/14/2021 0.090 3.29 50.1 34.7 10.8 54.5 0.9 6.2 3.1

26-Week 1/21/2021 0.095 3.09 50.2 47.4 2.9 49.7 0.8 7.2 3.1

26-Week 1/28/2021 0.085 3.48 49.5 44.4 5.6 50.0 1.5 7.0 3.1

26-Week 2/4/2021 0.070 3.41 50.1 41.3 3.2 55.6 0.9 6.9 3.1

26-Week 2/11/2021 0.050 2.99 50.0 55.1 13.1 31.8 1.0 5.8 3.1

26-Week 2/18/2021 0.060 3.02 50.1 47.6 3.5 48.9 0.9 6.7 3.1

26-Week 2/25/2021 0.045 2.81 49.5 59.1 6.6 34.2 1.5 5.7 3.0

26-Week 3/4/2021 0.060 2.91 50.2 51.1 6.4 42.4 0.8 6.8 3.1

26-Week 3/11/2021 0.060 3.55 50.2 26.2 1.2 72.7 0.8 4.9 3.0

26-Week 3/18/2021 0.055 2.94 53.3 42.2 5.0 52.8 0.8 4.7 3.1

26-Week 3/25/2021 0.040 2.96 52.5 45.0 3.3 51.7 1.5 1.9 3.0

26-Week 4/1/2021 0.040 2.93 53.4 41.0 3.8 55.2 0.6 6.5 3.2

52-Week 1/28/2021 0.090 3.92 33.7 45.7 7.9 46.4 0.3 4.6 4.1

52-Week 2/25/2021 0.070 3.36 33.8 52.1 3.5 44.5 0.2 3.8 4.0

52-Week 3/25/2021 0.070 3.46 33.7 54.4 2.8 42.8 0.3 1.2 3.8

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)*

6-Week 1/7/2021 0.085 3.13 30.0 74.3 7.4 18.3 0.0 0.0 0.4

6-Week 1/14/2021 0.085 3.18 30.0 68.4 7.6 23.9 0.0 0.0 0.4

6-Week 1/21/2021 0.085 3.34 30.0 63.7 12.2 24.1 0.0 0.0 0.4

6-Week 1/28/2021 0.070 3.94 30.0 59.3 9.2 31.5 0.0 0.0 0.4

6-Week 2/4/2021 0.050 4.05 30.0 57.4 8.3 34.3 0.0 0.0 0.4

6-Week 2/11/2021 0.035 3.43 30.0 64.7 20.8 14.5 0.0 0.0 0.4

6-Week 2/18/2021 0.040 3.10 30.0 55.8 7.4 36.7 0.0 0.0 0.4

6-Week 2/25/2021 0.025 3.24 30.0 53.7 8.8 37.5 0.0 0.0 0.4

6-Week 3/4/2021 0.040 3.54 30.0 44.0 8.3 47.7 0.0 0.0 0.4

6-Week 3/11/2021 0.030 3.75 30.0 51.1 6.9 42.0 0.0 0.0 0.4

6-Week 3/18/2021 0.015 3.75 35.0 50.2 8.5 41.3 0.0 0.0 0.4

6-Week 3/25/2021 0.010 3.16 40.0 47.9 9.0 43.1 0.0 0.0 0.5

6-Week 4/1/2021 0.015 2.97 40.0 44.7 10.3 45.0 0.0 0.0 0.5

15-Week 1/12/2021 0.090 3.73 25.0 50.2 9.1 40.6 0.0 0.0 0.8

15-Week 1/19/2021 0.090 3.84 25.0 50.9 8.2 40.9 0.0 0.0 0.8

15-Week 1/26/2021 0.085 4.21 25.0 43.2 8.0 48.8 0.0 0.0 0.8

15-Week 2/2/2021 0.075 4.07 25.0 57.7 9.6 32.7 0.0 0.0 0.8

15-Week 2/9/2021 0.055 3.84 25.0 60.2 21.5 18.3 0.0 0.0 0.8

15-Week 2/16/2021 0.045 3.61 25.0 53.5 10.1 36.3 0.0 0.0 0.8

Bills (cont.)
45

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

Issue Settle Date

Stop 

Out 

Rate 

(%)

