Treasury Presentation to TB
Office of Debt Manageme

Fiscal Year 2019 Q1 Report
Table of Contents

I. Executive Summary p. 4II. Fiscal

A. Quarterly Tax Receipts p. 6B. Monthly Receipt Levels p. 7C. Largest Outlays p. 8D. Treasury Net Nonmarketable Borrowing p. 9E. Cumulative Budget Deficits p. 10F. Deficit and Borrowing Estimates p. 11G. Budget Surplus/Deficit p. 12H. Privately-Held Net Marketable Borrowing Outlook P. 13

III. Financing

A. Sources of Financing p. 16B. OMB’s Projections of Net Borrowing from the Public p. 18C. Interest Rate Assumptions p. 19D. Projected Net Marketable Borrowing Assuming Future Issuance Remains Constant p. 20

IV. Portfolio Metrics

A. Historical Weighted Average Maturity of Marketable Debt Outstanding p. 23B. Bills, TIPS &FRNs Outstanding as a Percent of Marketable Debt Outstanding P. 24C. Maturity Profile p. 25

V. Demand

A. Summary Statistics p. 28B. Bid-to-Cover Ratios p. 29C. Investor Class Awards at Auction p. 34D. Primary Dealer Awards at Auction p. 38E. Direct Bidder Awards at Auction p. 39F. Foreign Awards at Auction p. 40
Section I:

Executive Summary
Receipts and Outlays

• Year-over-year, overall net receipts were up just $17 billion (<1%) for Q1 FY 2019. Increases in social insurance 

(6%), excise taxes of $10 billion (49%), and customs deposits of $9 billion (96%) were mostly offset by declines 

$17 billion (-4%), corporate taxes of $11 billion (-17%), and miscellaneous receipts of $3 billion (-12%). Cuts in i

corporate tax rates and increases to customs duties had impacts on these results.

• After calendar adjustments, FY 2019 year-to-date outlays were $45 billion (4%) higher than the comparable per

outlays were $16 billion (10%) higher, mainly due to increased interest on the public debt. Social Security and 

expenditures were up $11 billion (4%) and $5 billion (9%), respectively, due to an increased number of beneficbenefit payment. Defense spending was $11 billion (7%) higher mostly from increased operation and maintenaHomeland Security expenditures were $8 billion (32%) lower largely because spending for disaster relief was h2018.

Projected Net Marketable Borrowing (FY 2019) 

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

marketable borrowing need of $365 billion for Q2 FY 2019, with an end-of-March cash balance of $320 billion. 

privately-held marketable borrowing need is projected to be $83 billion, with an end-of-June cash balance of $

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

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

• Recent deficit estimates contained in OMB’s “Mid-Session-Review, Fiscal Year 2019” (July 2018) in conjunction 

redemptions suggest that Treasury auction sizes will need to rise over the next few years. 

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 2019 Quarterly Refunding 

to the Treasury Borrowing Advisory Committee (TBA
Section II:

Fiscal
Source: United States Department of the TreasuryNote: Budget results are not available for December as a result of the lapse in appropriations. December figures represe

results based on cash reporting in the Daily Treasury Statement. The revised publish date for the December 2018 budge

Monthly Treasury Statement will be February 13, 2019.

(50%)(40%)(30%)(20%)(10%)

0%

10%20%30%40%50%60%

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

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

Sep17

Year-over-Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA
Individual Income Taxes include withheld and non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF dep

RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. Source: United States Department of the Treasury Note: Budget results are not available for December as a result of the lapse in appropriations. December figures represent e

results based on cash reporting in the Daily Treasury Statement. The revised publish date for the December 2018 budget reTreasury Statement will be February 13, 2019.

0

20406080

100120140160

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

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

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporation Income Taxes Social Insurance Taxes O
Source: United States Department of the TreasuryNote: Budget results are not available for December as a result of the lapse in appropriations. December figures represe

results based on cash reporting in the Daily Treasury Statement. The revised publish date for the December 2018 budge

Monthly Treasury Statement will be February 13, 2019.

0

50

100150200250300350

HHS

SSA

Treasury

Defense

VA

Agriculture

OPM

Other Defense Civil

Transportation

Education

Homeland Security

$ bn

Largest Outlays

Oct - Dec FY 2018 Oct - Dec FY 2019
Source: United States Department of the TreasuryNote: Budget results are not available for December as a result of the lapse in appropriations. December figures represe

results based on cash reporting in the Daily Treasury Statement. The revised publish date for the December 2018 budgeMonthly Treasury Statement will be February 13, 2019.

(40)(30)(20)(10)

0

102030

Q1-09

Q2-09

Q3-09

Q4-09

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

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
Source: United States Department of the TreasuryNote: Budget results are not available for December as a result of the lapse in appropriations. December figures rep

budget results based on cash reporting in the Daily Treasury Statement. The revised publish date for the December the Monthly Treasury Statement will be February 13, 2019.

0

100200300400500600700800900

1,000

October

November

December

January

February

March

April

May

June

July

August

$ bn

Cumulative Budget Deficits by Fiscal Year

FY2017 FY2018 FY2019
FY 2019-2021 Deficits and Net Marketable Borrowin

g Estimates*, in $ billions

Primary Dealers1 CBO2 

FY 2019 Deficit Estimate 1,000 897 FY 2020 Deficit Estimate 1,070 903 FY 2021 Deficit Estimate 1,156 974 FY 2019 Deficit Range 825-1,130FY 2020 Deficit Range 950-1,250FY 2021 Deficit Range 1,000-1,365FY 2019 Privately-Held Net Marketable Borrowing Estimate 1,345FY 2020 Privately-Held Net Marketable Borrowing Estimate 1,200FY 2021 Privately-Held Net Marketable Borrowing Estimate 1,225FY 2019 Privately-Held Net Marketable Borrowing Range 932-1,400FY 2020 Privately-Held Net Marketable Borrowing Range 975-1,554FY 2021 Privately-Held Net Marketable Borrowing Range 905-1,506FY 2019 SOMA Redemption Estimate 286FY 2020 SOMA Redemption Estimate 73FY 2021 SOMA Redemption Estimate 0FY 2019 Net Marketable Borrowing Estimate 1,059 885 FY 2020 Net Marketable Borrowing Estimate 1,127 965 FY 2021 Net Marketable Borrowing Estimate 1,225 1,025 Estimates as of: Jan-19 Jan-19 

1Based on primary dealer feedback in January 2019. Estimates above are medians. 2Table 1-1 of CBO's "The Budget and Economic Outlook: 2019 to 2029," January 2019 (current law).3Table S-11 of OMB's "Mid-Session Review, Fiscal Year 2019," July 2018.4Table 2 of CBO's "An Analysis of the President's 2019 Budget," May 2018.

*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 redemptio
(1,600)(1,400)(1,200)(1,000)

(800)(600)(400)(200)

0

200

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

$ bn

Fiscal Year

Budget Surplus/Deficit

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

Projections are from OMB’s Table S-11 of “Mid-Session Review, Fiscal Year 2019,” July 2018.

OMB’s Projection
-$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 Reserve’s System Open Market Account (SOMA), but includes financing required due to SOMA redemptions.

Privately-Held Net Marketable Borrowing Outlook
Section III:

Financing
Assumptions for Financing Section (pages 16 to 21)

• Portfolio and SOMA holdings as of 12/31/2018.• Estimates assume an end date for SOMA capped redemptions at the end of CY2020. The ass

based on the median case from “Statement Regarding the Annual Report on Open Market Oduring 2017,” Federal Reserve Bank of New York, April 2018.

• Estimates assume announced issuance sizes and patterns remain constant for nominal coup

and FRNs given changes made at the November 2018 refunding, while using a total of ~$2.3

bills outstanding. 

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

as of 12/31/2018. 

• No attempt was made to account for future financing needs. 
*Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal ROpen Market Account (SOMA), but includes financing required due to SOMA redemptions.**An end-of-December 2018 cash balance of $402 billion versus a beginning-of-October 2018 cash balance of $385 billion. cash balance constant, Treasury arrives at the net implied funding number. 

Net Bill Issuance 100 Security Gross Maturing Net Gross 

Net Coupon Issuance 326 4-Week 565 585 (20) 565 

Subtotal: Net Marketable Borrowing 426 8-Week 315 75 240 315 

13-Week 558 645 (87) 558 

Ending Cash Balance 402 26-Week 495 546 (51) 495 

Beginning Cash Balance 385 52-Week 78 60 18 78 

Subtotal: Change in Cash Balance 17 CMBs 0 0 0 0 

Bill Subtotal 2,011 1,911 100 2,011 

Net Implied Funding for FY19 Q1** 409

Security Gross Maturing Net Gross 

2-Year FRN 55 41 14 55 

2-Year 154 104 50 154 3-Year 111 72 39 111 5-Year 158 94 64 158 7-Year 126 91 35 126 

10-Year 74 27 47 74 30-Year 50 3 47 50 

5-Year TIPS 14 0 14 14 

10-Year TIPS 11 0 11 11 30-Year TIPS 5 0 5 5 

Coupon Subtotal 758 432 326 758 

October - December 2018 Fisca

Coupon Issuance Cou

Sources of Privately-Held Financing in FY19 Q1*

October - December 2018 October - December 2018 Fisca

Bill Issuance B
*Privately-held marketable borrowing excludes rollovers (auction “add-ons”) of Treasury securities held in the FederaMarket 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 mrefunding. ***Assumes an end-of-March 2019 cash balance of $320 billion versus a beginning-of-January 2019 cash balance of $40Financing Estimates released by the Treasury can be found here: http://www.treasury.gov/resource-center/data-chrefunding/Pages/Latest.aspx

Assuming Constant Coupon Issuance Sizes**

Treasury Announced Net Marketable Borrowing*** 365

Net Coupon Issuance 233

Implied Change in Bills 132

Security Gross Maturing Net Gross Ma

2-Year FRN 56 41 15 111 

2-Year 80 52 28 234 13-Year 114 72 42 225 15-Year 82 63 19 240 17-Year 64 47 17 190 1

10-Year 75 25 50 149 30-Year 51 6 45 101 

5-Year TIPS 0 0 0 14 

10-Year TIPS 24 15 9 35 30-Year TIPS 7 0 7 12 

Coupon Subtotal 553 320 233 1,311 7

Coupon Issuance Coupon 

Sources of Privately-Held Financing in FY19 Q2*

January - March 2019

January - March 2019 Fiscal Ye
OMB's projections of the change in debt held by the public (borrowing) are from Table S-11 of “Mid-Session Review, Fi

2018. “Other” represents borrowing from the public to provide direct and guaranteed loans.

1,186 1,164

1,097 1,096

963

763

722

657

590 

(600)(400)(200)

0

200400600800

1,0001,2001,400

2019 2020 2021 2022 2023 2024 2025 2026 2027 

$ 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 1,690 19

Net Interest 6,413 73

Other 719 8

Total 8,822 100

FY2019 - FY2028 Cumulative Total
OMB's economic assumption of the 10-Year Treasury Note rates are from Table 2 of OMB’s “Mid-Session Review, FiscCBO’s economic assumption of the 10-Year Treasury Note rates are from Table E-1 of CBO’s “The Budget and EconomJanuary 2019. The forward rates are the implied 10-Year Treasury Note rates on December 31, 2018. 

