Office of Debt Manageme

Fiscal Year 2012 Q4 Report
Table of Contents

I. Fiscal

A. Quarterly Tax Receipts pB Monthly Receipt Levels B. Monthly Receipt Levels

p

C. Ten Largest Outlays pD. Treasury Net Nonmarketable Borrowing pE. Cumulative Budget Deficits pF. Deficit and Borrowing Estimates pG. Budg p/ et Surplus/Deficit

p

II. Financing

A. Sources of Financing pB. OMB's Projections of Borrowing from the Public pC. Interest Rate Assumptions pD. Net Marketable Borrowing On "Auto Pilot " Versus Deficit Forecasts p

III. Porfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections pB Recent and Future Portfolio Composition B. Recent and Future Portfolio Composition

p

C. Recent and Future Maturity Profile p

IV. Demand

A. Summary Statistics pB. Bid-to-Cover Ratios pC. Investor Class Auction Awards pD. Foreign Awards at Auction pE. Primary Dealer Awards at Auction p
Section I:

Fiscal
Quarterly Tax Receipts

50%75%25%

ar % Change

0%

Year over Ye

-50%-25%

Sep-02

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sept. 2002 year over year % change data point excluded from corporate taxes due to 9-11 impacts on data.

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)
Monthly Receipt Levels

(12-Month Moving Average)

100 120 

( g g)

80 40 60 

$ bn

20 

-

Sep-02

Dec-02

Mar-03

Jun-03

Sep-03

Dec-03

Mar-04

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

D11

Individual Income Taxes include withheld and non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF deposits, 

RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts.

Individual Income Taxes Corporation Income Taxes Social Insurance Taxes Other
Ten Largest Outlays

800 900 

1,000 

500 600 700 

$ bn

200 300 400 

-

100 

200 

HS

SA

nsery ure

or VAonMon

HHSS

Defen

Treasur

Agricultu

LabV

Transportatio

OPM

Educatio

FY2011 FY2012
Treasury Net Nonmarketable Borrowing

203010

-10

0 $ bn

-20-30

Q4-02

Q1-03

Q2-03

Q3-03

Q4-03

Q1-04

Q2-04

Q3-04

Q4-04

Q1-05

Q2-05

Q3-05

Q4-05

Q1-06

Q2-06

Q3-06

Q4-06

Q1-07

Q2-07

Q3-07

Q4-07

Q1-08

Q2-08

Q3-08

Q4-08

Q1-09

Q2-09

Q3-09

Q4-09

Q1-10

Q2-10

Q3-10

Q4-10

Q1-11

Q2-11

Q3-11

Fi l Q tFiscal Quarter

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
1,400

Cumulative Budget Deficits by Fiscal Year

1,200

800

1,000

600

$ bn

200400

0

October ovember ecember

January

ebruary

March

April

May

June

July

O

NoDeF

FY2010 FY2011 FY2012
FY 2013-2015 Deficits and Net Marketable Borrowing Estimates Deficits and Net Marketable Borrowing Estimates 

Primary Dealers1 CBO2 

FY 2013 Deficit Estimate 918 641 FY 2014 Deficit Estimate 783 387 FY 2015 Deficit Estimate 685 213 FY 2013 Deficit Range 717-1,037FY 2014 Deficit Range 608-924

FY 2015 Deficit Range 470-900FY 0 3 Net Ma etab e o o g st ate 2013 Net Marketable Borrowing Estimate 951 

FY 2014 Net Marketable Borrowing Estimate 820 FY 2015 Net Marketable Borrowing Estimate 725 FY 2013 Net Marketable Borrowing Range 821-1,100FY 2014 Net Marketable Borrowing Range 700-1,050FY 2015 Net Marketable Borrowing Range 525-1,000Estimates as of: Oct-12 Aug-12 1Based on primary dealer feedback on October 22, 2012. Estimates above are averages. 2CBO's baseline estimate; assumes current law.3Table S-5 and S-14 of the "Fiscal Year 2013 Mid-Session Review Budget of the US Government"
Budget Surplus/Deficit

0 

500 

(500)

(1,500)(1,000)(2,000)(2,500) 

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Fiscal Year

OMB’s Projection

Projections are from Table S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the US Government.” 