Bid-to-Cover 

Ratio

Competitive 

Awards ($bn)

% Primary 

Dealer % Direct % Indirect

NonCompetitiv

e Awards 

($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)*

17-Week 1/7/2021 0.085 3.93 30.0 47.2 5.5 47.3 0.0 0.0 1.0

17-Week 1/14/2021 0.090 3.61 30.0 51.4 6.5 42.0 0.0 0.0 1.1

17-Week 1/21/2021 0.090 3.78 30.0 42.7 5.9 51.4 0.0 0.0 1.1

17-Week 1/28/2021 0.075 3.95 30.0 58.7 5.5 35.8 0.0 0.0 1.1

17-Week 2/4/2021 0.060 3.97 30.0 52.9 7.9 39.2 0.0 0.0 1.1

17-Week 2/11/2021 0.040 3.80 30.0 41.5 13.2 45.4 0.0 0.0 1.1

17-Week 2/18/2021 0.050 3.24 30.0 58.4 9.4 32.2 0.0 0.0 1.0

17-Week 3/2/2021 0.045 3.16 30.0 59.7 4.9 35.4 0.0 0.0 1.0

17-Week 3/9/2021 0.050 3.71 30.0 29.7 7.8 62.4 0.0 0.0 1.0

17-Week 3/16/2021 0.050 3.75 30.0 50.2 9.4 40.4 0.0 0.0 1.0

17-Week 3/23/2021 0.040 3.42 35.0 48.0 6.8 45.2 0.0 0.0 1.2

17-Week 3/30/2021 0.030 3.65 35.0 20.8 5.0 74.2 0.0 0.0 1.2

17-Week 4/6/2021 0.030 3.49 35.0 41.5 5.2 53.2 0.0 0.0 1.2

22-Week 1/12/2021 0.090 3.57 30.0 45.3 15.1 39.7 0.0 0.0 1.4

22-Week 1/19/2021 0.090 3.62 30.0 58.6 6.8 34.7 0.0 0.0 1.4

22-Week 1/26/2021 0.090 3.63 30.0 41.2 6.1 52.7 0.0 0.0 1.4

22-Week 2/2/2021 0.080 3.59 30.0 55.5 6.5 37.9 0.0 0.0 1.4

22-Week 2/9/2021 0.055 3.57 30.0 49.5 14.8 35.7 0.0 0.0 1.4

22-Week 2/16/2021 0.055 3.23 30.0 60.3 7.0 32.7 0.0 0.0 1.4

Bills (cont.)
46

*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 2/1/2021 0.125 2.67 59.8 27.7 15.6 56.6 0.2 8.1 14.5