2.52.72.93.13.33.53.73.9

2018

2019

2020

2021

2022

2023

2024

2025

2026

2027

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

CBO Budget Outlook (Jan. 2019) OMB MSR (Jul. 2018) Implied Forward Rates as of 12

10-Year Treasury Rate of 2.72% as of 12/31/2018
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 b

Table S-11 of “Mid-Session Review, Fiscal Year 2019,” July 2018. CBO’s baseline budget projections of the change in debt hfrom Table 2 of “An Analysis of the President’s 2019 Budget,” May 2018. CBO’s current law budget projections of the chanpublic are from Table 1-1 of “The Budget and Economic Outlook: 2019 to 2029,“ January 2019. See table at the end of this se*Projections reflect capped SOMA Treasury redemptions up until the end of CY 2020. 

0

200400600800

1,0001,2001,4001,600

2019

2020

2021

2022

2023

2024

2025

2026

2027

2028

$bn

Fiscal Year

Projected Net Marketable Borrowing CBO's "The Budget and Economic Outlook: 2019 to 2029," JanOMB's FY 2019 Mid-Session Review, July 2018 PD Survey Marketable Borrowing Estimates, January 2019CBO's "An Analysis of the President's 2019 Budget "
Historical Net Marketable Borrowing and Projected Net Borrow

Assuming Future Issuance Remains Constant, $ billions

Net borrowing capacity reflects capped SOMA redemptions up until the end of CY 2020. Treasury’s latest primary dealer survey estimates can be found on page 11. OMB's projections of the change in debt held by 

Table S-11 of “Mid-Session Review, Fiscal Year 2019,” July 2018. CBO’s baseline budget projections of the change in debt hefrom Table 1-1 of CBO’s “The Budget and Economic Outlook: 2019 to 2029,” January 2019. 

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2019 MidSession Review CBO's "The Budget an

Economic Outlook: 2019 to 2029" 

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 100 494 238 45 53 930 1,186 885 2020 0 336 277 28 27 668 1,164 965 2021 0 221 333 13 1 568 1,097 1,025 2022 0 133 358 2 3 497 1,096 1,169 2023 0 171 233 5 5 415 963 1,181 2024 0 0 319 18 1 338 763 1,136 2025 0 (31) 297 (55) (2) 208 722 1,260 

2026 0 (29) 282 (48) (2) 203 657 1,253 2027 0 (5) 257 (37) (3) 211 590 1,241 

2028 0 (13) 246 (64) 3 172 584 1,472 
Section IV:

Portfolio Metrics
404550556065707580

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

Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable 

Debt Outstanding

Historical Historical Average from 1980 to end of FY 2019 Q1

69.2 m12/31

59.8 months (Historical Average from 1980 to Present)
05

10152025303540

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

Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 23.0%

Max 10.7%

M

Max 35.6%
End of Fiscal Year Maturity Profile, $ billions

End of Fiscal Year Maturity Profile, percent

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

Sep-11 2,620 1,334 980 1,541 1,070 1,053 1,017 9,616 Sep-12 2,951 1,373 1,104 1,811 1,214 1,108 1,181 10,742 Sep-13 2,939 1,523 1,242 1,965 1,454 1,136 1,331 11,590 Sep-14 2,935 1,739 1,319 2,207 1,440 1,113 1,528 12,281 Sep-15 3,097 1,775 1,335 2,382 1,478 1,121 1,654 12,841 Sep-16 3,423 1,828 1,538 2,406 1,501 1,151 1,800 13,648 Sep-17 3,631 2,027 1,504 2,433 1,466 1,180 1,946 14,188 Sep-18 4,299 2,076 1,603 2,472 1,531 1,209 2,077 15,268 

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

Sep-11 27.2 13.9 10.2 16.0 11.1 10.9 10.6 51.3 Sep-12 27.5 12.8 10.3 16.9 11.3 10.3 11.0 50.5 Sep-13 25.4 13.1 10.7 17.0 12.5 9.8 11.5 49.2 Sep-14 23.9 14.2 10.7 18.0 11.7 9.1 12.4 48.8 Sep-15 24.1 13.8 10.4 18.5 11.5 8.7 12.9 48.3 Sep-16 25.1 13.4 11.3 17.6 11.0 8.4 13.2 49.7 Sep-17 25.6 14.3 10.6 17.1 10.3 8.3 13.7 50.5 Sep-18 28.2 13.6 10.5 16.2 10.0 7.9 13.6 52.3 
20304050607080

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

Percent

Calendar Year

Treasury Maturity Profile History

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

Demand
*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-

constant auction BEI is used as the inflation assumption.

Security 

Type Term Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) SOM

"Ad

Ons" (

Bill 4-Week 2.239 2.9 589.2 60.4 8.8 30.8 15.8 0.0 Bill 8-Week 2.305 3.2 343.4 55.0 8.9 36.1 1.6 0.0 Bill 13-Week 2.326 3.1 576.5 52.7 8.1 39.2 20.5 0.0 Bill 26-Week 2.446 3.1 512.3 49.2 3.5 47.2 18.7 0.0 Bill 52-Week 2.601 3.2 101.4 46.2 6.8 46.9 2.6 0.0 

Coupon 2-Year 2.776 2.5 115.6 41.6 11.0 47.4 1.4 3.4 Coupon 3-Year 2.904 2.6 110.2 42.7 8.5 48.9 0.8 7.5 Coupon 5-Year 2.833 2.3 119.7 35.2 7.3 57.5 0.3 3.5 Coupon 7-Year 2.908 2.5 94.9 21.4 15.7 62.9 0.1 2.8 Coupon 10-Year 3.119 2.4 73.9 27.0 5.6 67.4 0.1 5.5 Coupon 30-Year 3.315 2.2 50.0 28.4 8.6 63.0 0.0 3.9 

TIPS 5-Year 1.129 2.8 14.0 12.6 6.7 80.8 0.0 0.0 TIPS 10-Year 1.109 2.6 11.0 19.8 12.1 68.1 0.0 1.0 TIPS 30-Year 1.235 2.3 5.0 23.3 0.9 75.7 0.0 0.0 

FRN 2-Year 0.081 2.9 54.9 46.9 2.0 51.1 0.1 1.6 

Total Bills 2.341 3.1 2,122.8 54.1 7.3 38.7 59.2 0.0 

Total Coupons 2.928 2.4 564.3 34.0 9.6 56.4 2.7 26.7 

Total TIPS 1.139 2.6 30.0 17.0 7.7 75.3 0.0 1.0 

Total FRN 0.081 2.9 54.9 46.9 2.0 51.1 0.1 1.6 

Summary Statistics for Fiscal Year 2019 Q1 Auctions
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Dec-08

Mar-09

Jun-09

Oct-09

Jan-10

Apr-10

Jul-10

Nov-10

Feb-11

May-11

Aug-11

Dec-11

Mar-12

Jun-12

Sep-12

Jan-13

Apr-13

Jul-13

Oct-13

Feb-14

May-14

Aug-14

Nov-14

Mar-15

Jun-15

Sep-15

Dec-15

Apr-16

Jul-16

Oct-16

Jan-17

May-17

Aug17

Bid-to-Cover Ratio

Bid-to-Cover Ratios for Treasury Bills

4-Week (13-week moving average) 13-Week (13-week moving average) 26-Week (13-week movin52-Week (6-month moving average) 8-Week (11-week moving average)
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Apr-15

May-15

Jun-15

Jul-15

Aug-15

Sep-15

Oct-15

Nov-15

Dec-15

Jan-16

Feb-16

Mar-16

Apr-16

May-16

Jun-16

Jul-16

Aug-16

S16

Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Dec-13

Feb-14

Apr-14

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

Bid-to-Cover Ratio

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

(6-Month Moving Average)

2-Year 3-Year 5-Year
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Dec-13

Feb-14

Apr-14

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

Bid-to-Cover Ratio

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

(6-Month Moving Average)

7-Year 10-Year 30-Year
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Feb-08

May-08

Sep-08

Dec-08

Mar-09

Jul-09

Oct-09

Jan-10

Apr-10

Aug-10

Nov-10

Feb-11

May-11

Sep-11

Dec-11

Mar-12

Jun-12

Oct-12

Jan-13

Apr-13

Jul-13

Nov-13

Feb-14

May-14

Aug-14

Dec-14

Mar-15

Jun-15

Sep-15

Jan-16

Apr-16

Jul-16

Oct-16

Feb-17

May-17

Aug-17

Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) Long-end (20- & 30-year)
Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository Pension and Insurance.

0%5%

10%15%20%25%30%35%

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

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

0%

10%20%30%40%50%60%

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

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

0%

10%20%30%40%50%60%70%

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

6-month moving average

Percent Awarded in 7-, 10-, 30-Year Nominal Security Auctio

by Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International O
Excludes SOMA add-ons. The “Other” category includes categories that are each less than 5%, which include Depository Pension and Insurance.

0%

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

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 
Excludes SOMA add-ons. 

10%20%30%40%50%60%70%80%

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

% of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

4/8/13/26-Week (13-week moving average) 52-Week (6-month moving average2/3/5-Year (6-month moving average) 7/10/30-Year (6-month moving aveTIPS (6-month moving average)
Excludes SOMA add-ons. 

0%5%

10%15%20%25%

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

% 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 (6-month moving average) 7/10/30 (6-month moving average)TIPS (6-month-moving average)
Foreign includes both private sector and official institutions.

0

102030405060708090

100

Dec-16

Jan-17

Feb-17

Mar-17

Apr-17

May-17

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

$ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2/3/5 7/10/30 TIPS FRN
Appendix
*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-to- Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) S

4-Week 10/4/2018 2.105 3.12 38.9 50.7 9.5 39.8 1.1 4-Week 10/11/2018 2.135 3.17 38.8 57.0 5.5 37.5 1.2 4-Week 10/18/2018 2.155 2.81 39.0 65.7 10.8 23.5 1.0 4-Week 10/25/2018 2.180 2.86 39.0 67.4 9.0 23.6 1.0 4-Week 11/1/2018 2.165 2.85 43.9 47.7 13.5 38.9 1.1 4-Week 11/8/2018 2.200 2.91 48.7 55.6 7.5 36.9 1.3 4-Week 11/15/2018 2.200 2.78 49.0 69.7 10.9 19.4 1.0 4-Week 11/23/2018 2.200 2.90 48.9 58.3 7.7 34.0 1.1 4-Week 11/29/2018 2.270 2.75 49.0 74.6 5.9 19.5 1.0 4-Week 12/6/2018 2.320 3.07 38.7 54.6 7.2 38.2 1.3 4-Week 12/11/2018 2.365 3.04 39.3 54.3 9.4 36.4 0.7 4-Week 12/18/2018 2.325 2.92 38.7 59.1 13.1 27.8 1.3 4-Week 12/26/2018 2.360 2.68 38.6 71.9 9.8 18.3 1.4 4-Week 1/2/2019 2.400 3.03 38.8 55.9 3.9 40.3 1.2 8-Week 10/18/2018 2.170 3.13 24.9 62.0 15.1 22.9 0.1 8-Week 10/25/2018 2.180 3.43 24.9 59.2 7.2 33.7 0.1 8-Week 11/1/2018 2.205 3.08 24.9 61.9 8.1 29.9 0.1 8-Week 11/8/2018 2.240 3.09 29.9 62.4 5.4 32.2 0.1 8-Week 11/15/2018 2.285 3.13 29.8 52.9 10.1 37.1 0.2 8-Week 11/23/2018 2.300 3.48 29.9 45.7 11.4 42.9 0.1 8-Week 11/29/2018 2.315 3.23 29.9 48.1 14.1 37.8 0.1 8-Week 12/6/2018 2.360 3.24 29.9 40.2 10.3 49.5 0.1 8-Week 12/11/2018 2.390 3.01 30.0 58.4 6.2 35.4 0.0 8-Week 12/18/2018 2.360 3.81 29.8 43.3 10.0 46.7 0.2 8-Week 12/26/2018 2.375 2.98 29.8 63.0 6.5 30.5 0.2 8-Week 1/2/2019 2.420 3.13 29.8 66.4 3.2 30.4 0.2 

