Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2020 Q1 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. OMB’s Projections of Net Borrowing from the Public p. 18

C. Interest Rate Assumptions p. 19

D. Projected Net Marketable Borrowing Assuming Future Issuance Remains Constant p. 20

E. Estimate of the Effect of SOMA Purchases on Projected Net Borrowing p. 21

IV. Portfolio Metrics

A. Historical Weighted Average Maturity of Marketable Debt Outstanding p. 23

B. Bills, TIPS & FRNs Outstanding as a Percent of Marketable Debt Outstanding p. 24

C. Private Bills Holdings p. 25

D. Maturity Profile p. 26

V. Demand

A. Summary Statistics p. 28

B. Bid-to-Cover Ratios p. 29

C. Investor Class Awards at Auction p. 34

D. Primary Dealer Awards at Auction p. 38

E. Direct Bidder Awards at Auction p. 39

F. Foreign Awards at Auction p. 40

G. Foreign Holdings: Official and Private p. 41
Section I:

Executive Summary

3
Receipts and Outlays

• In Q1 FY2020, overall net receipts were up $48 billion (6%) on a calendar-adjusted basis compared to the same period last year. 

Increases in withheld income and FICA taxes of $38 billion (6%), gross corporate taxes of $13 billion (20%), and customs duties of $4 

billion (22%) were partially offset by declines in excise taxes of $11 billion (-35%) reflecting the fact that Health Insurance Provider 

fees paid in October 2018 were on moratorium in calendar year 2019. Q1 FY2020 receipts were 14.8% of GDP, which is unchanged 

from the same period last year.

• After calendar adjustments, in Q1 FY2020 outlays were $72 billion (7%) higher than the comparable period last year. Health and 

Human Services spending was $20 billion (7%) higher due to increased Medicare and Medicaid expenditures. Social Security 

Administration outlays were $15 billion (6%) higher due to increases in enrollment and in the average benefit. Department of Defense 

expenditures were up $15 billion (9%). Outlays were also up $8 billion (4%) for Department of Treasury, $3 billion (5%) for Veterans 

Affairs and $2 billion (4%) for Agriculture. Q1 FY2020 outlays were 21.4% of GDP, compared to 20.9% of GDP for the same period last 

year.

Projected Net Marketable Borrowing (FY2020) 

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of $367 billion for Q2 

FY2020, with an end-of-March cash balance of $400 billion. For Q3 FY2020, OFP forecasts a net privately-held marketable borrowing 

need of $-56 billion assuming end-of-June cash balance of $400 billion. Privately-held marketable borrowing excludes rollovers 

(auction “add-ons”) of Treasury securities held in the Federal Reserve System Open Market Account (SOMA) but includes financing 

required due to SOMA redemptions. Secondary market purchases of Treasury securities by SOMA do not directly change net 

privately-held marketable borrowing but, all else equal, when the securities mature and assuming the Fed does not redeem any 

maturing securities, would increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “addon” amount. 

Demand for Treasury Securities

• Bid-to-cover ratios for all securities were largely stable over the last quarter.

• Foreign demand remained steady.

Highlights of Treasury’s February 2020 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4
Section II:

Fiscal

5
6

Source: United States Department of the Treasury

(40%)

(30%)

(20%)

(10%)

0 %

10%

20%

30%

40%

50%

60% Dec-09 Mar-10 Jun-10

Sep-10 Dec-10 Mar-11 Jun-11Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13Sep-13 Dec-13 Mar-14 Jun-14Sep-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 Year-over-Year % Change

Quarterly Tax Receipts

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

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 

0

2 0

4 0

6 0

8 0

100

120

140

160 Dec-09 Mar-10 Jun-10

Sep-10 Dec-10 Mar-11 Jun-11Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13Sep-13 Dec-13 Mar-14 Jun-14Sep-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 $ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other
8

Source: United States Department of the Treasury 0

5 0

100

150

200

250

300

350 HHS SSA Defense Treasury V A Agriculture OPM Other Defense Civil Transportation Education Homeland Security Labor $ bn

Largest Outlays

Oct - Dec FY 2019 Oct - Dec FY 2020
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)0

1 0

2 0

3 0 Q1-10 Q2-10 Q3-10 Q4-10 Q1-11 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 $ 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

200

400

600

800

1,000

1,200 October November December January

February March April

May

June

July

August

September $ bn

Cumulative Budget Deficits by Fiscal Year

FY2018 FY2019 FY2020
11

Primary Dealers1 CBO2 OMB3 CBO4

FY2020 Deficit Estimate 1,050 1,015 1,045 966

FY2021 Deficit Estimate 1,100 1,000 1,015 921

FY2022 Deficit Estimate 1,161 1,116 967 1,073

FY2020 Deficit Estimate Range 1,000-1,170

FY2021 Deficit Estimate Range 1,030-1,250

FY2022 Deficit Estimate Range 1,025-1,275

FY2020 Privately-Held Net Marketable Borrowing Estimate 1,059 1,052 1,112 1,030

FY2021 Privately-Held Net Marketable Borrowing Estimate 1,100 1,031 1,082 978

FY2022 Privately-Held Net Marketable Borrowing Estimate 1,188 1,180 1,030 1,121

FY2020 Privately-Held Net Marketable Borrowing Range 490-1,350

FY2021 Privately-Held Net Marketable Borrowing Range 800-1,322

FY2022 Privately-Held Net Marketable Borrowing Range 850-1,330

Estimates as of: Jan-20 Jan-20 Jul-19 May-19

1Estimates represent the medians from the primary dealer survey in January 2020. 