2-Year 3/1/2021 0.119 2.44 59.7 30.7 12.0 57.3 0.3 13.0 15.5

2-Year 3/31/2021 0.152 2.54 59.8 31.7 17.6 50.7 0.2 10.8 15.2

3-Year 1/15/2021 0.234 2.52 57.9 33.2 14.6 52.2 0.1 5.8 20.4

3-Year 2/16/2021 0.196 2.39 57.9 31.2 16.0 52.7 0.1 21.0 25.4

3-Year 3/15/2021 0.355 2.69 57.9 34.0 18.2 47.8 0.1 3.6 19.7

5-Year 2/1/2021 0.424 2.34 61.0 25.4 14.1 60.5 0.0 8.2 36.6

5-Year 3/1/2021 0.621 2.24 61.0 28.6 14.4 57.1 0.0 13.2 38.9

5-Year 3/31/2021 0.850 2.36 60.9 25.3 16.6 58.1 0.1 11.0 37.9

7-Year 2/1/2021 0.754 2.30 62.0 19.6 16.3 64.1 0.0 8.4 51.3

7-Year 3/1/2021 1.195 2.04 62.0 39.8 22.1 38.1 0.0 13.4 54.0

7-Year 3/31/2021 1.300 2.23 61.9 24.7 18.0 57.3 0.1 11.1 52.6

10-Year 1/15/2021 1.164 2.47 38.0 20.0 17.8 62.2 0.0 3.8 41.8

10-Year 2/16/2021 1.155 2.37 41.0 20.5 18.9 60.6 0.0 14.9 56.7

10-Year 3/15/2021 1.523 2.38 38.0 25.4 17.8 56.8 0.0 2.4 40.3

20-Year 2/1/2021 1.657 2.28 24.0 25.7 14.5 59.7 0.0 3.2 49.8

20-Year 3/1/2021 1.920 2.15 27.0 29.1 16.0 54.9 0.0 5.8 57.7

20-Year 3/31/2021 2.290 2.51 24.0 21.6 17.0 61.4 0.0 4.3 49.6

30-Year 1/15/2021 1.825 2.47 24.0 14.2 17.2 68.6 0.0 2.4 65.6

30-Year 2/16/2021 1.933 2.18 27.0 22.2 17.3 60.5 0.0 9.8 90.3

30-Year 3/15/2021 2.295 2.28 24.0 19.2 20.2 60.6 0.0 1.5 61.0

2-Year FRN 2/1/2021 0.049 2.82 28.0 46.8 1.1 52.1 0.0 3.8 0.0

2-Year FRN 2/26/2021 0.045 2.88 26.0 39.3 1.1 59.7 0.0 0.0 0.0

2-Year FRN 3/26/2021 0.035 3.25 26.0 32.1 1.9 66.0 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 1/29/2021 (0.987) 2.68 15.0 17.7 19.5 62.8 0.0 0.0 16.0

10-Year TIPS 3/31/2021 (0.580) 2.42 13.0 10.8 15.2 74.0 0.0 2.3 16.1

30-Year TIPS 2/26/2021 (0.040) 2.31 9.0 17.2 14.6 68.1 0.0 0.0 28.2

TIPS
TBAC Charge

1

Treasury market liquidity has, at times, been strained during recent episodes 

of broader market stress. What lessons have been learned in recent years 

regarding Treasury market structure and vulnerabilities in the non-bank 

financial sector, and what efforts should be considered to improve market 

functioning and reduce the need for public sector interventions during future 

episodes of heightened uncertainty?

Treasury Market Functioning

May 2021
Agenda

2

● Events with notable shifts in UST liquidity 

– Flash Rally (October 2014)

– Repo Spike (September 2019)

– COVID-19 Crisis (March 2020)

– February 25th, 2021

● What considerations do these events raise?

● What efforts could be made to improve market functioning in light of these considerations?
Stress in the Treasury markets: flash rally

3

● Over the past decade the Treasury secondary market has experienced four notable disruptions worth 

discussing: flash rally (October 2014), repo spike (September 2019), COVID-19 crisis (Spring 2020), and a 

liquidity breakdown following the 7yr auction Feb 25th, 2021.

● Flash rally (October 2014): On October 15th 2014 the 10y Treasury yields experienced a 37bp intraday 

trading range and loss of liquidity, despite the lack of an obvious trigger in the form of data or significant 

policy announcements. This, combined with the increase in electronic trading of UST, raised questions 

about the increased role of PTFs (Proprietary Trading Firms) in the UST market.

● Normalization happened without official sector intervention.

On Oct 15th 2014 the 10y UST yield collapsed intraday

Source: Joint Staff Report: The U.S. Treasury Market on October 15, 2014 (July 13, 2015), NY Fed. Greenwich Associates, SIFMA estimates.

Electronic trading as a share of volume
Stress in the Treasury markets: repo spike

4

• Repo spike (September 2019): On September 17th overnight Treasury repo rates spiked materially. That 

week there was a large drop in reserves due to corporate tax payments and settlement of UST issuance, 

coinciding with declining reserves due to the Fed’s balance sheet normalization. 

