Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2019 Q4 Report
Table of Contents

2

I. Executive Summary p. 4

II. Fiscal

A. Quarterly Tax Receipts p. 6

B. Monthly Receipt Levels p. 7

C. Largest Outlays p. 8

D. Treasury Net Nonmarketable Borrowing p. 9

E. Cumulative Budget Deficits p. 10

F. Deficit and Borrowing Estimates p. 11

G. Budget Surplus/Deficit p. 12

H. Privately-Held Net Marketable Borrowing Outlook p. 13

III. Financing

A. Sources of Financing p. 16

B. OMB’s Projections of Net Borrowing from the Public p. 18

C. Interest Rate Assumptions p. 19

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

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

IV. Portfolio Metrics

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

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

C. Maturity Profile p. 25

V. Demand

A. Summary Statistics p. 28

B. Bid-to-Cover Ratios p. 29

C. Investor Class Awards at Auction p. 34

D. Primary Dealer Awards at Auction p. 38

E. Direct Bidder Awards at Auction p. 39

F. Foreign Awards at Auction p. 40

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

Executive Summary

3
Receipts and Outlays

• In FY 2019, receipts were $133 billion (4%) higher than the comparable period last year. Total receipts were 16.3% of GDP, compared 

to 16.4% of GDP for the same period last year. Customs duties rose $30 billion (70%), largely resulting from new tariffs. Withheld 

income and FICA taxes were up $78 billion (3%), driven by growth in wages and employment. Gross excise taxes were $6 billion (7%) 

higher. Non-withheld income and SECA taxes were up $10 billion (1%). Individual refunds were $24 billion (9%) lower. Gross 

corporate taxes were $14 billion (5%) higher. Partially offsetting the increases, Federal Reserve earnings were $18 billion (25%) lower 

due to the Federal Reserve paying higher short-term interest rates to depository institutions.

• In FY 2019, total outlays were $291 billion (7%) higher than last year. Social Security Administration outlays were $58 billion (6%) 

higher due to increases in enrollment and in the average benefit including the cost-of-living adjustment of 2.8%. Defense expenditures 

were up $50 billion (8%) due to increased spending for military personnel, operations, maintenance, and procurement. Health and 

Human Services spending was $64 billion (6%) higher due to increased Medicare and Medicaid expenditures. Treasury outlays were 

$60 billion (10%) higher primarily due to increased interest cost of $51 billion (10%) on the public debt. Education expenditures were 

up $41 billion (64%) due to differences in subsidy re-estimates. Housing & Urban Development outlays were down $25 billion (47%) 

due to differences in subsidy re-estimates.

Projected Net Marketable Borrowing (FY 2020) 

• Treasury’s Office of Fiscal Projections (OFP) currently forecasts a net privately-held marketable borrowing need of $352 billion for Q1 

FY 2020, with an end-of-December cash balance of $410 billion. For Q2 FY 2020, OFP forecasts a net privately-held marketable 

borrowing need of $389 billion assuming end-of-March cash balance of $400 billion. Privately-held net marketable borrowing 

excludes rollovers (auction “add-ons”) of Treasury securities held in the Federal Reserve’s System Open Market Account (SOMA), but 

includes financing from the private sector required due to SOMA redemptions, when applicable. Secondary market purchases of 

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

would increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “add-on” amount.

Demand for Treasury Securities

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

• Foreign demand remained steady.

Highlights of Treasury’s November 2019 Quarterly Refunding Presentation

to the Treasury Borrowing Advisory Committee (TBAC)

4
Section II:

Fiscal

5
6

Source: United States Department of the Treasury

(40%)

(30%)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Year-over-Year % Change

Quarterly Tax Receipts

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

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

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

Source: United States Department of the Treasury 

0

20

40

60

80

100

120

140

160

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporate Income Taxes Social Insurance Taxes Other
8

Source: United States Department of the Treasury 

0

200

400

600

800

1,000

1,200

1,400

HHS

SSA

Treasury

Defense

VA

Agriculture

Education

OPM

Transportation

Other Defense Civil

Homeland Security

Labor

$ bn

Largest Outlays

Oct - Sep FY 2018 Oct - Sep FY 2019
9

Source: United States Department of the Treasury

(40)

(30)

(20)

(10)

0

10

20

30

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

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
10

Source: United States Department of the Treasury

0

200

400

600

800

1,000

1,200

October

November

December

January

February

March

April

May

June

July

August

September

$ bn

Cumulative Budget Deficits by Fiscal Year

FY2017 FY2018 FY2019
11

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

Primary Dealers1 CBO2 OMB3 CBO4

FY 2020 Deficit Estimate 1,044 1,008 1,045 966

FY 2021 Deficit Estimate 1,083 1,034 1,015 921

FY 2022 Deficit Estimate 1,161 1,159 967 1,073

FY 2020 Deficit Range 925-1,210

FY 2021 Deficit Range 1,000-1,290

FY 2022 Deficit Range 1,025-1,300

FY 2020 Net Marketable Borrowing Range 700-1,412

FY 2021 Net Marketable Borrowing Range 790-1,300

FY 2022 Net Marketable Borrowing Range 925-1,360

FY 2020 Net Marketable Borrowing Estimate 1,093 1,070 1,112 1,030

FY 2021 Net Marketable Borrowing Estimate 1,108 1,086 1,082 978

FY 2022 Net Marketable Borrowing Estimate 1,200 1,201 1,030 1,121

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

1

Estimates represent the medians from the primary dealer survey in October 2019. 

2

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

3

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

4

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

SOMA redemptions and privately-held net marketable borrowing details were removed because the Federal Open Market Committee 

(FOMC) concluded the reduction of aggregate securities holdings in the System Open Market Account (SOMA) at the end of July 2019. 

[https://www.newyorkfed.org/markets/opolicy/operating_policy_190731]
(16%)

(14%)

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

(1,400)

(1,200)

(1,000)

(800)

(600)

(400)

(200)

0

200

20102011201220132014201520162017201820192020202120222023202420252026202720282029

Debt to GDP

$ bn

Fiscal Year

Budget Surplus/Deficit

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

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

Review,” July 2019.

OMB’s Projection

12
13

$0

$100

$200

$300

$400

$500

$600

Q1 Q2 Q3 Q4

$ bn

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

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

Reserve’s System Open Market Account (SOMA), but includes financing from the private sector required due to SOMA 

redemptions, when applicable. Secondary market purchases of Treasury securities by SOMA do not directly change net privatelyheld marketable borrowing but, all else equal, when they mature would increase the amount of cash raised for a given privatelyheld auction size by increasing the SOMA “add-on” amount.

Privately-Held Net Marketable Borrowing Outlook
Section III:

Financing

14
15

Assumptions for Financing Section (pages 16 to 21)

• Portfolio and SOMA holdings as of 09/30/2019.

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

and FRNs given changes made at the August 2019 refunding, while using privately-held bills 

outstanding of ~$2.37 trillion. 

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

as of 09/30/2019. 

• No attempt was made to account for future financing needs. 
16

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

Open Market Account (SOMA), but includes financing from the private sector required due to SOMA redemptions, when applicable. Secondary 

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

mature would increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “add-on” amount.

**An end-of-September 2019 cash balance of $382 billion versus a beginning-of-July 2019 cash balance of $264 billion. By keeping the cash balance 

constant, Treasury arrives at the net implied funding number. 