2Table 1-1 of CBO's "The Budget And Economic Outlook: 2020 to 2030," January 2020 (current law).

4Table 2 of CBO's "An Analysis of the President's 2020 Budget," May 2019.

*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.

FY 2020-2022 Deficits and Privately-Held Net Marketable Borrowing Estimates*, in $ billions

3Table S-11 of OMB's "A Budget for a Better America, Fiscal Year 2020, Mid-Session Review," July 2019.
(14%)

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0 %

2 %

(1,400)

(1,200)

(1,000)

(800)

(600)

(400)

(200)

0

200 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 Deficit to GDP $ bn

Fiscal Year

Budget Surplus/Deficit

Surplus/Deficit (LHS) Surplus/Deficit (RHS)

Projections are from Table S-11 of OMB’s “A Budget for a Better America, Fiscal Year 2020, Mid-Session 

Review,” July 2019.

OMB’s Projection

12
13

-$100

$ 0

$100

$200

$300

$400

$500

$600

Q1 Q2 Q3 Q4

$ bn

FY 17 FY 18 FY 19 FY 20 FY 20 (projection-OFP)

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

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

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

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

privately-held auction size by increasing the SOMA “add-on” amount.

Privately-Held Net Marketable Borrowing Outlook*
Section III:

Financing

14
15

Assumptions for Financing Section (pages 16 to 21)

• Portfolio and SOMA holdings as of 12/31/2019.

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

TIPS, and FRNs given changes made at the November 2019 refunding, while using total bills 

outstanding of ~$2.42 trillion. 

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

as of 12/31/2019. 

• 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 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.

**An end-of-December 2019 cash balance of $404 billion versus a beginning-of-October 2019 cash balance of $382 billion. By keeping the cash 

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

Net Bill Issuance 4 0 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 290 4-Week 660 714 (54) 660 714 (54)

Subtotal: Net Marketable Borrowing 330 8-Week 535 539 (4) 535 539 (4)

13-Week 573 529 4 4 573 529 4 4

Ending Cash Balance 404 26-Week 519 469 5 0 519 469 5 0

Beginning Cash Balance 382 52-Week 8 2 7 8 4 8 2 7 8 4

Subtotal: Change in Cash Balance 2 1 CMBs 1 5 1 5 0 1 5 1 5 0

Bill Subtotal 2,384 2,344 4 0 2,384 2,344 4 0

Net Implied Funding for FY20 Q1** 309

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 5 6 4 1 1 5 5 6 4 1 1 5

2-Year 120 5 0 7 0 120 5 0 7 0

3-Year 114 7 2 4 2 114 7 2 4 2

5-Year 123 131 (8) 123 131 (8)

7-Year 9 6 5 8 3 8 9 6 5 8 3 8

10-Year 7 5 3 7 3 8 7 5 3 7 3 8

30-Year 5 1 0 5 1 5 1 0 5 1

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

10-Year TIPS 1 2 0 1 2 1 2 0 1 2

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 679 389 290 679 389 290

Total 3,063 2,733 330 3,063 2,733 330

October - December 2019 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY20 Q1*

October - December 2019 October - December 2019 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 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 at the November 2019 refunding. 

*** Assumes an end-of-March 2020 cash balance of $400 billion versus a beginning-of-January 2020 cash balance of $404 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*** 367

Net Coupon Issuance 236

Implied Change in Bills 131

Security Gross Maturing^ Net Gross Maturing Net

2-Year FRN 5 6 4 5 1 1 112 8 6 2 6

2-Year 120 8 3 3 7 240 134 106

3-Year 114 7 2 4 2 228 144 8 4

5-Year 123 105 1 8 246 235 1 1

7-Year 9 6 6 0 3 6 192 118 7 4

10-Year 7 5 4 4 3 1 150 8 0 7 0

30-Year 5 1 3 4 8 102 3 9 9

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

10-Year TIPS 2 6 2 1 5 3 8 2 1 1 7

30-Year TIPS 8 0 8 8 0 8

Coupon Subtotal 669 433 236 1,348 822 526

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY20 Q2*

January - March 2020

January - March 2020 Fiscal Year-to-Date
18

OMB's projections of the change in debt held by the public (borrowing) are from Table S-11 of “A Budget for a Better America, Fiscal Year 2020 

Mid-Session Review,” July 2019. “Other” represents borrowing from the public to provide direct and guaranteed loans.