Bills
*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-to- Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) S

13-Week 10/4/2018 2.175 2.93 46.4 59.1 8.8 32.1 1.6 13-Week 10/11/2018 2.220 2.72 46.2 71.6 6.8 21.6 1.8 13-Week 10/18/2018 2.270 2.96 43.6 60.9 6.3 32.8 1.4 13-Week 10/25/2018 2.300 3.06 42.9 53.3 6.0 40.8 2.1 13-Week 11/1/2018 2.305 2.90 43.3 45.8 17.5 36.8 1.7 13-Week 11/8/2018 2.320 3.07 43.7 53.6 9.2 37.2 1.3 13-Week 11/15/2018 2.340 3.14 43.6 49.6 9.4 40.9 1.4 13-Week 11/23/2018 2.345 3.06 40.6 52.8 6.4 40.8 1.4 13-Week 11/29/2018 2.370 3.74 37.1 42.0 8.0 50.1 1.9 13-Week 12/6/2018 2.365 3.26 37.7 42.8 7.1 50.1 1.3 13-Week 12/13/2018 2.375 2.95 37.8 50.4 9.6 40.0 1.2 13-Week 12/20/2018 2.375 3.52 37.8 44.8 9.5 45.7 1.2 13-Week 12/27/2018 2.415 2.94 37.7 53.3 4.3 42.4 1.3 13-Week 1/3/2019 2.465 2.81 38.0 51.7 3.7 44.6 1.0 26-Week 10/4/2018 2.335 2.89 40.7 57.6 4.1 38.3 1.3 26-Week 10/11/2018 2.380 2.79 40.6 57.8 3.8 38.4 1.4 26-Week 10/18/2018 2.415 2.87 37.7 59.1 3.0 37.9 1.3 26-Week 10/25/2018 2.425 3.13 37.1 46.6 2.6 50.8 1.9 26-Week 11/1/2018 2.430 3.01 37.8 46.5 5.0 48.5 1.2 26-Week 11/15/2018 2.465 3.26 37.9 52.0 3.8 44.3 1.1 26-Week 11/23/2018 2.455 3.16 34.8 54.7 3.8 41.5 1.2 26-Week 11/29/2018 2.475 3.61 34.6 36.1 5.2 58.8 1.4 26-Week 12/6/2018 2.495 3.05 34.8 58.6 2.8 38.6 1.2 26-Week 12/13/2018 2.480 3.07 34.9 43.2 3.9 52.9 1.1 26-Week 12/20/2018 2.485 3.13 34.9 42.7 3.7 53.7 1.1 26-Week 12/27/2018 2.480 3.04 34.2 32.1 1.2 66.7 1.8 26-Week 1/3/2019 2.505 2.92 34.3 46.8 2.8 50.4 1.7 52-Week 10/11/2018 2.580 3.48 25.3 35.8 7.1 57.1 0.7 52-Week 11/8/2018 2.645 3.05 25.3 51.6 6.5 41.9 0.7 52-Week 12/6/2018 2.635 3.05 25.4 45.4 5.9 48.7 0.6 52-Week 1/3/2019 2.545 3.13 25.4 52.1 7.8 40.1 0.6 

Bills
*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 eqauction BEI is used as the inflation assumption.

Issue Settle Date Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) S

2-Year 10/31/2018 2.880 2.67 37.5 41.9 5.5 52.6 0.5 2-Year 11/30/2018 2.836 2.65 38.6 35.6 19.5 44.9 0.4 2-Year 12/31/2018 2.619 2.31 39.5 47.2 7.8 45.0 0.5 3-Year 10/15/2018 2.989 2.56 35.7 43.3 9.8 46.9 0.3 3-Year 11/15/2018 2.983 2.54 36.7 47.9 3.0 49.1 0.3 3-Year 12/17/2018 2.748 2.59 37.8 37.0 12.5 50.5 0.2 5-Year 10/31/2018 2.977 2.30 38.9 39.1 1.9 59.0 0.1 5-Year 11/30/2018 2.880 2.49 39.9 29.8 10.3 59.9 0.1 5-Year 12/31/2018 2.652 2.09 41.0 36.8 9.6 53.6 0.0 7-Year 10/31/2018 3.074 2.39 31.0 30.1 5.2 64.6 0.0 7-Year 11/30/2018 2.974 2.55 32.0 16.3 27.0 56.6 0.0 7-Year 12/31/2018 2.680 2.46 32.0 18.0 14.6 67.4 0.0 

10-Year 10/15/2018 3.225 2.39 23.0 30.1 5.4 64.5 0.0 10-Year 11/15/2018 3.209 2.54 27.0 25.0 1.2 73.8 0.0 10-Year 12/17/2018 2.915 2.35 24.0 26.1 10.8 63.1 0.0 30-Year 10/15/2018 3.344 2.42 15.0 22.8 12.8 64.4 0.0 30-Year 11/15/2018 3.418 2.06 19.0 38.1 2.9 59.1 0.0 30-Year 12/17/2018 3.165 2.31 16.0 22.1 11.5 66.4 0.0 

2-Year FRN 10/31/2018 0.045 3.32 19.0 48.0 0.1 51.9 0.0 2-Year FRN 11/30/2018 0.050 2.62 18.0 60.6 5.8 33.6 0.0 2-Year FRN 12/28/2018 0.150 2.71 18.0 32.2 0.1 67.7 0.0 

Nominal Coupons

Issue Settle Date Stop Out Rate (%)* Bid-to- Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) S

5-Year TIPS 12/31/2018 1.129 2.80 14.0 12.6 6.7 80.8 0.0 

10-Year TIPS 11/30/2018 1.109 2.59 11.0 19.8 12.1 68.1 0.0 30-Year TIPS 10/31/2018 1.235 2.32 5.0 23.3 0.9 75.7 0.0 

TIPS
Office of Debt Manageme

Brief Overview of Key Data Sources on

Foreign Participation in the U.S. Treasury Securities Marke
Executive Summary

2

 Several publicly available data sources provide information on foreign participatio

primary and secondary Treasury securities markets.

 Understanding this data, i.e. the way it is collected and reported and its strengths a

is important for accurate analysis of foreign participation in the Treasury market.

 This presentation provides a brief survey of commonly used data sources.

 Primary Market data on auction awards:

1) Treasury Investor Class Data2) Treasury Auction Results Data

 Secondary Market data on holdings and transactions:

3) Treasury International Capital (TIC) Data (Holdings and Transactions)

4) Federal Reserve’s H.4.1 – Factors Affecting Reserve Balances (Holdings)

 Other sources of foreign holdings include: The Bureau of Economic Analysis’s Inte

Transactions and its International Investment Positions; the Federal Reserve’s Z.1 - Accounts of the U.S.; and the Treasury Bulletin. For foreign holdings, these sources derived from TIC.

 Finally, some individual foreign central banks may choose to disclose Treasury sec

or transactions voluntarily. We do not cite those sources here.
Primary Market

1) Treasury Investor Class Data

3

 Treasury releases “Investor Class” data on a lagged basis for all Treasury auctions. 

data provides a comprehensive breakdown of auction awards by entity type, includand international” entities. 

 Coupons data is published about every two weeks for securities issued since th Bills data is published at the beginning of the month for securities issued the pr

 A sample of the Investor Class coupon data for the month of December 2018 appea The “Foreign and international” category includes awards related to:

 Competitive bids for foreign entities, whether official or private, placed directly 

Primary Dealer or other Direct bidder (other dealers or depository institutions).

 Noncompetitive bids for Foreign and International Monetary Authorities placed 

Federal Reserve Bank of New York (FRBNY).

Issue 

 date Security type

 (%)

 Coupon 

 rate 

 Or

 Spread Cusip

Maturity 

 date

Total 

 issue

(SOMA) 

 Federal 

 Reserve 

 banks

Depository 

 institutions Individuals

Dealers 

 and 

 brokers

Pension 

 and 

 Retirement 

 funds and 

 Ins. Co.

Investm

 fund

12/31/2018 2-Year Note 2.500 9128285S5 12/31/2020 40.001 0.000 0.001 0.380 19.888 0.000 112/31/2018 5-Year TIPS Note 0.625 9128284H0 04/15/2023 14.000 0.000 0.000 0.030 1.757 0.130 112/31/2018 5-Year Note 2.625 9128285U0 12/31/2023 40.999 0.000 0.001 0.028 16.174 0.050 112/31/2018 7-Year Note 2.625 9128285T3 12/31/2025 32.000 0.000 0.000 0.012 6.614 0.000 2

Auction Allotments By Investor Class For Marketable Treasury Coupon Securities

[In billions of dollars. Source: Office of Debt Management, Office of the Under Secretary for Domestic Finance]
Primary Market

1) Treasury Investor Class Data (continued)

4

 The investor class data provides information on foreign participation in auctions, b

secondary market activity can affect foreign holdings. 

 The following chart and table, respectively, demonstrate foreign awards over time 

investor class allocations by product in CY2018.

Average award allocations in CY2018, weighted by issuance amount less SOMA

Depository 

Institutions Individuals Dealers and Brokers Pension, Retirement Funds, and Ins. Co. Investment Funds Foreign and International 

Bills 0.1% 1.9% 60.1% 0.1% 30.5% 7.2% 

FRNs 0.4% 0.1% 49.7% 0.4% 27.0% 9.1% Nomimals 0.0% 0.3% 35.0% 0.1% 49.2% 14.8% TIPS 0.0% 0.2% 20.3% 0.3% 61.3% 17.9% All 0.1% 1.5% 54.1% 0.1% 34.7% 9.0% 

*Other represents the residual from categories 

0

255075

100125150

2010 2011 2012 2013 2014 2015 2016 2017 2018

$Billions

Issue Date

Monthly foreign auction awards by issue date3-month moving average
Primary Market

2) Treasury Auction Results Data

5

Auction awards are divided into “competitive” and “noncompetitive” awards. Data is time of the auction results release.Competitive awards are divided into 3 bidder categories and provide an indication oare participating at auction

 Foreign participants, can be included in any or all of the 3 categories. 1) Primary Dealers: awards for Primary Dealers’ house accounts. Some Primary Dea

branch, agency, or subsidiary of a non-U.S. bank or holding company.

 2) Directs - awards for the house accounts of non-Primary Dealers. 3) Indirects - awards for customers of: Primary Dealers, other dealers participating a

depository institutions participating as Directs. Only dealers and depository institucustomer bids. 

Noncompetitive awards include awards to relatively small investors and aggregated 

Foreign Institution and Monetary Authorities (FIMA)

 FIMA accounts include foreign central banks, foreign governmental monetary or fi

non-governmental international financial organizations that are not private in natuWorld Bank), and non-financial international organizations in which the U.S particUnited Nations). FIMA bids are capped at $100 million per account and $1 billion in total, for a si Total FIMA awards averaged $4.9 billion per month in CY2018.
Primary Market

2) Treasury Auction Results Data (continued)

6

 Some analysts use indirect awards as a proxy for foreign participation in an auction

competitive award categories do not identify foreign participation.