Surplus/Deficit in $ bn-(L) Surplus/Deficit as a % of GDP-(R)
Section II:

Financin

g
Sources of Financing in Fiscal Year 2012 Q4

Net Funding Need (238)

I G Mt i N t

G 

July-September 2012 July-September 2012 

Bill Issuance

Issuance

Gross

Maturin

g

Net G

Net Bill Issuance 20 4-Week 475 453 22 1,

Net Coupon Issuance 212 13-Week 408 392 16 1,

Subtotal: Net Marketable Borrowing 232 26-Week 360 383 (23) 1,

52-Week 75 70 5 3

Plus: Be

g g innin

g Cash Balance 91 CMBs 105 105 0 1

Less: Ending Cash Balance 85 Bill Subtotal 1,423 1,403 20 5,

Subtotal: Funding from Drawdown of Cash 6

Total: Net Funding 238

Issue Gross Maturing Net G

2 Y 105 118 (13) 3

Coupon Issuance

July-September 2012 

2-Year 105 118 (13) 33-Year 96 116 (20) 4

5-Year 105 48 58 37-Year 87 0 87 3

10-Year 66 20 46 230-Year 42 0 42 1

5‐Year 5 Y TIPS 5-Year TIPS 14 0 14 410‐Year 10-Year TIPS 28 29 (1) 830‐Year 30-Year TIPS 0 0 0 2

Coupon Subtotal 544 332 212 2,

Total 1,967 1,735 232 7,
OMB's Projections of Borrowing from the Public

1,115* 1,158

723

1,000 1,200 

Data Labels: Annual Change in Debt Held by Pub

803

736 749

696 657

684

699

723

600 800 

$ bn

200 400 

(200)

0 

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2

2

2

2

2

2

2

2

2

2

Fiscal Year

Primary Deficit InterestOther Data Labels: Annual Change in Debt Held by PubAnnual Change in Debt Held by Public as a Percent Percent of GDP ‐ R

OMB’s projections of borrowing from the public projections are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Revthe US Government.” Data labels represent the change in debt held by the public in $ billions. Other represents borrowing from 

provide direct and guaranteed loans, in addition to TARP activity. Data labels represent the annual change in debt held by the pu*For Fiscal Year 2012, annual change in debt held by the public are actual while the primary deficit, interest, and other are from T
Interest Rate Assumptions

56

%

34

l Treasury Rate, 

2

10-Year Nomina

01

345678901

10-Year Treasury Rate, 1.634%, as of 09/28/2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Fiscal Year

Implied 10-Year Forward Treasury Rates as of 06/29/2012 OMB as of June 2012

OMB’s economic assumption of the 10-Year Treasury rate is from Table 2 of the “Fiscal Year 2013 Mid-Session Review Budget of Government.” The implied 10-Year forward Treasury rates are the average of the four quarter ends for each fiscal year.
2 000 

Historical Net Marketable Borrowing and Projected Net 

Borrowing Assuming Future Issuance Remains Constant

1,500 2,000 g g1,000 

$ bn

0 

500 

(500)

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 

783 1,786 1,482 1,104 1,115 929 743 625 663 473 558 497 294 

2222222222222

End of Fiscal Year

Bills 2/3/5 7/10/30 TIPS Historical Net Marketable

Borrowing/Projected Net Borrowing

(data labels at bottom)

OMB’s Pro

Borrowing 

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. Assumes issuance siBills, Nominal Coupons and TIPS are unchanged from 9/28/2012 levels, along with SOMA reinvestment. The principal on the Twere accreted to each projection date based on market ZCIS levels. No attempt was made to match future financing needs. OMBof borrowing from the public projections are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the Government.” Data labels represent historical net marketable borrowing and projected net borrowing capacity. See table on the following page 
Historical Net Marketable Borrowing and Projected Net Borro

Assuming Future Issuance Remains Constant, $ Billion $ Billion

End of Fiscal Bills 2/3/5 7/10/30 TIPS Historical Net Marketable Borrowing/Projected Net OM

o

Year Bills 2/3/5 7/10/30 TIPS Borrowing/Projected Net Borrowing Capacity o

fr

2008 532 106 105 40 7832009 503 732 512 38 1,7862010 ( ) 204 869 782 35 1,482

2011 (311) 576 751 88 1,104

2012 139 149 738 90 1,1152013 13 90 720 107 929 2014 0 (8) 669 81 743 

2015 0 ( ) 94 639 80 625 

2016 0 93 499 71 663 2017 0 87 318 69 473 2018 0 114 367 77 558 2019 0 140 282 75 497 2020 0 25 231 38 294 

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. Assumes issuance si

2021 0 3 250 12 265 2022 0 (5) 202 (4) 193 

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. Assumes issuance siBills, Nominal Coupons and TIPS are unchanged from 9/28/2012 levels, along with SOMA reinvestment. The principal on the Twere accreted to each projection date based on market ZCIS levels. No attempt was made to match future financing needs. OMBof borrowing from the public projections are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the Government.” Data labels represent historical net marketable borrowing and projected net borrowing capacity.
Section III:

