Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2014 Q2 Report
Table of Contents

2

I. Fiscal

A. Quarterly Tax Receipts p. 4

B. Monthly Receipt Levels p. 5

C. Eleven Largest Outlays p. 6

D. Treasury Net Nonmarketable Borrowing p. 7

E. Cumulative Budget Deficits p. 8

F. Deficit and Borrowing Estimates p. 9

G. Budget Surplus/Deficit p. 10

II. Financing

A. Sources of Financing p. 12

B. OMB’s Projections of Net Borrowing from the Public p. 14

C. Interest Rate Assumptions p. 15

D. Net Marketable Borrowing on “Auto Pilot” Versus Deficit Forecasts p. 16

III. Portfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections p. 20

B. Projected Gross Borrowing p. 21

C. Recent and Projected Maturity Profile p. 22

IV. Demand

A. Summary Statistics p. 27

B. Bid-to-Cover Ratios p. 28

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
Section I:

Fiscal

3
4 Source: United States Department of the Treasury 

-50%

-25%

0%

25%

50%

75%

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

Year over Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)
5

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 

 -

 20

 40

 60

 80

 100

 120

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporation Income Taxes Social Insurance Taxes Other
6 Source: United States Department of the Treasury 

0

50

100

150

200

250

300

350

400

450

500

HHS

SSA

Defense

Treasury

Agriculture

Labor

VA

Transportation

OPM

Education

Other Defense Civil

$ bn

Eleven Largest Outlays

Oct - Mar FY 2013 Oct - Mar FY 2014
7 Source: United States Department of the Treasury 

(35)

(25)

(15)

(5)

5

15

25

35

Q1-03Q2-03Q3-03Q4-03Q1-04Q2-04Q3-04Q4-04Q1-05Q2-05Q3-05Q4-05Q1-06Q2-06Q3-06Q4-06Q1-07Q2-07Q3-07Q4-07Q1-08Q2-08Q3-08Q4-08Q1-09Q2-09Q3-09Q4-09Q1-10Q2-10Q3-10Q4-10Q1-11Q2-11Q3-11Q4-11Q1-12Q2-12Q3-12Q4-12Q1-13Q2-13Q3-13Q4-13Q1-14Q2-14

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
8 Source: United States Department of the Treasury 

0

200

400

600

800

1,000

1,200

1,400

October

November

December

January

February

March

April

May

June

July

August

September

$ bn

Cumulative Budget Deficits by Fiscal Year

FY2012 FY2013 FY2014
Primary 

Dealers1 CBO2

CBO's Analysis

of the

President's Budget3 OMB4

FY 2014 Deficit Estimate 528 492 506 649

FY 2015 Deficit Estimate 510 496 509 564

FY 2016 Deficit Estimate 548 536 548 531

FY 2014 Deficit Range 460 - 800

FY 2015 Deficit Range 400 - 850

FY 2016 Deficit Range 375 - 900

FY 2014 Net Marketable Borrowing Estimate 650 757 772 920

FY 2015 Net Marketable Borrowing Estimate 589 545 579 689

FY 2016 Net Marketable Borrowing Estimate 622 599 611 665

FY 2014 Net Marketable Borrowing Range 500 - 820

FY 2015 Net Marketable Borrowing Range 375 - 750

FY 2016 Net Marketable Borrowing Range 425 - 825

Estimates as of: Apr-14 Apr-14 Apr-14 Mar-14

1

Based on primary dealer feedback on Apr 21, 2014. Estimates above are averages. 

2 Table 1 of the "Updated Budget Projections: Fiscal Years 2014 to 2024"

3

Table 1 of the "An Analysis of the President's 2015 Budget"

4

Table S-1 of the "Fiscal Year 2015 Budget of the U.S. Government"

9

FY 2014-2016 Deficits and Net Marketable Borrowing Estimates In $ Billions
(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

500

200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024

Fiscal Year

Budget Surplus/Deficit

Surplus/Deficit in $bn (L) Surplus/Deficit as a % of GDP (R)

Projections are from Table S-1 of OMB’s “Fiscal Year 2015 Budget of the U.S. Government.” 

10

OMB’s Projection
Section II:

Financing

11
12

Sources of Financing in Fiscal Year 2014 Q2

*Assumes an end-of-March 2014 cash balance of $142 billion versus a beginning-of-January 2014 cash balance of $162 billion. By keeping the 

cash balance constant, Treasury arrives at the net implied funding number. 

Net Bill Issuance 60 Issuance Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 205 Bills 4-Week 293 293 0 773 793 (20)

Subtotal: Net Marketable Borrowing 265 Bills 13-Week 367 422 (55) 789 812 (23)

Bills 26-Week 334 325 9 701 665 36

Ending Cash Balance 142 Bills 52-Week 66 75 (9) 138 150 (12)

Beginning Cash Balance 162 Bills CMBs 115 0 115 196 55 141

Subtotal: Change in Cash Balance (20) Bill Subtotal 1,175 1,115 60 2,597 2,475 122

Net Implied Funding for FY 2014 Q2* 285

Issue Gross Maturing Net Gross Maturing Net

COUPON 2-Year 96 107 (11) 192 216 (24)

FRN 2-Year FRN 41 0 41 41 0 41

COUPON 3-Year 90 97 (7) 180 195 (15)

COUPON 5-Year 105 101 4 210 184 27

COUPON 7-Year 87 0 87 174 0 174

COUPON 10-Year 66 28 38 132 59 73

TIPS COU 30-Year 42 0 42 84 0 84

TIPS COU 5-Year TIPS 0 0 0 16 0 16

TIPS COU 10-Year TIPS 28 27 1 41 27 14

30-Year TIPS 9 0 9 16 0 16

Coupon Subtotal 564 360 205 1,086 680 406

Total 1,739 1,475 265 3,683 3,155 528

Coupon Issuance

January - March 2014 January - March 2014 Fiscal Year to Date

Bill Issuance

January - March 2014 Fiscal Year to Date
13

Sources of Financing in Fiscal Year 2014 Q3

*Keeping issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 03/31/2014, while using an average of ~1.45 Trillion 

of Bills Outstanding consistent with Treasury’s guidance of the FRN program replacing some Bills issuance.

**Assumes an end-of-June 2014 cash balance of $130 billion versus a beginning-of-April 2014 cash balance of $142 billion.

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

Assuming Constant Coupon and Average Bill Issuance Sizes as of 03/31/2014*: Issuance Gross Maturing Net Gross Maturing Net

Net Bill Issuance (195) 4-Week 416 423 (7) 1,189 1,216 (27)

Net Coupon Issuance 206 13-Week 364 367 (3) 1,153 1,179 (26)

Subtotal: Net Marketable Borrowing 11 26-Week 325 367 (42) 1,026 1,032 (6)

52-Week 96 98 (2) 234 248 (14)

Treasury Announced Estimate: Net Marketable Borrowing** (78) CMBs 0 141 (141) 196 196 0

Implied: Decrease In FY 2014 Q3 Net Issuances (89) Bill Subtotal 1,201 1,396 (195) 3,798 3,871 (73)

Issue Gross Maturing Net Gross Maturing Net

2-Year 96 106 (10) 288 322 (34)

2-Year FRN 41 0 41 82 0 82

3-Year 90 98 (8) 270 293 (23)

5-Year 105 110 (5) 315 294 21

7-Year 87 0 87 261 0 261

10-Year 66 27 39 198 86 112

5-Year 30-Year 42 0 42 126 0 126

10-Year 5-Year TIPS 18 17 1 34 17 17

30-Year 10-Year TIPS 13 0 13 54 27 27

30-Year TIPS 7 0 7 23 0 23

Coupon Subtotal 565 359 206 1,651 1,038 613

Total 1,766 1,755 11 5,449 4,909 540

Coupon Issuance

April - June 2014 April - June 2014 Fiscal Year to Date

Bill Issuance

April - June 2014 Fiscal Year to Date
920 689 665 587 527 611 621 611 636 591 545

55%

60%

65%

70%

75%

80%

(400)

(200)

0

200

400

600

800

1,000

20142015201620172018201920202021202220232024

% of GDP

$ bn

Fiscal Year

OMB's Projections of Borrowing from the Public 

Primary Deficit Net Interest Other Debt Held by

Public as a Percent of GDP - RHS

Debt Held by

Public Net of Financial Assets as a Percent of GDP - RHS

14

OMB’s projections of net borrowing from the public are from Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” Data labels at 

the top represent the change in debt held by the public in $ billions. “Other” represents borrowing from the public to provide direct and 

guaranteed loans.