 Auction participants are permitted to bid both directly and indirectly in the same a Caution should be exercised in using indirect awards a proxy for foreign auction p

since there is a modest and unstable correlation between the percent of indirect awpercent of competitive foreign awards.

 Foreign investors may also choose to acquire holdings in the secondary market rath

primary market. 

0%20%40%60%80%100%

0%

20%40%60%80%

100%

2003 2005 2007 2009 2011 2013 2015 2017

Average monthly competitive award breakdowns,weighted by issuance ex-SOMA

Primary Dealers Directs Indirects Foreign Competitive

NotesAwards foDirects, anfrom auctcategories Foreign Cthe differeforeign awthrough inthe noncoaward on 
Secondary Market

3) Treasury International Capital (TIC) Data

7

 The TIC system collects data on cross-border portfolio investment flows and positio

U.S. residents (including U.S.-based branches of firms headquartered in other counforeign residents (including offshore branches of U.S. firms).

 The annual holdings data, the monthly holdings data, and monthly transactions da

varying levels of detail on foreign holdings and transactions, as shown below.

Survey Coverage Release Schedule Short-Term (<=1yr) Long-Term (>1yr) 

Annual 5-Year 

Benchmark

(next in 2019)

Foreign holdings from all 

U.S. custodians Spring for 

survey results 

from the prior 

June

Holdings by country or region (MV)

Holdings by country or region, including a breakdown for nominals, TIPS, and FRNsAggregate breakdown between nominal maturity buckets (MV)

H

for

Annual NonBenchmark

Foreign holdings from 

largest U.S. custodians; 

accounts for 99% of MV of 

benchmark survey

Monthly

Foreign Holdings

2-month lag

Holdings by country or region (PV)

Holdings by country or region (MV)

Transactions Not Reported

Gross purchases and sales by country or region (MV)

Ne

i

f

on

PV = Par Va
Secondary Market

3) TIC Data (continued) – Important Features

8

Custodian Bias

 The monthly data on holdings, including the monthly table on Major Foreign Hold

Securities (see next slide), reflect foreign holdings of U.S. securities reported by U.Scustodians. As such, these data cannot attribute holdings of U.S. securities to the bewith complete accuracy. This is commonly known as “custodian bias.” For example, if a U.S. Treasury security purchased by a foreign resident in Coun

in a custodial account in Country B, ownership in the TIC data will be attribute

 The custodial data may also not properly attribute U.S. Treasury securities man

foreign entity on behalf of residents of other countries. 

Transaction Bias

 A transaction may occur in the country of a foreign intermediary and not represent 

users. In addition, repo transactions may not get classified appropriately and a repo show up in transactions data while holdings data is unaffected.

Valuation

 The TIC data for long-term securities are reported based on market value of the hol

opposed to par value. This means that sharp movements in yields between reportinchange the reported value of a foreign entity’s holdings amount substantially, even holder did not execute any transactions.
Secondary Market

3) TIC Data (continued) – Major Foreign Holders

9

MAJOR FOREIGN HOLDERS OF TREASURY SECURITIES

(in billions of dollars)

HOLDINGS 1/ AT END OF PERIOD

Country Oct 2018 Sep 2018 Aug 2018 Jul 2018 Jun 2018 May 2018 

China, Mainland 1,138.9 1,151.4 1,165.1 1,171.0 1,179.0 1,183.1 Japan 1,018.5 1,028.0 1,029.9 1,035.5 1,032.2 1,048.8 Brazil 313.9 317.0 317.8 299.7 300.1 299.2 Ireland 287.3 290.4 311.6 300.2 301.3 301.0 United Kingdom 263.9 276.3 272.6 271.7 274.4 265.0 Luxembourg 225.4 227.2 224.0 221.5 220.5 209.1 Switzerland 225.2 226.9 232.0 233.1 236.3 243.4 Cayman Islands 208.2 200.0 197.5 197.9 191.1 186.2 Hong Kong 185.0 192.3 193.2 194.4 196.5 191.9 Saudi Arabia 171.3 176.1 169.5 166.8 164.3 162.1 Belgium 169.7 164.7 154.3 154.5 154.7 150.5 Taiwan 162.3 166.4 163.2 164.2 162.6 164.8 India 138.2 144.0 140.6 142.6 147.3 148.9 

... ..................

Grand Total 6,199.6 6,225.2 6,277.9 6,253.8 6,213.7 6,214.7 Of which:

For. Official 3,947.2 4,010.1 4,021.1 4,007.8 3,988.8 3,990.8 Treasury Bills 306.6 316.7 329.3 339.6 336.3 346.3 T-Bonds & Notes 3,640.6 3,693.4 3,691.8 3,668.1 3,652.5 3,644.5 

Financial centers with a substantial amount of securities held in custody
Secondary Market

3) TIC Data (continued) – Monthly Holdings Brea

10

 As of October 2018, TIC reported a total of $6.2 trillion held by foreign accounts, of 

trillion (64%) was held by foreign official accounts.

 The following chart provides the breakdown between coupons and bills and betwe

official and foreign private accounts through September 2018.

0

1,0002,0003,0004,0005,0006,0007,000

2012 2013 2014 2015 2016 2017 2018

$Billions

Monthly foreign holdings by type of holder and security groupas reported through TIC

Official - Coupons Private - Coupons Official - Bills Private - Bills
Secondary Market

3) TIC Data (continued) - Monthly Transactions

11

 Monthly transactions data is available for gross purchases and sales by country or r

aggregated by type of foreign entity is also available as net purchases (see below).

 The following chart shows net purchases by type of foreign entity, including foreig

foreign, and international and regional organization.

-100

-80-60-40-20

0

20406080

100

2012 2013 2014 2015 2016 2017 

$Billions

Monthly net purchases of long-term Treasury securitiesby type of foreign entity

Foreign Official Other Foreign Intl. and Reg. Orgs. Total 6m Aver
Secondary Market

4) Federal Reserve’s H.4.1

12

 The Federal Reserve publishes a weekly dataset, H.4.1 – Factors Affecting Reserve Ba

includes Treasury securities held in custody for foreign official and international inFederal Reserve Bank of New York (FRBNY).

 There are slight differences in methodology that limit the comparability between th

holdings data and the TIC data on foreign official holdings. H.4.1 is at par value (with principal accretion for TIPS), while TIC uses market values for lon H.4.1 does not cover all foreign official holdings, though the reported value of H.4.1 holdings 

the reported foreign official holdings in TIC. Also, H.4.1 can include holdings for internationwhereas TIC classifies those entities as foreign private.

 Holdings that move between FRBNY and other U.S. custodians will affect H.4.1 levels but m

6,23,93,0

2,0003,0004,0005,0006,0007,000

2012 2013 2014 2015 2016 2017 2018

$Billions

Foreign Positions Data from TIC and FRBNY Custody Datathrough the end of October 2018

TIC Total TIC Official Holdings FRBNY Custody
Secondary Market

Other Foreign Holdings Data

13

The below additional publications also provide information regarding Treasury securiThese data sources rely on Treasury's TIC data as a primary source but may make somsuch as seasonality, and can be subject to revisions.The Bureau of Economic Analysis’s (BEA) international data series

 BEA publishes quarterly reports on International Transactions and its International In

Positions, which rely on TIC data for reporting foreign holdings of Treasury securiti

The Federal Reserve’s Z.1 - Financial Accounts of the U.S., Flow of Funds

 The Federal Reserve publishes a quarterly release which includes holdings of Treas

by type of holder. Within that breakdown, securities held by the “Rest of the Worldthe BEA data described above.

The Treasury Bulletin

 Treasury publishes the quarterly Treasury Bulletin, detailing Treasury-related opera

programs. Within the report, data on ownership of Treasury securities by type of hforeign and international accounts, is based on the Z.1 data described above.
Conclusion

14

 Understanding the various data sets related to foreign participation in the Treasury 

important for conducting accurate analysis and interpretation of the data.

 The Treasury market is supported by a broad investor base (both foreign and dome

variety of investment needs that can and do change over time. Foreign participation Treasury market has continuously evolved over time. Treasury takes a holistic and perspective on any changes in foreign participation shown in the data.

 The Treasury market is the deepest and most liquid market in the world, and Treas

confident that overall demand for Treasury securities will continue to remain stron
References

15

Source Publisher Publication Schedule

Investor Class Auction Allotments Treasury Bills - Beginning of the month for securities issued the prior mo

Coupons - Roughly every two weeks for securities issued since 

Coupons' and Bills' data: https://home.treasury.gov/data/investo

Auction Results Treasury After each auction

Press releases: https://treasurydirect.gov/instit/ann

Competitive bidder breakdown pre-April 2008: https://www.treasurydirect.gov/instit/annceresult/au

Treasury International Capital Treasury Annual Surveys – each Spring for data as of the prior June Monthly Surveys – two-month lag

TIC reports: https://www.treasury.gov/resource-center/data-chart-cen

H.4.1 - Factors Affecting Reserve 

Balances Federal Reserve Weekly

H.4.1 reports: https://www.federalreserve.go

Z.1 - Financial Accounts of the U.S. Federal Reserve Quarterly

Z.1 reports: https://www.federalreserve.g

International Transactions and 

International Investment Positions

Bureau of Economic 

Analysis Quarterly

BEA international reports: http://www.bea.gov/data/econom

Treasury Bulletin Treasury Quarterly

Treasury Bulletins: https://www.fiscal.treasury.gov/reports-statements/treas
Potential Innovation in Treasury Products and Tools

January 2019

Treasury is always considering ways to minimize borrowing costs, better manage its liability profile, enhance market liquidity, and 

expand the investor base in Treasury securities. In light of these objectives, we would like the Committee to comment on the likely 

costs and benefits of potential new Treasury products that might assist Treasury in achieving some or all of these objectives. In 

addition, are there any other debt management tools or processes that Treasury should consider utilizing? In answering the question, 

please review the practices and products employed by debt management authorities around the world. 
Executive Summary

The Treasury faces unique challenges over the medium term

• Large borrowing needs in context of already large foreign dollar debt holdings and at a time when international reserve growth 

has stagnated

• Estimated borrowing needs are likely to exceed $12trn over the next decade, even without any recession possibilities factored in

• There is a likely need to finance this borrowing more domestically than in the past 

To meet this challenge, we recommend the following: 

• Focus on thematic issuances 

• Expand investor base by attracting support from pockets of savings in the domestic economy

• Specifically, depository intuitions, pensions & insurance, non-financial corporates and asset managers

• These issuances could potentially include

• CPI subcomponent linked TIPS,

• Expanded FRN program, 

• Perpetual horizon, and

• Zero-coupon debt

• Expand Treasury issuance to take advantage of demand in the 15-20y sector

• Focus on steps to increase attractiveness of Treasuries to foreign investors

• We also recommend evaluating the following process improvements:

• Making P STRIPS fungible with C STRIPS

• Further exploring syndication mechanism, especially given the focus on thematic issuances

• More regular buyback operations and re-openings of scarce issues

These recommendations are preliminary but attractive from a blue sky perspective in the context of the debt management challenge 

outlined above. A further investigation into each is recommended 

1
Primary debt management challenge
3

Primary debt management challenge over next 10 years

Treasury’s financing needs are expected to increase significantly...