Portfolio Metrics
Weighted Average Maturity of Marketable Debt Outstandi

64.4 months on 9/28/2012 70

7580

hs)

5(Hfr

606570

e Maturity (Month

5055

Weighted Average

4045

0

2

4

6

8

0

2

4

6

8

0

2

4

6

8

0

2

4

6

8

W

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

Calendar Year

Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury.
Recent and Future Portfolio Composition by Issuance 

T

ype, Percen

t

80%90%

100%

y

60%70%

rtfolio

30%40%50%

% of Por

10%20%

0%

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

End of Fiscal Year

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

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury. See table on the following page for details.
Recent and Future Portfolio Composition by Issuance Type, P

End of Fiscal Year Bills 2-, 3-, 5-Year Nominal Coupons 7-, 10-, 30-Year Nominal Coupons Total Nominal Coupons TI

Nominal Coupons Nominal Coupons pro

2006 21.3% 40.5% 29.0% 69.5% 2007 21.6% 38.9% 29.2% 68.1% 2008 28.5% 34.5% 26.9% 61.4% 2009 28.5% 36.2% 27.4% 63.6% 

2010 21 1%. 40 1%. 31 8%. 71 9%. 2011 15.4% 41.4% 35.9% 77.3% 2012 15.0% 38.4% 39.0% 77.4% 2013 13.7% 36.6% 41.9% 78.5% 2014 12.8% 34.4% 44.7% 79.1% 2015 12.1% 32.1% 47.4% 79.5% 2016 11.4% 31.2% 48.7% 79.9% 2017 10.8% 31.1% 49.1% 80.2% 2018 10.4% 30.5% 49.8% 80.3% 2019 9.9% 30.5% 50.0% 80.4% 2020 9.5% 30.5% 50.3% 80.8% 2021 9.1% 30.5% 50.8% 81.3% 2022 8.7% 30.8% 51.0% 81.8% 

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury.
Recent and Future Maturity Profile, $ Billion

16,000 18,000 20,000 12,000 14,000 

n

6,000 8,000 

10,000 

$ b

2,000 4,000 

0 

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

End of Fiscal Year

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

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury. See table on the following page for details.
Recent and Future Maturity Profile, $ Billion

End of Fiscal < 1yr [1 2) [2 3) [3 5) [5 7) [7 10) >= 10yr T

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

2007 1,582 664 343 551 276 499 633 42008 2,151 710 280 657 318 514 696 52009 2,703 775 666 970 540 691 786 72010 2,563 1,143 872 1,310 918 881 961 82011 2 621 , 1 273 , 1 004 , 1 527 , 1 146 , 1 088 , 1 139 , 9 2012 2,889 1,397 1,112 1,860 1,225 1,158 1,329 12013 3,038 1,573 1,221 2,070 1,465 1,199 1,351 12014 3,204 1,618 1,467 2,256 1,460 1,183 1,554 12015 3,249 1,884 1,505 2,392 1,557 1,217 1,700 12016 3,413 1,965 1,686 2,524 1,596 1,225 1,875 12017 3,596 2,094 1,721 2,612 1,629 1,302 2,065 12018 3,726 2,250 1,742 2,754 1,669 1,342 2,222 12019 3,776 2,278 1,905 2,784 1,809 1,492 2,405 12020 3,909 2,432 1,929 2,931 1,821 1,499 2,677 12021 4,065 2,462 1,990 3,072 1,880 1,548 2,952 12022 4,095 2,563 2,197 3,190 1,999 1,503 3,225 1

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury.
Recent and Future Maturity Profile, Percent

80%90%

100%

60%70%30%40%50%

0%

10%20%

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

End of Fiscal Year

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

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury. See table on the following page for details.
Recent and Future Maturity Profile, Percent

End of Fiscal < 1yr [1 2) [2 3) [3 5) [5 7) [7 10) >= 10yr [

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

2007 34.8% 14.6% 7.5% 12.1% 6.1% 11.0% 13.9% 52008 40.4% 13.3% 5.3% 12.3% 6.0% 9.7% 13.1% 52009 37.9% 10.9% 9.3% 13.6% 7.6% 9.7% 11.0% 52010 29.6% 13.2% 10.1% 15.1% 10.6% 10.2% 11.1% 52011 26 7%. 13 0%. 10 3%. 15 6%. 11 7%. 11 1%. 11 6%. 52012 26.3% 12.7% 10.1% 17.0% 11.2% 10.6% 12.1% 42013 25.5% 13.2% 10.2% 17.4% 12.3% 10.1% 11.3% 42014 25.1% 12.7% 11.5% 17.7% 11.5% 9.3% 12.2% 42015 24.1% 14.0% 11.1% 17.7% 11.5% 9.0% 12.6% 42016 23.9% 13.8% 11.8% 17.7% 11.2% 8.6% 13.1% 42017 23.9% 13.9% 11.5% 17.4% 10.8% 8.7% 13.8% 42018 23.7% 14.3% 11.1% 17.5% 10.6% 8.5% 14.2% 42019 23.0% 13.8% 11.6% 16.9% 11.0% 9.1% 14.6% 42020 22.7% 14.1% 11.2% 17.0% 10.6% 8.7% 15.6% 42021 22.6% 13.7% 11.1% 17.1% 10.5% 8.6% 16.4% 42022 21.8% 13.7% 11.7% 17.0% 10.7% 8.0% 17.2% 4