• It is important to note that this stress event originated as a funding crisis, due to scarcity of reserves. 

While this flowed through to UST cash liquidity, that was a response to funding volatility rather than a 

stress event driven by secondary market liquidity in UST.

• Through a combination of term and overnight repo operations, as well as technical adjustments to IOER 

and ON RRP, the Fed helped facilitate a return to normal market functioning.

Overnight repo rates spiked in 2019...

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Apr-18 Sep-18 Feb-19 Jul-19 Dec-19 May-20 Oct-20 Mar-21

SOFR, %

September 17th

Source: Bloomberg, NY Fed

...as reserves shrunk

1200

1300

1400

1500

1600

1700

1800

Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20

Reserves ($bn)

September 18th 2019
Stress in the Treasury Markets: COVID-19

5

● COVID-19 pandemic: The pandemic caused sweeping disruption and unprecedented uncertainty globally 

culminating in a series of business and government lockdowns in March 2020:

– Increased economic uncertainty drove market volatility higher, widened credit spreads, and led to a rapid 

downdraft in equity markets. Volatility across financial instruments spiked, reducing risk tolerance, raising cash 

requirements in margin and, in some cases, forcing sales.

– End users: Non-financial corporates tapped capital markets, demand for US dollars increased materially, prime 

money market funds (MMFs) experienced significant outflows, some open-ended funds experienced 

redemptions, and significant sales of USTs to fund the dash for cash.

– Intermediators: Increased volatility and unprecedented scale and speed of market moves challenged risk 

intermediation. Regulatory constraints and operational challenges reduced flexibility in balance sheet and risk 

tolerance. Bid offer widened sharply, liquidity premium spiked in cash and futures, and market functioning was 

materially impaired.

– Fed response was historic in scope and scale and restored functioning in the Treasury market and beyond.

VIX futures well surpassed ‘08 crisis levels

0

10

20

30

40

50

60

70

80

90

Feb-06 Jan-08 Dec-09 Nov-11 Oct-13 Sep-15 Aug-17 Jul-19

1st VIX future

Source: Bloomberg. Lorie Logan, “Treasury Market Liquidity and Early Lessons from the Pandemic Shock”, 10-23-2020. 

Weekly Treasury volumes net of Fed purchases, 

10-year equivalents
Stress in the Treasury Market: February 25th, 2021

6

● February 25th 2021: the 20y bond had a significant liquidity event:

– The 20y bond cheapened against the curve intraday. The 10s20s30s fly moved higher by ~15bp before normalizing back 

by the end of the 26th.

– Liquidity had declined following a weak 7y auction at 1pm which tailed by almost 4.5bp (~3 standard deviation event).

– The 20y point had been cheapening against the curve entering the 25th on the back of a relatively weak 20y auction on the 

17th (tailed by over 2bp).

– Market conditions trended towards normalization without intervention in the following days.

● Liquidity had begun deteriorating in early February as the Treasury curve bear steepened on the back of expectations for a 

stronger economic reopening and the $1.9tn fiscal stimulus package:

– 1m10y implied volatilities increased by ~30 normal vols from Jan ME to Feb 25th.

– The market priced in a more accelerated rate hiking cycle: on Feb 25th expectations reached ~3 rate hikes by YE23 up 

from only 1.4 on January ME. 

On the 25th 20y USTs cheapened up dramatically on an 

intraday basis following the weak 7y auction

Source: Bloomberg; Note: The RHS chart reports rolling 1m changes

Implied vol and yields moved higher into February

50

52

54

56

58

60

62

64

2/26 4:30

PM

2/26 9:00

AM

2/26 1:30

AM

2/25 4:15

PM

2/25 8:45

AM

2/25 1:15

AM

2/24 4:00

PM

2/24 8:30

AM

10s20s30s UST fly, bp

7y auction

-20

-10

0

10

20

30

40

50

60

-20

-10

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10

20

30

Dec-20 Jan-21 Feb-21 Mar-21 Apr-21

1m change in...