Source: CBO

• Significant deficits need to be financed...

• $1-$1.5trn a year, and cumulatively over $12trn, over 

the next decade

• ...even without explicitly factoring in recession 

possibilities 

• CBO and Blue Chip consensus projects steady 1.5-2% 

real GDP growth over the next 10y

• Deficits typically rise 2-5% of GDP in recessions

• This would translate to additional deficits of $0.5-1trn 

at current GDP levels

• These borrowing needs have to financed in the context 

of already high global dollar debt exposure

...even without factoring in recession possibilities over the 

next decade

Source: Bloomberg, CBO, Haver Analytics

-2,000

-1,500

-1,000

-500

0

500

70 75 80 85 90 95 00 05 10 15 20 25

$bn

Deficits (-) or Surplus Baseline Projection

2

4

6

8

-10 10

-8

-6

-4

-2

0

2

4

70 75 80 85 90 95 00 05 10 15 20 25

%

%

Budget deficit (-), % of GDP CBO baseline projection

Unemployment rate, % (inv, RHS)
4

Foreign investors already hold significant dollar debt

USD share in foreign exchange holdings has steadily declined

Source: US Treasury, IMF, Haver Analytics

• USD is still the dominant reserve currency

• However, reserve managers have been very gradually 

increasing allocation to other currencies

• USD share of FX reserves has steadily come down 

from 72% in 2000 to 62% now

• Other countries with significant debt issuance needs (as a 

share of GDP) depend far more on domestic savings

• The Treasury should plan to meet financing needs more 

domestically than in the recent past 

A comparison of non-resident ownership of government debt

Note: Non-residents is the “Rest of World” sector. Data for EGBs include EU residents

Source: Respective central banks / government , Haver Analytics

41%

28% 29%

12%

0%

10%

20%

30%

40%

50%

US UK Italy Japan

% held by non-residents

15

17

19

21

23

25

27

29

60

62

64

66

68

70

72

74

00 03 06 09 12 15 18

%

%

USD EUR (RHS)
5

Foreign sponsorship has declined recently with outlook uncertain

Source: US Treasury, Haver Analytics

• Global FX reserves growth has stalled and global trade, as a 

share of world GDP, appears to have peaked

• China is now running a flat current account with the rest of 

the world

• These have led to lower official foreign demand for USTs

• Evident in lower foreign bids at 2-5y Treasury auctions 

compared to longer tenor auctions

• In line, foreign holdings of marketable Treasuries, as % of 

outstanding, have declined meaningfully from the pre-crisis 

peak (from 55% in March 2009 to 41% currently)

• While Treasuries looking less attractive on a FX hedged 

basis (as is usual in hiking cycles) likely contributes to this, 

we believe the decline might be more secular in nature

• Overall, we recommend

• A greater focus on domestically financing more of the 

borrowing needs through thematic issuances

• Exploring channels to increase foreign holdings of 

Treasuries

Annual increase in foreign holdings, as % of net issuance 

International FX reserve growth has stagnated

Source: Bloomberg

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

04 05 06 07 08 09 10 11 12 13 14 15 16 17 18

International reserve assets growth, yoy

-50%

0%

50%

100%

150%

200%

250%

300%

03 05 07 09 11 13 15 17 19

12m increase in foreign holdings, as % of increase in mktable debt

outstanding

Previous hiking 

cycle 
6

Products targeting specific savings pools could diversify investor base

Note: Debt securities holdings excludes vault cash, Fed reserves, fed funds and security repos

Source: Federal Reserve, Haver Analytics

Financial institutions

Recommendation: explore further longer tenor FRNs issuance

• Bank holdings of Treasuries, as % of outstanding, have declined

• Treasury’s share of debt holdings for private depository 

institutions has increased over the past decade, partly driven by 

regulatory changes. However, they are below pre-2000 levels

• 3y/5y FRNs are likely to be attractive to depository institutions and 

other non-WAM constrained investors

• A program half the size of current 2y FRNs, growing at nominal 

GDP, would have gross issuance of ~$1.4trn over 10 years

Life Insurance and Pension

Recommendation: explore further perpetual horizon, zero-coupon 

and 15-20y issuance

• Private and state & local pension holdings have declined from 

~10% of Treasuries outstanding in 2000 to ~5% currently

• Data, such as increase in Treasuries held in stripped form, show 

robust demand trends for longer duration securities

• For perpetual issuance in a regular and predictable framework, 

consider that federal infrastructure spending is ~$100bn/year 

• Demand for STRIPS has grown ~$25bn/year over past 3y, 

suggesting that 20-25% of this spending can likely be 

supported via this program

• A $60-70bn a year issuance program in the 15-20y sector appears 

viable prima-facie 

Despite increase post GFC, Treasuries are still a smaller 

share of banks’ debt securities holdings than historical 

Trends in non-Fed, non-Foreign holdings of Treasuries

Source: Federal Reserve, Haver Analytics

0%

10%

20%

30%

40%

50%

70 75 80 85 90 95 00 05 10 15

Treasuries, as % of debt securities - Private depository institutions

0%

3%

6%

9%

12%

15%

18%

85 90 95 00 05 10 15

Holdings, % of marketable debt outstanding

Chartered Financial Institutions Life Insurance Private & State Local Pension
7

Products targeting specific savings pools could diversify investor base (continued) 

Source: Federal Reserve, Bloomberg, Haver Analytics

Non financial businesses

Recommendation: explore further healthcare/education 

inflation linked TIPS issuance

• Non-financial corporate holdings of Treasuries have declined 

meaningfully, though from a low base

• If these institutions held the same proportion Treasuries 

outstanding as they did in 2005, their holdings would be 

larger by ~$300bn

• Treasury instruments that hedge macro liability, such as 

healthcare and education, would be attractive to such investors 

Asset managers

• While the share of Treasuries outstanding held by mutual funds 

has risen steadily over the past 20 years, it is likely driven by 

increasing weight of Treasuries in the benchmark indices

• Out of total mutual fund debt holdings of $4.7trn, 

Bloomberg estimates that $3.2trn+ is linked to US Agg 

family of indices

• Treasury products that better align with objectives of funds 

such as target date retirement funds and 529 plans could lead 

to higher organic allocation

We estimate that these sources could result in potential demand 

of $130-$215bn over the next 10y for CPI-subcomponent linked 

issuance

Increase in mutual fund Treasuries holdings, as % of 

outstanding, is in line with Treasuries weight in US Agg index

Trends in non-Fed, non-Foreign holdings of Treasuries

Source: Federal Reserve, Haver Analytics

0%

2%

4%

6%

8%

10%

85 90 95 00 05 10 15

Holdings, % of marketable debt 

outstanding

Non-financial business Mutual funds+ETF

0%

10%

20%

30%

40%

50%

0%

2%

4%

6%

8%

10%

00 03 06 09 12 15 18

Mutual funds+ETF, % of outstanding

Share of Treasuries in US Agg index (RHS)
Potential new Treasury products
Negative inflation risk premium makes TIPS more expensive than 

nominals ex-ante

Long term CPI trends are fragmented

• With inflation risk premia firmly negative, TIPS issuance is 

more expensive than nominal issuance, ex-ante

• Ex-post, TIPS have benefited Treasury relative to 

nominals

• However, negative inflation risk premia is likely not uniform 

across all CPI-subcomponents

• 20% of Core CPI (core commodities) has remained 

negative over a 20y period and is unlikely to command 

a large positive inflation risk premia...

• ... while education, medical care and shelter (~45% of 

CPI) have remained firmly above 2%, sometimes 

significantly so

• Uncertainty, partly regulatory, over their long term 

outlook likely would result in higher inflation risk 

premia for these sub-components

• TIPS linked to these sub-components are likely to result in 

more cost savings than those linked to the whole CPI basket

9

Potential new product: CPI subcomponent linked TIPS issuance

-4

-2

0

2

4

6

8

10

12

90 95 00 05 10 15

CPI inflation, yoy%

Shelter (~33% wgt) Medical Care services (~7% Wgt)

Tuition (~3% wgt) Core Commodities (~20% wgt)

Source: BLS, Haver Analytics

Source: Bloomberg

1.0

1.5

2.0

2.5

3.0

3.5

4.0

05 08 11 14 17

%

5y5y inflation exp, SPF survey 5y5y Breakevens

3y ahead exp inflation, NY Fed
Overall CPI basket is not a good hedge for investors 

exposed to specific inflation risks

529 plan assets have grown at 12% CAGR

Recommendation

Consider issuing TIPS linked to healthcare and education CPI

Potential new sources of demand

Healthcare-linked TIPS

• Target date retirement funds (TDFs) would find these attractive

• TDFs are currently expected to hold $75-$200bn in TIPS in 10y1

• A 2% higher allocation to healthcare TIPS due to better product 

‘fit’ would result in $80-$120bn in incremental demand over 10y

• Current Treasuries do not adequately hedge healthcare costs for 

corporate/state & local healthcare plans

• Of the $55bn in HSA assets, only ~20% are invested (rest is in 

cash). HSA assets have grown at 25% CAGR over the last 10y 

• If 10% of invested assets in HSAs are allocated to healthcare 

TIPS, demand would be ~$10-15bn over 10y2. These is before 

considering institutional allocation

Education-linked TIPS

• State 529 plans and households looking to hedge tuition inflation 

might find education-linked TIPS attractive

• Assets in 529 savings plans and prepaid tuitions plans are~$320bn 

with CAGR of 12% over the past 10y

• For a current 10y old beneficiary, the moderate risk glide path 

allocates 0% to TIPS even while advocating 75% to US bonds

• A 5-10% allocation to ‘education TIPS’ due to better product fit 

would be $40-$80bn in additional demand over the next 10y3

• Combined, we estimate that these sources could result in incremental 

demand of $130-$215bn over the next 10y

1. Assuming 1.5-3% TIPS allocation and CAGR of TDF assets of 15-20%

2. Assuming 20% CAGR in HSA assets and 25% in invested assets

3. Assuming 10% CAGR

10

Potential new product: CPI subcomponent linked TIPS issuance

Source: College Savings Plans Network 

Source: Haver Analytics

0

50

100

150

200

250

300

350

2008200920102011201220132014201520162017

mid-...