Portfolio & SOMA holdings as of 9/28/2012 and estimated projections of the Maturity Extension Program. To match OMB’s pro

from the public for the next 10 years, nominal coupon securities (2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percent

projections of borrowing from the public are from Table S-5 and S-14 of the “Fiscal Year 2013 Mid-Session Review Budget of the UGovernment.” The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. This scenrepresent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic trajecmaturity absent changes to the mix of securities issued by Treasury.
Section IV:

Demand
Summary Statistics for Fiscal Year 2012 Q4 Auctions

Security

Type Term Stop Out Rate (%)*

Bid‐to‐Cover

Ratio*

Competitive

Awards ($ bn)

% Primary

Dealer* % Direct* % Indirect*

Non‐Competitive

Awards ($ bn)

Bill 4-Week 0.088 4.3 469.2 70.0% 8.9% 21.1% 3.3 Bill 13-Week 0.102 4.5 393.3 71.5% 7.2% 21.3% 9.1 Bill 26-Week 0.140 4.9 343.7 60.8% 7.0% 32.2% 8.1 Bill 52-Week 0.182 4.7 74.4 65.3% 7.3% 27.4% 0.4 Bill CMBs 0.126 4.3 105.0 85.6% 8.1% 6.3% 0.0 

Coupon 2 Year - 0 269 . 3 9. 104 1. 60 4%. 11 3%. 28 3%. 0 6. Coupon 3-Year 0.358 3.7 95.6 57.2% 10.7% 32.2% 0.1 Coupon 5-Year 0.681 2.7 104.9 51.9% 9.0% 39.1% 0.1 Coupon 7-Year 1.037 2.7 87.0 47.3% 10.5% 42.2% 0.0 Coupon 10-Year 1.636 3.0 65.9 40.8% 20.1% 39.2% 0.1 Coupon 30-Year 2.771 2.6 42.0 49.7% 13.0% 37.3% 0.0 

TIPS 5-Year (1.286) 3.1 13.9 50.3% 15.2% 34.4% 0.1 

TIPS 10-Year (0.690) 2.5 27.8 43.8% 12.2% 44.0% 0.1 

Total Bills 0.113 4.5 1,385.6 69.1% 7.8% 23.1% 21.0 

Ttl o a Coupons 0 897 . 3 2. 499 4. 52 2%. 11 8%. 35 9%. 0 9. 

Total TIPS (0.889) 2.7 41.8 46.0% 13.2% 40.8% 0.1 

*Weighted averages of Competitive Awards.**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS’ 10-Year Equ

constant auction BEI is used as the inflation assumption.
Bid-to-Cover Ratios for Treasury Bills

5.5

6

4

4.5

5

Ratio

3

3.5

4

Bid-to-Cover R

2

2.5

3

1.5

Sep-02

Sep-03

Sep-04

Sep-05

Sep-06

Sep-07

Sep-08

Sep-09

Sep-10

4-Week (13-week moving average) 13-Week (13-week moving average)26-Week (13-week moving average) 52-Week (6-month moving average)
Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securiti

(6-Month Movin

g Avera

ge)

3 63.8

4

g g

3.23.43.6

atio

2.8

3

Bid-to-Cover R

2.42.6

2

2.2

un-09

ep-09

ec-09

ar-10

un-10

ep-10

ec-10

ar-11

un-11

ep-11

ec-11

ar-12

Ju

Se

De

Ma

Ju

Se

De

Ma

Ju

Se

De

Ma

2-Year 3-Year 5-Year
Bid-to-Cover Ratios for 7-, 10-, and 30-Year Nominal Securit

(6-Month Movin

g Avera

ge)