1,112

1,082

1,030

894

703

659

598

542 551

266

60.0%

62.5%

65.0%

67.5%

70.0%

72.5%

75.0%

77.5%

80.0%

82.5%

(600)

(400)

(200)

0

200

400

600

800

1,000

1,200

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 Debt to GDP $ bn

OMB's Projection of Borrowing from the Public

Primary Deficit (LHS) Net Interest (LHS)

Other (LHS) Debt Held by Public (RHS)

Debt Held by Public Net of Financial Assets (RHS)

The bubbles represent the total net marketable borrowing for that year

$ bn %

Primary Deficit 639 9

Net Interest 6,206 83

Other 592 8

Total 7,437 100

FY2020 - FY2029 Cumulative Total
19

OMB's economic assumption of the 10-Year Treasury note rates reflect the calendar year average from Table 3 of OMB’s “A Budget for a Better 

America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s economic assumption 10-Year Treasury note rates reflect the fiscal year 

average from Table B-2 of CBO’s “The Budget and Economic Outlook: 2020 to 2030,” January 2020. The forward rates are the implied 10-Year 

Treasury note rates on December 31, 2019. 

1.5

2

2.5

3

3.5

4 2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 1 0-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

CBO's "The Budget and Economic Outlook: 2020 to 2030" (January 2020)

OMB FY 2020 Budget, Mid-Session Review (July 2019)

Implied Forward Rates as of 12/31/2019

1 0-Year Treasury Rate of 

1.919% as of 12/31/2019
20

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant*

Treasury’s latest primary dealer survey estimates can be found on page 11. OMB's projections of the change in debt held by the public are from Table S-11 of “A 

Budget for a Better America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s current law budget projections of the change in debt held by the public are 

from 1-1 of CBO's “The Budget and Economic Outlook: 2020 to 2030,” January 2020. CBO’s budget projections of the change in debt held by the public are from 

Table 2 of “An Analysis of the President’s 2020 Budget,” May 2019. See table in the appendix section for details.

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

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

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 $bn

Fiscal Year

Projected Privately-Held Net Marketable Borrowing CBO's "The Budget and Economic Outlook: 2020 to 2030" Jan 2020 (current law)

OMB's FY 2020 Budget, Mid-Session Review, July 2019 PD Survey Marketable Borrowing Estimates January 2020

CBO's "An Analysis of the President's 2020 Budget " May 2019
21 -

 200

 400

 600

 800

 1,000

 1,200

 1,400

 1,600

 1,800

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029 $ Bn

Fiscal Year

Projected Privately-Held Net Marketable Borrowing Effect of balance sheet growth

Effect of SOMA Agency Debt and MBS Reinvestments CBO's "The Budget and Economic Outlook: 2020 to 2030" Jan 2020 (current law)

OMB's FY 2020 Budget, Mid-Session Review, July 2019 PD Survey Marketable Borrowing Estimates, January 2020

CBO's "An Analysis of the President's 2020 Budget " May 2019

Treasury’s latest primary dealer survey estimates can be found on page 11. OMB's projections of the change in debt held by the public are from Table S-11 of “A 

Budget for a Better America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s current law budget projections of the change in debt held by the public are 

from Table 1-1 of CBO's “The Budget and Economic Outlook: 2020 to 2030,” January 2020. CBO’s budget projections of the change in debt held by the public are 

from Table 2 of “An Analysis of the President’s 2020 Budget,” May 2019. 

* The principal payments from agency debt and agency MBS up to a maximum amount of $20 billion per month will be reinvested in Treasury securities through 

secondary market purchases that roughly match the maturity composition of Treasury securities outstanding [1]. The currency portion of the Fed’s balance sheet is 

assumed to grow at the historical annual rate and assumed to be offset by Treasury securities purchases in the same manner consistent with the MBS principal 

payments. 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.

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

(SOMA) but includes financing required due to SOMA redemptions. 

[1] https://www.newyorkfed.org/markets/opolicy/operating_policy_190731

Estimate of the Effect of SOMA Purchases* on Projected Privately-Held Net Marketable Borrowing** 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant
Section IV:

Portfolio Metrics

22
23

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 Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable 

Debt Outstanding

Historical Historical Average from 1980 to end of FY 2020 Q1

69.9 months on 

12/31/2019

60.1 months (Historical Average 

from 1980 to Present)
24

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 Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.8%

Max 10.7%

Max 2.6%

Last 

14.5%

Last 

9.0%

Last 2.6%

Max 

35.6%
25

0%

5%

10%

15%

20%

25%

30%

35%

40% 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0

500

1,000

1,500

2,000

2,500

3,000 $ 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)
26

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 Percent

Calendar Year

Treasury Maturity Profile History

Percent Maturing <=1 Year Percent Maturing <= 3 Years
Section V:

Demand

27
28

*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 1.609 2.8 591.4 51.5 4.0 44.5 23.6 9.4 5.3