3m10y implied vol, normals

10y yields, bp (RHS)

Feb 25th
What considerations do these episodes raise?

7

● Liquidity within the UST complex can vary; on the runs tend to retain liquidity better

● Treasuries can be used as a source of cash in a time of stress, when other assets are less liquid

● Opportunistic players provide a valuable source of demand through cash/futures or broader relative value 

arbitrage, but quick exits can be disruptive.

● Intermediation has not kept pace with the scale of increase in the outstanding UST debt supply.

● While some episodes were naturally resolved, others required intervention from the official sector. 

● Not all events have clear and easily anticipated triggers. Therefore tools to navigate volatility may be more 

valuable than tools that aim to fully prevent it.

Source: https://www.brookings.edu/research/enhancing-liquidity-of-the-u-s-treasury-market-under-stress/
Liquidity within the UST complex can vary in times of stress

8

● Treasuries are frequently a source of safety in flight to quality episodes.

● In flight-to-quality episodes basis risk increases between off-the-run/on-the-run Treasuries and 

cash/futures.

– For example in March 2020 investor demand was focused almost exclusively on on-the-run USTs and 

Treasury futures, both of which saw significant premiums to off-the-run securities. 

– Both on-the-run USTs and Treasury futures maintained better liquidity and volumes than off-the-run 

securities.

Source: Lorie Logan, “Treasury Market Liquidity and Early Lessons from the Pandemic Shock”, 10-23-2020. Bloomberg

Treasury futures premium increased over cash bonds 

in March 2020

Treasury bid-ask spreads widened materially in March
Treasuries can be a source of liquidity in a dash for cash

9

● Asset managers rely on treasuries for their unmatched liquidity especially in periods which require cash 

raises to offset increasing redemptions. 

– Liquidity challenges in other asset classes can drive selling in USTs.

● Foreign official accounts typically rely on USTs to store dollar holdings and assist in currency defense.

● Investors turn to the Treasury market to raise cash.

– Margin requirements increased in March 2020; while not exclusively due to the increase in volatility, 

CCP deposits at the Fed increased by ~$200bn.

– Investors sourced duration in futures while selling off-the-run USTs to raise cash to meet redemptions.

Source: Fed’s H.4.1 and Z1 release.

Higher vol drove CCP IM requirements higher There was significant domestic selling by mutual funds

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100

150

200

250

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1/1 1/15 1/29 2/12 2/26 3/11 3/25 4/8

Deposits of CCPs at the Fed, $bn (lhs)

VIX (rhs)

-600

-500

-400

-300

-200

-100

0

100

200

300

400

Q1-00 Q1-05 Q1-10 Q1-15 Q1-20

Mutual Fund

Households & Nonprofit Org (incl. Hedge Funds)

Quarterly net transaction in 

Treasuries, $bn
Leveraged trading can contribute to pro-cyclical risks 

10

● Many opportunistic investors sell Treasury futures and buy off-the-run Treasuries to monetize the any presence of 

richness in futures and cheapness in off-the-runs. 

– This can serve to improve UST pricing and reduce cost to the taxpayer in normal markets.

– Typically trades are highly levered, so sudden unwinds can be disruptive to market functioning.

● Variation margin can be a challenge when volatility of the basis rises. 

– Hedge funds typically hold the futures leg of the trade with one Futures Commission Merchant (FCM) while the 

financing of the bond leg is split amongst multiple dealers to optimize balance sheet pricing/availability. This 

creates cash flow timing issues as the CME is paid on trade date while VM for the bond leg of the trade comes in 

on T+1.