Net Bill Issuance 126 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 314 4-Week 585 540 45 2,400 2,375 25

Subtotal: Net Marketable Borrowing 440 8-Week 490 455 35 1,695 1,380 315

13-Week 531 504 27 2,169 2,283 (114)

Ending Cash Balance 382 26-Week 513 498 15 1,977 2,106 (129)

Beginning Cash Balance 264 52-Week 82 78 4 342 302 40

Subtotal: Change in Cash Balance 119 CMBs 35 35 0 158 158 0

Bill Subtotal 2,236 2,110 126 8,741 8,604 137

Net Implied Funding for FY19 Q4** 321

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 56 41 15 223 164 59

2-Year 160 104 56 514 312 202

3-Year 114 72 42 453 288 165

5-Year 164 139 25 527 396 131

7-Year 128 60 68 414 257 157

10-Year 75 28 47 299 111 188

30-Year 51 6 45 203 15 188

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

10-Year TIPS 26 18 8 72 33 39

30-Year TIPS 7 0 7 20 0 20

Coupon Subtotal 781 467 314 2,771 1,628 1,143

Total 3,017 2,577 440 11,512 10,232 1,280

July - September 2019 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY19 Q4*

July - September 2019 July - September 2019 Fiscal Year-to-Date

Bill Issuance Bill Issuance
17

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

Market Account (SOMA), but includes financing from the private sector required due to SOMA redemptions, when applicable. Secondary market 

purchases of Treasury securities by SOMA do not directly change net privately-held marketable borrowing but, all else equal, when they mature would 

increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “add-on” amount.

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

***Assumes an end-of-December 2019 cash balance of $410 billion versus a beginning-of-October 2019 cash balance of $382 billion.

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

Assuming Constant Coupon Issuance Sizes**

Treasury Announced Net Marketable Borrowing*** 352

Net Coupon Issuance 289

Implied Change in Bills 63

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 56 41 15 56 41 15

2-Year 120 51 68 120 51 68

3-Year 114 72 42 114 72 42

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

7-Year 96 58 38 96 58 38

10-Year 75 37 38 75 37 38

30-Year 51 0 51 51 0 51

5-Year TIPS 32 0 32 32 0 32

10-Year TIPS 12 0 12 12 0 12

30-Year TIPS 0 0 0 0 0 0

Coupon Subtotal 679 390 289 679 390 289

Coupon Issuance Coupon Issuance

Sources of Privately-Held Financing in FY20 Q1*

October - December 2019

October - December 2019 Fiscal Year-to-Date
18

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

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

1,112 1,082

1,030

894

703

659

598

542 551

266

60%

65%

70%

75%

80%

85%

(600)

(400)

(200)

0

200

400

600

800

1,000

1,200

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

Debt to GDP

$ bn

OMB's Projection of Borrowing from the Public

Primary Deficit (LHS) Net Interest (LHS)

Other (LHS) Debt Held by Public (RHS)

Debt Held by Public Net of Financial Assets (RHS)

The bubbles represent the total net marketable borrowing for that year

$ bn %

Primary Deficit 639 9

Net Interest 6,206 83

Other 592 8

Total 7,437 100

FY2020 - FY2029 Cumulative Total
19

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

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

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

1.4

1.9

2.4

2.9

3.4

3.9

20192020202120222023202420252026202720282029

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

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

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

Implied Forward Rates as of 09/30/2019

10-Year Treasury Rate of 

1.683% as of 09/30/2019
20

Projected Net Marketable Borrowing 

Assuming Future Private Issuance Remains Constant*

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

Table S-11 of “A Budget for a Better America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s current law budget projections of the 

change in debt held by the public are from Table 3 of “Updated Budget Projections: 2019 to 2029,“ Aug 2019. CBO’s budget projections of the 

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

for details.

* Projections reflect only SOMA rollovers at auction of principal payments of Treasury securities. No adjustments are made for open-market 

outright purchases and subsequent rollovers.

0

200

400

600

800

1,000

1,200

1,400

1,600

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

$bn

Fiscal Year

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

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

CBO's "Updated Budget Projections: 2019 to 2029," August 2019 (current law)
21

0

200

400

600

800

1,000

1,200

1,400

1,600

2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

$ Bn

Fiscal Year

Projected Net Marketable Borrowing Effect of currency growth and reserve management

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

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

CBO's "Updated Budget Projections: 2019 to 2029," August 2019 (current law)

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

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

from Table 3 of “Updated Budget Projections: 2019 to 2029,“ August 2019. CBO’s budget projections of the change in debt held by the public are from Table 2 of 

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

* Projections reflect SOMA rollovers at auction of principal payments of Treasury securities and SOMA’s reserve management purchases of Treasury bills at an 

initial pace of approximately $60 billion per month, starting from mid-October and at least into the second quarter of 2020 [1]. The principal payments from 

agency debt and agency MBS up to a maximum amount of $20 billion per month will be reinvested in Treasury securities through secondary market purchases 

that roughly match the maturity composition of Treasury securities outstanding [2]. The currency portion of the Fed’s balance sheet is assumed to grow at the 

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

market purchases of Treasury securities by SOMA do not directly change net privately-held marketable borrowing but, all else equal, when they mature would 

increase the amount of cash raised for a given privately-held auction size by increasing the SOMA “add-on” amount.

[1] https://www.newyorkfed.org/markets/opolicy/operating_policy_191011

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

Estimate of the Effect of SOMA Purchases* on Projected Net Borrowing 

Assuming Future Private Issuance Remains Constant
Section IV:

Portfolio Metrics

22
23

40

45

50

55

60

65

70

75

80

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Weighted Average Maturity (Months)

Calendar Year

Historical Weighted Average Maturity of Marketable 

Debt Outstanding

Historical Historical Average from 1980 to end of FY 2019 Q4

70.1 months on 

09/30/2019

60 months (Historical Average 

from 1980 to Present)
24

0

5

10

15

20

25

30

35

40

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Percent

Calendar Year

Bills, TIPS & FRNs Outstanding as a Percent of 

Marketable Debt Outstanding

Bills TIPS FRNs

Bills Historical Average = 22.8%

Max 10.7%

Max 2.6%

Last 

14.5%

Last 

8.9%

Last 2.6%

Max 

35.6%
25

20

30

40

50

60

70

80

1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019

Percent

Calendar Year

Treasury Maturity Profile History

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

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

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

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

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

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

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

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

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

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

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

Sep-19 4,492 2,333 1,766 2,571 1,612 1,312 2,253 16,338 11,162

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

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

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

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

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

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

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

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

Sep-19 27.5 14.3 10.8 15.7 9.9 8.0 13.8 52.6 68.3
Section V:

Demand

27
28

*Weighted averages of Competitive Awards. FRNs are reported on discount margin basis. 

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-year equivalent, a 

constant auction BEI is used as the inflation assumption.