$ bn %

Primary Deficit (220) -3%

Net Interest 5,800 83%

Other 1,426 20%

Total 7,006

FY 2014 - 2024 Cumulative Total
1.5

2

2.5

3

3.5

4

4.5

5

5.5

20142015201620172018201920202021202220232024

10-Year Treasury Note Rate, %

Interest Rate Assumptions:

10-Year Treasury Notes

OMB FY 2015 Feb 2014 Implied Forward

Rates as of 3/31/2014

15

OMB’s economic assumption of the 10-year Treasury note rates are from Table S-12 of the “Fiscal Year 2015 Budget of the U.S. Government.” 

The implied 10-Year Treasury note forward rates are the averages for each fiscal year.

10-Year Treasury Rate,

2.73%, as of 03/31/2014
16

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the 

Federal Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. Assumes issuance sizes and 

patterns constant for Nominal Coupons ,TIPS, and FRNs as of 03/31/2014, while using an average of ~1.45 Trillion of Bills Outstanding 

consistent with Treasury’s guidance of the FRN program replacing some Bills issuance. The principal on the TIPS securities was accreted to each 

projection date based on market ZCIS levels. No attempt was made to match future financing needs. Treasury’s primary dealer survey 

estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the “Fiscal Year 2015 Budget of the U.S. 

Government.” CBO’s estimates of the borrowing from the public are from Table 2 of the “An Analysis of the President's 2015 Budget.” See table 

at the end of this section for details.

0

100

200

300

400

500

600

700

800

900

1,000

20142015201620172018201920202021202220232024

$ bn

Fiscal Year

Projected Net Borrowing Assuming Future Issuance Remains Constant

Projected Net Borrowing OMB’s Fiscal Year 2015 Budget CBO's An Analysis of the President's Budget

PD Survey Marketable Borrowing Estimates OFP FY 2014 Net Marketable Borrowing Estimate
17

Impact of SOMA Actions on Projected Net Borrowing Assuming Future 

Issuance Remains Constant

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the 

Federal Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. Assumes issuance sizes and 

patterns constant for Nominal Coupons ,TIPS, and FRNs as of 03/31/2014, while using an average of ~1.45 Trillion of Bills Outstanding 

consistent with Treasury’s guidance of the FRN program replacing some Bills issuance. The principal on the TIPS securities was accreted to each 

projection date based on market ZCIS levels. No attempt was made to match future financing needs. Treasury’s primary dealer survey 

estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the “Fiscal Year 2015 Budget of the U.S. 

Government.” CBO’s estimates of the borrowing from the public are from Table 2 of the “An Analysis of the President's 2015 Budget.” See table 

at the end of this section for details.

0

200

400

600

800

1,000

1,200

20142015201620172018201920202021202220232024

Fiscal Year

With Fed Reinvestments ($bn)

Projected Net Borrowing

CBO's An Analysis of the President's 2015 Budget

OFP FY 2014 Net Marketable Borrowing Estimate

0

200

400

600

800

1,000

1,200

20142015201620172018201920202021202220232024

Fiscal Year

Without Fed Reinvestments ($bn)

OMB's Fiscal Year 2015 Budget of the U.S. Government

PD Survey Marketable Borrowing Estimates
18

Historical Net Marketable Borrowing and Projected Net Borrowing 

Assuming Future Issuance Remains Constant, $ Billion

*OFP’s FY 2014 Net Marketable Borrowing Projection

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the 

Federal Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. Assumes issuance sizes and 

patterns constant for Nominal Coupons ,TIPS, and FRNs as of 03/31/2014, while using an average of ~1.45 Trillion of Bills Outstanding 

consistent with Treasury’s guidance of the FRN program replacing some Bills issuance. The principal on the TIPS securities was accreted to each 

projection date based on market ZCIS levels. No attempt was made to match future financing needs. Treasury’s primary dealer survey 

estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the “Fiscal Year 2015 Budget of the U.S. 

Government.” CBO’s estimates of the borrowing from the public are from Table 2 of the “An Analysis of the President's 2015 Budget.” See table 

at the end of this section for details.

End of Fiscal 

Year

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

Historical Net Marketable 

Borrowing/Projected Net 

Borrowing Capacity

OMB’s Fiscal Year 

2015 Budget

CBO's An Analysis of 

the President's 

Budget

April 2014 

Primary 

Dealer 

Survey

2009 503 732 514 38 0 1,786

2010 (204) 869 783 35 0 1,483

2011 (311) 576 751 88 0 1,104

2012 139 148 738 90 0 1,115

2013 (86) 86 720 111 0 830

2014 (82) (68) 669 88 123 731 619* 772 650

2015 6 (151) 639 87 164 745 689 579 589

2016 0 (41) 442 68 41 511 665 611 622

2017 0 (7) 256 69 0 317 587 604

2018 0 35 238 63 0 336 527 604

2019 0 35 104 63 0 202 611 704

2020 0 0 119 36 0 155 621 762

2021 0 17 156 9 0 182 611 800

2022 0 86 227 (4) 0 310 636 869

2023 0 50 190 (5) (0) 235 591 838

2024 0 (0) 189 (7) (0) 182 545 812
Section III:

Portfolio Metrics

19
40

45

50

55

60

65

70

75

80

85

19801982198419861988199019921994199619982000200220042006200820102012201420162018202020222024

Weighted Average Maturity (Months)

Calendar Year

Weighted Average Maturity of Marketable Debt Outstanding

Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 1980 to end of FY 2014 Q2

20

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury.

66.7 months on 

03/31/2014

58.65 months 

(Historical Average 

from 1980 to Present)
21

0

500

1,000

1,500

2,000

2,500

3,000

3,500

20142015201620172018201920202021202220232024

$bn

Fiscal Year

Projected Gross Borrowing Excluding Bills

Maturing in < 1 Year excluding Bills OMB's Projected Net Borrowing

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury.
22

Recent and Projected Maturity Profile, $ Trillion

0

2

4

6

8

10

12

14

16

18

20

20142015201620172018201920202021202220232024

$ tr

End of Fiscal Year

< 1yr [1, 2) [2, 3) [3, 5) [5, 7) [7, 10) >= 10yr

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. See table on following page for details
23

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. Portfolio Composition by original issuance type and term can be found in the appendix (Page 40).

Recent and Projected Maturity Profile, $ Billions

End of Fiscal 

Year < 1yr [1, 2) [2, 3) [3, 5) [5, 7) [7, 10) >= 10yr Total [0, 5)

2007 1,581 663 341 545 267 480 557 4,434 3,130

2008 2,152 711 280 653 310 499 617 5,222 3,796

2009 2,702 774 663 962 529 672 695 6,998 5,101

2010 2,563 1,141 869 1,299 907 856 853 8,488 5,872

2011 2,620 1,272 1,002 1,516 1,136 1,053 1,017 9,616 6,410

2012 2,889 1,395 1,109 1,847 1,214 1,108 1,181 10,742 7,239

2013 2,939 1,523 1,176 2,031 1,425 1,165 1,331 11,590 7,669

2014 2,971 1,634 1,403 2,182 1,394 1,121 1,515 12,221 8,191

2015 3,090 1,911 1,396 2,283 1,484 1,125 1,639 12,929 8,680

2016 3,273 1,937 1,606 2,366 1,484 1,149 1,803 13,618 9,182

2017 3,393 2,108 1,583 2,459 1,492 1,224 1,974 14,234 9,543

2018 3,565 2,174 1,607 2,538 1,526 1,273 2,113 14,795 9,883

2019 3,535 2,241 1,755 2,561 1,690 1,390 2,272 15,445 10,092

2020 3,703 2,377 1,680 2,743 1,735 1,366 2,505 16,108 10,502

2021 3,835 2,300 1,816 2,897 1,764 1,401 2,751 16,764 10,848

2022 3,758 2,435 1,986 2,986 1,834 1,407 3,042 17,448 11,165

2023 3,893 2,622 1,976 2,993 1,864 1,409 3,333 18,090 11,484

2024 4,084 2,664 1,985 3,009 1,928 1,409 3,608 18,687 11,742
24

Recent and Projected Maturity Profile, Percent

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2014201520162017201820192020202120222023