3.23.4

g g

3

atio

2.8

Bid-to-Cover R

2.42.62.2

un-09

ep-09

ec-09

ar-10

un-10

ep-10

ec-10

ar-11

un-11

ep-11

ec-11

ar-12

Ju

Se

De

Ma

Ju

Se

De

Ma

Ju

Se

De

Ma

7-Year 10-Year 30-Year
Bid-to-Cover Ratios for TIPS

3

3.52.5

atio

2

Bid-to-Cover R

1.5

1

ep-00 ep-01 ep-02 ep-03 ep-04 ep-05 ep-06 ep-07 ep-08 ep-09 ep-10 Se

Se

Se

Se

Se

Se

Se

Se

Se

Se

Se

5-Year 10-Year (6-month moving average) 20-Year 30-Year
Investor Class Auction Awards: Bills

Fiscal Year 2012 Q4

Forei

gn & 

Other

2.3%

Investment 

International 

9.9%

Funds

12.8%

Primary Dealers

Other Dealers 

and Brokers

7.7%

67.3%

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance.
Change in Demand Over the Last Year in Bills, Auctio

Awards b

y Investor Class

5%6%2%3%4%

us 4 Quarters

-1%

0%1%

ange from Previou

-3%-2%

1%

Cha

-4%

Primary

Dealers

Other Dealers 

& Brokers

Investment

Funds

Foreign & 

International 

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance. These results may include seasonal effects.“Previous 4 Quarters” = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters

2012 Q3 less Previous 4 Quarters 2012 Q4 less Previous 4 Quarters
Investor Class Auction Awards: Investor Class Auctio

Other

1.4%

2-, 3-, and 5-Year Nominal Securities

Fiscal Year 2012 Q4

Other

0.8%

7-, 10-, and 30-Year Nom

Fiscal Year 201

Foreign & 

International 

12.3%

Foreign & 

International 

17.8%

i

Investment 

Funds

Primary 

Dealers

54.8%

Funds

22.2%

Investment 

Funds

26.7%

Other Dealers 

and Brokers

9.2% Other Dealers 

and Brokers

9.7%

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance.
Change in Demand Over the Last Year in 2-, 3-, 5-Year 

Nominal Securities, Auction Awards b

y Investor Clas

4%6%

, y

0%2%

s 4 Quarters

-4%-2%

nge from Previous

-8%

Cha -6%n

-10%

Primary

Dealers

Other Dealers 

& Brokers

Investment

Funds

Foreign & 

International 

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance. These results may include seasonal effects.“Previous 4 Quarters” = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters

O

I

2012 Q3 less Previous 4 Quarters 2012 Q4 less Previous 4 Quarters
Change in Demand Over the Last Year in 7-, 10-, 30-Yea

Nominal Securities, Auction Awards b

y Investor Clas

4%6%

, y

2%

s 4 Quarters

-2%

0%

nge from Previous

-4%

Cha

-6%

Primary

Dealers

Other Dealers 

& Brokers

Investment

Funds

Foreign & 

International 

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance. These results may include seasonal effects.“Previous 4 Quarters” = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters

O

I

2012 Q3 less Previous 4 Quarters 2012 Q4 less Previous 4 Quarters
Investor Class Auction Awards: 

TIPS

Fiscal Year 2012 Q4

Foreign & 

i l

Other

0.6%

International

12.1%

Primary Dealers

45.8%

Investment 

Funds

40.5%

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance.

Other Dealers 

and Brokers

1.1%
Change in Demand Over the Last Year in TIPS, Auctio

Awards b

y Investor Class

4%5%2%3%

s 4 Quarters

-1%

0%1%

nge from Previous

-3%-2%

Chan

-4%

Primary

Dealers

Other Dealers 

& Brokers

Investment

Funds

Foreign & 

International 

Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository InstitutPension and Insurance. These results may include seasonal effects.“Previous 4 Quarters” = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters

O

I

2012 Q3 less Previous 4 Quarters 2012 Q4 less Previous 4 Quarters
Total Foreign Awards of Treasuries at Auction, $ Billion

160180200120140

rd ($bn)

80

100

nthly Private Awa

4060

Mo

0

20

n-09

p-09

c-09

r-10

n-10

p-10

c-10

r-11

n-11

p-11

c-11

r-12

Foreign includes both private sector and official institutions.

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

Bills 2/3/5 7/10/30 TIPS
Foreign Awards of Bills at Auction, Percent

20%25%

Investors 15%

10%

warded to Foreign 

5%

% A

0%

n-09

p-09

c-09

r-10

n-10

p-10

c-10

r-11

n-11

p-11

c-11

r-12

Excludes SOMA add-ons. Foreign includes both private sector and official institutions.

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar
Foreign Awards of Nominal Coupons at Auction, Percent

40%45%50%30%35%

Investors

20%25%

warded to Foreign

10%

% A 15%w

0%5%

n-09

p-09

c-09

r-10

n-10

p-10

c-10

r-11

n-11

p-11

c-11

r-12

Excludes SOMA add-ons. Foreign includes both private sector and official institutions.

