Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2019 Q3 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. Maturity Profile p. 25

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

• FY 2019 year-to-date receipts were $68 billion (3%) higher than the comparable period last year. Total receipts were 16.4% of GDP, 

compared to 16.7% of GDP for the same period last year. Customs duties rose $23 billion (78%), largely resulting from new tariffs. 

Withheld income and FICA taxes were up $33 billion (2%), driven by growth in wages and employment. Gross excise taxes were $11 

billion (16%) higher due primarily to the return of the Health Insurance Providers tax in October 2018. Non-withheld income and 

SECA taxes were up $7 billion (1%). Individual refunds were $23 billion (9%) lower. Federal Reserve earnings were $16 billion (28%) 

lower due to the Federal Reserve paying higher short-term interest rates to depository institutions. Gross corporate taxes were $5

billion (2%) lower, due primarily to the lower corporate tax rates established by the Tax Cuts and Jobs Act (TCJA). 

• After calendar adjustments, FY 2019 year-to-date outlays were $205 billion (7%) higher than the comparable period last year. Total 

outlays were 21.1% of GDP, compared to 20.7% of GDP for the same period last year. Defense expenditures were up $38 billion (8%) 

due to increased spending for military personnel, operations, maintenance, and procurement. Social Security Administration outlays 

were $42 billion (5%) higher due to increases in enrollment, the average benefit, and a cost-of-living adjustment of 2.8%. Treasury 

outlays were $43 billion (8%) higher due primarily to increased interest on the public debt. Health and Human Services spending was 

$47 billion (5%) higher due to increased Medicare and Medicaid expenditures. Education expenditures were up $40 billion (85%) due 

to differences in subsidy re-estimates through this period. 

Projected Net Marketable Borrowing (FY 2019) 

• Based on the quarterly borrowing estimate, Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held 

marketable borrowing need of $433 billion for Q4 FY 2019, with an end-of-September cash balance of $350 billion. 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. 

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 August 2019 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4
Section II:

Fiscal

5
6

Source: United States Department of the Treasury

(50%)

(40%)

(30%)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

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

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

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

20

40

60

80

100

120

140

160

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

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

$ 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

100

200

300

400

500

600

700

800

900

1,000

HHS

SSA

Treasury

Defense

VA

Agriculture

Education

OPM

Transportation

Other Defense Civil

Homeland Security

Labor

$ bn

Largest Outlays

Oct - Jun FY 2018 Oct - Jun FY 2019
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)

0

10

20

30

Q3-09Q4-09Q1-10Q2-10Q3-10Q4-10Q1-11Q2-11Q3-11Q4-11Q1-12Q2-12Q3-12Q4-12Q1-13Q2-13Q3-13Q4-13Q1-14Q2-14Q3-14Q4-14Q1-15Q2-15Q3-15Q4-15Q1-16Q2-16Q3-16Q4-16Q1-17Q2-17Q3-17Q4-17Q1-18Q2-18Q3-18Q4-18Q1-19Q2-19Q3-19

$ 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

100

200

300

400

500

600

700

800

900

1,000

October

November

December

January

February

March

April

May

June

July

August

September

$ bn

Cumulative Budget Deficits by Fiscal Year

FY2017 FY2018 FY2019
11

FY 2019-2021 Deficits and Net Marketable Borrowing Estimates*, in $ billions

Primary Dealers1 OFP2 OMB3 CBO4

FY 2019 Deficit Estimate 950 1,001 896

FY 2020 Deficit Estimate 1,012 1,045 892

FY 2021 Deficit Estimate 1,100 1,015 962

FY 2019 Deficit Range 900-1,050

FY 2020 Deficit Range 900-1,250

FY 2021 Deficit Range 962-1,290

FY 2019 Privately-Held Net Marketable Borrowing Estimate 1,004 1,273

FY 2020 Privately-Held Net Marketable Borrowing Estimate 1,085

FY 2021 Privately-Held Net Marketable Borrowing Estimate 1,140

FY 2019 Privately-Held Net Marketable Borrowing Range 782-1,260

FY 2020 Privately-Held Net Marketable Borrowing Range 850-1,406

FY 2021 Privately-Held Net Marketable Borrowing Range 900-1,290

FY 2019 SOMA Redemption Estimate 229 263

FY 2020 SOMA Redemption Estimate

FY 2021 SOMA Redemption Estimate

FY 2019 Net Marketable Borrowing Estimate 775 1,010 1,070 871

FY 2020 Net Marketable Borrowing Estimate 1,085 1,112 955

FY 2021 Net Marketable Borrowing Estimate 1,140 1,082 1,013

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

1Based on primary dealer feedback in July 2019. 

Estimates above are medians and assume an end-of-September 2019 cash balance of $165 billion. 

2Treasury's Office of Fiscal Projections (OFP) borrowing estimates announced on July 29, 2019.

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

4Table 3 of CBO's "Updated Budget Projections: 2019 to 2029," May 2019 (current law).

5Table 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.
(16%)

(14%)

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

(1,600)

(1,400)

(1,200)

(1,000)

(800)

(600)

(400)

(200)

0

200

20092010201120122013201420152016201720182019202020212022202320242025202620272028

Debt to GDP

$ bn

Fiscal Year

Budget Surplus/Deficit

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

Projections are from OMB’s Table S-11 of “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 16 FY 17 FY 18 FY 19 FY 19 (projection-OFP)

Note: 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.

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 06/30/2019.

• Estimates reflect a reduction in SOMA’s monthly Treasury redemption cap from $30 billion to $15 

billion beginning in May 2019 and an end date for SOMA capped redemptions at the end of September 

2019, according to the FOMC’s “Balance Sheet Normalization Principles and Plans” published on 

March 20, 2019. 

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

and FRNs given changes made at the May 2019 refunding, while using a total of ~$2.25 trillion of bills 

outstanding. 

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

as of 06/30/2019. 

• 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’s System 

Open Market Account (SOMA), but includes financing required due to SOMA redemptions.

