Office of Debt Manageme

Brief Overview of Key Data Sources on

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

2

 Several publicly available data sources provide information on foreign participatio

primary and secondary Treasury securities markets.

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

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

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

 Primary Market data on auction awards:

1) Treasury Investor Class Data2) Treasury Auction Results Data

 Secondary Market data on holdings and transactions:

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

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

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

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

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

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 We do not cite those sources here.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

1) Treasury Investor Class Data

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

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

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

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

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

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

 Noncompetitive bids for Foreign and International Monetary Authorities placed 

Federal Reserve Bank of New York (FRBNY).

Issue 

 date Security type

 (%)

 Coupon 

 rate 

 Or

 Spread Cusip

Maturity 

 date

Total 

 issue

(SOMA) 

 Federal 

 Reserve 

 banks

Depository 

 institutions Individuals

Dealers 

 and 

 brokers

Pension 

 and 

 Retirement 

 funds and 

 Ins. Co.

Investm

 fund

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

Auction Allotments By Investor Class For Marketable Treasury Coupon Securities

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

1) Treasury Investor Class Data (continued)

4

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

secondary market activity can affect foreign holdings. 

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

investor class allocations by product in CY2018.

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

Depository 

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

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

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

*Other represents the residual from categories 

0

255075

100125150

2010 2011 2012 2013 2014 2015 2016 2017 2018

$Billions

Issue Date

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

2) Treasury Auction Results Data

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

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

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

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

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

Noncompetitive awards include awards to relatively small investors and aggregated 

Foreign Institution and Monetary Authorities (FIMA)

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

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

2) Treasury Auction Results Data (continued)

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

competitive award categories do not identify foreign participation.

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

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

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

primary market. 

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

0%

20%40%60%80%

100%

2003 2005 2007 2009 2011 2013 2015 2017

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

Primary Dealers Directs Indirects Foreign Competitive

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

3) Treasury International Capital (TIC) Data

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

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

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

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

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

Annual 5-Year 

Benchmark

(next in 2019)

Foreign holdings from all 

U.S. custodians Spring for 

survey results 

from the prior 

June

Holdings by country or region (MV)

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

H

for

Annual NonBenchmark

Foreign holdings from 

largest U.S. custodians; 

accounts for 99% of MV of 

benchmark survey

Monthly

Foreign Holdings

2-month lag

Holdings by country or region (PV)

Holdings by country or region (MV)

Transactions Not Reported

Gross purchases and sales by country or region (MV)

Ne

i

f

on

PV = Par Va
Secondary Market

3) TIC Data (continued) – Important Features

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Custodian Bias

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

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

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

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

foreign entity on behalf of residents of other countries. 

Transaction Bias

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

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

Valuation

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

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

3) TIC Data (continued) – Major Foreign Holders

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MAJOR FOREIGN HOLDERS OF TREASURY SECURITIES

(in billions of dollars)

HOLDINGS 1/ AT END OF PERIOD

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

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

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

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

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

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

3) TIC Data (continued) – Monthly Holdings Brea

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

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

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

official and foreign private accounts through September 2018.

0

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

2012 2013 2014 2015 2016 2017 2018

$Billions

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

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

3) TIC Data (continued) - Monthly Transactions

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

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

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

foreign, and international and regional organization.

-100

-80-60-40-20

0

20406080

100

2012 2013 2014 2015 2016 2017 

$Billions

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

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

4) Federal Reserve’s H.4.1

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

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

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

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

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

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

6,23,93,0

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

2012 2013 2014 2015 2016 2017 2018

$Billions

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

TIC Total TIC Official Holdings FRBNY Custody
Secondary Market

Other Foreign Holdings Data

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

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

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

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

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

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

The Treasury Bulletin

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

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

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

important for conducting accurate analysis and interpretation of the data.

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

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

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

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

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Source Publisher Publication Schedule

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

Coupons - Roughly every two weeks for securities issued since 

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

Auction Results Treasury After each auction

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

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

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

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

H.4.1 - Factors Affecting Reserve 

Balances Federal Reserve Weekly

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

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

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

International Transactions and 

International Investment Positions

Bureau of Economic 

Analysis Quarterly

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

Treasury Bulletin Treasury Quarterly

Treasury Bulletins: https://www.fiscal.treasury.gov/reports-statements/treas