Bill 8-Week 1.590 3.0 488.7 48.2 2.7 49.1 6.3 8.7 8.5

Bill 13-Week 1.574 2.9 553.0 45.9 3.5 50.6 17.0 1.9 15.6

Bill 26-Week 1.578 2.9 498.4 53.1 2.9 43.9 14.6 1.7 28.2

Bill 52-Week 1.561 3.0 106.4 56.1 3.8 40.1 1.6 0.0 11.8

Bill CMB 1.540 3.6 15.0 79.7 3.0 17.3 0.0 0.0 0.1

Coupon 2-Year 1.616 2.5 119.4 28.9 21.5 49.6 0.6 11.1 28.4

Coupon 3-Year 1.558 2.5 113.7 31.4 19.2 49.4 0.3 18.0 42.7

Coupon 5-Year 1.638 2.5 122.9 22.0 13.7 64.3 0.1 11.4 71.1

Coupon 7-Year 1.737 2.5 96.0 19.2 16.0 64.8 0.0 8.9 76.3

Coupon 10-Year 1.749 2.5 75.0 25.3 14.7 59.9 0.0 12.8 88.5

Coupon 30-Year 2.310 2.3 51.0 19.8 20.1 60.2 0.0 9.0 142.8

TIPS 5-Year 0.038 2.7 31.9 13.5 24.6 61.9 0.1 3.2 19.0

TIPS 10-Year 0.149 2.4 12.0 15.4 25.8 58.8 0.0 0.0 12.5

FRN 2-Year 0.268 3.1 56.0 58.7 0.9 40.4 0.0 2.1 0.0

Total Bills 1.587 2.9 2,253.0 50.2 3.3 46.5 63.0 21.7 69.5

Total Coupons 1.708 2.5 577.9 25.0 17.5 57.5 1.1 71.2 449.9

Total TIPS 0.068 2.6 43.9 14.0 24.9 61.1 0.1 3.2 31.5

Total FRN 0.268 3.1 56.0 58.7 0.9 40.4 0.0 2.1 0.0

Summary Statistics for Fiscal Year 2020 Q1 Auctions
29

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Dec-09 Mar-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Feb-12 May-12

Aug-12 Nov-12 Feb-13 May-13Aug-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 May-17Aug-17 Nov-17 Feb-18 May-18Aug-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 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)
30

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 Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Dec-14 Feb-15 Apr-15

Jun-15

Aug-15 Oct-15 Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19 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
32

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Dec-14 Feb-15 Apr-15

Jun-15

Aug-15 Oct-15 Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19 Bid-to-Cover Ratio

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

(6-Month Moving Average)

7-Year 10-Year 30-Year
33

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6 Oct-06 Jan-07

Apr-07

Jul-07 Oct-07 Jan-08

Apr-08

Jul-08 Oct-08 Dec-08 Mar-09 Jun-09

Sep-09 Dec-09 Mar-10 Jun-10Sep-10 Dec-10 Mar-11 Jun-11

Sep-11 Dec-11 Mar-12 Jun-12Sep-12 Dec-12 Mar-13 Jun-13Sep-13 Dec-13 Mar-14 Jun-14

Aug-14 Nov-14 Feb-15 May-15

Aug-15 Nov-15 Feb-16 May-16Aug-16 Nov-16 Feb-17 May-17Aug-17 Nov-17 Feb-18 May-18Aug-18 Nov-18 Feb-19 May-19

Aug-19 Nov-19 Bid-to-Cover Ratio

Bid-t o-Cover Ratios for TIPS

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

5 %

10%

15%

20%

25%

30%

35% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19 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
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% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19

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
36

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19

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
37

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

Institutions, Individuals, Pension and Insurance.

0 %

10%

20%

30%

40%

50%

60%

70%

80% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19

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
38

Competitive Amount Awarded excludes SOMA add-ons. 

10%

20%

30%

40%

50%

60%

70% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19 % 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) 7/10/30-Year (6-month moving average)

TIPS (6-month moving average)
39

Competitive Amount Awarded excludes SOMA add-ons. 

0 %

5 %

10%

15%

20%

25% Dec-15 Feb-16 Apr-16

Jun-16

Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Jun-17

Aug-17 Oct-17 Dec-17 Feb-18 Apr-18

Jun-18

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19

Jun-19

Aug-19 Oct-19 Dec-19 % 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) 7/10/30-Year (6-month moving average)

TIPS (6-month moving-average)
40

Foreign includes both private sector and official institutions. 0

1 0

2 0

3 0

4 0

5 0

6 0

7 0

8 0

9 0

100 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18

May-18

Jun-18

Jul-18

Aug-18

Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19 Oct-19 Nov-19 Dec-19 $ bn

Total Foreign Awards of Treasuries at Auction, $ billions

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

Source: Treasury International Capital (TIC) System.

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0 %

10%

20%

30%

40%

50%

60%

0

500

1,000

1,500

2,000

2,500

3,000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 $ bn

Bills

30%

35%

40%

45%

50%

55%

60%

65%

70%

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 $ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)
Appendix

42
43

Projected Privately-Held Net Marketable Borrowing 

Assuming Private Coupon Issuance & Total Bills Outstanding Remain Constant

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 System Open Market Account 

(SOMA) but includes financing required due to SOMA redemptions. 