**An end-of-June 2019 cash balance of $264 billion versus a beginning-of-April 2019 cash balance of $334 billion. By keeping the cash 

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

Net Bill Issuance (229) Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 269 4-Week 605 685 (80) 1,815 1,835 (20)

Subtotal: Net Marketable Borrowing 40 8-Week 455 455 0 1,205 925 280

13-Week 504 576 (72) 1,638 1,779 (141)

Ending Cash Balance 264 26-Week 471 495 (24) 1,464 1,608 (144)

Beginning Cash Balance 334 52-Week 78 78 (0) 260 224 36

Subtotal: Change in Cash Balance (70) CMBs 20 73 (53) 123 123 0

Bill Subtotal 2,133 2,362 (229) 6,505 6,494 11

Net Implied Funding for FY19 Q3** 110

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 56 41 15 167 123 44

2-Year 120 52 68 354 208 146

3-Year 114 72 42 339 216 123

5-Year 123 99 24 363 256 107

7-Year 96 59 37 286 197 89

10-Year 75 31 44 224 83 141

30-Year 51 0 51 152 9 143

5-Year TIPS 32 54 (22) 46 54 (8)

10-Year TIPS 11 0 11 46 15 31

30-Year TIPS 0 0 0 13 0 13

Coupon Subtotal 678 409 269 1,990 1,161 829

April - June 2019 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY19 Q3*

April - June 2019 April - June 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’s System Open 

Market Account (SOMA), but includes financing required due to SOMA redemptions.

**Keeping announced issuance sizes and patterns constant for nominal coupons, TIPS, and FRNs based on changes made at the May 2019 

refunding. 

***Assumes an end-of-September 2019 cash balance of $350 billion versus a beginning-of-July 2019 cash balance of $264 billion.

Financing Estimates released by the Treasury can be found here: http://www.treasury.gov/resource-center/data-chart-center/quarterlyrefunding/Pages/Latest.aspx

Assuming Constant Coupon Issuance Sizes**

Treasury Announced Net Marketable Borrowing*** 433

Net Coupon Issuance 312

Implied Change in Bills 121

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 56 41 15 223 164 59

2-Year 160 104 56 514 312 202

3-Year 114 72 42 453 288 165

5-Year 164 139 25 527 396 131

7-Year 128 60 68 414 257 157

10-Year 75 28 47 299 111 188

30-Year 51 6 45 203 15 188

5-Year TIPS 0 0 0 46 54 (8)

10-Year TIPS 25 17 8 71 32 39

30-Year TIPS 6 0 6 19 0 19

Coupon Subtotal 779 467 312 2,769 1,628 1,141

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY19 Q4*

July - September 2019

July - September 2019 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.

1,070

1,112 1,082

1,030

894

703

659

598

542 551

266

60%

65%

70%

75%

80%

85%

(600)

(400)

(200)

0

200

400

600

800

1,000

1,200

2019 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 1,263 15

Net Interest 6,583 77

Other 661 8

Total 8,507 100

FY2019 - FY2029 Cumulative Total
19

OMB's economic assumption of the 10-Year Treasury note rates are from Table 3 of OMB’s “A Budget for a Better America, Fiscal Year 2020, 

Mid-Session Review” July 2019. CBO’s economic assumption of the 10-Year Treasury note rates are from Table 3 of CBO’s “Updated Budget 

Projections: 2019 to 2029,” May 2019. The forward rates are the implied 10-Year Treasury note rates on June 30, 2019. 

1.9

2.1

2.3

2.5

2.7

2.9

3.1

3.3

3.5

3.7

20192020202120222023202420252026202720282029

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

CBO Updated Budget Projections: 2019 to 2029 (May 2019)

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

Implied Forward Rates as of 06/30/2019

10-Year Treasury Rate of 

2.006% as of 06/30/2019
20

Projected Net Marketable Borrowing 

Assuming Future Issuance Remains 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 Table 3 of “Updated Budget Projections: 2019 to 2029,“ May 2019. 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.

* Projections reflect a reduction in SOMA’s monthly Treasury redemption cap from $30 billion to $15 billion beginning in May 2019 and an end 

date for SOMA capped redemptions at the end of September 2019, according to the FOMC’s “Balance Sheet Normalization Principles and 

Plans” published on March 20, 2019. 

0

200

400

600

800

1,000

1,200

1,400

1,600

2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

$bn

Fiscal Year

Projected Net Marketable Borrowing CBO's "An Analysis of the President's 2020 Budget," May 2019

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

OFPs FY 2019 Net Marketable Borrowing Estimate, July 2019 CBO's "Updated Budget Projections: 2019 to 2029," May 2019 (current law)
21

 -

 200

 400

 600

 800

 1,000

 1,200

 1,400

 1,600

2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

$ Bn

Fiscal Year

Projected Net Marketable Borrowing Effect of balance sheet growth

Effect of SOMA Agency Debt and MBS Reinvestments CBO's "An Analysis of the President's 2020 Budget," May 2019

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

OFPs FY 2019 Net Marketable Borrowing Estimate, July 2019 CBO's "Updated Budget Projections: 2019 to 2029," May 2019 (current law)

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 S11 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 3 of “Updated Budget Projections: 2019 to 2029,“ May 2019. 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. 

*Projections reflect a reduction in SOMA’s monthly Treasury redemption cap from $30 billion to $15 billion during May-September 2019, after which 

redemptions will end. Projections also reflect that principal payments received from agency debt and MBS will be reinvested into Treasury securities 

subject to a cap of $20 billion beginning in October 2019, according to the FOMC’s “Balance Sheet Normalization Principles and Plans” published on 

March 20, 2019. Projections assume a prepayment of the most recent realized 3M CPR. Secondary market purchases of Treasury securities reflect Fed’s 

guidelines for Treasury reinvestments purchases released in May 2019 at the following link: https://www.newyorkfed.org/markets/treasuryreinvestments-purchases-faq.html. These purchases increase marketable borrowing when they mature and are rolled over at Treasury auctions as addons. Projections also assume a 6% annual rate of balance sheet growth based on historical averages and the expectation that the Fed will increase its 

balance sheet beginning in 3Q CY2020 (based on Fed’s March survey of primary dealers at the following link 

https://www.newyorkfed.org/markets/primarydealer_survey_questions).