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

2/3/5 7/10/30
Foreign Awards of TIPS at Auction, Percent

20%25%

Investors 15%

10%

warded to Foreign

5%

% A

0%

n-09

p-09

c-09

r-10

n-10

p-10

c-10

r-11

n-11

p-11

c-11

r-12

Excludes SOMA add-ons. Foreign includes both private sector and official institutions.

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

Jun

Sep

Dec

Mar

5-Year 10-Year 20-Year 30-Year
Primary Dealer Awards at Auction, Percent

70%75%

d

60%65%

Amount Awarde

50%55%

otal Competitive A

40%45%

% of To

35%

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

4

/ / 13

/26-Week (13-week movin

g g) avera

ge) 52-Week (6-month movin

g g) avera

ge)

2/3/5 (6-month moving average) 7/10/30 (6-month moving average)TIPS (6-month moving average)
Appendix
Sources of Financing in Fiscal Year 2012 Q1

Net Funding Need (282)

Issuance Gross Maturing Net G

Net Bill Issuance 43 4 Week 487 474 13 

October-December 2011 October-December 2011 

Bill Issuance

Net Bill Issuance 43 4-Week 487 474 13 

Net Coupon Issuance 267 13-Week 377 367 10 

Subtotal: Net Marketable Borrowing 310 26-Week 351 337 14 

52-Week 75 69 6 

Plus: Beginning Cash Balance 58 CMBs 10 10 0 

Less: Ending Cash Balance Less: Ending Cash Balance 86 Bill Subtotal Bill Subtotal 1 300 , 1 257 , 43 1 

Subtotal: Funding Adding to Build Up of Cash (28)

Total: Net Funding 282

Issue Gross Maturing Net G

2-Year 73 90 (17) 

Coupon Issuance

October-December 2011 

( ) 

3-Year 100 58 41 5-Year 73 33 40 7-Year 60 0 60 

10-Year 69 0 69 30-Year 44 0 44 

5‐Year 5 Y TIPS 5-Year TIPS 12 0 12 10‐Year 10-Year TIPS 11 0 11 30‐Year 30-Year TIPS 7 0 7 

Coupon Subtotal 449 182 267 

Total 1,749 1,439 310 1

, , 
Sources of Financing in Fiscal Year 2012 Q2

Net Funding Need (443)

Issuance Gross Maturing Net Gro

January-March 2012 January-March 2012 

Bill Issuance

Issuance Gross Maturing Net Gro

Net Bill Issuance 154 4-Week 523 498 25 1,00

Net Coupon Issuance 247 13-Week 409 377 32 786 

Subtotal: Net Marketable Borrowing 401 26-Week 383 336 47 734 

52-Week 77 67 10 152 

Pl B i i C h B l Plus: Beginning Cash Balance 86 CMBs 40 0 40 50 

Less: Ending Cash Balance 44 Bill Subtotal 1,432 1,278 154 2,73

Subtotal: Funding from Drawdown of Cash 42

Total: Net Funding 443 Coupon Issuance

January-March 2012 

Issue Gross Maturing Net Gro

2-Year 107 135 (28) 180 3-Year 104 101 4 204 5-Year 107 48 60 180 7-Year 89 0 89 149 

10-Year 72 25 47 140 30-Year 46 0 46 89 

5‐Year 5-Year TIPS 0 0 0 12 10‐Year 10-Year TIPS 28 8 21 40 30‐Year 30-Year TIPS 9 0 9 16 

C Sb l 563 316 247 1 01Coupon S

u

btotal 563 316 247 1,01
Sources of Financing in Fiscal Year 2012 Q3

Net Funding Need (124)

Issuance Gross Maturing Net G

Net Bill Issuance (78) 4-Week 451 486 (35) 1

April-June 2012 April-June 2012 

Bill Issuance

Net Bill Issuance (78) 4 Week 451 486 (35) 1

Net Coupon Issuance 250 13-Week 392 409 (17) 1

Subtotal: Net Marketable Borrowing 172 26-Week 359 351 8 1

52-Week 102 96 6 

Plus: Beginning Cash Balance 44 CMBs 0 40 (40) 

Less: Endin

g Cash Balance 91 Bill Subtotal 1,304 1,382 ( ) 78 4

Subtotal: Funding Adding to Build Up of Cash (48)

Total: Net Funding 124

Issue Gross Maturing Net G

2-Year 107 133 (27) 

Coupon Issuance

April-June 2012 

3-Year 106 112 (6) 

5-Year 107 49 58 7-Year 88 0 88 

10-Year 73 0 73 30-Year 46 0 46 

5‐Year 5-Year TIPS 16 19 ( ) 3 10‐Year 10-Year TIPS 13 0 13 30‐Year 30-Year TIPS 7 0 7 