Treasury’s latest primary dealer survey estimates can be found on page 11. OMB’s projections of the change in debt held by the public are from Table S-11 of “A 

Budget for a Better America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s baseline budget projections of the change in debt held by the public are 

from Table 1-1 of CBO's “The Budget and Economic Outlook: 2020 to 2030,” January 2020. 

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2020 MidSession Review

CBO's "The Budget and 

Economic Outlook: 

2020 to 2030"

Primary Dealer 

Survey

2015 (53) (282) 642 88 164 558 

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 40 359 482 46 37 963 1,112 1,052 1,059 

2021 0 284 315 27 2 628 1,082 1,031 1,100 

2022 0 94 409 14 1 519 1,030 1,180 1,188 

2023 0 176 248 11 0 436 894 1,182 

2024 0 89 238 24 0 351 703 1,205 

2025 0 (0) 264 (43) 0 221 659 1,374 

2026 0 0 242 (24) 0 218 598 1,369 

2027 0 0 242 (19) 0 223 542 1,349 

2028 0 0 221 (37) 0 184 551 1,607 

2029 0 0 187 (44) 0 142 266 1,515 
44

*Weighted averages of competitive awards.

**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 10/8/2019 1.750 2.90 42.4 56.5 2.7 40.8 2.6 0.1 0.4

4-Week 10/15/2019 1.720 2.62 48.4 58.3 2.5 39.3 1.6 0.0 0.4

4-Week 10/22/2019 1.720 2.50 53.5 58.2 3.0 38.8 1.5 0.0 0.5

4-Week 10/29/2019 1.710 2.75 53.3 46.6 6.8 46.6 1.7 0.0 0.5

4-Week 11/5/2019 1.570 2.83 53.3 56.4 2.4 41.2 1.7 0.0 0.5

4-Week 11/12/2019 1.535 2.65 53.3 50.9 3.7 45.5 1.7 0.0 0.5

4-Week 11/19/2019 1.565 2.52 53.3 66.6 5.5 27.9 1.7 0.0 0.5

4-Week 11/26/2019 1.550 2.82 48.5 47.0 3.0 50.0 1.5 0.0 0.4

4-Week 12/3/2019 1.620 2.73 43.4 51.6 4.4 44.0 1.6 0.6 0.4

4-Week 12/10/2019 1.500 3.16 38.3 42.7 0.9 56.4 1.7 0.1 0.3

4-Week 12/17/2019 1.540 2.59 38.5 42.0 11.5 46.6 1.5 4.3 0.4

4-Week 12/24/2019 1.510 3.19 32.5 36.1 3.1 60.7 2.5 2.0 0.3

4-Week 12/31/2019 1.555 3.31 32.6 44.4 1.7 53.9 2.4 2.3 0.3

8-Week 10/8/2019 1.710 2.86 38.8 60.0 3.4 36.6 1.2 0.0 0.7

8-Week 10/15/2019 1.685 2.88 39.7 54.7 2.7 42.5 0.3 0.0 0.7

8-Week 10/22/2019 1.665 2.99 39.8 48.6 2.7 48.7 0.2 0.0 0.7

8-Week 10/29/2019 1.680 2.85 39.8 54.1 3.6 42.3 0.2 0.0 0.7

8-Week 11/5/2019 1.560 3.21 39.8 40.2 1.5 58.3 0.2 0.0 0.7

8-Week 11/12/2019 1.530 2.81 39.6 54.1 2.8 43.2 0.4 0.0 0.7

8-Week 11/19/2019 1.520 3.20 39.6 38.6 1.7 59.7 0.4 0.0 0.7

8-Week 11/26/2019 1.540 2.89 39.8 48.8 3.0 48.2 0.2 0.0 0.7

8-Week 12/3/2019 1.570 3.53 34.8 46.7 1.9 51.4 0.2 0.5 0.6

8-Week 12/10/2019 1.520 3.18 34.7 44.1 2.8 53.1 0.3 0.1 0.6

8-Week 12/17/2019 1.540 2.69 34.7 43.4 2.6 53.9 0.3 3.8 0.7

8-Week 12/24/2019 1.555 2.78 33.7 49.7 4.3 46.0 1.3 2.0 0.6

8-Week 12/31/2019 1.565 3.24 33.8 42.1 1.6 56.3 1.2 2.3 0.6

Bills
45

*Weighted averages of competitive awards.