Estimate of the Effect of SOMA Purchases on Projected Net Borrowing 

Assuming SOMA Agency Debt and Mortgage Reinvestments Match Treasury

Securities Outstanding and Future Issuance Remains Constant*
Section IV:

Portfolio Metrics

22
23

40

45

50

55

60

65

70

75

80

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable 

Debt Outstanding

Historical Historical Average from 1980 to end of FY 2019 Q3

69.9 months on 

06/30/2019

59.9 months (Historical Average 

from 1980 to Present)
24

0

5

10

15

20

25

30

35

40

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.9%

Max 10.7%

Max 2.5%

Last 

14.2%

Last 

8.9%

Last 2.5%

Max 

35.6%
25

20

30

40

50

60

70

80

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Percent

Calendar Year

Treasury Maturity Profile History

Percent Maturing <=1 Year Percent Maturing <= 3 Years
26

End of Fiscal Year & Most Recent Quarter Maturity Profile, $ billions

End of Fiscal Year & Most Recent Quarter Maturity Profile, percent

Date (0,1] (1,2] (2,3] (3,5] (5,7] (7,10] (10,30] (0,3] (0,5]

Sep-11 27.2 13.9 10.2 16.0 11.1 10.9 10.6 51.3 67.3

Sep-12 27.5 12.8 10.3 16.9 11.3 10.3 11.0 50.5 67.4

Sep-13 25.4 13.1 10.7 17.0 12.5 9.8 11.5 49.2 66.2

Sep-14 23.9 14.2 10.7 18.0 11.7 9.1 12.4 48.8 66.8

Sep-15 24.1 13.8 10.4 18.5 11.5 8.7 12.9 48.3 66.9

Sep-16 25.1 13.4 11.3 17.6 11.0 8.4 13.2 49.7 67.4

Sep-17 25.6 14.3 10.6 17.1 10.3 8.3 13.7 50.5 67.6

Sep-18 28.2 13.6 10.5 16.2 10.0 7.9 13.6 52.3 68.4

Jun-19 27.6 14.1 10.8 15.6 10.0 8.1 13.8 52.6 68.1

Date (0,1] (1,2] (2,3] (3,5] (5,7] (7,10] (10,30] Total (0,5]

Sep-11 2,620 1,334 980 1,541 1,070 1,053 1,017 9,616 6,476

Sep-12 2,951 1,373 1,104 1,811 1,214 1,108 1,181 10,742 7,239

Sep-13 2,939 1,523 1,242 1,965 1,454 1,136 1,331 11,590 7,669

Sep-14 2,935 1,739 1,319 2,207 1,440 1,113 1,528 12,281 8,199

Sep-15 3,097 1,775 1,335 2,382 1,478 1,121 1,654 12,841 8,589

Sep-16 3,423 1,828 1,538 2,406 1,501 1,151 1,800 13,648 9,195

Sep-17 3,631 2,027 1,504 2,433 1,466 1,180 1,946 14,188 9,596

Sep-18 4,299 2,076 1,603 2,472 1,531 1,209 2,077 15,268 10,450

Jun-19 4,397 2,244 1,726 2,479 1,592 1,292 2,192 15,922 10,846
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 2.327 2.8 575.0 57.8 2.6 39.7 20.0 0.0 5.2

Bill 8-Week 2.310 3.0 451.5 59.6 3.1 37.3 3.5 0.0 7.9

Bill 13-Week 2.320 3.0 488.4 52.3 4.0 43.7 15.6 0.0 14.3

Bill 26-Week 2.301 3.0 457.2 53.6 5.7 40.7 13.8 0.0 26.6

Bill 52-Week 2.208 3.1 76.4 45.1 2.3 52.6 1.6 0.0 8.8

Bill CMB 2.385 3.3 20.0 64.4 4.9 30.7 0.0 0.0 0.2

Coupon 2-Year 2.058 2.6 118.9 30.0 22.4 47.6 1.1 7.0 28.4

Coupon 3-Year 2.137 2.5 113.5 36.9 17.4 45.7 0.5 13.0 42.5

Coupon 5-Year 2.057 2.4 122.9 23.5 17.8 58.7 0.1 7.2 70.6

Coupon 7-Year 2.153 2.4 95.9 23.8 18.2 58.0 0.1 5.6 75.4

Coupon 10-Year 2.363 2.4 75.0 25.6 12.3 62.0 0.0 9.2 85.5

Coupon 30-Year 2.815 2.3 51.0 26.1 13.4 60.6 0.0 6.5 132.9

TIPS 5-Year 0.345 2.5 31.9 14.7 9.8 75.6 0.1 0.2 17.9

TIPS 10-Year 0.567 3.1 11.0 13.9 29.1 57.0 0.0 1.2 12.7

FRN 2-Year 0.162 3.0 56.0 50.0 1.5 48.5 0.0 2.1 0.0

Total Bills 2.312 2.9 2,068.6 55.5 3.7 40.7 54.4 0.0 62.9

Total Coupons 2.196 2.5 577.2 28.0 17.6 54.4 1.9 48.4 435.2

Total TIPS 0.402 2.7 42.9 14.5 14.7 70.8 0.1 1.4 30.6

Total FRN 0.162 3.0 56.0 50.0 1.5 48.5 0.0 2.1 0.0

Summary Statistics for Fiscal Year 2019 Q3 Auctions
29

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jun-09

Sep-09

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Bid-to-Cover Ratio

Bid-to-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-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

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

Jun-14

Aug-14

Oct-14

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

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
32

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jun-14

Aug-14

Oct-14

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

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
33

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Feb-08

May-08

Jul-08

Oct-08

Jan-09

Apr-09

Jul-09

Oct-09

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Jul-11

Oct-11

Jan-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

Jul-13

Oct-13

Jan-14

Apr-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Bid-to-Cover Ratio

Bid-to-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%

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

13-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%

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

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%

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

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%

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

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

Excludes SOMA add-ons. 

10%

20%

30%

40%

50%

60%

70%

80%

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

% 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

Excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25%

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

% 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

10

20

30

40

50

60

70

80

90

100

Jun-17

Jul-17

Aug-17

Sep-17

Oct-17

Nov-17

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

$ 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

20002001200220032004200520062007200820092010201120122013201420152016201720182019

$ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

0%

10%

20%

30%

40%

50%

60%

70%

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

20002001200220032004200520062007200820092010201120122013201420152016201720182019

$ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)
Appendix

42
43

Historical Net Marketable Borrowing and Projected Net Borrowing 

Assuming Future Issuance Remains Constant, $ billions

Net borrowing capacity reflects a reduction in SOMA’s monthly Treasury redemption cap from $30 billion to $15 billion beginning in May 2019 

and an end date for SOMA capped redemptions at the end of September 2019, according to the FOMC’s “Balance Sheet Normalization 

Principles and Plans” published on March 20, 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 baseline budget projections of the change 

in debt held by the public are from Table 2 of CBO’s “An Analysis of the President’s 2020 Budget,” May 2019. 