● Increased volatility can lead to increased IM requirements driving stop outs as evidenced by March 2020

– TU and TY IM increased by 50% and US and WN IM requirements were doubled by mid-March 2020

TU futures richened materially against 2y USTs in 

March 2020

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-15.0

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Mar-19 May-19 Jul-19 Sep-19 Nov-19 Jan-20 Mar-20

Demand for futures over OTRs

2y OIS/UST, bp

OIS/TU, bp

Richer

UST volatility, especially at the long-end of the curve, 

drove the CME to increase IM requirements last year

0

50

100

150

200

250

300

350

Mar-01 Mar-04 Mar-07 Mar-10 Mar-13 Mar-16 Mar-19

1m realized volatility 30y USTs, bp

Source: Bloomberg
Role of intermediation amid evolving market structure

11

● Role of risk intermediaries became critical for market functioning, though March 2020 shows they have been unable 

to scale to the size of the market need without a shift in pricing:

– Unprecedented volatility and a shifting market environment made it challenging for banks to quickly reallocate 

capital and balance sheet.

– Strengthened risk controls for approval processes for large trades, shifts in risk limits, real time liquidity 

calculations make it hard for dealers to adapt and scale up in real time.

– Regulatory ratios were often cited as a constraint for risk and balance sheet flexibility in March 2020.

● PTFs, which are primarily made up of high frequency trading firms, tend to pull back from the Treasury market 

during stress as seen during October 2014 and March 2020. 

– A decline in PTF liquidity, whether a reduction in size (as in October 2014) or a reduction in bid offer or 

participation at all, can contribute to lower order book depth and wider b/o.

● These factors can be increasingly relevant as the UST universe grows in absolute terms and relative to repo 

availability.

Source: Bloomberg, NY Fed

Repo availability has fallen relative to... ...the increase in coupon supply

0

100

200

300

400

Jan-15 Jan-17 Jan-19 Jan-21

Gross coupon auction sizes, $bn

2yr 3yr 5yr 7yr

10y 20yr 30y
Fed tools can provided key support to market functioning

12

● At each FOMC meeting the FOMC authorizes and directs the Open Market Desk at the NY Fed to execute transactions in 

SOMA to fulfil policy goals. For example we highlight current goals to:

– Undertake open market operations to maintain Fed effective in a specified target range (currently 0-0.25%).

– Sustain smooth functioning of UST and MBS markets by increasing SOMA holdings of these securities.

Overnight funding rates are a function of reserves Dislocations across the Treasury curve normalized 

following the Fed’s UST purchases in March 2020

Source: Bloomberg; NY Fed; Internal calculations

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200

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1000 1200 1400 1600 1800 2000 2200

SOFR/IOER, bp

Reserves, $bn

Balance sheet normalization

Reserve scarcity 

= higher repo

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2.0

Apr-19 Jun-19 Aug-19 Oct-19 Dec-19 Feb-20 Apr-20

Spread to a fitted curve, bp 

5y 10y 30y

Fed program Target group Flash rally Repo spike COVID crisis 20y liquidity stress

Asset purchases UST holders Yes Normalization Yes Yes

FIMA Repo Facility Central banks No No Yes Yes

Central bank swap lines Central banks Yes Yes Yes Yes

Daily o/n repo operations Primary dealers No No Yes Yes

Primary Dealer Credit Facility (PDCF) Primary dealers No No Yes Yes

Money Market Mutual Fund Liquidity Facility (MMLF) MMFs/Muni No No Yes Yes

Commercial Paper Funding Facility (CPFF) Corporates/Muni No No Yes Yes

Main Street Lending Programs Corporates No No Yes No

Municipal Liquidity Facility (MLF) State/local No No Yes No

Paycheck Protection Program Liquidity Facility (PPPLF) Banks No No Yes Yes

Primary Market Corporate Credit Facility (PMCCF) Corporates No No Yes No

Secondary Market Corporate Credit Facility (PMCCF) Corporates No No Yes No

Term Asset-Backed Securities Loan Facility (TALF) Consumers/Corporates No No Yes No

The programs were around during...

-100

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200

250

300

350

1000 1200 1400 1600 1800 2000 2200

SOFR/IOER, bp

Reserves, $bn

Balance sheet normalization

Reserve scarcity 

= higher repo
What have we learned from these historic episodes?