End of Fiscal Year

< 1yr [1, 2) [2, 3) [3, 5) [5, 7) [7, 10) >= 10yr

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. See table on following page for details
25

Recent and Projected Maturity Profile, Percent

End of Fiscal 

Year < 1yr [1, 2) [2, 3) [3, 5) [5, 7) [7, 10) >= 10yr [0, 3) [0, 5)

2007 35.7% 15.0% 7.7% 12.3% 6.0% 10.8% 12.6% 58.3% 70.6%

2008 41.2% 13.6% 5.4% 12.5% 5.9% 9.6% 11.8% 60.2% 72.7%

2009 38.6% 11.1% 9.5% 13.7% 7.6% 9.6% 9.9% 59.1% 72.9%

2010 30.2% 13.4% 10.2% 15.3% 10.7% 10.1% 10.0% 53.9% 69.2%

2011 27.2% 13.2% 10.4% 15.8% 11.8% 10.9% 10.6% 50.9% 66.7%

2012 26.9% 13.0% 10.3% 17.2% 11.3% 10.3% 11.0% 50.2% 67.4%

2013 25.4% 13.1% 10.1% 17.5% 12.3% 10.1% 11.5% 48.6% 66.2%

2014 24.3% 13.4% 11.5% 17.9% 11.4% 9.2% 12.4% 49.2% 67.0%

2015 23.9% 14.8% 10.8% 17.7% 11.5% 8.7% 12.7% 49.5% 67.1%

2016 24.0% 14.2% 11.8% 17.4% 10.9% 8.4% 13.2% 50.0% 67.4%

2017 23.8% 14.8% 11.1% 17.3% 10.5% 8.6% 13.9% 49.8% 67.0%

2018 24.1% 14.7% 10.9% 17.2% 10.3% 8.6% 14.3% 49.6% 66.8%

2019 22.9% 14.5% 11.4% 16.6% 10.9% 9.0% 14.7% 48.8% 65.3%

2020 23.0% 14.8% 10.4% 17.0% 10.8% 8.5% 15.6% 48.2% 65.2%

2021 22.9% 13.7% 10.8% 17.3% 10.5% 8.4% 16.4% 47.4% 64.7%

2022 21.5% 14.0% 11.4% 17.1% 10.5% 8.1% 17.4% 46.9% 64.0%

2023 21.5% 14.5% 10.9% 16.5% 10.3% 7.8% 18.4% 46.9% 63.5%

2024 21.9% 14.3% 10.6% 16.1% 10.3% 7.5% 19.3% 46.7% 62.8%

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. Portfolio Composition by original issuance type and term can be found in the appendix (Page 40).
Section IV:

Demand

26
27

*Weighted averages of Competitive Awards.

**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.

Summary Statistics for Fiscal Year 2014 Q2 Auctions

Security 

Type Term Stop Out Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($ bn)

% 

Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($ bn)

SOMA 

Add Ons 

($ bn)

10-Yr 

Equivalent 

($ bn)**

Bill 4-Week 0.038 4.6 288.1 73.0% 10.1% 17.0% 3.0 0.0 2.6

Bill 13-Week 0.054 4.4 357.5 71.5% 7.4% 21.1% 5.6 0.0 10.7

Bill 26-Week 0.078 4.6 321.2 57.5% 10.5% 32.0% 5.1 0.0 19.5

Bill 52-Week 0.120 4.5 65.3 60.0% 10.0% 30.0% 0.5 0.0 7.7

Bill CMBs 0.067 3.7 115.0 80.4% 9.0% 10.5% 0.0 0.0 2.4

Coupon 2-Year 0.396 3.4 95.2 44.4% 21.1% 34.6% 0.5 0.1 22.3

Coupon 3-Year 0.772 3.3 89.6 48.5% 18.2% 33.3% 0.1 0.0 31.2

Coupon 5-Year 1.606 2.9 104.8 36.9% 14.3% 48.7% 0.2 0.1 58.7

Coupon 7-Year 2.184 2.7 86.9 30.8% 25.7% 43.4% 0.1 0.1 65.7

Coupon 10-Year 2.842 2.7 65.8 34.3% 19.0% 46.7% 0.1 0.0 66.6

Coupon 30-Year 3.736 2.4 42.0 42.4% 14.6% 43.0% 0.0 0.0 88.5

TIPS 10-Year 0.660 2.4 27.9 42.5% 8.1% 49.4% 0.1 0.0 77.0

TIPS 30-Year 1.495 2.3 9.0 38.5% 4.9% 56.5% 0.0 0.0 101.3

FRN 2-Year 0.059 5.2 40.9 56.8% 6.4% 36.8% 0.1 0.0 0.8

Total Bills 0.062 4.5 1,147.0 68.2% 9.2% 22.6% 14.3 0.0 42.9

Total Coupons 1.670 2.9 484.2 39.5% 19.1% 41.4% 1.1 0.3 333.1

Total TIPS 0.863 2.4 36.9 41.5% 7.3% 51.1% 0.1 0.0 178.3

Total FRN 0.059 5.2 40.9 56.8% 6.4% 36.8% 0.1 0.0 0.8
28

2.5

3

3.5

4

4.5

5

5.5

6

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

Bid-to-Cover Ratio

Bid-to-Cover Ratios for Treasury Bills

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

26-Week (13-week moving average) 52-Week (6-month moving average)
29

1.5

2

2.5

3

3.5

4

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

Bid-to-Cover Ratio

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

(6-Month Moving Average)

2-Year 3-Year 5-Year
30

2

2.25

2.5

2.75

3

3.25

3.5

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

Bid-to-Cover Ratio

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

(6-Month Moving Average)

7-Year 10-Year 30-Year
31

1

1.5

2

2.5

3

3.5

Sep-00Sep-01Sep-02Sep-03Sep-04Sep-05Sep-06Sep-07Sep-08Sep-09Sep-10Sep-11Sep-12Sep-13

Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) 20-Year 30-Year
32 Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

5%

10%

15%

20%

25%

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

13-week moving average

Percent Awarded in Bills Auctions by Investor Class

(3-Month 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 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

40%

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

6-month moving average

Percent Awarded in 2-, 3-, 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 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

6-month moving average

Percent Awarded in 7-, 10-, 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 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

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 Excludes SOMA add-ons. 

35%

40%

45%

50%

55%

60%

65%

70%

75%

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

% of Total Competitive Amount Awarded

Primary Dealer Awards at Auction, Percent

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

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

TIPS (6-month moving average)
37 Excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25%

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

% of Total Competitive Amount Awarded

Direct Bidder Awards at Auction, Percent

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

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

TIPS (6-month moving average)
38 Foreign includes both private sector and official institutions.