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2020 MidSession Review

CBO's "An Analysis of 

the President's 2020 

Budget "

Primary Dealer 

Survey

2014 (119) (92) 669 88 123 669 

2015 (53) (282) 641 88 164 558 

2016 289 (82) 477 64 47 795 

2017 155 9 292 55 9 519 

2018 438 209 316 51 26 1,040 

2019 11 517 256 50 55 889 1,070 871 775 

2020 0 461 366 51 34 912 1,112 1,030 1,085 

2021 0 318 268 25 0 611 1,082 978 1,140 

2022 0 117 374 16 (0) 507 1,030 1,121 

2023 0 142 262 17 5 426 894 1,060 

2024 0 77 242 29 (1) 347 703 940 

2025 0 (47) 313 (51) (0) 216 659 993 

2026 0 (41) 294 (39) (3) 211 598 997 

2027 0 4 243 (26) (2) 219 542 1,077 

2028 0 (15) 247 (55) 3 181 551 1,219 

2029 0 (7) 205 (57) 0 141 266 1,068 
44 *Weighted averages of competitive awards.

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

Bills

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 4/9/2019 2.390 2.96 48.6 51.8 2.8 45.5 1.4 0.0 0.4

4-Week 4/16/2019 2.375 2.88 48.6 51.8 2.5 45.7 1.4 0.0 0.4

4-Week 4/23/2019 2.400 2.61 48.4 53.0 1.9 45.1 1.6 0.0 0.4

4-Week 4/30/2019 2.390 2.72 48.4 56.2 1.8 42.0 1.6 0.0 0.4

4-Week 5/7/2019 2.390 2.70 48.5 56.1 3.3 40.7 1.5 0.0 0.4

4-Week 5/14/2019 2.385 2.83 48.4 56.8 2.5 40.8 1.6 0.0 0.4

4-Week 5/21/2019 2.365 2.85 48.0 56.0 0.8 43.2 2.0 0.0 0.4

4-Week 5/28/2019 2.335 2.53 43.5 64.7 1.7 33.6 1.5 0.0 0.4

4-Week 6/4/2019 2.330 3.02 38.5 64.1 4.0 31.9 1.5 0.0 0.3

4-Week 6/11/2019 2.290 2.75 38.5 52.7 2.7 44.6 1.5 0.0 0.3

4-Week 6/18/2019 2.215 2.88 38.5 65.3 3.4 31.3 1.5 0.0 0.3

4-Week 6/25/2019 2.140 2.86 38.6 60.8 3.0 36.2 1.4 0.0 0.3

4-Week 7/2/2019 2.145 2.74 38.6 66.6 4.1 29.3 1.4 0.0 0.3

8-Week 4/9/2019 2.380 3.35 34.8 54.7 3.2 42.1 0.2 0.0 0.6

8-Week 4/16/2019 2.375 2.99 34.8 66.2 3.2 30.6 0.2 0.0 0.6

8-Week 4/23/2019 2.390 2.95 34.7 61.1 2.5 36.4 0.3 0.0 0.6

8-Week 4/30/2019 2.380 3.29 34.6 56.1 2.5 41.4 0.4 0.0 0.6

8-Week 5/7/2019 2.390 2.70 34.8 66.9 3.6 29.6 0.2 0.0 0.6

8-Week 5/14/2019 2.380 3.05 34.7 58.3 2.7 39.0 0.3 0.0 0.6

8-Week 5/21/2019 2.355 3.10 34.8 57.0 0.9 42.1 0.2 0.0 0.6

8-Week 5/28/2019 2.330 2.53 34.7 80.3 2.4 17.3 0.3 0.0 0.6

8-Week 6/4/2019 2.330 2.74 34.8 73.1 2.5 24.4 0.2 0.0 0.6

8-Week 6/11/2019 2.300 2.73 34.7 64.4 8.7 26.9 0.3 0.0 0.6

8-Week 6/18/2019 2.200 3.12 34.7 45.9 1.8 52.3 0.3 0.0 0.6

8-Week 6/25/2019 2.105 2.98 34.7 48.5 3.3 48.2 0.3 0.0 0.6

8-Week 7/2/2019 2.120 3.17 34.7 42.0 2.9 55.1 0.3 0.0 0.6
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 4/4/2019 2.380 2.68 43.9 60.9 3.5 35.6 1.1 0.0 1.3

