Aggregated Perspectives on Treasury Auction Sizes, April 2020

MEAN STD MEAN STD MEAN STD MEAN STD MEAN STD MEAN STD MEAN STD MEAN STD MEAN STD

Coupons

51.8 3.6 48.1 2.2 56.0 4.1 55.9 5.1 51.4 3.8 61.7 6.9 56.6 6.9 51.3 5.0 62.7 9.1

49.9 3.5 46.1 2.1 54.2 4.1 53.9 5.1 49.3 3.9 59.6 7.0 54.7 6.8 49.5 4.8 60.9 9.0

52.5 3.8 48.6 2.4 56.3 4.1 56.0 5.5 51.2 3.5 61.0 7.2 56.6 6.7 51.1 3.9 62.5 8.9

42.6 3.1 39.3 2.3 46.1 3.2 45.6 4.8 41.6 3.7 51.1 8.1 46.1 6.1 41.6 4.9 52.3 9.9

31.1 1.6 29.2 1.2 33.9 1.9 32.8 2.0 30.9 1.6 36.4 2.4 33.4 2.2 30.9 2.0 37.6 3.4

28.3 1.7 26.4 1.2 30.9 1.9 30.1 2.0 28.1 1.4 33.6 2.5 30.8 2.4 28.4 2.0 35.0 3.6

15.8 2.1 13.3 1.7 18.6 2.9 18.0 3.5 15.3 2.4 21.7 3.9 18.9 3.5 16.0 2.7 22.9 3.9

13.3 2.2 11.0 1.7 16.1 2.8 15.4 3.4 13.0 2.3 19.1 4.0 16.3 3.5 13.6 2.4 20.2 3.8

22.6 1.5 20.8 1.3 24.9 1.8 24.5 2.2 22.4 1.7 27.7 2.7 25.0 2.6 22.5 2.2 28.8 3.1

19.8 1.5 17.9 1.2 22.4 2.1 21.7 2.1 19.6 1.6 25.1 2.8 22.2 2.5 19.7 2.1 25.9 2.9

TIPS

17.8 1.0 16.9 1.1 19.7 1.6 19.5 1.6 17.7 1.3 22.0 2.5 20.1 2.1 18.1 1.7 22.7 2.4

16.0 1.0 14.9 1.0 17.8 1.3 17.5 1.5 15.8 1.3 20.2 2.5 18.1 1.9 16.2 1.7 20.8 2.5

14.9 0.8 13.9 0.7 16.9 1.4 16.0 1.3 14.5 1.2 18.6 2.0 16.7 1.8 14.9 1.7 19.1 2.3

13.0 1.1 11.7 1.1 14.8 1.3 14.0 1.3 12.5 1.3 16.5 1.9 14.7 1.8 12.8 1.7 17.1 2.3

8.2 0.4 7.7 0.7 9.5 1.1 9.3 1.1 8.0 0.8 11.2 1.2 9.8 1.2 8.3 0.9 11.7 1.5

7.6 1.0 6.6 0.9 9.0 1.1 8.2 1.0 7.1 1.1 10.1 1.3 8.6 1.1 7.3 1.2 10.6 1.5

FRNs

23.9 1.5 22.4 1.3 26.2 2.3 25.6 2.4 23.0 1.9 29.1 3.3 25.6 2.6 23.0 2.1 29.7 3.3

21.9 1.5 20.4 1.3 24.1 2.1 23.4 2.4 20.9 2.0 26.9 3.4 23.4 2.4 20.8 2.1 27.4 3.4

Bills

96.5 9.3 80.6 13.2 113.3 15.0 94.6 13.1 74.6 15.0 116.4 16.4 89.3 13.8 71.6 15.9 112.1 21.0

77.4 6.8 65.4 9.3 89.9 10.6 76.5 11.3 61.3 11.4 95.3 14.5 72.3 11.2 57.9 12.3 91.4 18.1

64.6 7.1 55.1 5.7 72.8 10.2 65.8 11.3 53.3 7.2 75.7 12.9 60.7 8.2 50.6 6.8 74.1 15.1

54.9 7.5 46.6 5.3 62.2 8.4 56.1 10.6 45.6 7.0 65.0 9.6 51.1 6.9 43.5 7.0 62.6 12.0

32.8 2.9 27.9 3.2 37.8 5.6 34.4 4.8 29.7 3.6 41.3 8.9 32.8 4.3 28.9 3.6 40.1 8.9

The Treasury Department’s Office of Debt Management (ODM) would like your perspectives on Treasury auction sizes. This information would be used to help test ODM’s debt-issuance modeling assumptions, and does not reflect 

potential policy decisions. We appreciate your participation in a similar survey conducted in October 2019, and the aggregate response can be found online at

https://www.treasury.gov/resource-center/data-chart-center/quarterly-refunding/Pages/archived-auction-survey.aspx

Given your expectations for the borrowing needs over the next three fiscal years (as presented in question 1), Treasury would like your expectations for:

1. Auction sizes ($bln) in all tenors by the end of FY20, FY21, and FY22, and 

2. Auction size ranges ($bln) that would not surprise you across all tenors by the end of FY20, FY21, and FY22.

Auction size estimates should take into account the amount needed to address SOMA redemptions of Treasury securities.

The Treasury Department’s ODM surveyed all 24 primary dealers on their firms’ perspectives on Treasury auction sizes. The results presented below are “trimmed mean” and “trimmed standard deviation”. That is, the high and low 

values of all 24 responses for any maturity tranche are deleted before computing the average and standard deviation.

Tenor

Size Expectations 

for FY20 Year-End

Range that would not surprise you Size Expectations 

for FY21 Year-End

Range that would not surprise you Size Expectations 

for FY22 Year-End

Range that would not surprise you

Low High Low High Low High

10-year TIPS (reop)

2-year

3-year

5-year

7-year

10-year (new)

10-year (reop)

3-mo bill

6-mo bill

1-year bill

20-year (new)

20-year (reop)

30-year TIPS (new)

30-year TIPS (reop)

2-year FRN

2-year FRN (reop)

1-mo bill

2-mo bill

30-year (new)

30-year (reop)

5-year TIPS (new)

5-year TIPS (reop)

10-year TIPS (new)