13

● Emphasis should be placed on gathering and analyzing both public and non-public data.

● How should market participants and regulators balance the response to rare events?

– Many market structure changes could impact the normal operating environment for USTs, structurally 

changing regular way market participation in primary and secondary markets

– It is therefore critical for the official sector to incorporate structural impact to both normal and stressed 

market environments when considering various responses

– Improvements with low permanent cost should clearly be made

● Tools to navigate volatility may be more valuable than tools that aim to fully prevent it
A standing repo facility

14

Proposal

● Offer US government and agency financing under pre-established arrangements in stress times 

– Include both independent and bank-affiliated dealers; careful consideration could be given to broader eligibility

– Financing rates will be slightly above market rates, haircuts will be at market levels

Pros

● Help ease bank-affiliated dealers’ unwillingness to lend and allow dealers to confidently meet the surge in demand for 

liquidity under stress

– Reduce the intensity of the dash-for-cash by investors, as financing of USTs would be assured, albeit at penalty rates.

● Encourage more dealers to provide intermediation in competition with the current dominant dealers, all of which are affiliates 

of G-SIBs, which would help to reduce the considerable concentration of activity. 

Cons

● Potential political resistance for a new facility which intervenes in funding markets.

● Introduces potential moral hazard concerns arise that dealers might take on excessive leverage and maintain 

inappropriately small liquidity buffers.

– Can be addressed through prudential regulation- would need to be tailored to the independent dealers. 

– Price would need to balance BAU use by banks and avoid over reliance.

● Dealer balance sheet limits might erode the ability to tap this facility in times of stress

Would this proposal`

Have helped in... Have eliminated the need 

for official action?

Likely impact market 

structure in normal times?

The Flash Rally? Repo spike? The COVID crisis? Feb 25, 2021?

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
A standing buyback or purchase facility

15

Proposal

● Offer US government bond switch opportunities or straight buy backs under pre-established arrangements in stress times 

– Include both independent and bank-affiliated dealers; careful consideration could be given to broader eligibility

– Switch rates should be slightly above market rates

Pros

● Help to normalize liquidity performance across the UST complex in times of stress.

● Buybacks give the Treasury an additional tool to manage the Treasury cash balance.

● Enable intermediaries to confidently meet the surge in demand for more liquid parts of the UST complex, albeit at penalty 

rates.

● Could possibly help reduce overall buying costs.

● Encourage more dealers to provide intermediation in competition with the current dominant dealers, all of which are affiliates 

of G-SIBs. 

– Reduce the considerable concentration of activity 

Cons

● Challenging to structure; hard to anticipate and predefine the market need and, therefore, the set up.

● Questions around co-existence with traditional Fed actions like asset purchases.

Would this proposal`

Have helped in... Have eliminated the need 

for official action?

Likely impact market 

structure in normal times?

The Flash Rally? Repo spike? The COVID crisis? Feb 25, 2021?

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
Targeted bank regulatory changes (mainly on SLR)

16

Proposal

● Make SLR changes permanent

– Propose to exclude reserves from SLR permanently, but not USTs

• Logic being reserve balances at central bank are riskless, while USTs pose interest rate risk

– Fed needs to review if an increase in minimum SLR requirement is needed with the exclusions

– Note the exclusion of UST and reserves from SLR calculation lapsed at the end of Q1 2021

● Do not propose to lower the minimum SLR, as it will reduce bank safety and soundness

– Replace some of the higher static buffers with a countercyclical component, to support market liquidity in stress times

● Pursue commensurate exemptions for the T1 leverage ratio to help custody banks as they are not SLR constrained.

Pros

● Improves facilitation in repo and UST cash during stress times, as this would contribute to increase balance sheet flexibility.

● Recognizes substitutability between reserves and USTs.

Cons

● While temporary exemption facilitated market digestion of supply increases due to COVID fiscal stimulus, it would not have

fully prevented the March liquidity stress in isolation.