13-Week 4/11/2019 2.375 3.07 40.7 55.7 4.1 40.1 1.3 0.0 1.2

13-Week 4/18/2019 2.380 2.81 40.7 55.4 2.7 41.9 1.3 0.0 1.2

13-Week 4/25/2019 2.400 2.91 40.8 52.9 3.4 43.7 1.2 0.0 1.2

13-Week 5/2/2019 2.385 3.08 37.8 47.1 3.6 49.4 1.2 0.0 1.1

13-Week 5/9/2019 2.380 3.17 37.8 49.7 6.0 44.4 1.2 0.0 1.1

13-Week 5/16/2019 2.360 3.52 37.8 42.4 3.8 53.8 1.2 0.0 1.1

13-Week 5/23/2019 2.335 2.94 34.9 57.3 3.4 39.3 1.1 0.0 1.0

13-Week 5/30/2019 2.310 3.15 34.8 51.0 3.9 45.1 1.2 0.0 1.0

13-Week 6/6/2019 2.300 2.59 35.0 62.2 3.8 34.0 1.0 0.0 1.0

13-Week 6/13/2019 2.240 3.21 34.7 41.6 6.8 51.6 1.3 0.0 1.0

13-Week 6/20/2019 2.170 2.84 34.8 59.4 3.1 37.5 1.2 0.0 1.0

13-Week 6/27/2019 2.085 3.00 34.7 42.3 4.4 53.3 1.3 0.0 1.0

26-Week 4/4/2019 2.380 2.92 37.8 53.9 11.8 34.3 1.2 0.0 2.2

26-Week 4/11/2019 2.395 3.14 34.8 61.3 9.2 29.5 1.2 0.0 2.1

26-Week 4/18/2019 2.390 3.09 34.8 61.8 3.3 34.9 1.2 0.0 2.1

26-Week 4/25/2019 2.400 3.26 34.9 37.0 6.6 56.5 1.1 0.0 2.1

26-Week 5/2/2019 2.395 3.01 34.8 55.6 2.9 41.6 1.2 0.0 2.1

26-Week 5/9/2019 2.380 3.21 35.0 39.4 8.3 52.3 1.0 0.0 2.1

26-Week 5/23/2019 2.340 2.82 34.9 59.3 5.1 35.6 1.1 0.0 2.0

26-Week 5/30/2019 2.320 2.91 35.0 53.4 4.7 41.9 1.0 0.0 2.0

26-Week 6/6/2019 2.255 2.70 35.0 58.7 2.2 39.1 1.0 0.0 2.0

26-Week 6/13/2019 2.140 2.98 35.0 55.3 6.1 38.6 1.0 0.0 2.0

26-Week 6/20/2019 2.130 2.88 35.1 49.4 1.7 48.9 0.9 0.0 2.0

26-Week 6/27/2019 2.030 2.69 35.1 63.6 2.2 34.1 0.9 0.0 2.0

52-Week 4/25/2019 2.360 3.44 25.4 33.7 1.9 64.4 0.6 0.0 3.0

52-Week 5/23/2019 2.280 2.95 25.4 48.6 3.3 48.1 0.6 0.0 2.9

52-Week 6/20/2019 1.985 2.88 25.5 53.0 1.6 45.3 0.5 0.0 2.9

CMB 5/7/2019 2.385 3.27 20.0 64.4 4.9 30.7 0.0 0.0 0.2

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 4/30/2019 2.355 2.51 39.7 36.5 15.8 47.7 0.3 0.5 9.2

2-Year 5/31/2019 2.125 2.75 39.6 26.2 27.2 46.6 0.4 4.2 9.8

2-Year 7/1/2019 1.695 2.58 39.6 27.3 24.2 48.5 0.4 2.3 9.4

3-Year 4/15/2019 2.301 2.49 37.8 38.6 18.7 42.7 0.2 0.0 12.7

3-Year 5/15/2019 2.248 2.48 37.9 42.0 20.0 37.9 0.1 12.9 17.2

3-Year 6/17/2019 1.861 2.62 37.7 30.0 13.4 56.6 0.3 0.0 12.5

5-Year 4/30/2019 2.315 2.44 41.0 23.3 15.3 61.5 0.0 0.5 22.8

5-Year 5/31/2019 2.065 2.38 41.0 24.1 18.4 57.5 0.0 4.3 24.3

5-Year 7/1/2019 1.791 2.35 41.0 23.2 19.7 57.1 0.0 2.3 23.5

7-Year 4/30/2019 2.426 2.49 31.9 20.6 19.1 60.4 0.1 0.4 24.3

7-Year 5/31/2019 2.144 2.30 32.0 30.5 11.3 58.3 0.0 3.4 25.9

7-Year 7/1/2019 1.889 2.44 32.0 20.3 24.2 55.5 0.0 1.8 25.2

10-Year 4/15/2019 2.466 2.55 24.0 19.6 12.0 68.4 0.0 0.0 24.0

10-Year 5/15/2019 2.479 2.17 27.0 35.2 11.5 53.3 0.0 9.2 37.5

10-Year 6/17/2019 2.130 2.49 24.0 20.8 13.6 65.6 0.0 0.0 24.0

30-Year 4/15/2019 2.930 2.25 16.0 25.1 14.4 60.5 0.0 0.0 36.5

30-Year 5/15/2019 2.892 2.20 19.0 28.5 11.0 60.5 0.0 6.5 59.7

30-Year 6/17/2019 2.607 2.32 16.0 24.1 15.1 60.8 0.0 0.0 36.8

2-Year FRN 4/30/2019 0.139 2.68 20.0 60.2 1.3 38.5 0.0 0.3 0.0

2-Year FRN 5/31/2019 0.140 2.84 18.0 57.3 2.9 39.8 0.0 1.9 0.0

2-Year FRN 6/28/2019 0.210 3.36 18.0 31.5 0.3 68.2 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 4/30/2019 0.515 2.50 16.9 15.8 8.8 75.4 0.1 0.2 9.8

5-Year TIPS 6/28/2019 0.152 2.55 15.0 13.4 10.9 75.7 0.0 0.0 8.1

10-Year TIPS 5/31/2019 0.567 3.07 11.0 13.9 29.1 57.0 0.0 1.2 12.7

TIPS
 In May 2015, Treasury announced that: “To help protect against a potential interruption in market 

access, Treasury will hold a level of cash generally sufficient to cover one week of outflows in the 

Treasury General Account, subject to a minimum balance of roughly $150 billion.”1

 Policy in practice: For each business day, Treasury calculates the expected TGA outflows for 

one week following that day. Over the twelve-month period ending 30 June 2019, the 

minimum cash need consistent with this policy has averaged $232 billion, but the top 20% of 

instances averaged $365 billion with a maximum of $489 billion. The expected week of 

outflows only dipped below $150 billion (thus reverting to the $150 billion minimum) on 12% 

of days in the period.

 Upon the resolution of the current debt ceiling impasse, a trimmed mean of primary dealer 

responses indicates that Treasury is anticipated to increase the supply of T-bills outstanding by 

$178 billion over the eight-week period following resolution. In comparison, primary dealers 

estimated market capacity over that period at $210 billion (trimmed mean).

 Based on conversations with the primary dealers, Treasury is generally expected to resume 

meeting its one-week liquidity needs at some point between the receipt of September corporate 

taxes (mid-month) and the end of September.

Treasury Cash Balance Policy

1

1 Quarterly Refunding Statement (May 6, 2015): https://www.treasury.gov/press-center/press-releases/Pages/jl10045.aspx
TBAC – CHARGE

POTENTIAL 1-YEAR FINAL MATURITY 

TREASURY FRN

July 2019

1
The Charge

Treasury is actively evaluating the potential introduction of a 1-year final maturity FRN. Treasury is interested in a 

comparison of a hypothetical introduction of 1-year SOFR FRN or 1-year T-bill FRN, and an increase in 1-year T-bill 

issuance. Please evaluate how investor demand might vary across these products. Additionally, because any such 

change would be undertaken as part of Treasury’s regular and predictable issuance strategy, please estimate the relative 

interest cost and risk to Treasury across the interest rate cycle of these three potential product choices.