0

20

40

60

80

100

120

140

160

180

200

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

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

Monthly Private Award ($bn)

Total Foreign Awards of Treasuries at Auction, $ Billion

Bills 2/3/5 7/10/30 TIPS FRNs
Appendix

39
40

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2014201520162017201820192020202120222023

% of Portfolio

Projected Portfolio Composition by Issuance Type, Percent

Bills 2/3/5 7/10/30 TIPS (principal accreted to projection date) FRN

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. See table on following page for details
41

Recent and Projected Portfolio Composition by Issuance Type, Percent

End of Fiscal Year Bills 2-, 3-, 5-Year 

Nominal Coupons

7-, 10-, 30-Year 

Nominal Coupons

Total Nominal 

Coupons

TIPS (principal 

accreted to 

projection date)

FRN

2006 21.3% 40.5% 29.0% 69.5% 9.2% 0.0%

2007 21.6% 38.9% 29.2% 68.1% 10.3% 0.0%

2008 28.5% 34.5% 26.9% 61.4% 10.0% 0.0%

2009 28.5% 36.2% 27.4% 63.6% 7.9% 0.0%

2010 21.1% 40.1% 31.8% 71.9% 7.0% 0.0%

2011 15.4% 41.4% 35.9% 77.3% 7.3% 0.0%

2012 15.0% 38.4% 39.0% 77.4% 7.5% 0.0%

2013 13.2% 35.8% 43.0% 78.7% 8.1% 0.0%

2014 11.8% 32.8% 45.8% 78.6% 8.5% 1.0%

2015 11.2% 29.6% 48.1% 77.7% 8.9% 2.2%

2016 10.7% 28.5% 49.3% 77.8% 9.1% 2.4%

2017 10.2% 28.4% 49.7% 78.1% 9.4% 2.3%

2018 9.8% 28.3% 50.0% 78.3% 9.7% 2.2%

2019 9.4% 28.8% 49.8% 78.5% 9.9% 2.1%

2020 9.0% 29.1% 49.8% 78.9% 10.0% 2.0%

2021 8.7% 29.1% 50.3% 79.4% 9.9% 2.0%

2022 8.3% 28.9% 51.0% 80.0% 9.8% 1.9%

2023 8.0% 28.9% 51.6% 80.4% 9.7% 1.8%

Portfolio & SOMA holdings as of 03/31/2014 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 

by the Federal Reserve, assumed to last until October 2014 with SOMA redemptions until June 2021. These assumptions are based on the Federal 

Reserve’s January 2014 primary dealer survey and Chairman Bernanke’s June 2013 press conference. To match OMB’s projected borrowing from 

the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. The principal on 

the TIPS securities was accreted to each projection date based on market ZCIS levels. OMB’s estimates of borrowing from the public are from 

Table S-13 of the “Fiscal Year 2015 Budget of the U.S. Government.” This scenario does not represent any particular course of action that Treasury 

is expected to follow. Instead, it is intended to demonstrate the basic trajectory of average maturity absent changes to the mix of securities issued 

by Treasury. 
*Weighted averages of Competitive Awards. 42

**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* Non-Competitive Awards ($ bn)

SOMA Add 

Ons ($ bn)

10-Yr Equivalent 

($ bn)**

4-Week 1/2/2014 0.005 4.26 19.79 56.0% 9.9% 34.1% 0.21 0.00 0.18

4-Week 1/9/2014 0.000 5.66 17.76 78.0% 14.4% 7.6% 0.24 0.00 0.16

4-Week 1/16/2014 0.000 6.36 14.75 79.9% 12.5% 7.6% 0.25 0.00 0.14

4-Week 1/23/2014 0.000 6.63 11.79 83.0% 5.9% 11.1% 0.21 0.00 0.11

4-Week 1/30/2014 0.050 4.92 9.19 75.7% 13.4% 10.9% 0.26 0.00 0.09

4-Week 2/6/2014 0.130 4.50 7.76 73.6% 23.4% 3.0% 0.22 0.00 0.07

4-Week 2/13/2014 0.030 5.88 7.75 81.2% 11.6% 7.2% 0.25 0.00 0.07

4-Week 2/20/2014 0.035 4.48 31.78 62.8% 7.1% 30.2% 0.22 0.00 0.28

4-Week 2/27/2014 0.035 4.05 34.24 71.7% 12.5% 15.8% 0.26 0.00 0.31

4-Week 3/6/2014 0.045 3.93 34.76 71.7% 11.3% 17.0% 0.24 0.00 0.31

4-Week 3/13/2014 0.055 4.11 34.76 78.5% 11.1% 10.4% 0.24 0.00 0.31

4-Week 3/20/2014 0.060 4.27 34.79 79.7% 4.3% 16.0% 0.21 0.00 0.31

4-Week 3/27/2014 0.045 4.65 28.96 70.2% 7.4% 22.4% 0.23 0.00 0.27

13-Week 1/2/2014 0.065 3.84 29.30 69.6% 11.1% 19.3% 0.45 0.00 0.88

13-Week 1/9/2014 0.055 4.85 27.38 66.5% 9.5% 24.0% 0.47 0.00 0.82

13-Week 1/16/2014 0.035 4.26 27.40 84.8% 10.5% 4.7% 0.50 0.00 0.82

13-Week 1/23/2014 0.035 4.53 27.57 85.8% 9.0% 5.2% 0.43 0.00 0.82

13-Week 1/30/2014 0.055 3.94 26.75 64.7% 7.0% 28.3% 0.40 0.00 0.82

13-Week 2/6/2014 0.040 3.93 27.37 83.4% 8.3% 8.3% 0.43 0.00 0.82

13-Week 2/13/2014 0.095 4.49 41.44 50.4% 6.2% 43.3% 0.45 0.00 1.24

13-Week 2/20/2014 0.050 4.34 29.40 71.1% 5.4% 23.5% 0.47 0.00 0.86

13-Week 2/27/2014 0.045 4.96 23.67 74.2% 8.0% 17.8% 0.38 0.00 0.72

13-Week 3/6/2014 0.050 5.02 24.39 57.6% 5.2% 37.2% 0.40 0.00 0.72

13-Week 3/13/2014 0.050 4.76 24.57 73.8% 5.3% 20.9% 0.43 0.00 0.72

13-Week 3/20/2014 0.050 4.42 24.53 78.8% 3.3% 17.9% 0.37 0.00 0.72

13-Week 3/27/2014 0.050 4.61 23.73 81.0% 6.6% 12.3% 0.46 0.00 0.73

26-Week 1/2/2014 0.090 4.18 25.07 54.7% 13.3% 32.0% 0.33 0.00 1.52

26-Week 1/9/2014 0.080 4.84 25.01 51.0% 12.6% 36.4% 0.39 0.00 1.52

26-Week 1/16/2014 0.055 4.71 25.11 59.2% 10.4% 30.4% 0.41 0.00 1.52

26-Week 1/23/2014 0.060 5.18 23.94 56.8% 10.4% 32.8% 0.49 0.00 1.47

26-Week 1/30/2014 0.065 4.81 18.92 53.3% 7.3% 39.4% 0.41 0.00 1.17

26-Week 2/6/2014 0.060 4.76 18.97 51.0% 10.1% 38.9% 0.45 0.00 1.18

26-Week 2/13/2014 0.110 4.11 40.87 58.7% 12.0% 29.3% 0.46 0.00 2.48

26-Week 2/20/2014 0.075 4.07 29.00 64.9% 13.9% 21.1% 0.45 0.00 1.72

26-Week 2/27/2014 0.075 4.76 23.89 60.9% 11.7% 27.4% 0.34 0.00 1.44

26-Week 3/6/2014 0.080 4.46 24.31 64.7% 11.8% 23.5% 0.31 0.00 1.44

26-Week 3/13/2014 0.080 4.97 22.18 64.3% 3.0% 32.8% 0.35 0.00 1.33

26-Week 3/20/2014 0.080 4.86 22.28 52.3% 4.8% 42.9% 0.35 0.00 1.33

26-Week 3/27/2014 0.075 5.05 21.63 55.5% 9.0% 35.5% 0.40 0.00 1.33

52-Week 1/9/2014 0.125 4.83 22.78 55.9% 11.9% 32.1% 0.14 0.00 2.69

52-Week 2/6/2014 0.115 3.70 17.75 77.3% 12.4% 10.3% 0.18 0.00 2.12

52-Week 3/6/2014 0.120 4.85 24.75 51.4% 6.5% 42.1% 0.17 0.00 2.88

CMBs 2/11/2014 0.090 3.38 50.00 79.5% 9.5% 11.0% 0.00 0.00 1.17

CMBs 2/18/2014 0.050 3.81 45.00 79.4% 9.6% 10.9% 0.00 0.00 0.85

CMBs 3/3/2014 0.050 4.53 20.00 85.2% 6.3% 8.5% 0.00 0.00 0.42

Bill Issues
43

*Weighted averages of Competitive Awards.