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
Mandated Central Clearing

17

Cash Market: Pros

● Increase confidence in capitalization of CCP members; 

concentrates counterparty risk, though this is not considered a 

material hurdle in cash trading

● CCP can improve market structure to prevent settlement 

failures in stress times

● Potentially improve financial stability by improving transparency 

Cash Market: Cons

● Counterparty risk is limited in the UST market and was not the 

primary issue driving the March volatility

● Could impair market access for customers unable to accept 

mutualization of risk

● CCP margin requirements can be pro-cyclical during stress.

● Increased cost might cause more thinly capitalized players to 

stop participating in UST market

Repo Market: Pros

● Concentrates counterparty exposure with CCPs

● Increases netting benefits, effectively freeing up balance 

sheet

● Potentially improve financial stability by improving 

transparency 

Repo Market: Cons

● Counterparty risk was not the primary issue driving the 

March volatility.

● Could impair market access for customers unable to 

accept mutualization of risk.

● CCP margin requirements can be pro-cyclical during 

stress.

Proposal

● Mandate central clearing, for either cash UST market or Repo market

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
All-to-All Trading

18

Proposal

● Encourage the further development “all-to-all” trading platforms, to facilitate asset managers and asset owners to 

trade with one another more directly. “All-to-all” trading participation is considered to be predicated on mandatory 

central clearing.

Pros

● May reduce reliance on primary dealers

● May reduce costs for end users

Cons

● Take up of all-to-all platforms has struggled thus far, suggesting interest level is not high enough to be pursued.

● All-to-all platforms could cut into the volume of CLOBs

– Can cause the erosion of primary venue liquidity, which happened in the FX markets

● Off-the-run USTs are less frequently traded but account for 95% of the market, but current all-to-all platforms have 

focused on on-the-run USTs, indicating the value of intermediation in off the runs (primary contributors to the March 

volatility).

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
Improve data collection and disclosure & enhance transparency

19

Proposal

● Gather greater disclosure of financial conditions and activities of non bank financial institutions (NBFIs)

● Collect data for bilateral uncleared repo in the dealer-to-customer market

● Reconsider the scope of reporting requirements 

● Review the pros and cons in advance of any change (timing or size) to TRACE dissemination

Pros

● Allow regulators to better monitor leverage and funding risks in the nonbank financial sector

● Increased transparency on financial conditions of NBFIs could also increase participation in the UST market, and improve confidence in 

central clearing

Cons

● Infrastructure build is burdensome, and cost may outweigh benefits

● Pricing nuances such as liquidity levels, especially in off-the-run securities, may not be captured

● Regular re-calibration may be necessary to ensure information is increasing transparency without impairing the market’s ability to recycle 

risk

● Real time TRACE dissemination would expose inventory to the market, and likely lessen intermediary capacity, which is especially 

challenging in times of illiquidity.

Green check: Would have helped materially; Question Mark: Impact uncertain; Salmon X: Unlikely to have helped; Red X: Would not have helped. 
Conclusions

20

● While post financial crisis regulation strengthened bank capitalization and balance sheets, it has 

contributed to intermediation headwinds for primary dealers. Significant market volatility and higher margin 

calls worsened the stress for intermediaries and investors alike. 

● While the unwind of levered bond basis or RV trades likely exacerbate market moves in times of stress, in 

normal market environments they serve to reduce cost to the taxpayer.

– Separation of futures clearing and cash repo for package trades increases liquidity costs of carrying 

positions, exacerbated in times of stress.

● The speed and adaptability of the Fed response, when necessary, is powerful. In the COVID-19 crisis, it 

drove a sharp recovery.

– The impact of the SLR exemption, while not instantaneously impactful, was meaningful in the market’s 

ability to digest the sharp increase in supply.

● When considering proposed solutions, it is critical to consider the impact to both normal and stressed 

market operating environments.

● Mechanisms that introduce counter cyclical forces could benefit the market in times of stress without 

material disadvantage to the normal operating environment.

– The most promising policy proposals include the SLR exemption and the standing repo facility.