$bn

$100

$200

$300

$400

$500

90 95 00 05 10 15

$100 growing at respective rates of 

inflation 

Core CPI-U Medical care services

Tuition, school fees and childcare
Recommendation

Explore further 3y and 5y FRN maturities

• FRNs are currently ~2.5% of outstanding marketable debt

• The Treasury’s current 2y FRN program has been successful

• Evident in increasing domestic fund participation at 

auctions

Potential new sources of demand

• Investors not subject to 2a-7 rule or stringent WAM 

constraints may find longer tenor FRNs attractive

• Banks: Banks could purchase intermediate term FRNs 

to offset deposit financing cost

• State and local governments: Commonly invest in 

Treasuries, Agencies and money markets

• GSEs: Could deploy excess cash in longer term floaters 

instead of fed funds rate

• Corporate Cash: FRNs a more attractive investment 

than bills for investing cash with no near term 

deployment needs

• Foreign official investors: FRNs likely to be a suitable 

reserve management tool

• With this diversified demand base, a program half in size of 

the current 2y FRNs, growing at the rate of nominal GDP of 

4% (for context, marketable Treasury debt grew 7.9% yoy), 

would cumulate to ~$1.4trn over 10y in gross issuance

11

Potential new product: Longer tenor FRNs

Source: US Treasury, Haver Analytics

0%

5%

10%

15%

20%

25%

30%

35%

40%

14 15 16 17 18

Foreign allocation, %, 3mma Domestic fund allocation, %, 3mma

Domestic fund investor participation at 2y FRN auctions has 

increased

US Treasury leads peers in FRN issuance

7.0%

2.7%

1.8%

1.3%

0.0% 0.0% 0.0% 0.0%

0%

1%

2%

3%

4%

5%

6%

7%

8%

Israel US Germany Belgium Spain Australia Canada UK

FRNs, % of outstanding

Source: BIS
T-bill rate is less volatile than SOFR or repo rate 

12

Potential new product: SOFR linked FRNs

Recommendation

We recommend exploring further SOFR-linked FRN issuance as a 

product extension option for current FRNs 

Benefits

• SOFR linked issuance might make these issuances more attractive to 

investors unwilling or unable to hedge SOFR-T-bill basis risk

• Debt linked to non-T-bill benchmark might diversify exposure for the 

Treasury

• A early launch of SOFR linked FRNs would augment the reference 

rate transition to SOFR

Costs

• SOFR/GC rate is more volatile than bills rate that might result in 

higher debt service volatility

• SOFR rate is subject to quarter/year end bank balance sheet 

pressures. While term markets on SOFR might mitigate this 

volatility, term markets are in early stages of development1. 

• ARRC’s report in Mar 2018 states that “Treasury rates are not well 

correlated with measures of either private-sector financial or 

nonfinancial corporate borrowing costs” 

• This wedge might result in a spread between T-bills and GC rates 

during extreme events with both rates declining unevenly

1 ARRC has proposed development of term reference rate based on SOFR derivatives by end of 

2021

Source: Bloomberg 

0

1

2

3

4

5

6

Nov-15 May-16 Nov-16 May-17 Nov-17 May-18 Nov-18

%

DTCC GCF repo rate 12m bill rate SOFR Rate

Treasury rates are not always well correlated with 

non-financial borrowing costs

Source: Bloomberg 

-1

0

1

2

3

4

5

6

7

01 03 05 07 09 11 13 15 17 19

%

3m non-financial AA CP 3m T-bill
13

Potential new product: 15-20y issuance

Recommendation

Consider issuing 15-20y securities to benefit from demand 

in the sector

Benefits

• The issuance gap between 2031 and 2036 securities has 

resulted in securities between 10y maturity and Feb36s 

to trade somewhat dislocated (rich). 

• SOMA holds roughly ~50% of these securities, further 

reducing float

• Popularity of US contract highlights enough investor 

demand at the 15-20y sector to make the new issuance 

benefit from liquidity premium. 

• The issue might benefit from being the benchmark for 

20y corporate issuance

• Previous TBAC presentation (Q2 2017) noted - “A 

reintroduction of the 20 year will have the broadest 

demand, highest certainty of initial pricing, and 

quickest market acceptance”

• Applying 10y Treasuries annual issuance/TY contract 

open interest ratio to the US contract suggests a primafacie issuance program of ~$60-$70bn a year in the 15-

20y sector. 

Costs

• Higher funding cost than short-term debt

• WAM extension

• Potential cannibalization of 10y and 30y issuances

-10

-5

0

5

10

15

20

24 26 28 30 32 34 36 38 40 42 44 46 48

ASW spread, bp

Maturity Date

Treasuries are 

cheaper

Richer due to 

liquidity premium

Gap securities trade rich

Source: Barclays

SOMA holdings of gap securities have further reduced float

Source: Bloomberg

24%

46%

56%

51%

19%

45%

70% 70% 70% 70%

0%

10%

20%

30%

40%

50%

60%

70%

80%

Nov28 Feb29 Aug29 May30 Feb31 Feb36 Feb37 May37 Feb38 May38

SOMA holdings, % of outstanding
Federal spending on water and transportation infrastructure is 

~$100bn/year

OECD issuance of government bonds with maturities of longer 

than 30 years

Recommendation

Consider perpetual horizon issuance in ‘regular and predictable’ 

framework

• Sovereign ultra-long end issuance has been opportunistic

• There is opportunity to view perpetual issuance in the context 

of federal infrastructure spending (asset-liability framework)

• Even though main infrastructure spending is ‘owned’ at state 

& local level, it imposes a federal cost

• Federal spending on capital, operation and maintenance of 

water and transportation infrastructure is ~$100bn/year

• STRIPS universe has grown ~$25bn a year over the 

past 3 years. This demand suggests ~20-25% of this 

spending can be supported via this program.

• In 30y equivalent terms, it would be 15-20% of current 

30y issuance

Benefits

• 14 OECD countries have issued ultra-long bonds with 40-100y 

maturities. Austria, Belgium and Ireland have issued 100y 

bonds in the past 2 years

• Help toward a smoother refinancing schedule

Cost

• Higher cost of such issuance than shorter maturity debt

14

Potential new product: Perpetual horizon debt

Source: CBO

Note: For OECD countries, volume based on issuance amounts using flexible 

exchange rates. Source: OECD
15

Potential new product: Zero coupon issuance

Life insurance and pension (S/L and private) have been 

increasing their UST holdings Recommendation

Consider issuing zero-coupon bonds

• There is a marked pickup in demand from long-end investors

• Treasury holdings of life insurance and pension funds have 

kept pace with the rapid increase in issuance

• Recent increase in holdings of bonds held in stripped form 

suggests robust demand

• Currently, balance sheet constraints add to the cost of 

funding of creating STRIPS

• Coupon STRIPS trade at a significant discount to principal 

STRIPS which are non-fungible

Benefits

• Attractive to cash constrained investors, such as underfunded 

pension funds

• They would prefer zero-coupon debt to extend duration 

for a low cash outflow

• Mitigate balance sheet constraints of stripping whole bonds

• The ~$80bn increase over the past 3y in securities held is 

stripped form is indicative of demand for zero-coupon 

product from private investors

Costs

• Tax issues and accounting issues need to be studied

Source: Federal Reserve, Haver Analytics

Amount of bonds held in stripped form has increased 

dramatically over the last year or so

Source: US Treasury

-60

-40

-20

0

20

40

60

80

100

120

90 95 00 05 10 15

$bn

Life insurance and pension (S&L and Private)

4Q flows
Potential new processes
17

Potential new process: Make P STRIPS fungible with C STRIPS

Recommendation

Consider making matched maturity C and P STRIPS fungible

• Balance sheet constraints add to the cost of creating STRIPS

• Coupon STRIPS trade at a significant discount to Principal 

STRIPS

• This discount is reflective of balance sheet constraints as 

was evident in the widening during 2015/16 period

• Fungibility would reduce the balance sheet cost of 

stripping whole bonds 

Benefits

• Fungibility would alleviate market distortion due to bank 

balance sheet constraints that allows different prices for 

securities with the same cash flow

• It would allow STRIPS investors access to a more liquid ultralong duration instrument

• It would also possibly help in reducing long end whole bond 

relative value dislocations

Costs

• Legal, tax, and accounting hurdles need to be studied further

Source: Barclays

Yield difference between matched maturity C and P STRIPS

C STRIPS tend to cheapen vs P STRIPS during times of 

higher bank balance sheet constraints

Source: Barclays

0

5

10

15

20

21 26 31 36 41 46

bp

Maturity Date

C STRIPS yield - P STRIPS yield

0

5

10

15

20

25

30

35

10 11 12 13 14 15 16 17 18 19

bp

Feb31 Feb36 Feb38

C STRIPS yield minus P STRIPS yield
0

50

100

150

200

250

Jan-19 Jan-22 Jan-25 Jan-28 Jan-31 Jan-34 Jan-37 Jan-40 Jan-43 Jan-46

Maturing amount per month, nominals, $bn

18

Potential new process: Reopening operations

Scarce securities (on-the-run and CTDs) can trade significantly 

rich in the repo market

Source: Morgan Stanley

Source: US Treasury

Recommendation

Explore reopening scarce issues to support secondary 

market trading of these securities

• The maturity profile of the US debt is not smooth, 

with “peaks” and “gaps”

• These “gap” securities tend to trade significantly 

rich on the curve

• In addition, securities with a ‘scarcity’ premium can 

trade significantly special in the repo market ahead 

of the next auction settlement

• While data shown in chart is for 1m tenor repo, 

repo rates till next auction settle date show 

even larger dislocations

• Unlike securities issued during the QE program, new 

issuances may have limited availability in the Fed’s 

securities lending program

Benefits

• Reopening scarce securities would improve the 

secondary market trading profile of these securities

• The Treasury alleviated severe strain in several 

issues due to supply shortage in 2008

Costs

• Deviation from the ‘regular and predictable’ 

framework

Buybacks and re-openings can smooth out maturity profile

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

14 15 16 17 18 19

%

OTR2y OTR5y OTR10y

1m repo
19

Potential new process: Buyback operations

Spread to spline (bp) for Treasuries in the 1-10y sector in Jan 2009

Source: Barclays

Recommendation

Consider buybacks as a tool to reduce the cost of issuing 

debt

• Treasury securities can deviate from “fair value” during 

heightened volatility

• Issues with low amount outstanding tend to trade 

rich on the curve

• Issues with low liquidity tends to trade cheap on the 

curve

• Dislocations get amplified during periods of 

heightened volatility and flight to quality

• The magnitude of these dislocations can be 

measured in 10s of basis points

Benefits

• Buying back (reopening) issues which trade persistently 

cheap (rich) on the curve would reduce the cost of 

issuing debt

Costs

• Ex-post savings are likely to be less as investors will 

anticipate the Treasury’s actions. A formulaic approach is 

unlikely to generate long-term benefits to the Treasury

Spread to spline (bp) for Treasuries in the 1-10y sector in Jan 2016
20

Potential new process: Syndication

Recommendation

Consider setting up a robust and competitive syndication process

• Several of our key recommendations involve tapping specific 

investors

• These investors may not always be traditional auction process 

participants

Benefits

• Targeted new issuances might establish themselves easier via a 

syndication process

• Provide a clearer gauge of potential demand through primary 

dealer’s order book, particularly for instruments where pricing 

benchmarks are not available

• Efficient tool to ensure firm prices in the secondary market

• Once established, thematic issuances can subsequently be 

moved to the regular auction process

• Syndications can also be complemented with re-openings 

through auctions

• Several other sovereign debt managers have successfully 

deployed syndication as a means of issuance, particularly for nontraditional securities such as ultra-long-bonds

• The Treasury’s current issuance programs are well established and 

its position as a large sovereign issuer is unique 

• For the new programs that we recommend exploring, a 

program-wise analysis of syndication is recommended

Source: OECD (2010)

Auction and syndication across OECD countries
21

Debt management practices in other countries

General 

Gov debt 

/GDP*, %

General Gov

debt securities, 

$bn

Debt management practices

France 85 2,309 Increased flexibility for better matching demand. On several occasions off-the-run bonds were issued since the 2nd 

half of 2007

Italy 113 2,296 More flexible procedures. The range of offered amounts for on-the-run bonds increased. The range of the maturity of 

bonds sold to PDs at non-competitive prices are also extended. Introduction of re- openings of old bonds

United 

Kingdom 75 2,062 Mini tenders are introduced as a more flexible supplementary distribution method alongside with the core auctions program

Germany 46 1,773 Tap for long term debt. More frequent auctions

Canada 73 1,226 Re-introduction of 3-year maturity. Introduction of switches. Additional benchmarks for 2-year and 5- year sectors

Belgium 87 450 Tap for long term debt. Increased issuance volumes

Australia 29 388 More flexible auction calendars

Mexico 31 351 Tap issues on both short and long term bonds

Austria 64 282 More emphasis on investor relations

Turkey 28 206 'Revenue indexed bonds'' are introduced in order to broaden the investor base

Ireland 46 167 Syndication has been added as funding tool. Auctions also in use for short term debt

Finland 47 125 Diversification of funding sources. More emphasis on investor relations. More coordination with PD's. Higher 

syndication fees. Active use of demand-supply windows.