Coupon Subtotal 564 314 250 1

Total 1,868 1,696 172 5
Issue Settle Date

Stop Out

Rate (%)*

Bid‐to‐Cover

Ratio*

Competitive

Awards ($ bn)

% Primary

Dealer* % Direct* % Indirect*

Non‐Competitive

Awards ($ bn)

SOMA Ad

Ons ($ bn

4‐Week 7/5/2012 0.075 4.65 29.44 76.8% 8.1% 15.2% 0.23 0.00 4‐Week 7/12/2012 0.070 4.68 29.74 71.1% 5.4% 23.4% 0.26 0.00 

4‐Week 7/19/2012 0 075 4 53 29 72 78 7% 8 3% 13 0% 0 28 0 00 

Bill Issues

4 Week 7/19/2012 0.075 4.53 29.72 78.7% 8.3% 13.0% 0.28 0.00 4‐Week 7/26/2012 0.080 4.50 29.21 73.5% 12.8% 13.7% 0.24 0.00 4‐Week 8/2/2012 0.075 4.39 34.76 61.4% 8.6% 30.0% 0.24 0.00 4‐Week 8/9/2012 0.085 4.23 39.73 66.5% 10.9% 22.6% 0.27 0.00 4‐Week 8/16/2012 0.110 4.16 39.72 66.5% 8.8% 24.8% 0.28 0.00 4‐Week 8/23/2012 0.110 4.06 39.72 68.1% 8.1% 23.8% 0.28 0.00 4‐Week 8/30/2012 0.120 4.10 39.01 71.7% 10.4% 17.9% 0.21 0.00 4‐Week 9/6/2012 0.105 4.35 39.74 57.1% 8.9% 34.1% 0.26 0.00 4‐Week 9/13/2012 9/13/2012 0 090 . 4 26 . 39 73 . 70 3%. 7 1%. 22 6%. 0 27 . 0 00 . 4‐Week 9/20/2012 0.080 4.13 39.74 71.1% 7.7% 21.2% 0.21 0.00 4‐Week 9/27/2012 0.055 3.95 38.90 81.7% 10.3% 7.9% 0.27 0.00 

13‐Week 7/5/2012 0.100 4.68 28.35 70.8% 6.6% 22.5% 0.75 0.00 13‐Week 7/12/2012 0.090 4.58 29.10 67.1% 6.5% 26.4% 0.65 0.00 13‐Week 7/19/2012 0.095 4.25 29.06 75.3% 6.3% 18.4% 0.73 0.00 13‐Week 7/26/2012 0.095 4.46 28.49 75.9% 8.0% 16.1% 0.75 0.00 13‐Week 8/2/2012 0.110 4.54 30.94 68.7% 6.1% 25.2% 0.66 0.00 

13‐W k ee 8/9/2012 8/9/2012 0 100 . 4 56 . 31 04 . 69 4%. 7 7%. 22 9%. 0 76 . 0 00 . 13‐Week 8/16/2012 0.110 4.69 31.12 63.8% 6.4% 29.8% 0.73 0.00 13‐Week 8/23/2012 0.105 4.43 31.17 81.1% 7.3% 11.5% 0.69 0.00 13‐Week 8/30/2012 0.105 4.35 30.49 61.4% 7.6% 31.0% 0.71 0.00 13‐Week 9/6/2012 0.100 4.64 30.94 69.7% 7.9% 22.4% 0.66 0.00 13‐Week 9/13/2012 0.100 4.66 31.08 70.7% 7.8% 21.5% 0.72 0.00 13‐Week 9/20/2012 0.105 4.59 31.19 80.6% 8.2% 11.2% 0.61 0.00 13‐Week 9/27/2012 0.110 4.35 30.36 74.9% 6.9% 18.1% 0.67 0.00 26‐Week 7/5/2012 0.150 4.82 25.38 57.2% 5.1% 37.7% 0.62 0.00 26‐Week 7/12/2012 0.145 4.83 25.63 63.4% 10.7% 25.9% 0.67 0.00 26‐Week 7/19/2012 0.135 4.99 25.84 62.2% 8.0% 29.8% 0.66 0.00 26‐Week 7/26/2012 0.140 5.17 25.39 47.3% 6.6% 46.1% 0.71 0.00 26‐Week 8/2/2012 0.145 5.11 26.98 61.3% 5.5% 33.2% 0.62 0.00 26‐Week 8/9/2012 0.135 5.00 26.65 51.9% 5.3% 42.7% 0.65 0.00 26‐Week 8/16/2012 0.145 4.81 26.75 65.1% 6.2% 28.8% 0.65 0.00 26‐Week 8/23/2012 0.145 4.89 26.90 66.5% 7.6% 25.9% 0.62 0.00 26‐Week 8/30/2012 0.140 4.61 26.50 69.7% 6.8% 23.5% 0.60 0.00 26‐Week 9/6/2012 0.135 4.94 27.00 54.3% 6.9% 38.8% 0.60 0.00 26‐Week 9/13/2012 0.130 5.12 27.13 71.0% 8.2% 20.8% 0.57 0.00 26‐Week 9/20/2012 0.130 4.92 27.15 65.3% 7.0% 27.6% 0.55 0.00 26‐Week 9/27/2012 0.140 4.79 26.45 55.0% 6.8% 38.1% 0.58 0.00 52‐Week 7/26/2012 0.175 4.71 24.66 76.7% 5.9% 17.4% 0.14 0.00 52‐Week 8/23/2012 0.195 4.55 24.84 58.8% 8.2% 33.0% 0.16 0.00 52‐Week 9/20/2012 0.175 4.92 24.87 60.6% 7.8% 31.6% 0.13 0.00 