**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 10/10/2019 1.680 3.16 43.9 37.5 2.3 60.2 1.1 0.0 1.2

13-Week 10/17/2019 1.640 2.58 43.9 58.8 5.3 35.9 1.1 0.0 1.2

13-Week 10/24/2019 1.630 3.01 44.0 31.6 3.4 65.0 1.0 0.0 1.2

13-Week 10/31/2019 1.620 3.10 43.9 37.8 2.1 60.0 1.1 0.0 1.2

13-Week 11/7/2019 1.520 2.63 43.8 55.3 3.9 40.8 1.2 0.0 1.2

13-Week 11/14/2019 1.565 2.70 43.7 64.8 3.6 31.6 1.3 1.0 1.3

13-Week 11/21/2019 1.540 3.01 43.9 44.4 4.4 51.2 1.1 0.0 1.2

13-Week 11/29/2019 1.560 2.89 43.9 46.9 2.2 50.9 1.1 0.0 1.2

13-Week 12/5/2019 1.560 3.03 41.1 41.5 2.7 55.8 0.9 0.0 1.1

13-Week 12/12/2019 1.520 2.77 40.8 56.7 6.8 36.4 1.2 0.0 1.1

13-Week 12/19/2019 1.540 2.70 40.0 43.3 4.0 52.7 2.0 0.0 1.1

13-Week 12/26/2019 1.555 2.94 40.0 37.9 1.5 60.6 2.0 0.8 1.2

13-Week 1/2/2020 1.520 3.21 40.1 39.7 2.8 57.6 1.9 0.0 1.2

26-Week 10/10/2019 1.690 2.52 41.0 76.2 2.4 21.4 1.0 0.0 2.3

26-Week 10/17/2019 1.620 3.15 40.9 39.6 7.4 53.1 1.1 0.0 2.3

26-Week 10/24/2019 1.600 2.73 41.0 49.3 2.8 47.9 1.0 0.0 2.3

26-Week 10/31/2019 1.610 3.23 41.0 41.5 1.5 57.0 1.0 0.0 2.3

26-Week 11/7/2019 1.535 2.69 41.2 57.5 2.7 39.8 0.8 0.0 2.3

26-Week 11/14/2019 1.550 2.99 40.3 41.8 2.5 55.7 1.7 1.0 2.4

26-Week 11/21/2019 1.540 2.89 41.3 44.9 2.4 52.7 0.7 0.0 2.3

26-Week 11/29/2019 1.580 2.73 38.3 64.4 2.7 32.8 0.7 0.0 2.1

26-Week 12/5/2019 1.565 3.11 35.3 46.3 1.4 52.3 0.7 0.0 2.0

26-Week 12/12/2019 1.520 2.98 35.1 46.8 4.0 49.2 0.9 0.0 2.0

26-Week 12/19/2019 1.550 2.63 34.3 69.0 3.7 27.4 1.7 0.0 2.0

26-Week 12/26/2019 1.570 3.03 34.4 47.9 2.2 49.9 1.6 0.7 2.0

26-Week 1/2/2020 1.560 2.81 34.4 68.3 2.6 29.1 1.6 0.0 2.0

52-Week 10/10/2019 1.600 2.98 27.6 55.7 6.0 38.3 0.4 0.0 3.0

52-Week 11/7/2019 1.565 2.84 27.6 59.7 4.6 35.7 0.4 0.0 3.1

52-Week 12/5/2019 1.525 3.39 25.6 39.2 2.6 58.2 0.4 0.0 2.8

52-Week 1/2/2020 1.550 2.95 25.6 69.5 1.8 28.6 0.4 0.0 2.9

CMB 11/26/2019 1.540 3.63 15.0 79.7 3.0 17.3 0.0 0.0 0.1

Bills
46

*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.

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 10/31/2019 1.594 2.70 39.9 31.2 14.0 54.8 0.1 4.2 9.6

2-Year 12/2/2019 1.601 2.63 39.8 23.1 29.1 47.8 0.2 3.2 9.3

2-Year 12/31/2019 1.653 2.30 39.7 32.2 21.5 46.3 0.3 3.8 9.5

3-Year 10/15/2019 1.413 2.43 38.0 37.3 16.9 45.8 0.0 0.0 12.3

3-Year 11/15/2019 1.630 2.60 37.9 29.7 16.9 53.3 0.1 18.0 18.2

3-Year 12/16/2019 1.632 2.56 37.8 27.1 23.8 49.1 0.2 0.0 12.2

5-Year 10/31/2019 1.570 2.41 41.0 22.8 11.5 65.7 0.0 4.3 24.1

5-Year 12/2/2019 1.587 2.50 41.0 21.6 13.5 64.8 0.0 3.3 23.3

5-Year 12/31/2019 1.756 2.49 41.0 21.5 16.1 62.4 0.0 3.9 23.7

7-Year 10/31/2019 1.657 2.46 32.0 20.1 14.5 65.4 0.0 3.3 25.9

7-Year 12/2/2019 1.719 2.44 32.0 20.3 10.1 69.6 0.0 2.5 25.0

7-Year 12/31/2019 1.835 2.47 32.0 17.1 23.4 59.4 0.0 3.0 25.5

10-Year 10/15/2019 1.590 2.43 24.0 28.7 12.8 58.5 0.0 0.0 24.0

10-Year 11/15/2019 1.809 2.49 27.0 23.1 12.4 64.5 0.0 12.8 40.6

10-Year 12/16/2019 1.842 2.43 24.0 24.5 19.4 56.1 0.0 0.0 24.0

30-Year 10/15/2019 2.170 2.25 16.0 22.9 18.5 58.5 0.0 0.0 38.3

30-Year 11/15/2019 2.430 2.23 19.0 20.7 20.5 58.8 0.0 9.0 66.7

30-Year 12/16/2019 2.307 2.46 16.0 15.5 21.1 63.4 0.0 0.0 37.8

2-Year FRN 10/31/2019 0.300 2.58 20.0 52.2 1.2 46.6 0.0 2.1 0.0

2-Year FRN 11/29/2019 0.240 2.50 18.0 78.4 0.7 21.0 0.0 0.0 0.0

2-Year FRN 12/27/2019 0.260 4.17 18.0 46.3 0.8 52.9 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)**