2
Given expected demand, pricing and liquidity, Treasury should consider issuing a 1-year SOFR FRN 

Executive Summary

• The Treasury FRN program has been a success, but secondary market trading volumes are lower than other 

Treasury products

• Growth in Money Market Funds and other cash balances has created demand for increased FRN or bill issuance

• Demand is expected to be highest for a 1-year SOFR FRN relative to a 1-year Bill FRN or a 1-year Bill

• 1-year SOFR FRNs should price in line with 1-year Bill FRNs

• While recent TBAC modeling suggests the current optimal debt mix would increase notes and TIPS issuance, 

expected investor demand argues for adding a 1-year FRN issuance point

• A 1-year SOFR FRN will allow Treasury to support development of the SOFR issuance market and an orderly 

transition to new reference rates, while maintaining its lowest cost of financing goal

3
Agenda

1. Review of Treasury FRN market

2. Alternative One-Year Issuance Strategies

3. Demand 

4. SOFR FRNs

5. Treasury Issuance

4
FRN: Issuance, Demand, Pricing

Source: US Department of the Treasury

• The Treasury first introduced a 2-year FRN in January 2014, a 2-year maturity indexed to a 3-month Treasury Bill

• A total of $997 billion Treasury FRNs have been issued over the past 5.5 years; $410 billion remain outstanding; $56 billion 

currently issued every quarter

• Auction Statistics:

o Bid-to-cover ratios for FRNs are similar to bills, and higher than 2-year notes

o Investment fund participation has grown meaningfully over time

o Foreign participation has declined over time

Source: Treasury Direct

5
FRN: Volumes and Liquidity

• FRNs are less actively traded in the secondary market compared to other Treasury securities 

• Average daily FRN trading volumes are ~$3.5 billion per day, which is ~0.85% of total FRNs outstanding

• This is lower than the daily turnover of Bills, short coupons, and TIPS (which stand at 6.01%, 2.46%, and 1.30% 

respectively) 

• To date, the majority of buyers of FRNs have been buy-and-hold accounts—Money Market Funds, Banks.

• Foreign Reserve Managers had interest at inception of the FRN program

• Supply driven volatility of the index may also limit secondary market trading

6

Source: SIFMA, Treasury Direct

2yr FRN Bills Coupons <2y TIPS

6-month ADV (bns) 3.50 135.23 92.33 18.64

Amt Outstanding (bns) 409.80 2250.93 3760.20 1432.46

Daily Turnover (%) 0.85% 6.01% 2.46% 1.30%
Alternative One Year Issuance Strategies

Index 1-year SOFR FRN 1-year T Bill FRN Increase to 1-year Bills

Existing Product Yes

Mainly GSE issuers

Yes

Rolled down 2-year Bill FRN

Yes

$26bn per month

Diversify Funding 

Costs Yes No

Underlying index is 3 month T-bill No

Will likely appeal to 

money market 

investors

Yes

Provides exposure to overnight 

rates set daily

Yes

Provides exposure to 3m point 

reset weekly

Partially

Narrow demand base given WAM 

limitations

Expected Funding 

Capacity

High

Expect demand from sec lenders 

and other cash buyers in addition to 

2A7 funds

Medium/High

Expect increased demand from 

2A7 funds

Medium

Possible demand for more 

frequent 1-year bill issuance vs. 

increased issuance

Expected Secondary 

Market Liquidity

Medium

Appeal to broader set of investors 

may lead to better liquidity

Low

Comparable liquidity to the 2-year 

FRN

Underlying index subject to supply 

shocks

High

$135 bn 6-month average daily

volume (all bills)

Cycle Performance

DM will widen in an easing cycle 

and tighten into a hiking cycle

Subject to balance sheet related 

volatility / spikes

DM will widen in an easing cycle 

(as bill yields rally) and tighten into 

a hiking cycle (as bill yields 

tighten)

Bill yields will rally into an easing 

cycle and sell off into a hiking 

cycle

Recommendation:

1-year SOFR FRN

PROS

• Broadest appeal

• Diversifies funding

• Expected secondary market liquidity

• Supportive of nascent SOFR market

CONS

• May cannibalize 2-year bill FRN demand

• May impact the repo market and 

subsequent treasury demand

7
Alternatives: Pricing Considerations

4/25/19 (On Prior Presentation):

7/22/19:

SOFR Futures

SFRM9 2.305

SFRU9 1.945

SFRZ9 1.755

SFRH0 1.570

12mo Px: 1.894

US T-Bills

3m 2.071

3m3m 2.043

6m3m 1.781

9m3m 1.885

12mo Px: 1.945

US T-Bills

3m 2.359

3m3m 2.384

6m3m 2.252

9m3m 2.338

12mo Px: 2.333

SOFR Futures

SFRH9 2.455

SFRM9 2.395

SFRU9 2.315

SFRZ9 2.238

12mo Px: 2.351 8

• Previous TBAC discussions have suggested that SOFR 

FRN pricing will be in line with Bill FRN pricing

• Updated forward breakeven analysis using SOFR futures 

market & T-bill market suggests that the breakeven DM 

spread is more attractive today

• The difference between the 12 month T-Bill price 

and the 12 month SOFR price is the DM 

breakeven for issuance

• DM on a 1-year SOFR Floater can be 5bps higher 

than a 1-year Bill Floater (vs. 2bps lower in prior 

analysis)

• Currently, 1-year maturity (off-the-run 2-year) 3M 

Bill TFRNs trade at a 15 DM

• Therefore, breakeven for a 1-year Treasury SOFR 

FRN (to be equivalent to current bill FRN) is ~20 

DM (15 + 5)

• New issue 1-year GSE SOFR FRNs currently price at a 

DM of approximately 2-3 (as issues roll down, secondary 

spreads tighten)

• The current front end Treasury - GSE spread is 

~3-5 bps

• This suggests good execution on a 1-year SOFR FRN 

in the current environment

Issuer Date Size Term (yrs) Level (DM)

FHLB 1/15/2019 1,000,000,000 1 5.0

FFCB 1/29/2019 500,000,000 1 3.0

FHLB 2/19/2019 2,550,000,000 1 3.5

Freddie Mac 2/22/2019 1,000,000,000 1 2.0

FHLB 3/25/2019 4,250,000,000 1 6.5

FHLMC 3/28/2019 565,000,000 1 5.5

FHLMC 4/25/2019 2,250,000,000 1 4

FHLMC 4/26/2019 2,250,000,000 1 4

FHLMC 5/3/2019 1,200,000,000 1 3

FHLB 5/6/2019 2,000,000,000 1 3.5

FHLMC 5/15/2019 1,030,000,000 1 2.5

FHLMC 5/31/2019 2,015,000,000 1 2

FHLB 6/19/2019 3,000,000,000 1 3.5

FHLMC 7/3/2019 2,100,000,000 1 2

FHLMC 7/5/2019 2,375,000,000 1 2

FHLMC 7/9/2019 1,010,000,000 1 2

FHLB 7/15/2019 2,000,000,000 1 3

1-Year GSE SOFR Deals (YTD)

Source: Bloomberg
Alternatives: Pricing Considerations1

9

• Realized pricing of 1-year average SOFR rates and 1-year 

average 3-month bill rates have been relatively stable post GFC

• The breakeven relationship between Bill FRNs and SOFR FRNs 

is more stable than the spread between realized SOFR funding 

rates and 1-year bill rates

• Term structure / policy expectations in the front end may play a 

role in driving investor preferences. 