Denmark 27 92 Use of private placement in foreign markets in 2008. T-bill program terminated in 2008. Greater use of auctions 

instead of tap sales

New 

Zealand 39 77 Introduction of new long term bond. Tap issues for short term debt. Monitoring foreign markets for finding attractive foreign borrowing opportunities. Introduction of a new facility of ''reverse tap tender''

Norway 16 67 Instead of both auction types, only single price auctions are now being used

Slovak 

Republic 46 47 Contemplation of following (future) operations: (a) Direct selling and buy backs in secondary market; (b) Underwriting auctions (single price based on price discovery via syndication); (c) buy backs and exchange auctions

Iceland 25 6 Single price auctions (for long term bonds) are used together with multiple price auctions

* Nominal value of general government debt securities, as % of GDP, as calculated by World Bank 

Source: World Bank (as of Q3 2018 or latest available), OECD, Macrobond
Potential new process: Other process improvements considered

22

Process 

improvements Comments

Multiple price 

auctions 

• Evidence that participants bid less aggressively in multiple-price auctions due to “winners curse”

• After experimenting with multiple-price auctions in early 1990s, the Treasury adopted the single-price format for all 

auctions by 1998

• We do not see value in reverting to multiple-price auctions

• Possibility of cost-reduction via multi-price auctions does not out-weigh potential concerns around “squeeze”

Reverse inquiry 

• Opportunistic and does not conform to ‘regular and predictable’ framework

• Might result in market fragmentation with several small cusips

• May impact demand at current auctions

Tap/mini-tender

• As discussed previously, we believe taps and mini-tenders are tools that can be judiciously deployed in times of 

stress or systemic failure

• Optimal communication strategy would be necessary as ex-post savings are likely to be less as investors will 

anticipate the Treasury’s actions

Greenshoe option • This tool would increase uncertainty over Treasury cash flows and potentially complicate debt management around 

debt-ceiling constraints

Reserve price 

auctions

• Given diversified investor base with similar information set and with bid-cover ratio in excess of 2x, reserve price 

auctions are unlikely to offer additional benefits over uniform price auctions in terms of revenue maximization

• Reserve price auctions might entail cash flow uncertainty without a corresponding offset in terms of better 

outcomes

Multiple window 

auctions

• Complex strategy with uncertain benefits. Potentially inconsistent with ‘regular and predictable’ framework and 

requires extensive study of (inflexible) demand windows from numerous buyer bases
TBAC Charge

1

The when-issued (WI) market plays an important role in price formaadvance of Treasury auctions. We would like the Committee to provoverview of the WI market including liquidity, trading venues, clearinsettling, major participants, linkages to the cash and futures marketsof market conditions, and counterparty risks. What, if any, changes considered to improve the WI market?
Background on the when-issued market

2

● Pre-auction trading of US Treasury notes and bonds has been permitted since August 198

allowed from Feb 1975 to July 1977. Pre-auction trading in the bill market occurred prior to 

● Many other countries allow when-issued trading in their government bond market, including

UK, Germany, Italy, France, Switzerland, and New Zealand. The most recent addition to thJapan (since 2004).

● There have been a few academic studies dealing with the WI market, most of which appea

focused on the “auction mark-up” (defined as the difference between the when-issued bid rbefore the auction and the auction average rate). Examples include: “Markups, quantity ribidding strategies at Treasury coupon auctions” by D Simon, JFE (1994) and “The Treasurand the When-Issued Market: Some Evidence” by Bikhchandani, Edsparr, and Huang (200“When-Issued Markets and Treasury Auctions” by Coutinho (2013). Also, the WI market hastudied as part of an analysis of auction structure in papers such as “Discriminatory versus Treasury auctions: Evidence from when-issued transactions” by Nyborg and Sundaresan, JIn general, a lack of data availability seems to have been an impediment to research on the 
WI market mechanics: Main players

3

Asset Managers

• Use to secure levels and allocations prior 

to the auction.

• Use to better match their month-end index 

duration requirements prior to settlement for the month-end auction cycle.

Dealers

• Facilitate customer trading.• Expected to make markets in a

auctions at reasonably compet

• Use to find fair clearing level fo

auction.

• Facilitate price discovery of imp

balance sheet costs and repo.

Levered Funds

• Use to express view on duration.• Use to express view on the roll

1

.

- Volatility- Spot and future funding- Credit conditions

• Access leverage in Treasury market.

Banks, ALM, Foreign 

• Do not typically participate in a 

fashion in the WI market

• Foreign accounts typically bid a

1: Michael Fleming and Weiling Liu (2016) “Intraday Pricing and Liquidity Effects of U.S Treasury Auctions”. Federal Reserve Bank of New York, Working P2: New York Fed, Expectations & Requirements for Primary Dealers. https://www.newyorkfed.org/markets/primarydealers
WI market mechanics: Treasury auction schedule

4

● Bills

– 1m and 2m bills are announced on Tuesday, auctioned on Thursday, settled on Tuesday– Other bills are announced on Thursday, auctioned on Monday, settled on Thursday– Length of WI Period: ~5 trading days

● Coupons

– Week 1 (generally, Thursday): Issues are announced. WI trading begins.– Week 2: Auctions are held.– Week 3: Settlement of auctions and WI trades. 

● Guiding principles in establishing the specific announcement and auction dates for coupon

– Work backwards from the settlement date. – Leave at least one open day between auction and settlement.– To the extent possible, hold auctions on Tuesday, Wednesday or Thursday in order to ga

maximum participation.

● Length of WI Period: Typically between 5 to 10 trading days
The benefits of when-issued trading prior to the auctio

5

● WI period adds price discovery and reduces uncertainty around upcoming Treasury auction

– Improved price discovery creates a more competitive and transparent auctions, reducing 

costs.

● Provides the market’s fair clearing level for new 

issues.

– Allows the Treasury futures market to determine 

the likelihood of new note becoming the CTD prior to the auction.

– The residual in the roll, or the excess spread 

beyond what’s implied by repo and the yield curve, is often described by market participants as the ‘current issue premium.’ This premium typically reflects participants’ outlook on balancesheet costs, expected auction performance, the prospects for volatility, futures deliverability, etc.

● The marketplace has more tim

prepare for issuance with minimdisruptions.

Improve price Reduce uncertainty

discovery
Prior TBAC recommendations

6

● There have been several occasions during the past few decades in which TBAC has weigh

related to WI trading. 

● These discussions involved: 1) WI trading in the TIPS market, 2) a reset of the weekly bill 

3) a proposed shortening of the WI period for 2 year notes and 4) the possibility of a shorteissues. 

● A summary of these discussions based on the information contained in TBAC’s “Report to t

appears in the Appendix to this presentation. All of these discussions occurred between 19

● Since 2002, the only TBAC discussions related to WI trading involved the treatment of such 

35% Rule. There were several meetings during the early and mid-2000’s timeframe at whi

discussed.

● In general, TBAC has tended to favor as short a WI period as possible. The only exception 

introduction of TIPS. During a discussion at the November 1996 meeting, there appeared 

members with some expressing a view that this new type of security warranted a longer Wothers felt that there would be limited activity in the WI market regardless of the duration of 
What has changed as we re-examine the WI market?

7

● A couple of decades ago, Treasury transitioned from multi-price to single-price auctions. Does the type of 

vs multi-price) have an impact on the when-issued market? Academic research on this question is mixed

– Chari and Weber

1 argue that the incentives to collect information are larger with multi-price auctions tha

price auctions and thus WI activity should be greater in multi-price auctions

– Nyborg and Sunaresan2 using broker data for a relatively brief sample period during the early-1990’s, w

single- and multi-price Treasury auctions were conducted, find much larger WI trading volume in single-

They theorize that the elimination of the so-called winner’s curse in single-price auctions increases the 

bidders to go short in the WI market ahead of the auction.

– Fleming and Liu

3 found that there was no significant difference in intraday price effects between single-

price auctions. 

● A lack of available data makes it difficult to gauge the amount of activity in the WI market today. Based on 

large bond broker, Fabozzi and Fleming

4 find that WI activity once accounted for 6% of dealer-to-dealer T

trading volume. Data recently obtained from a couple of large primary dealers suggest that pre-auction Wtoday probably accounts for closer to 1-2% of overall Treasury market volume

5

. 

● In our view, the decline in the relative share of WI activity in the Treasury market likely reflects the followin

– Lower vol has reduced the need for price discovery– Offering sizes have been increasing leading to enhanced market liquidity– More frequent Treasury auctions: more consistency in OFR pricing– Dealer takedown in auctions has declined

1: V.V. Chari and Robert J Weber (1992) “How Should the U.S.Treasury Auction Its Debt” FRB Minneapolis Quarterly Review.

2: Kjell G. Nyborg and Suresh Sundaresan (1996) “Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions” Journal of Financial Economics.3: Fabozzi & Fleming, “U.S. Treasury Securities” in The Handbook of Fixed Income Securities. In both the 2004 and 2011 editions.

4: Michael Fleming and Weiling Liu (2016) “Intraday PricAuctions”. Federal Reserve Bank of New York, Working 5: WI % based on firm-only data in the period of Oct-Nov market convention of WI (up to auction date only).
What has changed: Lower vol

8
What has changed: Offering sizes have been increas

9
What has changed: Issuance pace and pre-auction pr

10

● Since Treasury began increasing the frequency of benchmark issuance beginning in 2003, 

uncertainty has become less of a risk in price discovery for WI Treasuries. 

● On the other hand, an increasingly crowded Treasury issuance calendar is leading to a hig

of Treasury auctions that occur in close proximity to important market events, which raises market participants. 

● As such, there are some auctions when market participants only choose a narrow window 

their bids for the WI despite having some days to do so before the auction. For example, at January 10, 2019 Fed Chairman Jerome Powell began a speech at the Economic Club of This speech occurred just 15 minutes before the 1pm auction of $16bn re-opened 30-year auction came at 3.035% or 0.9bp above the 1pm level in the secondary market– despite thcheapening into the bidder deadline. 

Off-the-run fitted error to the Treasury spline 

has fallen over the past few years

Source: Bloomberg

0123456

Jun-09 Jun-11 Jun-13 Jun-15 

Error to fitted Treasury cur
What has changed: Dealer’s share in auctions has de

11
Deep dive: Non-margined exposure

12

● When-issued securities begin trading after the auction announcements. After the auction th

generally consider to be the ‘current’ on the run security in the secondary market. 

● Based on auctions from 2010 to 2018:

– There are typically three to six business days between the announcement date and the a– There are typically two to five business days between the auction date and the issue dat

● On a notional weighted average basis there are 3.6 business days between announcemen

date. Coincidently there are also 3.6 business days between auctions and settlement on a weighted average basis. 