**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-to-Cover 

Ratio*

Competitive 

Awards ($ bn)

% Primary 

Dealer* % Direct* % Indirect* Non-Competitive Awards ($ bn)

SOMA Add 

Ons ($ bn)

10-Yr Equivalent 

($ bn)**

2-Year 1/31/2014 0.380 3.30 31.71 49.2% 22.4% 28.5% 0.18 0.00 7.50

2-Year 2/28/2014 0.340 3.60 31.74 46.4% 19.3% 34.3% 0.16 0.09 7.38

2-Year 3/31/2014 0.469 3.20 31.75 37.5% 21.5% 40.9% 0.16 0.00 7.43

3-Year 1/15/2014 0.799 3.25 29.87 49.4% 22.6% 28.0% 0.03 0.00 10.44

3-Year 2/18/2014 0.715 3.42 29.83 41.3% 16.6% 42.0% 0.05 0.00 10.51

3-Year 3/17/2014 0.802 3.25 29.86 54.6% 15.5% 29.9% 0.04 0.00 10.29

5-Year 1/31/2014 1.572 2.59 34.93 44.7% 10.7% 44.6% 0.06 0.00 19.77

5-Year 2/28/2014 1.530 2.98 34.94 40.2% 9.2% 50.7% 0.06 0.10 19.44

5-Year 3/31/2014 1.715 2.99 34.93 25.9% 23.1% 50.9% 0.07 0.00 19.52

7-Year 1/31/2014 2.190 2.65 28.96 32.3% 19.9% 47.8% 0.03 0.00 22.09

7-Year 2/28/2014 2.105 2.72 28.94 34.3% 24.6% 41.1% 0.04 0.08 21.80

7-Year 3/31/2014 2.258 2.59 28.98 26.0% 32.6% 41.4% 0.01 0.00 21.79

10-Year 1/15/2014 3.009 2.68 20.96 39.8% 13.6% 46.6% 0.04 0.00 20.97

10-Year 2/18/2014 2.795 2.54 23.92 34.1% 16.2% 49.7% 0.07 0.00 24.68

10-Year 3/17/2014 2.729 2.92 20.96 29.1% 27.5% 43.4% 0.04 0.00 20.99

30-Year 1/15/2014 3.899 2.57 12.99 38.1% 17.5% 44.4% 0.01 0.00 26.85

30-Year 2/18/2014 3.690 2.27 15.97 40.8% 13.9% 45.3% 0.02 0.00 34.34

30-Year 3/17/2014 3.630 2.35 12.98 48.6% 12.6% 38.8% 0.02 0.00 27.33

2-Year FRN 1/31/2014 0.045 5.67 14.93 53.2% 8.9% 37.8% 0.07 0.00 0.40

2-Year FRN 2/28/2014 0.064 5.29 12.99 54.6% 5.7% 39.7% 0.01 0.00 0.22

2-Year FRN 3/28/2014 0.069 4.67 12.99 63.0% 4.3% 32.7% 0.01 0.00 0.11

Issue Settle Date Stop Out 

Rate (%)*

Bid-to-Cover 

Ratio*

Competitive 

Awards ($ bn)

% Primary 

Dealer* % Direct* % Indirect* Non-Competitive Awards ($ bn)

SOMA Add 

Ons ($ bn)

10-Yr Equivalent 

($ bn)**

10-Year 1/31/2014 0.661 2.31 14.96 39.9% 8.3% 51.8% 0.04 0.00 33.99

10-Year 3/31/2014 0.659 2.48 12.98 45.4% 7.9% 46.6% 0.02 0.00 43.05

30-Year 2/28/2014 1.495 2.34 8.99 38.5% 4.9% 56.5% 0.01 0.03 101.29

Nominal Coupon Securities

TIPS
T B A C C H A R G E Q U E S T I O N

April 2014
Charge question May 2014

A d t d bt T l l id t ff ti l t ti l i k 

Charge question May 2014

As prudent debt managers, Treasury regularly considers ways to effectively manage potential risk

the Treasury portfolio. We would like the Committee’s views on the effectiveness and practicality the use of buybacks to smooth the maturity profile, manage cash balances, and provide cost savi

(2) modifications to the current auction schedule, particularly for 10- and 30-year securities, as a mevenly distributing Treasury’s maturity profile; (3) optimizing the cash balance as a means of redu

market access risk market access risk.

1
Executive Summary

 Treasury’s non uniform issuance profile likely evolved in part due to intra year variations in th

Executive Summary

 Treasury s non-uniform issuance profile likely evolved in part due to intra-year variations in th This has led to considerable seasonal variation in gross financing needs on a month-to-month 

variation likely to worsen going forward. Fluctuations in financing needs are also highly variabbasis

 Short term bill issuance is typically used as a smoothing tool. Fluctuating bill supply does not 

Treasury’s funding costs on average through the cycle

 Heavy seasonal issuance results in elevated reliance on market access around select dates a

increased operational risk in the event of an extended market shutdown

 Treasury has a host of potential solutions for mitigating market access risk

 Structurally increase the size of Treasury’s operating cash balance Modification to auction schedules Make use of buybacks in order to manage seasonal variation in financing needs

2
Treasury’s non-uniform issuance profile likely evolved in part due to in

vari ti i th i d fi it iations in the primary 

d

efi

cit

Average monthly revenues and expenditures (excluding interest expense); average of FY02 (excluding interest expense); average of FY02-FY13; Average monthly primary deficit

$bn

Average monthly primary deficit

FY13; $bn

300

Revenues Expenditure 

100

200250

-9

5

0

50

150

-87 -77

125

-100

-100

-50

 Expenditures (excluding interest payments) exhibit only limited variability between months

100

Oct Nov Dec Jan Feb Mar

Apr May Jun Jul

A

ug Sep

-125 -150

Oct Nov Dec Jan Feb Mar

* Primary deficit is revenues less expenditur

 Expenditures (excluding interest payments) exhibit only limited variability between months Revenues are much noisier, driven by quarterly corporate tax receipts, estimated individual tax payments, 

February/March, and April tax receipts

3
This has led to considerable seasonal variation in gross financing nee

month-to-month b i ith th i ti lik l t i f d th

basis, with the variation lik

ely to worsen going forwar

d

Treasury’s projected monthly gross financing needs (excluding bills)* in FY 2015; $bn

Treasury’s projected monthly gr(excluding bills)* in FY 2020; $bn

250300350400

Primary deficit Coupon payments Maturing (private)

250300350400 Primary deficit 

Maturing (private) 

100150200250

100150200250

0

50

100

Oct Nov Dec Jan Feb Mar

Apr May Jun Jul

Aug Sep

0

50

100

Oct Nov Dec Jan Feb Mar

A

 Intra-year variation in Treasury’s gross financing needs are driven by the following sources. 

 Swings in primary deficits Seasonal variation in interest payments on Treasury debt Seasonal variation in maturity schedule of Treasury debt; in particular, quarterly maturities of 10-year notes a

May August and November as well as TIPS maturities in January February April and July May, August and November, as well as TIPS maturities in January, February, April and July

 If not addressed, this intra-year variation will become more pronounced in the future, driven by the existing maturity st

peak month-over-month variation in gross financing needs increases from $115bn in FY15 to $154bn by FY20

 Should the Fed cease reinvestments of maturing Treasuries, that would serve to amplify the variation in private marke

* Decomposes monthly gross financing needs in Decomposes monthly gross financing needs into primary deficits coupon payments and ma primary deficits, coupon payments and maturing principal of Treasury securiti principal of Treasury securities. Pri

Pri

2014 CBO Analysis of the President’s Budget, table 2 and seasonality of primary deficit from FY2002-FY2013 

Projections for beyond FY14 assume bill percentage of marketable debt is held constant at 11.8%. Assumes nominal coupon-bearing Tincreased pro-rata to meet residual financing needs, financed at forward rates.Source: US Treasury, CBO

4
Fl t ti i fi i d l hi hl i bl i t Fluctuations in financing nee

ds are also hi

ghly variable on an intra-mo

Projected bi-weekly coupon payments and maturing private/SOMA principal* (excluding bills); 

200120140160180

6080

100

120

0

2040

FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22 FY

 As already noted, the monthly variation in Treasury’s coupon and maturity profile is highly volatile. Furtherm

an intra-month basis as well

*Assumes nominal coupon-bearing Treasuries and TIPS are increased pro-rata to meet residual financing needs. Projections for beyo

percentage of marketable debt is held constant at 11.8%. 

an intra month basis as well

 This intra-month variation is projected to increase through time as shown above

5
Short term bill issuance is typically used as a smoothing tool

Simulated bi-weekly net and gross bill issuance* in FY15 and FY20; $bn

100 

Net bills issuance in 2015 (left axis)Net bills issuance in 2020 (left axis)Gross Bills issuance in 2020 (right axis)

50 

0

-50 

15-Oct

31-Oct

15-Nov

30-Nov

15-Dec

31-Dec

15-Jan

31-Jan

15-Feb

28-Feb

15-Mar

31-Mar

15-Apr

30-Apr

15-May

31-May

15-Jun

30-Jun

15-Jul

31-Jul

 As the stock of Treasury’s debt rises in the future the intra-year and intra-month variation in gross financing 

Accordingly, the seasonal variation in net and gross bill issuance will increase as well

3

3

1

3

* Assumes a constant cash balance. Simulations assume bill percentage of marketable debt is held constant at 11.8%. 