• Bills are responsive to expected changes in policy, while 

overnight (GC/SOFR) moves with actual changes in policy

• Late cycle dynamics may see bill yields move below 

SOFR. The relationship is most volatile in periods of 

sudden shifts in central bank policy, i.e. GFC

• DM on floaters may account for some of this difference

• Balance sheet related stresses may also lead to elevated SOFR 

levels relative to bills

Source: Bloomberg, DTCC

Source: Bloomberg, DTCC Source: Bloomberg

1 Prior to Aug 2014, DTCC GCF Repo Index was used as a proxy for SOFR. From Aug 2014 to Mar 2018, Fed published indicative SOFR data was used as a proxy for SOFR.
Alternatives: Pricing Considerations1

10

• The relationship between 3-month bills and SOFR appears relatively stable during periods of stable central bank policy

• Sudden shifts in central bank policy may lead to volatility in the term structure of the front end

• The relationship also appears stretched on quarter ends, suggesting balance sheet considerations introduce additional volatility

• Prior TBAC work estimates the month end impact on SOFR FRNs to be worth 0.25-0.5 bps. More pronounced month end balance 

sheet constraints may lead to increased cost of a SOFR FRN

Source: Bloomberg, DTCC

1 Prior to Aug 2014, DTCC GCF Repo Index was used as a proxy for SOFR. From Aug 2014 to Mar 2018, Fed published indicative SOFR data was used as a proxy for SOFR.
Alternatives: Diversification of Funding1

• Existing FRNs have exposure to an existing Treasury funding rate given they are linked to 3-month bills

• SOFR is influenced by total supply of treasury collateral while 3 month bills are subject to a specific set of supply dynamics

• While the long term relationship may be stable, in any given period there may be different drivers of change

• Changes in SOFR and the treasury curve were most correlated in the GFC

• Changes in SOFR have been uncorrelated to changes in the treasury curve over the past 10 years

o The average correlation between SOFR and notes has been modestly negative, whereas the average correlation between 

bills and notes has consistently been positive

o Low correlation between SOFR and bills has also roughly steady

• Meanwhile, changes in 12-month bills and 3-month bills have been consistently positively correlated

Correlation Matrix: Weekly Change in UST Yields

11/22/2009 to 7/15/2019

SOFR 3mo Bill 2Y Govt

SOFR 1.00 0.03 -0.19

GB3 Govt 0.03 1.00 0.25

GB12 Govt -0.05 0.44 0.69

GT2 Govt -0.19 0.25 1.00

GT3 Govt -0.19 0.21 0.94

GT5 Govt -0.16 0.16 0.88

GT7 Govt -0.14 0.15 0.79

GT10 Govt -0.15 0.15 0.73

GT30 Govt -0.14 0.12 0.57

11

Source: Bloomberg, DTCC

Source: Bloomberg

1 Prior to Aug 2014, DTCC GCF Repo Index was used as a proxy for SOFR. From Aug 2014 to Mar 2018, Fed published indicative SOFR data was used as a proxy for SOFR.
Diversifying the investor base should improve secondary market liquidity

Better secondary market liquidity should in turn generate additional demand, as investors typically 

consider secondary liquidity when making portfolio allocation decisions

Demand: Summary

• Increasing 1-year bill issuance will not bring in new demand – the buyer of marginal bill supply is an existing bill buyer

• A new 1-year FRN will likely see demand from 2a7 Funds (Government Money Market and Prime Funds):

• Under regulatory rules, 2A7 funds need to keep 30% of their assets in 7-day liquidity, most carry significantly more 

Government assets (including FRNs) count under that limit

• However, they also have a 60-day WAM and a 120-day WAL rule

• 2yr securities (including 2yr FRNs) consume a lot of WAL even though FRNs have a 1-day WAM

• Therefore, a 1-year FRN will be much more attractive for these funds

• 2A7 funds will have demand but are price sensitive 

• A new 1-year FRN linked to SOFR will see new demand from:

• Securities lending participants

• Market is $500-700bn

• A 5-10% allocation to Treasury SOFR FRNs could be up to $70 billion of new demand

• They lend at OBFR and need a good asset-liability match for the collateral

• Current inversion of the curve is particularly challenging

• Portfolio WAL limits make a 1-year FRN more attractive than a 2-year FRN

• Investors looking for a repo / cash alternative

• Buy-side firms unable to participate in repo

• Corporate Treasury accounts not set up to trade repo

• Risk-averse cash investors are the main buyers of FRNs, rather than bill buyers

12
Demand: Money Market Fund Growth

Source: https://www.ici.org/research/stats/mmf

 Total Taxable MMFs have grown by $700 Billion 

since introduction of FRNs in January 2014

 Government-only MMFs have grown by $1.4 Trillion 

in that same time frame

 Money market reform caused an influx of money into 

Government Money Market Funds

 This flow is not expected to reverse

 2A7 Regulations require MMF to keep 30% of their 

assets in 7-day liquidity, keep the WAL under 120 

days and WAM under 60 days

13
Demand: Asset Allocations of MMFs

• Government MMFs own $218 billion Treasury FRNs (53.2% 

of outstanding) and $396 billion GSE floaters

• Treasury FRNs now represent 9.1% of government MMF 

AUM

• The maturity is the binding constraint

• The demand for a 1-year FRN could be meaningfully 

larger than the demand for a 2-year FRN given the 

shorter WAL

• Treasury Repo allocations have grown to $647 billion and 

could be the source of additional SOFR FRN demand

• May help MMF more effectively manage repo 

balances which could create a positive feedback 

loop

• Reduces counterparty risk

• MMFs already own $76.5 Billion of GSE SOFR FRNs

14
SOFR FRNs: SOFR Futures and Swap Volumes Growing 

• Liquidity in SOFR derivatives continues to improve

o On the exchange-traded side, open interest in SOFR futures has been steadily increasing, particularly in CME futures, with 

little sign of disruption following a short-lived contraction around year-end 2018 (JPM)

o Transaction volumes in OTC SOFR derivatives have also been rising in a commensurate manner, with basis and outright 