/ /

CMBs 8/15/2012 0.110 4.77 25.00 86.8% 7.3% 5.8% 0.00 0.00 CMBs 8/23/2012 0.100 5.84 10.00 91.0% 8.4% 0.6% 0.00 0.00 CMBs 8/30/2012 0.125 3.98 35.00 84.4% 7.5% 8.1% 0.01 0.00 CMBs 9/6/2012 0.145 3.98 35.00 84.3% 9.3% 6.4% 0.00 0.00 

*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)

SO

On

Nominal Coupon Securities

Issue Settle Date Rate (%) Ratio Awards ($ bn) Dealer % Direct % Indirect Awards ($ bn) On

2‐Year 7/2/2012 0.313 3.62 34.72 60.4% 7.9% 31.7% 0.18 2‐Year 7/31/2012 0.220 4.00 34.69 59.2% 9.9% 30.9% 0.21 2‐Year 8/31/2012 0.273 3.94 34.70 61.6% 16.1% 22.3% 0.20 3‐Year 7/16/2012 0.366 3.52 31.87 59.8% 10.2% 30.0% 0.03 3‐Year 8/15/2012 0.370 3.51 31.85 61.9% 8.4% 29.7% 0.05 3‐Year 9/17/2012 0.337 3.94 31.87 49.8% 13.4% 36.8% 0.03 5‐Year 7/2/2012 0.752 2.61 34.95 54.1% 10.7% 35.1% 0.03 5‐Year 7/31/2012 0.584 2.71 34.97 52.2% 5.2% 42.6% 0.03 5‐Year 8/31/2012 0.708 2.92 34.94 49.4% 11.0% 39.7% 0.03 7‐Year 7/2/2012 1.075 2.64 28.97 51.5% 6.5% 42.0% 0.01 7‐Year 7/31/2012 0.954 2.64 28.99 46.6% 7.1% 46.3% 0.01 7‐Year 8/31/2012 1.081 2.80 28.99 43.8% 17.9% 38.4% 0.01 

10‐Year 7/16/2012 1.459 3.61 20.99 14.0% 45.4% 40.6% 0.01 10‐Year 8/15/2012 1.680 2.49 23.92 54.2% 5.2% 40.6% 0.03 10‐Year 9/17/2012 1.764 2.85 20.98 52.2% 11.6% 36.2% 0.02 

30‐Year 7/16/2012 7/16/2012 2 580 . 2 70 . 12 99 . 43 1%. 20 1%. 36 8%. 0 01 . 30‐Year 8/15/2012 2.825 2.41 15.98 55.6% 7.7% 36.7% 0.02 30‐Year 9/17/2012 2.896 2.68 12.99 48.9% 12.4% 38.7% 0.01 

TIPS

Issue Settle Date

Stop Out

Rate (%)*

Bid‐to‐Cover

Ratio*

Competitive

Awards ($ bn)

% Primary

Dealer* % Direct* % Indirect*

Non‐Competitive

Awards ($ bn)

SO

On

5‐Year 8/31/2012 ‐1.286 3.11 13.95 50.3% 15.2% 34.4% 0.05 

10‐Year 7/31/2012 ‐0.637 2.62 14.87 39.7% 16.1% 44.2% 0.07 

10‐Year 9/28/2012 ‐0.750 2.36 12.97 48.5% 7.7% 43.8% 0.03 

TIPS

10 Year 9/28/2012 0.750 2.36 12.97 48.5% 7.7% 43.8% 0.03 

*Weighted averages of Competitive Awards.**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS’ 10-Year Equ

constant auction BEI is used as the inflation assumption.