Security 

Type Term Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards 

($bn)

% Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA 

"AddOns" ($bn)

10-Year 

Equivalent 

($bn)**

Bill 4-Week 2.043 2.7 569.3 57.1 4.1 38.9 20.7 0.0 5.0

Bill 8-Week 2.018 2.9 491.1 50.9 2.8 46.3 3.9 0.0 8.4

Bill 13-Week 1.985 2.8 559.8 50.1 3.4 46.4 16.3 0.0 15.8

Bill 26-Week 1.912 2.9 540.6 48.7 2.9 48.4 14.4 0.0 30.5

Bill 52-Week 1.816 2.8 80.7 57.3 3.0 39.7 1.3 0.0 9.1

Bill CMB 2.110 2.6 35.0 70.7 1.1 28.2 0.0 0.0 0.5

Coupon 2-Year 1.651 2.6 119.3 30.4 20.4 49.2 0.7 10.9 28.5

Coupon 3-Year 1.664 2.4 113.8 34.9 17.9 47.1 0.2 25.1 46.0

Coupon 5-Year 1.596 2.4 122.9 27.2 15.5 57.3 0.1 11.2 71.6

Coupon 7-Year 1.696 2.3 96.0 26.3 15.5 58.3 0.0 8.8 76.8

Coupon 10-Year 1.818 2.4 75.0 27.4 13.1 59.5 0.0 17.8 95.3

Coupon 30-Year 2.412 2.2 51.0 28.4 14.1 57.5 0.0 12.5 153.3

TIPS 10-Year 0.232 2.3 26.0 17.2 17.5 65.3 0.0 1.8 30.5

TIPS 30-Year 0.501 2.7 7.0 10.6 7.7 81.6 0.0 0.0 19.7

FRN 2-Year 0.248 2.8 56.0 48.5 0.6 50.9 0.0 0.8 0.0

Total Bills 1.985 2.8 2,276.5 52.2 3.3 44.5 56.5 0.1 69.3

Total Coupons 1.738 2.4 577.9 29.4 16.6 54.1 1.1 86.4 471.6

Total TIPS 0.289 2.4 33.0 15.8 15.5 68.7 0.0 1.8 50.2

Total FRN 0.248 2.8 56.0 48.5 0.6 50.9 0.0 0.8 0.0

Summary Statistics for Fiscal Year 2019 Q4 Auctions
29

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jun-09

Sep-09

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Bid-to-Cover Ratio

Bid-to-Cover Ratios for Treasury Bills

4-Week (13-week moving average) 8-Week (13-week moving average) 13-Week (13-week moving average)

26-Week (13-week moving average) 52-Week (6-month moving average)
30

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs

(6-Month Moving Average)
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Bid-to-Cover Ratio

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

(6-Month Moving Average)

2-Year 3-Year 5-Year
32

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Bid-to-Cover Ratio

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

(6-Month Moving Average)

7-Year 10-Year 30-Year
33

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Feb-08

May-08

Jul-08

Oct-08

Jan-09

Apr-09

Jul-09

Oct-09

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Jul-11

Oct-11

Jan-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

Jul-13

Oct-13

Jan-14

Apr-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) Long-end (20- & 30-year)
34

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

Institutions, Individuals, Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

13-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
35

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

6-month moving average

Percent Awarded in 2-, 3-, and 5-Year Nominal Security 

Auctions by Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
36

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

70%

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

6-month moving average

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

by Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
37

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

Institutions, Individuals, Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

70%

80%

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
38

Competitive Amount Awarded excludes SOMA add-ons. 

10%

20%

30%

40%

50%

60%

70%

80%

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

% of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

4/8/13/26-Week (13-week moving average) 52-Week (6-month moving average)

2/3/5-Year (6-month moving average) 7/10/30-Year (6-month moving average)

TIPS (6-month moving average) FRN (6-month moving average)
39

Competitive Amount Awarded excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25%

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

% of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

4/8/13/26-Week (13-week moving average) 52-Week (6-month moving average)

2/3/5-Year(6-month moving average) 7/10/30-Year (6-month moving average)

TIPS (6-month-moving average) FRN (6-month moving average)
40

Foreign includes both private sector and official institutions.

0

10

20

30

40

50

60

70

80

90

100

Sep-17

Oct-17

Nov-17

Dec-17

Jan-18

Feb-18

Mar-18

Apr-18

May-18

Jun-18

Jul-18

Aug-18

Sep-18

Oct-18

Nov-18

Dec-18

Jan-19

Feb-19

Mar-19

Apr-19

May-19

Jun-19

Jul-19

Aug-19

Sep-19

$ bn

Total Foreign Awards of Treasuries at Auction, $ billions

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

Source: Treasury International Capital (TIC) System.

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

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

Treasury February 2019 Refunding.

Total Foreign Holdings

0%

10%

20%

30%

40%

50%

60%

0

500

1,000

1,500

2,000

2,500

3,000

20002001200220032004200520062007200820092010

2011

20122013201420152016201720182019

$ bn

Bills

Outstanding Foreign Holdings Foreign % (RHS)

0%

10%

20%

30%

40%

50%

60%

70%

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

20002001200220032004200520062007200820092010201120122013201420152016201720182019

$ bn

Nominal Coupons, TIPS, and FRNs

Outstanding Foreign Holdings Foreign % (RHS)
Appendix

42
43

Historical Net Marketable Borrowing and Projected Net Borrowing 

Assuming Future Issuance Remains Constant, $ billions

Projections reflect only SOMA rollovers at auction of principal payments of Treasury securities. No adjustments are made for open-market 

outright purchases and subsequent rollovers.

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

Table S-11 of “A Budget for a Better America, Fiscal Year 2020, Mid-Session Review,” July 2019. CBO’s baseline budget projections of the change 

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

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2020 MidSession Review

CBO's "An Analysis of 

the President's 2020 

Budget "

Primary Dealer 

Survey

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 137 533 266 53 55 1,045 

2020 0 464 367 51 35 917 1,112 1,030 1,093 

2021 0 320 271 26 0 617 1,082 978 1,108 

2022 0 116 379 17 (0) 512 1,030 1,121 1,200 

2023 0 143 263 19 5 430 894 1,060 

2024 0 74 245 31 (1) 349 703 940 

2025 0 (48) 316 (48) (0) 220 659 993 

2026 0 (40) 294 (36) (3) 215 598 997 

2027 0 4 243 (23) (2) 221 542 1,077 

2028 0 (16) 248 (52) 3 183 551 1,219 

2029 0 (5) 204 (56) 0 143 266 1,068 
44 *Weighted averages of competitive awards.