SOFR trades increasingly occurring around the 2 to 3-year points (JPM)

o The average notional on all SOFR OTC trades has increased by ~150% since the market began trading nearly a year ago, 

with the average trade size in recent months of around $400mn (JPM)

15

SOFR Swap Volumes

Source: Credit Suisse, Bloomberg (SDR) 
SOFR FRNs: Existing Market

Source: Bloomberg

16

• SOFR-linked issuance has continued to grow—total SOFR-linked issuance to date is over $170 Billion

• GSEs are the largest SOFR FRN issuers, accounting for $139bn (82%) of the issuance

• Since the first GSE SOFR FRN issuance on 7/26/2018, 29% of agency floater issuance has been in SOFR

• FHLMC and FNMA have switched their floating rate issuance to SOFR , while FHLB is still migrating from LIBOR to SOFR

• FHLB is the largest issuer of SOFR floaters

• $101.1bn (73%) of issuance has been in <1yr maturities

• 76.5bn of SOFR-linked FRNs are held by government MMFs, a large majority of the outstanding SOFR-linked FRN universe

Source: Credit Suisse, Bloomberg

Source: Credit Suisse, Bloomberg

Total GSE FRN Issuance <1yr

1-mo LIBOR 197,083,000,000 56.5%

SOFR 101,111,000,000 29.0%

3-mo LIBOR 49,360,500,000 14.1%

Fed Funds 775,000,000 0.2%

3-mo Bill 175,000,000 0.1%

Prime Rate 440,000,000 0.1%

Total 348,944,500,000 100.0%

Total GSE FRN Issuance

1-mo LIBOR 263,653,000,000 54.7%

SOFR 138,715,000,000 28.8%

3-mo LIBOR 62,104,000,000 12.9%

3-mo Bill 5,575,000,000 1.2%

Prime Rate 6,441,000,000 1.3%

Fed Funds 5,130,000,000 1.1%

Total 481,618,000,000 100.0%
SOFR FRNs: Structure

Investors and dealers alike are looking for standardization of the SOFR FRN market

There are a number of structural conventions and considerations:

• Simple vs. compound interest

• Mid-month vs end-of-month auction settlement/maturity

• Re-openings vs monthly new issues

• Interest rate reset process (look-back, coupon lockout, etc.)

SOFR FRNs

GSE Bank SSA

Simple Avg vs. 

Daily 

Compounding

Simple Average Daily Compounding Daily Compounding

Payment Date Interest period end 

date

Varies (interest 

period end date or 

two business days 

following)

Interest period end 

date

Lookback

1 business day, with 

weekends and 

holidays looking 

back to previous 

business day

Varies (0-2 business 

days) 5 business days

Coupon Lockout Generally 2 

business days

Varies (none, or 2 

days only on the 

final interest period)

None

Day Count 

Convention Actual/360 Actual/360 Actual/360

Averaging Method: An average of daily SOFR rates 

referenced in FRNs can either be calculated by using a 

simple or a compound average

Payment Date: Payment dates can occur after interest 

period concludes

Lookback: The SOFR rate used to calculate a rate for each 

day is based on a SOFR rate for a prior day

Coupon Lockout: A single daily SOFR rate is repeated for 

several days going into the end of an interest period

Key Terms

17
Treasury Issuance: 2-year Treasury FRN

• Maturity: 2 years

• Coupon: Floating

• Payment Frequency: Quarterly 

• Reference Index: The High Rate from the most recent 13-week Treasury bill auction (typically Thursday)

• Reset Frequency: Daily

• Interest calculation: Index Rate computed from most recent 13-week bill, plus the Spread, divided by 360

• Averaging Method: Simple Average

• Lock out period: Two business days preceding an FRN Issue Date or an FRN interest date

A 13-week Treasury bill auction whose rate becomes effective in the two business day Lock-Out Period 

prior to an FRN Issue Date or FRN Interest Date shall be ignored for purposes of calculating the interest 

accrual on that FRN for that day. Instead, the rate in effect for the Lock-Out Period will be from the most 

recent 13-week Treasury bill auction result that occurred prior to the start of the Lock-Out Period.

• Day Count: Actual/360

• Issue Date: Original issues will be on the last calendar day of the month or first business day after; reopenings will 

be issued on the last Friday of a month or first business day after.

• Dated Date: Last calendar day of the month

2-year FRNs are auctioned as new issues in January, April, July, and October. They are also auctioned as reopenings

in February, March, May, June, August, September, November, and December. The reopened security has the same 

maturity date, spread, and interest payment dates as the original security, but has a different issue date and usually a 

different price.

https://treasurydirect.gov/instit/statreg/auctreg/2013-18178.pdf

18
Treasury Issuance: Sample 1-year SOFR FRN

• Maturity: 1 year

• Coupon: Floating

• Payment Frequency: Quarterly 

• Reference Index: SOFR, published daily by the Fed

• Reset Frequency: Daily

• Interest Calculation: SOFR, plus the Spread, divided by 360

• Averaging Method: Daily Compounding

• Lock Out Period: Two business days preceding an FRN Issue Date or an FRN interest date

• Lookback: 1 business day, with weekends and holidays looking back to previous business day

• Day Count: Actual/360

• Issue Date: Original issues will be on the 15th of the month or first business day after

• Dated Date: 15th calendar day of the month

• Interest Payment Date: On the interest period end date

19

• Consultation with Primary Dealers and end users is recommended before finalizing issuance terms and auction 

schedule

• In an April 2019 report the Alternative Reference Rate Committee (ARRC) highlights daily compounding as an 

averaging method:

• “Issuers and lenders will face a technical choice between using a simple or a compound average of SOFR as they 

seek to use SOFR in cash products. In the short-term, using simple interest conventions may be easier since many 

systems are already set up to accommodate it. However, compounded interest would more accurately reflect the time 

value of money, which becomes a more important consideration as interest rates rise, and it can allow for more 

accurate hedging and better market functioning.”

• Daily Compounding also allows for greater alignment with the derivatives markets