5-Year TIPS 10/31/2019 0.054 2.75 17.0 13.8 18.2 67.9 0.0 1.8 10.3

5-Year TIPS 12/31/2019 0.020 2.69 15.0 13.1 31.8 55.1 0.0 1.4 8.7

10-Year TIPS 11/29/2019 0.149 2.40 12.0 15.4 25.8 58.8 0.0 0.0 12.5

TIPS
Office of Debt Management

Current State of the Treasury Bill Market

February 2020
 Through 28 January 2020, reserve management purchases of Treasury bills by the Federal Reserve 

Bank of New York (FRBNY) totaled $217.5 billion, or $232.5 billion if including Treasury bill 

purchases relating to mortgage backed securities (MBS) reinvestment

 To date, these purchases have been skewed toward longer-dated securities with more than 3-

months remaining to maturity

 Treasury bills have richened in recent months, but its relationship with matched-maturity 

overnight indexed swaps (OIS) remains within the historical range

 Treasury bill trading volumes have remained robust during the FRBNY’s purchases

 Per the most recently published results of the FRBNY primary dealer survey, the median 

expectation is for reserve management purchases of Treasury bills to continue through June 2020 

and exceed $400 billion in aggregate (since mid-October 2019) 1

 By the time reserve management purchases conclude, this may result in the supply of 

privately-held Treasury bills declining to its lowest absolute level since October 2017

Executive Summary

2 1 FRBNY Survey of Primary Dealers (December 2019), p. 9 

https://www.newyorkfed.org/medialibrary/media/markets/survey/2019/dec-2019-spd-results.pdf
 The FRBNY began reserve management purchases of Treasury bills on 15 October 2019, at a pace 

of $60 billion per month 2

 As of 28 January 2020, reserve management purchases of Treasury bills totaled $217.5 billion 

($232.5 billion if including Treasury bill purchases relating to MBS reinvestment)

 To date, FRBNY purchases of Treasury bills have been skewed toward longer-dated maturities:

 Note: on 14 January 2020, FRBNY modified its purchase limits for Treasury bills which may 

result in a shift in tenor allocation

Federal Reserve SOMA Purchases of Treasury Bills

3 2 Statement Regarding Treasury Bill Purchases and Repurchase Operations (11 October 2019) 

https://www.newyorkfed.org/markets/opolicy/operating_policy_191011

Source: 

FRBNY

(5.7%)

(10.7%)

(48.1%)

(35.5%)

$0

$20

$40

$60

$80

$100

$120

4-8 8-13 13-26 26-52

billions

weeks to maturity from purchase date

FRBNY Purchases of T-bills (% of Total T-bill Purchases)

0%

5%

10%

15%

20%

25%

30%

35%

0-4 4-8 8-13 13-26 26-52

weeks remaining to maturity

SOMA T-bill Holdings as a Proportion of Total Outstanding
 During Q4 CY2019, Treasury bills broadly outperformed matched-maturity OIS --- particularly in 

the 6-month and 1-year sectors:

 Although Treasury bills have richened in recent months, its relationship with OIS has 

remained within the historical range:

Treasury Bills vs Matched-Maturity OIS

4

Source: 

Bloomberg

-0.40%

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

Jan-18

Feb-18

Mar-18

Apr-18

May-18

Jun-18

Jul-18

Aug-18

Sep-18

Oct-18

Nov-18

Dec-18

Jan-19

Feb-19

Mar-19

Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-20

Treasury Bills less OIS

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

Announcement of reserve 

management purchases
 Treasury bill trading volumes have remained robust during the Federal Reserve SOMA purchases:

 Since mid-October 2019, approximately $86 billion has transacted daily in Treasury bills. This 

compares to an average of $89 billion over the preceding year

 Since mid-October 2019, approximately 3.7% of privately-held Treasury bill supply has 

transacted daily. This compares to an average of 3.8% over the preceding year 

Treasury Bill Market Trading Volumes

5

Source: 

TRACE

Source: 

TRACE

Note: Figures are daily averages 

based on weekly totals

$2,050

$2,150

$2,250

$2,350

$2,450

$2,550

$2,650

$60

$70

$80

$90

$100

$110

$120

Oct-18

Nov-18

Dec-18

Jan-19

Feb-19

Mar-19

Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-20

billionsbillions

T-bill Trading Volumes (Dotted Line: 4-Wk Moving Average) Privately-Held T-bill Supply (RHS)