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

Bills

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)**

4-Week 7/9/2019 2.210 2.47 38.6 62.9 4.7 32.4 1.4 0.0 0.3

4-Week 7/16/2019 2.135 3.04 33.3 42.7 3.5 53.8 1.7 0.0 0.3

4-Week 7/23/2019 2.090 2.93 33.5 53.9 3.3 42.8 1.5 0.0 0.3

4-Week 7/30/2019 2.110 2.91 33.4 47.3 3.3 49.3 1.6 0.0 0.3

4-Week 8/6/2019 2.080 3.18 33.5 51.3 4.5 44.1 1.5 0.0 0.3

4-Week 8/13/2019 2.065 2.64 48.3 56.1 3.7 40.1 1.7 0.0 0.4

4-Week 8/20/2019 2.040 2.47 53.6 63.2 4.3 32.5 1.4 0.0 0.4

4-Week 8/27/2019 2.060 2.59 53.5 56.3 4.5 39.2 1.5 0.0 0.5

4-Week 9/3/2019 2.060 2.53 53.3 66.2 4.1 29.7 1.7 0.0 0.5

4-Week 9/10/2019 2.025 2.69 53.3 54.8 4.7 40.5 1.7 0.0 0.5

4-Week 9/17/2019 1.940 2.81 48.4 55.8 4.1 40.0 1.6 0.0 0.4

4-Week 9/24/2019 1.950 2.66 43.3 63.5 3.2 33.3 1.7 0.0 0.4

4-Week 10/1/2019 1.880 2.70 43.4 58.3 4.3 37.4 1.6 0.0 0.4

8-Week 7/9/2019 2.155 2.76 34.8 40.3 3.3 56.4 0.2 0.0 0.6

8-Week 7/16/2019 2.130 2.99 34.8 40.0 3.1 56.9 0.2 0.0 0.6

8-Week 7/23/2019 2.120 2.45 34.6 61.0 3.3 35.7 0.4 0.0 0.6

8-Week 7/30/2019 2.140 2.77 34.6 52.7 2.5 44.8 0.4 0.0 0.6

8-Week 8/6/2019 2.100 2.67 34.6 74.1 4.2 21.7 0.4 0.0 0.6

8-Week 8/13/2019 2.050 3.24 39.6 51.6 3.3 45.1 0.4 0.0 0.7

8-Week 8/20/2019 1.950 3.05 39.6 42.5 1.6 55.9 0.4 0.0 0.7

8-Week 8/27/2019 1.985 2.86 39.8 47.8 2.0 50.2 0.2 0.0 0.7

8-Week 9/3/2019 1.990 3.18 39.7 46.0 3.0 51.1 0.3 0.0 0.7

8-Week 9/10/2019 1.960 3.18 39.8 39.3 3.7 57.0 0.2 0.0 0.7

8-Week 9/17/2019 1.920 2.87 39.7 51.8 2.5 45.7 0.3 0.0 0.7

8-Week 9/24/2019 1.950 2.59 39.7 67.6 2.5 29.9 0.3 0.0 0.7

8-Week 10/1/2019 1.860 3.09 39.7 48.5 2.3 49.1 0.3 0.0 0.7
45 *Weighted averages of competitive awards.

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

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)**

13-Week 7/5/2019 2.145 2.66 35.0 46.6 3.3 50.1 1.0 0.0 1.0

13-Week 7/11/2019 2.210 2.59 34.9 55.4 1.9 42.8 1.1 0.0 1.0

13-Week 7/18/2019 2.115 2.88 34.7 54.8 3.5 41.8 1.3 0.0 1.0

13-Week 7/25/2019 2.040 2.96 34.7 42.7 3.8 53.5 1.3 0.0 1.0

13-Week 8/1/2019 2.070 3.02 34.7 41.3 3.0 55.7 1.3 0.0 1.0

13-Week 8/8/2019 1.990 2.88 37.8 41.1 3.8 55.2 1.2 0.0 1.1

13-Week 8/15/2019 1.960 2.99 40.8 49.9 3.1 47.0 1.2 0.0 1.2

13-Week 8/22/2019 1.900 2.51 44.0 74.1 4.3 21.6 1.0 0.0 1.2

13-Week 8/29/2019 1.950 2.74 43.8 51.7 2.1 46.2 1.2 0.0 1.2

13-Week 9/5/2019 1.930 2.95 43.8 44.1 3.3 52.6 1.2 0.0 1.2

13-Week 9/12/2019 1.920 3.05 43.8 44.7 3.1 52.1 1.2 0.0 1.2

13-Week 9/19/2019 1.945 2.68 43.8 51.1 4.2 44.7 1.2 0.0 1.2

13-Week 9/26/2019 1.905 3.04 43.7 42.0 5.7 52.3 1.3 0.0 1.2

13-Week 10/3/2019 1.840 2.49 44.1 58.5 2.9 38.5 0.9 0.0 1.2

26-Week 7/5/2019 2.040 2.91 35.0 46.7 1.9 51.3 1.0 0.0 2.0

26-Week 7/11/2019 2.075 2.95 35.0 44.9 2.3 52.8 1.0 0.0 2.0

26-Week 7/18/2019 2.010 3.22 34.8 42.8 2.1 55.1 1.2 0.0 2.0

26-Week 7/25/2019 2.010 2.69 34.9 70.8 1.1 28.1 1.1 0.0 2.0

26-Week 8/1/2019 2.035 3.04 34.9 45.9 1.7 52.4 1.1 0.0 2.0

26-Week 8/15/2019 1.890 3.06 40.8 45.9 2.3 51.8 1.2 0.0 2.4

26-Week 8/22/2019 1.840 2.86 40.9 47.3 2.2 50.5 1.1 0.0 2.2

26-Week 8/29/2019 1.840 3.05 41.0 36.2 1.0 62.8 1.0 0.0 2.2

26-Week 9/5/2019 1.825 3.10 41.1 40.2 10.1 49.7 0.9 0.0 2.3

26-Week 9/12/2019 1.825 2.98 41.2 43.8 1.7 54.5 0.8 0.0 2.3

26-Week 9/19/2019 1.870 2.74 41.0 47.2 2.2 50.7 1.0 0.0 2.3

26-Week 9/26/2019 1.860 2.77 41.0 50.1 7.4 42.5 1.0 0.0 2.3

26-Week 10/3/2019 1.795 2.83 41.0 42.3 1.9 55.8 1.0 0.0 2.3

52-Week 7/18/2019 1.915 2.87 25.5 48.0 3.1 48.9 0.5 0.0 2.9

52-Week 8/15/2019 1.800 2.66 27.6 63.1 3.4 33.4 0.4 0.0 3.2

52-Week 9/12/2019 1.740 2.81 27.6 60.1 2.4 37.5 0.4 0.0 3.0

CMB 8/2/2019 2.110 2.58 35.0 70.7 1.1 28.2 0.0 0.0 0.5

Bills
46

*Weighted averages of competitive awards. FRNs are reported on discount margin basis. 

**Approximated using prices at settlement and includes both competitive and non-competitive awards. For TIPS 10-Year equivalent, a constant 

auction BEI is used as the inflation assumption.

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)**

2-Year 7/31/2019 1.825 2.50 39.7 31.6 24.9 43.5 0.3 1.6 9.4

2-Year 9/3/2019 1.516 2.60 39.7 32.5 20.4 47.1 0.3 5.2 9.6

2-Year 9/30/2019 1.612 2.64 39.9 27.1 15.9 57.0 0.1 4.2 9.5

3-Year 7/15/2019 1.857 2.39 38.0 33.6 17.9 48.5 0.0 0.3 12.8

3-Year 8/15/2019 1.562 2.41 38.0 34.0 19.3 46.7 0.0 24.8 21.1

3-Year 9/16/2019 1.573 2.42 37.9 37.2 16.6 46.2 0.1 0.0 12.2

5-Year 7/31/2019 1.824 2.26 40.9 32.9 13.7 53.4 0.1 1.6 23.4

5-Year 9/3/2019 1.365 2.48 41.0 21.6 18.7 59.7 0.0 5.3 24.3

5-Year 9/30/2019 1.600 2.32 41.0 27.0 14.2 58.8 0.0 4.3 23.9

7-Year 7/31/2019 1.967 2.27 32.0 24.8 15.8 59.4 0.0 1.3 25.0

7-Year 9/3/2019 1.489 2.16 32.0 33.8 16.1 50.2 0.0 4.2 26.2

7-Year 9/30/2019 1.633 2.49 32.0 20.2 14.6 65.2 0.0 3.3 25.7

10-Year 7/15/2019 2.064 2.41 24.0 26.4 12.9 60.8 0.0 0.2 24.2

10-Year 8/15/2019 1.670 2.20 27.0 30.7 13.6 55.7 0.0 17.6 47.2

10-Year 9/16/2019 1.739 2.46 24.0 24.7 12.7 62.6 0.0 0.0 24.0

30-Year 7/15/2019 2.644 2.13 16.0 33.2 16.8 50.0 0.0 0.1 37.2

30-Year 8/15/2019 2.335 2.24 19.0 26.1 12.5 61.3 0.0 12.4 78.2

30-Year 9/16/2019 2.270 2.22 16.0 26.4 13.3 60.3 0.0 0.0 38.0

2-Year FRN 7/31/2019 0.220 2.73 20.0 51.1 0.1 48.7 0.0 0.8 0.0

2-Year FRN 8/30/2019 0.238 2.92 18.0 43.6 0.1 56.3 0.0 0.0 0.0

2-Year FRN 9/27/2019 0.290 2.66 18.0 50.5 1.6 47.9 0.0 0.0 0.0

Nominal Coupons

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % 

Indirect*

NonCompetitive 

Awards ($bn)