 Both variations in regular T-bill issuance and cash management bills (CMBs) are used to smooth out this s

needs 

6
Fluctuating bill supply does not appear to add to Treasury’s funding co

average through the cycle; the sensitivity of bill yields to issue size desi i zesncrease

Statistics from regressing historical T-bill/OIS spreads (%) , versus (1) the natural log of auction size ($bn) and (2) the aggregate stock of T-bills ($bn)

T-bill/OIS spreads at close on da

(2) the aggregate stock of

T-bills ($bn) for the stock of bills outstanding 

Coeff T-stat

Log of Issue Size (bn) 0.12492 13.1

Stock ($bn) 0 00031904 29 5

for the stock of bills outstanding

-40-30-20

* Data from all non-CMB bill auctions over 2006-current, but excluding 04/2007 – 12/2009. 

Stock ($bn)

0.00031904 29.5

Intercept -0.99 -43.9R^2 78

80

-70-60-50

-110-100

-90-80

 Adjusted for the stock of bills, spreads versus OIS at close on auction day exhibit diminishing sensitivity to 

increases Holding the stock of bills constant starting at an issue size of $25bn a $10bn increase in issue 

T-bill issue size

110

5 10 15 20 25 3

increases. Holding the stock of bills constant, starting at an issue size of $25bn, a $10bn increase in issue 

Treasury bills by 5bp relative to OIS. This sensitivity declines to 3bp per each $10bn size increase, if issue 

 Thus, while the overall growth in issuance in the bill sector would bias Treasury’s funding costs higher, the

variation in sizes are likely to prove detrimental from a funding cost standpoint

7
... but there is some evidence that bid-to-cover ratios drift lower when 

i il ssuance sizes are large

Statistics from regressing historical T Statistics from regressing historical

T-bill bid bill bid-to-cover Bid to cover ratios versus issue 

ratios versus (1) auction size ($bn) and (2) the aggregate stock of T-bills ($bn)

Coeff T-stat

I Si (b ) 0 0135 3 9

Bid-to-cover ratios versus issue 

8

10

Issue Size (bn) -0.0135 -3.9 2010 tStock 0.00283 32.2Intercept 0.22 2.23R

^2 63.8

46

2010-present

R 2 63.8

2

Pre-crisis

* Data from all non-CMB bill auctions over 2006-current, but excluding 04/2007 – 12/2009. 

 Em

pirical work suggests lar

ger issue sizes in bills are coincident with lower bid-to-cover ratios. Holdin

g the 

0

0 10 20 

T-bill issue siz

p gg g g 

constant, each $10bn increase in issue size leads to a 0.13 decline in bid-to-cover ratios

 This suggests that considerable increases in bill auction sizes could pose some operational risk in the eve

ratios to fall. However, given the current high level of coverage ratios, auction sizes would have to more tharatios to fall closer to 1

8
Heavy seasonal issuance results in elevated reliance on market acces

select dates and therefore increased operational risk in the event of amark t h td k

et s

h

utdown

Simulated rolling weekly total of issuance in FY20*; $bn

Rolling weekly total of Treasury gross issuance; average over average over FY12-13 ;* $bn issuance in FY20 ;

$bn

300350400450

300350400450

150200250300

150200250300

0

50

100

03 Oct 22 Nov 11 Jan 01 Mar 20 Apr 09 Jun 29 Jul 17 Sep

0

50

100

07 Oct 26 Nov 15 Jan 05 Mar 24 

 Gross issuance has averaged approximately $154bn per week over FY12-FY13 with a 5-day peak of $316

* Includes bills, notes, bonds, TIPS and FRNs. Projections assume bill percentage of marketable debt is held constant at 11.8%. 

* Includes bills, notes, bonds, TIPS and FRNs. Projections assume bill percentage of marketab

 On a simulated basis this grows through time: in FY20, gross issuance will average approximately $162bn 

of $404bn

 This brings heightened operational risk: if Treasury loses market access at any point due to an extended m

risk, albeit remote, of a potential technical default

 While this risk is relatively small, the political risk of such loss of market access can outweigh the monetary 

9
I t hi t T h l t k t f t 3 d In recent hi

story, 

Treasury 

has lost mar

k

et access for up to 

3

days

Unforeseen and tragic incidents have disrupted regular market operations in the past, leading for Treasury for Treasury

Incident Disruption dates # of 

days

Description Au

September 11 attack

Sep 11, 2001 (market fully closed)Sep 12 2001 (market fully closed)

2-3 Bond markets were closed on Sep 11 and 

Sep 12 and reopened with extremely

$10

attack Sep 12, 2001 (market fully closed) 200

Sep 13, 2001 (open w/ limited trading)

Sep 12, and reopened with extremely

limited trading on Sep 13 (equities were closed until Sep 17).

200

200

Super storm Sandy

Oct 29, 2012 (market closed early)Oct 30, 2012 (market fully closed)

1.5 Bond markets were closed for a day and a 

half – it closed early on Oct 29, 2012 and was fully closed on Tuesday Oct 30.

(N t F d ttl t ld

$25forw29, 2

(N

ote: 

F

e

d was open, so settlements could

occur)

TAAPS (Treasury auction system) IT Issue

Dec 2, 2013 (auction postponed) 1 The noncompetitive and competitive

portion of the 13- and 26-week bill auctions, originally scheduled to close on Dec 2, had to be rescheduled to the next 

$3226-w2, 2

day due to an error that occurred during a test of Treasury’s auction system. Settlement date remained unchanged.

10
Treasury has a host of potential solutions for mitigating market access 

Potential solutions

Treasury has

a host of potential solutions for mitigating market access 

Potential solutions

Mitigating average market access risk Structurally increase the size of Treasury’s operating cash balanceMitigating peak market access risk Move from quarterly 10-year notes and 30-year bonds to monthly new issues Shift maturities into non-refunding months from refunding months

 This can be done, for instance, by auctioning new-issue 3s on a quarterly Mar/Jun/Sep

openings in other months

 Such an approach is scalable, and can begin to mitigate the seasonal variation in a sh

modif

y g in

g 3-

y gy ear issuance now will be

gin to bear fruit in 3 

years

 Make use of buybacks in order to manage seasonal variation in financing needs

11
Treasury can permanently increase its operating cash balance to mitig

access ri ks

k

Treasury operating cash balance and forward rolling 3-month peak 5-day gross finanneed; $bn

400300

Cash balance Peak 5-day mark

100200

0

Apr 13 Jun 13 Jul 13 Sep 13 Nov 13 Dec 13 Feb 14 

 While the Treasury market has not been closed for more than 2-3 days in a row in the past, we believe a 5

prudent

 Increases in Treasury’s operating cash balance at the Fed reduces reserves balances, and hence lowers t

interest on reserves paid. Provided Treasury bill yields are lower than or equal to IOR, funding this increascost (o egat e cost) to easu y u ded t te debt, t e cost to easu y o e t e be t e te 