Announcement of reserve 

management purchases

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

Oct-18

Nov-18

Dec-18

Jan-19

Feb-19

Mar-19

Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-20

Daily Turnover of Privately-Held T-bills

Announcement of reserve 

management purchases
 Per the most recently published results of the FRBNY primary dealer survey, the median 

expectation is for reserve management purchases of Treasury bills to continue through June 2020 

and exceed $400 billion in aggregate (since mid-October 2019)

 Given current fiscal projections and assuming unchanged coupon auction sizes, this could 

result in the supply of privately-held Treasury bills declining to the mid-$1.8 trillion range by 

end-June 2020 (or 12.9% of total private Treasury holdings), which would be the lowest 

absolute level since October 2017 3

Looking Ahead

6 3 Note: This projection does not incorporate 20-year bond issuance, scheduled for introduction in 1H CY2020

https://home.treasury.gov/news/press-releases/sm878?mod=article_inline 10%

15%

20%

25%

30%

35%

40%

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

1980198119821983198419851986198719881990

19911992199319941995199619971998

20002001200220032004200520062007200820102011201220132014

2015201620172018

billions

Historical Treasury Bill Supply

Privately-Held Bills Privately-Held Bills as % of Total Private Holdings (RHS)

Introduction of 8-week Treasury bill, as well 

as split Tuesday & Thursday maturities
 In January 2020, Treasury asked the primary dealer community for feedback regarding the 

minimum announced T-bill auction size that would maintain benchmark liquidity: 4

 Upon annualizing these minimum recommended auction sizes, the middle-50% of primary dealer 

responses imply that a minimum of $1,678-$1,925 billion of privately-held T-bill supply is 

necessary to maintain benchmark liquidity (median response: $1,782 billion) 

Looking Ahead, continued

7 4 Note: For 13- and 52-week T-bills, the median response coincides with the third quartile. 


•

•

•

•

•

0

1000

2000

3000

4000

5000

2006 2008 2010 2012 2014 2016 2018 2020

Fed Assets (USD bln)

Treasuries MBS Agency Debt Other Assets (non-SOMA)

0

1000

2000

3000

4000

5000

2006 2008 2010 2012 2014 2016 2018 2020

Fed Liabilities (USD bln)

Currency Reserves Other Liabilities
•

•

•

0

500

1000

1500

2000

2500

2006 2008 2010 2012 2014 2016 2018

SOMA Treasury Holdings by Maturity (USD bln)

<1 year 1 to 5 years 5 to 10 years Over 10 years

0

2

4

6

8

10

2006 2008 2010 2012 2014 2016 2018

WAD of Treasuries (Years)

All Outstanding Treasuries Held in SOMA Portfolio
•••••
••
•

•

•

•

0

1

2

3

4

5

6

2006 2008 2010 2012 2014 2016 2018

WAD of Treasuries Outstanding (Years)

Total Outstanding Consolidated Balance sheet

0

1

2

3

4

5

6

7

2006 2008 2010 2012 2014 2016 2018

WAM of Treasuries Outstanding (Years)

Total Outstanding Consolidated Balance Sheet
•

•

•

•

0

2000

4000

6000

8000

10000

12000

2006 2008 2010 2012 2014 2016 2018

Treasuries Outstanding in TYEs (USD bln)

Total Consolidated Balance sheet

0

20

40

60

80

100

120

2006 2008 2010 2012 2014 2016 2018

Treasury Net Interest Payments (SA, USD bln)

Total Consolidated Balance Sheet
••••
•

•

•

0%

10%

20%

30%

40%

50%

60%

1s 2s 3s 5s 7s 10s 30s

Assumed Purchase Shares for SOMA

Proportional Shorter Maturity

0%

10%

20%

30%

40%

50%

60%

1s 2s 3s 4-5s 6-7s 8-10s 11-30s

Resulting Portfolio Shares in 20 Years

Proportional Shorter Maturity
•

•

•

•

Without Incorporating SOMA Portfolio

Incorporating SOMA Portfolio
•

•

•

•

Without Incorporating SOMA Portfolio

Incorporating SOMA Portfolio
•••••
•••
•

•

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

20202021202220232024202520262027202820292030203120322033203420352036203720382039

Proportional

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

20202021202220232024202520262027202820292030203120322033203420352036203720382039

Shorter Maturity

Capacity for SOMA Run-Off Within One Year (USD trn)
•

•

•

0

20

40

60

80

Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19 Jul-19 Oct-19 Jan-20

Fed's Treasury Redemptions (USD bln)

Redemptions Reinvestments Monthly Cap

0

100

200

300

400

500

600

Other Funding Needs

SOMA Run-off

FRNs

TIPS

30y

10y

7y

5y

3y

2y

Increase in Treasury Issuance (USD bn)

Mid-2017 to Mid-2019, Excluding Bills
•••
•••••
•

•

•

With Future QE

Without Future QE
•

•

•

0

10

20

30

40

2006 2008 2010 2012 2014 2016 2018

Fed Treasuries Lending Volumes (USD bln)

•
••••