SOMA "Add 

Ons" ($bn)

10-Year 

Equivalent 

($bn)**

10-Year TIPS 7/31/2019 0.282 2.28 14.0 17.1 18.6 64.3 0.0 0.6 16.4

10-Year TIPS 9/30/2019 0.174 2.41 12.0 17.3 16.3 66.4 0.0 1.2 14.1

30-Year TIPS 8/30/2019 0.501 2.70 7.0 10.6 7.7 81.6 0.0 0.0 19.7

TIPS
 Secondary market purchases of Treasury securities by SOMA do not directly change net privately-held marketable 

borrowing but, all else equal, when they mature would increase the amount of cash raised for a given privatelyheld auction size by increasing the SOMA “add-on” amount:

 As illustrated below, if SOMA had purchased $5 billion of 9/19 maturing T-bills and then reinvested the proceeds, 

Treasury could have reduced privately-held gross issuance by an equivalent amount and still have achieved the 

same net privately-held marketable borrowing figure. Alternatively, Treasury could have maintained privatelyheld gross issuance and net cash raised would have increased by $5 billion.

 A reminder: when SOMA redeems (rather than reinvests) its maturing Treasury securities, privately-held net 

marketable borrowing needs increase (all else being equal) as Treasury must finance those redemptions via private 

market participants. 

Effect of SOMA Purchases on Net Privately-Held Marketable Borrowing

1

Actual Scenario 1: Treasury Reduces PrivatelyHeld Gross IssuanceScenario 2: Treasury Maintains 

Privately-Held Gross Issuance
Monday Tuesday Wednesday Thursday 

16 17 18 19 

23 24 25 26 30 31

Christmas

11:30am: 3- & 6-Month Bills

1:00pm: 1-Year Bill

* This sample calendar is pre-decisional and for discussion purposes only.

Announce end-of-month 

coupon supply

11:30am: 3- & 6-Month Bills

1:00pm: 2-Year Note

10:00am: 2-Year FRN

11:30am: 5-Year Note

11:30am: 1- & 2-Month Bills

1:00pm: 7-Year Note

Sample Auction Calendar for End-of-December 2019 *
20-Year Bond Issuance

October 2019
2

Over the past several years, TBAC and market participants have proposed that 

Treasury consider issuing a 20-year nominal coupon bond. Treasury would like the 

Committee to comment on the current expected demand and pricing for a 20-year 

Treasury bond. Additionally, how should Treasury consider incorporating such a 

security into its issuance calendar?

TBAC Charge
3

Outline

1. Approach

2. Demand and Market Considerations

• Foreign demand

• Pension funds, Insurance companies

• Corporates

• Futures relative value

3. Expected Valuation and Pricing

• Historical context

• Fair value expected pricing

• 20-year experience outside the U.S.

4. Optimal Product Structure

5. Conclusions and Recommendations
Approach
5

Approach to Analyzing 20-Year Bond Issuance

Treasury’s Debt Management Objective:

“To fund the deficit and refinance maturing debt at the least expected 

cost to taxpayers over time”

Framework Employed to Analyze 20-Year Bond Issuance:

• We define “expected cost to taxpayers” through valuation versus a fair value curve that takes into account short rate 

expectations, term premium and value of convexity

• While yield is presented throughout the presentation for comparison purposes, the recommendations are based on 

expected deviation versus a fair value curve

• The analysis evaluates the 20-year versus duration weighted 10s and 30s

• Our assessment incorporates the Treasury’s “regular and predictable” long term auction philosophy
6

• The federal deficit is projected to be approximately 4.5% of GDP in 2019 and, by some estimates, will likely rise further over time

• While current Treasury issuance covers projected near-term funding needs, the expected funding gap for fiscal 2021 is 

approximately $300-$450 billion

• Trimmed mean Primary Dealer Survey results suggest the current auction sizes are approaching the high end of their 

expectations, supporting the addition of a new auction point on the yield curve

Auctions Sizes Approaching High End of Primary Dealer Expectations

Source: Primary Dealer Survey (April 2019) and Treasury Direct

Primary Dealer Poll of Auction Sizes That Would Not Surprise

*Trimmed Mean –

Primary Dealer Survey
Demand and Market Considerations
8

• Foreign investor demand is typically concentrated in the intermediate part of the curve and is not expected to be a major driver

of 20-year auction demand 

• The allotment to foreign and international investors at the 30-year bond auction has averaged 8% since 2000 (vs. 18% for 5-

year notes and 16% for 10-year notes since 2000)

Source: Treasury Direct.

Foreign Allotment at Treasury Auctions

Foreign Demand for 20-Year Treasury Not Likely to be A Major Driver 

of Auction Demand

0%

5%

10%

15%

20%

25%

30%

35%

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

5-Year Note 10-Year Note 30-Year Bond

Note: The break in 30-year data is due to Treasury’s discontinuation of 30-year bonds during this period.
9

Size of Corporate Defined Benefit Market Has Grown Significantly

• Corporate defined benefit pension legislation, regulation and accounting have also changed to alter demand for fixed income assets

• PPA 2006, FASB 87 and 158 have all incentivized pension plans to match assets with liabilities and increased their demand for long 

duration bonds

• We can compare the U.S. experience and demand for long dated issuance with other countries, large defined benefit pension liabilities 

and 20-year sovereign issuance

• The size of the U.S. pension liability relative to the long dated issuance is smaller than the UK and Japan

• Corporate defined benefit market is expected to shrink over time, however this may be offset in the future by increasing use of long 

duration bonds in defined contribution plans

UK1 US1Japan2

Total Corp and Sovereign Debt 

Outstanding Maturity > 10 years 

($BN)

1,314 4,338 3,216

Pension Plan Assets ($BN) 1,573 2,972 3,318

Pension Assets as % of Total Corp 

and Sovereign Debt > 10 years 120% 69% 103%

Sources: PPF Purple Book 2018, Willis Towers Watson Global Pension Asset Study 2019, Milliman Corporate Pension Funding Study 2019, ICI Retirement Assets Study, ICE BAML Indices. UK data as at 

3/31/2018. All other data as at 12/31/2018. 