(or negativ

e cost) to Treasury. If f

u

nded with term debt, th

e cost to Treasury

o

v

er tim

e will be th

e term 

 Treasury can design the liquidity buffer to meet average, peak, or time-varying gross issuance needs. How 

this buffer will have impacts on gross issuance patterns in the future

12
I t ti ll th t i k f li idit b ff Internationally, other countries ma

ke use of liquidity 

b

uffers

Government of Canada cash deposits at Bank of Canada; C$bn

251520

5

10

0

Apr 11 Nov 11 Jun 12 Dec 12 Jul 13 

Source: Bank of Canada

 The Government in Canada announced changes to its debt management strategy in 2011, aiming to borrow an add

increase its cash balance in order to mitigate market access risk: “To improve prudential liquidity management, ove

Government will borrow an additional amount of $35 billion to safeguard its ability to meet payment obligations in sto funding markets may be disrupted or delayed. This financing activity will have no material impact on the budgetaas the cost of the additional borrowing will be offset by a corresponding increase in returns on interest-bearing asseCanada, Budget 2011, Debt Management Strategy for 2011-2012, 6/6/11)

 In addition, Canada employs three types of buybacks: cash management, regular and switch-based buybacks. In p

buybacks program helps to manage the government’s cash requirements by reducing the high levels of governmencoupon and maturity payments dates. This program also helps to smooth variations in the issuance of treasury bills 

of Canada, Details on Bond Buyback Operations, 4/2/12)

 Further work should be undertaken to see w Further work should be undertaken to see whether other developed market debt management offices maintain liqu

other developed market debt management offices maintain liqu

liquidity facilities with their respective central banks

13
Treasury can increase the frequency of new issue 10-year notes and 

from quarterly to monthly - this would reduce the seasonal variation in need d tl b t t t i ll f d d ds mo

destly, 

b

ut not materially for a 

deca

de...

Projected monthly gross issuan(including FRNs and T-bills) in 2issuance plan as well as modifie

Projected monthly gross issuance of Treasuries* (including FRNs and T-bills) in 2020, under current issuance plan as well as modified issuance plan that uses monthly 10- and 30-year maturities; $bn uses monthly 10- and 30-year m

800900

1000 Bills iss (monthly 10s and 30s) 

Cpn iss (monthly 10s and 30s) 

800900

1000 Bills iss (monthly 10s and 30s) Bills iss (current cyc)

Cpn iss (monthly 10s and 30s) Cpn iss (current cyc)

400500600700800

400500600700800

0

100200300

Oct Nov Dec Jan Feb Mar A

0

100200300

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

* Decomposes monthly gross financing needs into primary deficits, coupon payments and maturing principal of Treasury securities. P

2014 CBO Analysis of the President’s Budget, table 2 and seasonality of primary deficit from FY2002-FY2013 Projections for beyond FY14 assume bill percentage of marketable debt is held constant at 11.8%. Assumes nominal coupon-bearing 

increased pro-rata to meet residual financing needs. Baseline case uses current issuance schedule financed at forward rates, alterna

maturities

Source: US Treasury, CBO

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

 Monthly new issues will immediately help to smooth monthly coupon payment concentration, but this imp

example, in 2020, the projected reduction in peak issuance during refunding months is ~ $15bn) 

 Monthly maturities of 10-year notes and 30-year bonds will reduce seasonal variation further beginning a 

the 

projected reduction in 

peak issuance durin

g refundin

g months is ~ $58bn)

Source: US Treasury, CBO

p j p gg )

14
... and this approach risks higher average funding costs due to a lowe

i

Yield error on current issue less yield error on old issue for various on the run issues averages over 1

3 and

premium

for various on-the-run issues, averages over 1-, 

3-, and Yield error on current 5 year less 

5-years

Yield error on current

5-year less 

year, under four different auction 

Sector New issue frequency 1y avg 3y avg 5y avg

2s Monthly -0.2 -0.5 -0.43s Monthly -0.8 -0.5 -0.2

5s Monthly 0 4 0 3 0 4

Years New Issue cycle Reopene

1999 Quarterly 

2000-2001 Semiannual Quarterl

2002 Quarterly 

*Yield error is actual yield less model yield derived from par fitted Treasury curve

5s Monthly -0.4 -0.3 -0.47s Monthly 0.0 0.0 0.0

10s Quarterly -1.3 -1.5 -2.330s Quarterly -0.3 -0.4 -0.5

2002 Quarterly 

2003-present Monthly 

 Over the last five years, quarterly maturity 10-year notes and 30-year bonds have enjoyed substantially h

compared to 2, 3-, 5-, and 7-year notes, which have been auctioned with monthly new issues

 5-

y j y y g q yp y 

ear notes enjo

yed a substantiall

y lar

ger li

quidit

y

premium when the

y were auctioned under a semiannu

under a monthly cycle 

 21% of the most recent off-the-run 30-year bonds are held in stripped form, or about $9.1bn per issue. If T

new issues, this could reduce the tradable float of 30-year issues as they become off-the-run, potentially r

15
Alternatively, Treasury can issue 3-year notes on a Mar/Jun/Sep/Dec 

reopenings in subsequent months: this reduces the intra-month variatqui kl i t thl 10 ickly versus moving to monthly 10-year not d 30 es an

d 30-year b d on

d

s

Projected monthly gross issuan(including FRNs and T-bills) in 2issuance plan as well as modifie

Projected monthly gross issuance of Treasuries* (including FRNs and T-bills) in 2020, under current issuance plan as well as modified issuance plan that uses quarterly 3-year notes reopened monthly; $bn uses quarterly 3-year notes reop

00

800900

1000 Bills iss (quarterly 3s) 

Cpn iss (quarterly 3s) 

00

800900

1000 Bills iss (quarterly 3s) Bills iss (current cyc)

Cpn iss (quarterly 3s) Cpn iss (current cyc)

300400500600700

300400500600700

0

100200

300

Oct Nov Dec Jan Feb Mar Apr 

0

100200

300

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

* Decomposes monthly gross financing needs into primary deficits, coupon payments and maturing principal of Treasury securities. P

CBO Analysis of the President’s Budget, table 2 and seasonality of primary deficit from FY2002-FY2013 Projections for beyond FY14 assume bill percentage of marketable debt is held constant at 11.8%. Assumes nominal coupon-bearing 

pro-rata to meet residual financing needs. Baseline case uses current issuance schedule, alternate uses quarterly 3-year notes which 

September and December, and are reopened in subsequent monthsSource: US Treasury, CBO

 Moving to quarterly 3-year notes that mature in March, June, September and December, with reopenings in following 

financing needs in refunding months. This move will reduce projected peak issuance during refunding months by ~ $

2025

 This strategy should be more beneficial in reducing intra-year variation compared to monthly new issues of 10s and 

quarterly 3-year notes reduces peak issuance during refunding months by ~ $15bn more compared to the alternate s

this strategy reduces peak issuance during refunding months by ~ $16bn less compared to the alternate strategy

16
Treasury can utilize different buyback strategies in order to smooth pe

nea

r-t h b l ll t k d t f l ti l term cas

h

b

alances, as well as ta

ke a

dvantage of relative value

3-month Treasury coupon matched-maturity OIS spread less 3-month Treasury bill matched-maturity OIS spread; bp

1-year Treasury coupon matchedless 1-year Treasury bill matchedbp

5

10

5

10

0

0

 Gi j t d f di th h FY15 b b k th ti f T t th k F $10

-5

Apr 09 Sep 10 Jan 12 Jun 13

-5

Apr 09 Sep 10 Jan 1

 Given projecte

d overfunding through FY15, buy

backs are another option for 

Treasury to smooth peaks. 