– The front-end of the curve tends to have larger notional positions– The front-end tends to auction earlier in the cycle (i.e. 2y/3y)

● On a notional weighted basis the period of time in question, for margining purposes, appea

Security

Days between 

announcement to auction

Days between auction to 

settlement

2-Year 2.8 4.13-Year 3.1 4.35-Year 3.6 3.47-Year 4.6 2.4

10-Year 4.9 3.730-Year 5.9 2.7

Notional weighted 

average

3.6 3.6

Source: Treasury, Anonymous primary dealer calculations 
Deep dive: Non-margined exposure

13

● In November 2012, the TMPG issued a recommendation that forward-settling agency MBS 

be margined in order to prudently manage counterparty exposures

1

. 

● To help both parties mitigate counterparty risk owing to market value changes – and to red

systemic risk – the TMPG recommended that two-way variation margin should be exchangregular basis. Written master agreements should describe the parties’ agreement on all aspmargining regime, including collateral eligibility, timing and frequency of margin calls and exthresholds, valuation of exposures and collateral, and liquidation.

● FINRA has proposed a revision to rule 4210 to include covered agency transactions with so

from TMPG best practices

2

.

● Implementation of the margining requirement has evolved slowly in recent years. It is estim

80% of the TBA market is covered at present.

● Margining of agency MBS has served to reduce counterparty risk for market participants. ● However, there have also been challenges:

– Increased capital– Operational risk– Real money investors– Uniformity of take-up

1: TMPG “Best Practices for Treasury, Agency Debt, and Agency Mortgage-Backed Securities Markets”, https://www.newyorkfed.org/tmpg

2: FINRA “Regulatory Notice 16-31”, https://www.finra.org/sites/default/files/notice_doc_file_ref/Regulatory-Notice-16-31.pdf

Using MBS as a case study
Deep dive: Non-margined exposure

14

● TBA contracts start trading more than two months ahead of the settlement date, although t

really picks up in the last 30 days when the contract is the closest-to-settle.

● The longer horizon to settlement date corresponds with a greater range of price movement 

contract.

● Taking FN 4.0s as an example, the 2017-18 average price range from 30 days before settle 

settle date was almost 1%. In contrast, this price range was only 0.3% on average for the lbefore settlement.

0.00%0.20%0.40%0.60%0.80%1.00%

30 25 20 15 

Average range (% of price)

Days before notif

Average price range for FN 4.0s 

Source: TRACE, Anonymous primary dealer calculations 

The TBA market is a larger market than the Treasury WI marke
Deep dive: Non-margined exposure

15

● We think the need for WI margining is low given the lower volumes in the WI market compa

overall Treasury market or compared to the MBS market, which margins TBAs. 

● We estimate when-issued volume is only about 1-2% of overall daily Treasury volume

1 (see 

SIFMA reports that average nominal daily trading volume for 2018 was $412bn. This would issued volume is approximately $5bn to $10bn per day. 

● Using these assumptions:

– ~$15bn to $30bn of WI trading volume between announcement to auction and between a

settlement date.

Source: SIFMA, Anonymous primary dealerNote

1: WI % based on firm-only data in the period of Oct-Nov 2018, excluding Bills, TIPS and STRIPS. Uses market convention of WI (up to auction date o

Note

2: TBA volume represents the 30 day period prior to when the contract is closest to deliver. Price change over settlement days, calculated over 2018.

Note

3: Treasury price changes based on realized daily changes in 2018. For WI we use UST data but extend the changes to 3.6 business days.

● TBA volumes greatly eclipse WI volumes, with 

daily trading volume of regular TBAs ranging between $40bn to $60bn per day

2. TBAs also 

trade for a significantly longer period of time, with most volume traded over a 30 day window. 

● Over a 30 day period there me may be roughly 

$1.2tn to $1.8tn of traded notional in TBAs. This is significantly more than WI trading. 

0

50

100150200250300350400450

Treasuries When-issued 

Avg daily vo

~ 1-2% of 

UST 

volume

avg days to 

settlement 1 3.6 

Avg price chg % 0.18 0.35 

WI exposure appears small when compared to TBAs
Deep dive: Potential challenges and benefits of a shortene

16

● A benefit from a shorter WI period would be reduced systemic counterparty risk.● A challenge would be a negative impact to price discovery

– At times, a newly auctioned note enters the delivery basket of a Treasury futures contrac

becomes the new CTD. The coupon of the new note, which is only known after the a

typically determines whether the new note will be CTD, with an effect on Treasury fut

– This has recently been seen with TY futures during the roll period where the newly issue

become the CTD of the back-month contract. The 7y auction tends to fall close to the enfutures roll cycle so the coupon level is not known with certainty during the entire roll perexample, the WI market provides clear information on where the fair yield trades on note which drives coupon estimates. 

– Therefore a shortened WI trading period may negatively impact information used b

Treasury futures market. This could be mitigated using nearby issues on the Treasury ccombined with an estimate for the richness/cheapness of the new issue. 

● Typically WI trading volume is significantly lower for regularly scheduled re-opening vs. new 

the only difference is the settlement date. We estimate that the volume is just 5-10% of typ

WI volumes

1

. 

● Therefore we would expect little benefit or challenge to re-opening auctions should the WI 

be shortened.

Impact from shortening WI for re-opening auctionsImpact from shortening WI for new-issues

1. Anonymous primary dealer. WI % based on firm-only data in the period of Oct-Nov 2018, excluding Bills, TIPS and STRIPS. Uses market convention of 
Market perception

Trace categorization When Issued 

Market perception When Issued Trace categorization

When Issued OTR

When Issued

Deep dive: TRACE analysis

17

● FINRA FAQ 3.5.28 states the following with regard to WIs● Certain aspects may present challenges in reviewing overall WI TRACE data

• Per FINRA, the WI flag should be added up to, but not including, issue date (i.e. settle

however many market participants view a WI only up to (and including) auction date.

• The flexibility in WI classification of re-openings means that different firms may report 

leading to inconsistent data. 

FINRA generally requires transactions in a U.S. Treasury Security that is subject of an auction to 

reported with the When Issued (WI) indicator up until, but not including, issue date. 

FINRA recognizes that Treasury reopenings are unique given the fungibility of the WI and non-W

security, and that many firms’ systems do not distinguish between WI and non-WI after the auctio

Accordingly, FINRA will not require firms to append the WI indicator on transactions in a reopene

CUSIP executed after an auction but prior to issue date

New Issues Re-openi

Announcement Auction

Settlement 

(issue) Announcement Au
Conclusions and recommendations for further study

18

● Data Availability: Improve access to trading activity data for the WI market using TRACE. 

reporting for re-openings under TRACE.

● Margining: Risk exposure for WI trading appears to be quite a bit less than for mortgage 

decision on whether to impose margining requirements on WI trades should weigh the poon Treasury auction participation against the degree of risk reduction and the consistency requirements across products. 

● WI Calendar: Current system seems to work reasonably well. There are limited alternativ

shorten the WI period without negatively impacting the auction calendar as a whole.

● WI for reopened issues: Treasury has gradually moved toward more frequent reopenings 

The benefit of WI trading for reopenings is unclear (since there is no price discovery). Trewant to consider shortening the WI period for reopenings.
19

ANNOUNCEMENT AUCTION SETTLEMENT OFFERED MATURING 

ISSUE DATE DATE DATE AMOUNT AMOUNT 

COUPONS

CHANGE

2-year note 12/21 12/26 1/2 26.00 0.005-year note 12/21 12/27 1/2 34.00 0.007-year note 12/21 12/28 1/2 28.00 0.00 73.95 

3-year Note 1/4 1/9 1/16 24.00 0.0010-year Note (r) 1/4 1/10 1/16 20.00 0.0030-year Bond (r) 1/4 1/11 1/16 12.00 0.00 40.10 10-year TIPS 1/11 1/18 1/31 13.00 0.002-year note 1/18 1/23 1/31 26.00 0.002-year FRN 1/18 1/24 1/31 15.00 0.005-year note 1/18 1/24 1/31 34.00 0.007-year note 1/18 1/25 1/31 28.00 0.00 104.46 3-year Note 2/7 2/6 2/15 26.00 2.0010-year Note 2/7 2/7 2/15 24.00 1.0030-year Bond 2/7 2/8 2/15 16.00 1.00 46.64 2-year FRN (r) 2/15 2/21 2/23 14.00 2.00 0.00 30-year TIPS 2/15 2/21 2/28 7.00 0.002-year note 2/15 2/20 2/28 28.00 2.005-year note 2/15 2/21 2/28 35.00 1.007-year note 2/15 2/22 2/28 29.00 1.00 68.24 3-year Note 3/8 3/12 3/15 28.00 2.0010-year Note (r) 3/8 3/12 3/15 21.00 1.0030-year Bond (r) 3/8 3/13 3/15 13.00 1.00 24.00 10-year TIPS (r) 3/15 3/22 3/29 11.00 0.00 0.00 

512.00 357.40 

R = Reopening

US TREASURY FINANCING SCHEDULE FOR 1st QUARTER 2018

Bill $

Appendix: Sample Treasury auction calendar
Appendix: Summary of previous TBAC recommendat

20

● November 1996: There were mixed views on the length of the when-issued trading period [for TIPS]. Som

that a longer-than-normal pre-auction trading period would facilitate price discovery and contribute to impr

auction distribution. Other members felt that, because this is an initial offering of an untested security, manwould prefer to wait until the price was determined in the auction before trading actively in the securities. T

preferred a somewhat longer trading period between the auction and settlement dates.

● August 1998: ..it was noted that the typical existing WI periods for weekly [bill] offerings was seven wee

the monthly 52-week bill offering, it was nine weekdays. Both periods were felt to be somewhat longer thafor distribution and price discovery and it was noted that a somewhat shorter period would provide the Tretime and additional information on short-term cash flows to fine tune the size of these offerings. Based on considerations, it was felt that the market could easily adjust to a standard, shorter cycle with all bill annouThursday, with weekly 13-week and 26-week bill auctions remaining on Monday, with the monthly 52-weemoving to Tuesday, and with all bill auctions settling on the Thursday immediately following auction days. effect of this would be to shorten and standardize the Wl periods for all regular bill offerings.

● May 1999: ...it was noted that the Committee had recently recommended, and the Treasury had decided 

shortening of the when-issued period for regular Treasury bill offerings. In evaluating this possibility for 2-ywas recognition that there was no precise way to determine the optimal length of when-issued periods. Mo

probably feasible to shorten those periods slightly, without adversely impacting pre-auction price discovery or post auction re-distribution and settlement preparation. When considering instead whether this might be 

desirable, there was concern among members of the Committee that the message implicit in shortening ththe higher likelihood that there would be short term variability in the size of these coupon offerings, to fine relative to recent cash flows. This was viewed as somewhat at odds with other efforts to preserve predictaregularity in the regular coupon offering cycle. For this reason, the Committee was not inclined to recomm

● August 2002: A reduction in time between the announcement and the settlement of securities was also d

Committee. This is a topic the Committee has been in favor of in the past, as it reduces systemic counterresult of a narrower time frame for the underwriting and auction processes. It was suggested that the amoissued trading volume (ex-rolls) has been contracting consistently over the past several quarters, making relevant. As a result a shorter period could be considered. With treasury bills, the time period between annauction has successfully been shortened, and the Committee felt the announcement to auction period for be shortened as well. The result would reduce systemic risk without sacrificing adequate underwriting opp