1

Includes only corporate defined benefit pension plans

2

Includes both defined benefit and defined contribution plans

U.S. Corporate—Defined Benefit

As of June 30, 2019

U.S. Corporate & Sovereign Issuance—Defined Benefit

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

$3,500

$4,000

$Billions

Assets Liabilities
10

Corporate Pension Plan Liabilities Could Support Demand for 20-

year Bonds

• Corporate pension plan liabilities have significant key rate exposure to the 20-year part of the curve (see table below)

• Corporate pension plans have had preference for fixed income securities with high duration per dollar invested—this is indicated

by the richness of interest rate swaps, Treasury futures, and long Treasury Principal STRIPS

• As corporate pension plans mature, they will likely focus more on cashflow and key rate duration matching and would require 

more 20-year key rate exposure

• Other markets, such as the UK and Japan, also have large corporate DB plans and include 20-year bonds in their suite of 

sovereign debt issuance

Source: Committee participant 

Cashflow Defeasance of Typical U.S. Corporate DB Plan1

As of September 30, 2019

Maturity % Par Bond

Defeasance

Duration

Contribution

0-2 year 4.4% 0.1 

2-7 year 9.7% 0.9 

7-15 year 21.9% 3.2 

15-25 year 28.9% 4.4 

25-35 year 20.6% 2.7 

35-45 year 9.8% 1.1 

45+ years 4.6% 0.4 

Total 100% 12.7 
11

20-Year Treasury Issuance Could Facilitate Improved Cashflow 

Matching for Insurers

• Regulatory testing and accounting considerations push life and annuity companies to adopt a cashflow matching approach where spread 

product is available 

• The gap in the 20-year part of the curve creates cash flow matching issues for insurers

• Life and annuity products are driven by retirement needs, leading to fixed liability flows in the 15 – 25 years sectors

• 20-year Treasury issuance would provide a reference bond for corporate issuers who could issue to meet insurance demand

• We would expect significant demand from life and annuity insurers at the 20-year part of the curve for investment grade corporate debt given 

their desire to match life contingent liability flows, supporting liquidity of a new 20-year Treasury 

20 Year Issuance Would 

Allow Insurers to Reduce 

their 10s/30s Barbell

Source: Committee Participant Model

Difficult to Cashflow Match Liabilities

With Only 10-Year/30-Year Issuance

20-Year Issuance Improves Cashflow Match

0

500

1000

1500

2000

2500

3000

3500

4000

4500

0 5 10 15 20 25 30 35 40 45 50

Asset Cashflows Liability Cashflows

0

500

1000

1500

2000

2500

3000

0 5 10 15 20 25 30 35 40 45 50

KRD Matched Portfolio With 20yr Issues

Asset Cashflows Liability Cashflows

Life Contingent 

Annuity Block: 9.7 

year duration
12

• Corporates prefer to issue where there is a liquid benchmark Treasury

• Despite the lack of a 20-year benchmark Treasury, there has still been some corporate issuance

• Availability of liquid benchmark Treasuries provides a basis for hedging interest rate risk and pricing credit risk

• This creates structural demand for on-the-run Treasuries and contributes to their liquidity premia, which Treasury captures at auction

Treasury Could Benefit from Issuing at Additional Maturities That 

Match Corporate Funding Needs

Source: JPMorgan and Haver. 

Corporate and Treasury Issuance by Tenor 

(Share of Total Issuance Greater Than Two Years)

2000 - 2019 

0%

5%

10%

15%

20%

25%

30%

35%

3 5 7 10 20 30

Corporate Issuance Treasury Issuance
13

Alternative to U.S. Treasury Futures and STRIPS

• Currently, the Treasury Long Bond (US) futures contract is the dominant hedging instrument in the 20-year sector due to:

• The lack of a liquid benchmark 20-year bond

• The less liquid nature of the off-the-run issues in that sector

• The unfunded nature of a futures contract

• An on-the-run 20-year Treasury would provide an alternative to the US futures contract by:

• Creating a liquid point for primary dealers to hedge their STRIPS holdings

• Making Principal STRIPS more available for liability driven investors

Source of chart on left: Treasury MSPD, Federal Reserve. 

Source of chart on right: CFTC

1 Reflects open Interest since the roll to 4.5 Feb 36’s as CTD

20+ Year U.S. Treasuries

As of September 30, 2019

U.S. Contract Open Interest1

As of October 8, 2019

 -

 10

 20

 30

 40

 50

 60

 70

SOMA Holdings Held in Stripped Form Whole Bond Ex SOMA

$Billions (USD) # of Contracts

(000’s)

 -

 200

 400

 600

 800

 1,000

 1,200

 1,400

2015 2016 2017 2018 2019

US Tsy Bonds Total Open Interest
14

20-Year Treasury Would Support STRIPS Market Liquidity

• Currently, the STRIPS market is primarily focused in longer maturity issues as pensions and other liability driven investors seek to add 

duration to the portfolios while minimizing cash outlays. This process generates coupon STRIPS held on dealers’ balance sheets 

• By adding a liquid point in the 20-year sector dealers gain an added tool to hedge STRIPS exposure in the 20-year part of the curve. 

This, in turn, improves dealers’ ability to manage STRIPS risk in their holdings, boosting liquidity in the STRIPS market 

• A regular 20-year Treasury issue would be a source for new stripping activity that would likely trade closer to fair value than existing 

principal STRIPS 

 -

 2

 4

 6

 8

 10

 12

 14

 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30

USD Billions

Time to Maturity

Coupon STRIPS Principal STRIPS

STRIPS Outstanding

As of September 30, 2019

Source: Monthly Statement of Public Debt. Treasury Direct. 

Currently, stripping activity is 

focused in the long end, generating 

coupon STRIPS that are less liquid 

and more challenging to hedge 
Expected Valuation and Pricing
16

Historical Perspective of U.S. 20-Year Issuance

Historical Experience with U.S. Treasury 20-year Bonds 

• The U.S. Treasury introduced 20-year bond auctions in January 1981 to replace the 15-year bond, holding quarterly auctions through 

January 1986, except for a two-quarter pause in 1982

• Debt ceiling constraints on bond issuance at the time led the U.S. Treasury to cancel the 20-year auction twice in 1982 and again in the 

spring of 19861

• After observing the market’s reaction to its cancelation in 1986, the U.S. Treasury opted to discontinue 20-year issuance in favor of larger 

10-year and 30-year issuance2

Features of the 20-year Bond

• Deliverable against the CBOT’s bond futures contract (unlike the 15-year bonds it replaced)3

• Reopened at the next quarterly auction only a few times on a sporadic basis4

• Eligibility for the STRIPS program was introduced in January 19855

Performance

• Auctions of the 20-year bond generally went reasonably well6, with the bid/cover ratio averaging 2.36; in the last year of its existence, 

bid/cover ratios averaged 2.714

• There were complaints at the time about a lack of liquidity in the 20-year issue and that the yield on the 20-year bond exceeded 30-year 

yields over most of the five years it was issued

1Legislated limits on the dollar amount of bond issuance exempt from the 4 1⁄4% interest rate ceiling on issues with maturities > 10 years proved to be a binding constraint on bond 

issuance during this period of elevated market rates of interest. The ceiling was finally removed in November 1988. 2U.S. Treasury, “Talking Points for the Financing Press Conference,” 

April 30, 1986. 3Kenneth D. Garbade, “Treasury Debt Management under the Rubric of Regular and Predictable Issuance: 1983-2012, FRBNY, 2015, p. 48. 4Treasury Bulletin, various 

issues. 5Garbade, p. 33. 6In fact, Garbade notes “bidding in the first auction was stronger than expected,” p. 48. 
17