For every $10

average refunding month peak issuance will be reduced by ~ $30bn

 Treasury can employ a number of buyback/switch strategies:

 Short-term facility: Treasury uses excess cash balances to buy back near-maturity Treasuries. Off-the-run n

curve have traded 2b

p p, g , cheap, on avera

g

e, relative to matched-maturit

yy p Treasur

y bills over the 

past 5 

years

 Medium-term facility: Treasury attempts to smooth funding costs in the future. Under the current auction sch

by more than $200bn for FY15 and can purchase 1-year off-the-run coupons more cheaply than it currently au

5 years, coupons have traded more than 3bp cheap to bills in the 1-year sector

 Standing switch facility: Treasury buys issues with Feb/May/Aug/Nov maturities which trade cheap to the c

seasonal variation in financing needs If market participants seasonal variation in financing needs. If market participants understand the Treasury’s focus on relative value 

understand the Treasury’s focus on relative value

issues where Treasury would likely focus and reduce the value in this strategy

17
While buybacks can make an immediate difference, the scale needed 

peak ill b l ks will

be large

Buybacks/switches needed in each fiscal year to fully neutralize seasonal variation in financin

500300400100200

* Seasonal variation is the difference between peak monthly issuance and the average monthly issuance in each quarter; this sums the 

0

00

FY15 FY16 FY17 FY18 FY19 

 Buybacks would help manage Treasury’s seasonal variation in gross financing needs, while also maintaini

sizes

 Treasury has made use of buybacks before: it repurchased $67.5bn between 2000 and 2002 to address st

quarter of the fiscal year. 

financing needs. These purchases were largely focused in the 10-year and longer sector against the backdlonger-term budget surpluses and this represented approximately of 2% of publicly held Treasury debt

 Monthly purchases averaged approximately $2.5bn between March 2000 and April 2002 In order to reduce volatility between peak market access needs versus projected annual averages, Treasu

$90bn securities per quarter in FY15, and this rises to ~ $125bn per quarter in FY20. 

18
Treasury has a number of options to mitigate market access risk, but e

accompani d ith b fit d t ie

d with

benefits an

d costs

Summary of benefits and costs of potential solutions Summary of benefits and costs of potential solutions

Potential solution Benefits C

Increase the size of operating cash balance

Mitigates average market access risk Could produce a small 

IOR or if term premium 

Monthly new issue 10-year notes and 30 b d

Reduces seasonal variation in gross fi i d

Most benefits begin to a

30-year 

bon

d

s financing nee

d

s R d li idit i 

R

e

duces liquidity premi

Shift 3-year note maturities from refunding months to Mar/Jun/Sep/Dec

with re-openings in subsequent months

Reduces seasonal variation in gross financing needs more quickly

Results in very large-siz

with re openings in subsequent monthsMake use of buybacks Reduces fluctuations in gross financing 

needs over the course of a fiscal year Enhances market liquidity

Scale needed is very la

19
Financing Outlook
Introduction

2

 Current deficit and borrowing projections indicate that Treasury is likely 

to be overfunded in Fiscal Year (FY) 2014 and 2015.

 Treasury Marketable Borrowing announcement states that Treasury will be overfunded by $115 

billion for FY 2014

 CBO projections indicate that Treasury will be overfunded by $166 billion for FY 2015

 One way to address this overfunding is to reduce coupon issuance in the 

2-year and 3-year securities (currently at $32 billion and $30 billion, 

respectively), by $4 billion each over four months starting in May 2014 

($1 billion per month). Issuance could then be raised back to current 

levels over four months starting October 2015. 
Financing Outlook

3

 Based upon Treasury’s forecast for 2014 and CBO forecasts from 2015 onwards, 

Treasury appears to be overfunded in the near-term.

**Data labels represent over/underfunding to target projections; 

assumes $1.45 trillion in bills outstanding; assumes Federal 

Reserve redemptions until June 2021.

115 166

(100)

(287) (268)

(502)

(607)

(618)

(559)

(603) (630)

0

100

200

300

400

500

600

700

800

900

1,000

20142015201620172018201920202021202220232024

Billion

Fiscal Year

Projected Net Borrowing OFP/CBO

*Net Cash Raised W/ Current Calendar represents the net cash 

raised with current calendar/size of coupon issuance held 

constant and $1.45 trillion bills outstanding.

Forecasted Net Cash Raised 

Borrowing Needs W/ Current Calendar* Over/Underfunding

2014 616 731 115

2015 579 745 166

2016 611 511 (100)

2017 604 317 (287)

2018 604 336 (268)

2019 704 202 (502)

2020 762 155 (607)

2021 800 182 (618)

2022 869 310 (559)

2023 838 235 (603)

2024 812 182 (630)
Potential Coupon Cuts

4

 Current monthly 2- and 3-year issuance is $32 billion and $30 billion, respectively.

 One potential path of coupon cuts would be:

 Cutting 2-year by $1 billion per month from $32 billion to $28 billion starting in May 2014 

and raising again starting October 2015.

 Issuance size decreases from $32 billion to $28 billion from April 2014 to August 2014.

 Issuance size held constant at $28 billion from August 2014 to September 2015.

 Issuance size increases from $28 billion to $32 billion from September 2015 to January 2016.

 Cutting 3-year by $1 billion per month from $30 billion to $26 billion starting May 2014 and 

raising again starting October 2015 

 Issuance size decreases from $30 billion to $26 billion from April 2014 to August 2014.

 Issuance size held constant at $26 billion from August 2014 to September 2015.

 Issuance size increases from $26 billion to $30 billion from September 2015 to January 2016.

 This will result in outright reductions of $128 billion in coupon issuance in 2014 and 2015. 

 The remaining overfunding of $157 billion in 2014 and 2015 would therefore be met through a 

reduction in bills issuance.
Potential Coupon Cuts

5

Cutting Hold / Static Raising

2-Year 3-Year

2014 Apr-14 32 30

2014 May-14 31 29

2014 Jun-14 30 28

2014 Jul-14 29 27

2014 Aug-14 28 26

2014 Sep-14 28 26

2015 Oct-14 28 26

2015 Nov-14 28 26

2015 Dec-14 28 26

2015 Jan-15 28 26

2015 Feb-15 28 26

2015 Mar-15 28 26

2015 Apr-15 28 26

2015 May-15 28 26

2015 Jun-15 28 26

2015 Jul-15 28 26

2015 Aug-15 28 26

2015 Sep-15 28 26

2016 Oct-15 29 27

2016 Nov-15 30 28

2016 Dec-15 31 29

2016 Jan-16 32 30

2016 Feb-16 32 30

-550

-450

-350

-250

-150

-50

50

150

250

201420152016201720182019

Billion

Over/Underfunding w/o Coupon Cuts Over/Underfunding w/ Coupon Cuts

Forecasted Over/Underfunding Over/Underfunding 

Borrowing Needs W/ Coupon Cut W/O Coupon Cut

2014 616 87 115

2015 579 70 166

2016 611 (98) (100)

2017 604 (229) (287)

2018 604 (210) (268)

2019 704 (496) (502)

2020 762 (607) (607)

2021 800 (618) (618)

2022 869 (559) (559)

2023 838 (603) (603)

2024 812 (630) (630)
Change in Total Bills Outstanding

6

The remaining overfunding of $157 billion would therefore be met through a reduction 

in bills issuance bringing outstanding bills to $1.36 trillion and $1.29 trillion in 2014 and 

2015 respectively.

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2008200920102011201220132014201520162017201820192020

Billion

End of FY Total Bills Outstanding

End of Fiscal Year Total Bills Oustanding Projected

-400

-300

-200

-100

0

100

200

300

400

500

600

2009201020112012201320142015

$bn

Net Financing Through Bills

Net Financing Through Bills
Other Considerations

7

 The path of coupon cuts fits within the scope of past reductions.

 It is also consistent with Treasury’s commitment to extending the Weighted Average 

Maturity (WAM) of outstanding US marketable debt.

27

29

31

33

35

37

39

41

43

45

Jan-09

May-09

Sep-09

Jan-10

May-10

Sep-10

Jan-11

May-11

Sep-11

Jan-12

May-12

Sep-12

Jan-13

May-13

Sep-13

Jan-14

Billion

2-Year 3-Year

Path of FY 2010/2011 2- and 3-year Coupon Issuance

40

45

50

55

60

65

70

75

80

85

200820102012201420162018202020222024

Weighted Average Maturity (Months)

Calendar Year

Historical

Historical Average from 1980 to 2013

Without Cuts

With Coupon Cuts

Weighted Average Maturity of Marketable Debt Outstanding