Source: Participant Model and Haver Analytics

• On a nominal yield basis, 20-year yields during the 1981-1986 time frame had a positive yield spread (average: 15.1 bps) to a 

duration weighted mix of 10s and 30s (left chart)

• Accounting for short rate expectations, term premium and convexity1, this spread falls to an average of 4.7 bps (right chart)

• The residual spread likely represents illiquidity, due in part to the:

• Lack of regular and predictable 20-year issuance

• Lack of 20-year credit issuance (vs. 10s and 30s)

Historical Analysis of 20-Year Bond

1Presenting members model used for fitted Treasury yield is a proprietary stochastic term structure model which fits fair value for bonds and bond volatility

-30

-20

-10

0

10

20

30

40

50

Bps

-25

-20

-15

-10

-5

0

5

10

15

20

25

30

Bps

20-Year Yield vs. Duration Weighted 10s & 30s 

(Market Yield)

20-Year Yield vs. Duration Weighted 10s & 30s 

(Market Treasury Yield minus Model Yield)1

Average = 15.1 bps Average = 4.7 bps
18

Swap and Treasury Curve Fair Value Analysis

Participant Swaps and Treasury Fair Value Curves1

As of 9/30/2019

• Treasury’s objective of regular and predictable issuance and funding at least expected cost over time can be approached 

as a duration neutral decision between:

• Increasing the size of existing 10-year and 30-year auctions

• Introducing a new 20-year Treasury issuance

• We evaluate expected pricing of 20-year versus 10-years and 30-years from three perspectives:

• Duration neutral yield butterfly (the yield difference between a 20 year bond and duration weighted 10s & 30s)

• Fair value spread of 20s vs 10s & 30s (market Treasury yield minus model yield)

• LIBOR Swap spread differentials (market Treasury yield minus Swap yield)

• Liquid on-the-run benchmark issues typically trade with a liquidity premium which Treasury captures at auction

Source: Participant Model and Haver Analytics

1Presenting members model used for fitted Treasury yield is a proprietary stochastic term structure model which fits fair value for bonds and bond volatility

1.4

1.5

1.6

1.7

1.8

1.9

2

2.1

2.2

2.3

0 5 10 15 20 25 30 35

Yield %

Maturity

Treasury

LIBOR

Off-The-Run Treasury Coupon Bonds

On-The-Run Treasury Coupon Bonds
19

20-Year Treasury Theoretical Fair Value 

Source: Committee participant model

1 Duration neutral butterfly of outstanding bonds in 17-23 year versus 7.5-12.5 year and 25+ year maturity ranges

• 20-year fair value yield will trade above 10s and 30s when market volatility is high and the yield curve is steep (left graph)

• Since 2014 the 20-year maturity has been relatively rich versus the theoretical fair value curve (right graph)

• The recent richness may be attributable to the scarcity of bonds in the 20 year segment of the curve

• Over time as existing bonds shorten and begin to fill this maturity gap, this current scarcity premium may dissipate

20-Year Yield vs. Duration Weighted 10s & 30s 

(Model Yield) 

As of September 30, 2019

-15

-10

-5

0

5

10

15

20

25

Bps

0

5

10

15

20

25

30

35

40

Bps

20-Year Yield vs. Duration Weighted 10s & 30s 

(Market Treasury Yield minus Model Yield)1

(6 month trailing average)

1998-2019

Average = 12 bps

Average = 5.4 bps
20

20-Year U.S. Bonds Observed Swap Spread Value

Source: Committee participant model

1Represents the spread of Treasury bond minus the yield of the fixed leg of a corresponding maturity LIBOR Swap plotted against the Treasury Bond Duration.

• The Treasury-LIBOR swap spread provides an observable market measure of where a 20-year trades relative to 10-years and 30-years

• Provides a market based measure (rather than model based) perspective of relative pricing of these Treasury sectors

• This spread has averaged 7.6 bps since 1998

• Since 2014, the 20-year sector has traded rich versus 10-year and 30-year sectors

20-Year vs Duration Weighted 10s & 30s 

(Market Treasury Yield minus Swap Yield)1

(6 month trailing average)

As of September 30, 2019

Note: 

1. Durations used are calculated from Committee participant’s model

2. Treasury spread (see previous for bucketing rules) to the Swap curve is calculated from Committee participant’s model

3. Swap curve is calibrated from Committee participant’s model with key rate adjustments to market levels

-20

-10

0

10

20

30

40

Bps

Average = 7.6 bps
21

20-Year Is a Common Global Sovereign Maturity

• Global sovereigns generally issue a 20-year as part of long duration debt issuance

• US, Canada, and Germany do not currently include 20-years in their suite of debt issuance

20-Year Sovereign Issuance as a Percentage of 10-Year and Greater Sovereign Issuance

Source: Bloomberg Barclays Global Aggregate Index. 

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

U.S. Japan China France UK Italy Germany South

Korea

Canada Australia Russia Mexico

20s Other
22

20-Year UK/Japan/France Relative Value to Fair Value Curve

• Valuation of 20-year versus duration weighted 10s and 30s (market Treasury yield minus model yield) in UK, 

Japan and France show varying results across markets

• Japan 20-year has generally traded cheap to theoretical fair value

• No discernable valuation difference in France or the UK

United Kingdom

(6 Month Trailing Average)

Japan

(6 Month Trailing Average)

France

(6 Month Trailing Average)

-15

-10

-5

0

5

10

Bps

-10

-5

0

5

10

15

20

25

Bps

-15

-10

-5

0

5

10

15

20

25

Bps

Source: Participant Model and Haver Analytics

Model used for fitted Treasury yield is a proprietary stochastic term structure model which fits fair value for bonds and bond volatility

Historical 20-Year as Percentage of 

10+ Issuance Outstanding

0%

5%

10%

15%

20%

25%

30%

35%

40%

Japan France UK
Optimal Product Structure
24

Auction Schedule—Recommendation for 20-Year Bonds

• Recommend the 20-year auction follow the existing issuance pattern of 10yrs and 30yrs with a mid-month maturity (i.e. February 

15th, May 15th, August 15th, and November 15th)

• Doing so will ensure that any coupon STRIPS obtained from a 20-year issue will line up with the existing STRIPS market, 

supporting overall STRIPS liquidity 

• Consistent with other nominal benchmark issuance patterns we recommend quarterly issues with 2 reopenings each to support 

overall liquidity

• Endorse auctioning 20-years in the latter half of the month with dated and maturity dates aligning with existing 10-years and 30-years

• Ideally, the 20-year would be auctioned during the same week as the existing TIPS auction 

• Avoids a large amount of coupon Treasury issuance during the existing 3yr/10yr/30yr and 2yr/5yr/7yr auction weeks 

• Results in a 20-year Treasury settling after the 15th of the month, requiring accrued interest at settlement—this convention is 

already prevalent in TIPS auctions 

Week Issues Auctioned/Reopened

Week 1

Week 2 3yr, 10yr, 30-year Auction/Reopenings

Week 3 TIPS and 20-year Auction/Reopenings

Week 4 2yr FRN, 2yr, 5yr, 7yr Auctions

Generalized Auction Monthly Schedule
25

Auction Schedule—Recommendation for 20-Year Bonds

Benefits

• A new 20-year coupon auction would not compete with existing auctions in the weeks with existing nominal coupon 

auctions (i.e. 2s/5s/7s and 3s/10s/30s)

• The auction would fit in the same week as the TIPS auction given the single TIPS auction/reopening during that week 

every month. 

• Leverages an existing Treasury product delayed settlement post-auction (i.e. TIPS)

Drawbacks

• Potentially longer when-issued period between the auction and settlement 
Conclusions and Recommendations
27

Conclusions and Recommendations 

• In light of large projected U.S. Treasury borrowing needs in the coming years, Treasury should consider adding a 20-year to its current 

auction schedule

• Issuance of 20-year bonds would relieve pressure from both 10s and 30s as auction sizes are expected to increase in future years

• The 15-20 year part of the curve currently trades rich to a Treasury fair value curve, hinting at potential unmet demand

• A new 20-year benchmark issuance would fill a large hole in the current auction schedule between 10s and 30s and potentially benefit 

from becoming a new liquid pricing point for future 20-year corporate issuance

• A new 20-year issue has the potential to tap into pockets of demand from pension and life insurance portfolios

• Initially a new 20-year issuance would likely price fair relative to a Treasury fair value curve

• While this pricing would be approximately 5 basis points cheaper than a duration weighted 10 & 30 barbell, the 20 year would likely 

richen over time as the new auction point becomes established

• Treasury should take a long-term perspective consistent with its “Regular and Predictable” philosophy

• While issuance of a 20-year bond will clearly cannibalize demand for 10s & 30s, it would also absorb supply from 10 & 30 year 

auctions. Over time, as the 20-year issuance point becomes well established, we believe the net effect has the potential to reduce 

Treasury borrowing cost. 

• Annual size recommendation:

• Given current annual auction sizes of $300 bn 10 years and $204 bn 30 years, we recommend initial annual size of approximately 

$140 bn (roughly 22% of Treasury’s 10-year and greater issuance)

• Initial size should be large enough to ensure liquidity and demonstrate Treasury’s long term commitment to the issue

• At the same time, the initial size should not be too large until the issue is well established 

• Over time annual 20-year issuance could grow to approximately $250 bn

• Auction details recommendation:

• 20-year issuance should mature quarterly on the 15th of the month, with auctions occurring in the third week of the month with end 

of month settlement

• Proposed initial auction sizes of $13 bn original quarterly issuance with $11 bn monthly re-openings
TBAC Financing Tables (Illustrative Scenarios)

The following slides are for discussion purposes only and do not 

represent TBAC recommendations. 
ILLUSTRATIVE US TREASURY FINANCING SCHEDULE FOR 4th QUARTER 2019 (FOR DISCUSSION PURPOSES ONLY) *

BILLIONS OF DOLLARS

NEW Fed New Private

MONEY Purchases Bills

Net BILLS Issuance for the quarter 121.64 -157.50 -35.86

SETTLEMENT OFFERED MATURING NEW

ISSUE DATE AMOUNT AMOUNT MONEY

COUPONS

CHANGE

3-year Note 10/15 38.00 0.00

10-year Note (r) 10/15 24.00 0.00

30-year Bond (r) 10/15 16.00 0.00 24.00 54.00

5-year TIPS 10/31 17.00 0.00

2-year note 10/31 40.00 0.00

2-year FRN 10/31 20.00 0.00

5-year note 10/31 41.00 0.00

7-year note 10/31 32.00 0.00 116.34 33.66

3-year Note 11/15 23.00 -15.00

10-year Note 11/15 27.00 0.00

30-year Bond 11/15 19.00 0.00 60.52 8.48

10-year TIPS (r) 11/29 12.00 0.00

2-year FRN (r) 11/29 18.00 0.00 0.00 30.00

2-year note 12/2 25.00 -15.00

5-year note 12/2 41.00 0.00

7-year note 12/2 32.00 0.00 82.44 15.56

3-year Note 12/16 23.00 -15.00

10-year Note (r) 12/16 24.00 0.00

30-year Bond (r) 12/16 16.00 0.00 24.00 39.00

2-year FRN (r) 12/27 18.00 0.00 0.00 18.00

5-year TIPS (r) 12/31 15.00 0.00

2-year note 12/31 25.00 -15.00

5-year note 12/31 41.00 0.00

7-year note 12/31 32.00 0.00 81.35 31.65

619.00 -60.00 388.64 230.36

Estimates are italicized. R = Reopening

NET CASH RAISED THIS QUARTER: 352

* This Financing table is meant to be illustrative based on meeting discussions and does not indicate how Treasury will actually issue

debt in the future.
ILLUSTRATIVE US TREASURY FINANCING SCHEDULE FOR 1ST QUARTER 2020 (FOR DISCUSSION PURPOSES ONLY)*

BILLIONS OF DOLLARS

NEW Fed New Private

MONEY Purchases Bills

Net BILLS Issuance for the quarter 243.11 -189.00 54.11

SETTLEMENT OFFERED MATURING NEW

ISSUE DATE AMOUNT AMOUNT MONEY

COUPONS

CHANGE

3-year Note 1/15 23.00 -15.00

10-year Note (r) 1/15 24.00 0.00

30-year Bond (r) 1/15 16.00 0.00 45.35 17.65

2-year FRN 1/31 20.00 0.00

10-year TIPS 1/31 14.00 0.00

2-year note 1/31 25.00 -15.00

5-year note 1/31 41.00 0.00

7-year note 1/31 32.00 0.00 128.49 3.51

3-year Note 2/18 23.00 -15.00

10-year Note 2/18 27.00 0.00

30-year Bond 2/18 19.00 0.00 70.69 -1.69

2-year FRN (r) 2/28 18.00 0.00

30-year TIPS 2/28 8.00 0.00 0.00 26.00

2-year note 3/2 25.00 -15.00

5-year note 3/2 41.00 0.00

7-year note 3/2 32.00 0.00 82.08 15.92

3-year Note 3/16 23.00 -15.00

10-year Note (r) 3/16 24.00 0.00

30-year Bond (r) 3/16 16.00 0.00 24.00 39.00

2-year FRN (r) 3/27 18.00 0.00 0.00 18.00

10-year TIPS (r) 3/31 12.00 0.00

2-year note 3/31 25.00 -15.00

5-year note 3/31 41.00 0.00

7-year note 3/31 32.00 0.00 82.50 27.50

579.00 -90.00 433.11 145.89

Estimates are italicized. R = Reopening

NET CASH RAISED THIS QUARTER: 389

* This Financing table is meant to be illustrative based on meeting discussions and does not indicate how Treasury will actually issue

debt in the future.
1800

1900

2000

2100

2200

2300

2400

2500

2600

2700

2800

Jan‐18 Apr‐18 Jul‐18 Oct‐18 Jan‐19 Apr‐19 Jul‐19 Oct‐19 Jan‐20 Apr‐20

Impact of Fed Purchases on Private Bill Holdings

TBills Accomodating Decreased Coupon Issuance

Private Holdings Fed Holdings

1800

1900

2000

2100

2200

2300

2400

2500

2600

2700

2800

Jan‐18 Apr‐18 Jul‐18 Oct‐18 Jan‐19 Apr‐19 Jul‐19 Oct‐19 Jan‐20 Apr‐20

Impact of Fed Purchases on Private Bill Holdings

Assumes No Change in Coupon / Bill Issuance

Private Holdings Fed Holdings