Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2015 Q2 Report
Table of Contents

2

I. Fiscal

A. Quarterly Tax Receipts p. 4

B. Monthly Receipt Levels p. 5

C. Eleven Largest Outlays p. 6

D. Treasury Net Nonmarketable Borrowing p. 7

E. Cumulative Budget Deficits p. 8

F. Deficit and Borrowing Estimates p. 9

G. Budget Surplus/Deficit p. 10

II. Financing

A. Sources of Financing p. 13

B. OMB’s Projections of Net Borrowing from the Public p. 15

C. Interest Rate Assumptions p. 16

D. Net Marketable Borrowing on “Auto Pilot” Versus Deficit Forecasts p. 17

III. Portfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections p. 22

B. Projected Gross Borrowing p. 23

C. Recent and Projected Maturity Profile p. 24

IV. Demand

A. Summary Statistics p. 29

B. Bid-to-Cover Ratios p. 30

C. Investor Class Awards at Auction p. 35

D. Primary Dealer Awards at Auction p. 39

E. Direct Bidder Awards at Auction p. 40

F. Foreign Awards at Auction p. 41
Section I:

Fiscal

3
4 Source: United States Department of the Treasury 

(50%)

(25%)

0%

25%

50%

75%

Mar-05

Jul-05

Nov-05

Mar-06

Jul-06

Nov-06

Mar-07

Jul-07

Nov-07

Mar-08

Jul-08

Nov-08

Mar-09

Jul-09

Nov-09

Mar-10

Jul-10

Nov-10

Mar-11

Jul-11

Nov-11

Mar-12

Jul-12

Nov-12

Mar-13

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Year-over-Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)
0

20

40

60

80

100

120

140

Mar-05

Jul-05

Nov-05

Mar-06

Jul-06

Nov-06

Mar-07

Jul-07

Nov-07

Mar-08

Jul-08

Nov-08

Mar-09

Jul-09

Nov-09

Mar-10

Jul-10

Nov-10

Mar-11

Jul-11

Nov-11

Mar-12

Jul-12

Nov-12

Mar-13

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporation Income Taxes Social Insurance Taxes Other

5

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

100

200

300

400

500

600

HHS

SSA

Defense

Treasury

Agriculture

Labor

VA

Transportation

OPM

Education

Other Defense Civil

$ bn

Eleven Largest Outlays

Oct - Mar FY 2015 Oct - Mar FY 2014

6 Source: United States Department of the Treasury 
(40)

(30)

(20)

(10)

0

10

20

30

40

Q2-05Q3-05Q4-05Q1-06Q2-06Q3-06Q4-06Q1-07Q2-07Q3-07Q4-07Q1-08Q2-08Q3-08Q4-08Q1-09Q2-09Q3-09Q4-09Q1-10Q2-10Q3-10Q4-10Q1-11Q2-11Q3-11Q4-11Q1-12Q2-12Q3-12Q4-12Q1-13Q2-13Q3-13Q4-13Q1-14Q2-14Q3-14Q4-14Q1-15Q2-15

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Gov't Series (SLGS) Savings Bonds

7 Source: United States Department of the Treasury 
0

100

200

300

400

500

600

700

800

October

November

December

January

February

March

April

May

June

July

August

September

$ bn

Cumulative Budget Deficits by Fiscal Year

FY 2013 FY 2014 FY 2015

8 Source: United States Department of the Treasury 
Primary 

Dealers1 OMB2 CBO3 OMB MSR4

FY 2015 Deficit Estimate 491 583 486 525

FY 2016 Deficit Estimate 500 474 380 525

FY 2017 Deficit Estimate 531 463 401 468

FY 2015 Deficit Range 425-550

FY 2016 Deficit Range 375-615

FY 2017 Deficit Range 375-700

FY 2015 Net Marketable Borrowing Estimate 574 726 595 655

FY 2016 Net Marketable Borrowing Estimate 576 602 469 658

FY 2017 Net Marketable Borrowing Estimate 603 596 488 596

FY 2015 Net Marketable Borrowing Range 490-651

FY 2016 Net Marketable Borrowing Range 420-717

FY 2017 Net Marketable Borrowing Range 420-703

Estimates as of: Apr-15 Feb-15 Mar-15 Jul-14

1

Based on primary dealer feedback on April 27, 2015. Estimates above are averages. 

2

Table 1 of OMB's "Fiscal Year 2016 Budget of the US Government"

3

Table 1 and 3 of "An Analysis of the President's 2016 Budget "

4

Table S-11 of OMB's "Fiscal Year 2015 MSR"

9

FY 2015-2017 Deficits and Net Marketable Borrowing Estimates In $ billions
(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

(1,600)

(1,400)

(1,200)

(1,000)

(800)

(600)

(400)

(200)

0

200520062007200820092010201120122013201420152016201720182019202020212022202320242025

$ bn

Fiscal Year

Budet Surplus/Deficit

Surplus/Deficit in $ bn (LHS) Surplus/Deficit as a % of GDP (RHS)

Projections are from Table S-1 of OMB’s “Fiscal Year 2016 Budget of the US Government” 

10

OMB’s Projection
Section II:

Financing

11
12

Assumptions for Financing Section (pages 13 to 19)

• Portfolio and SOMA holdings as of 3/31/2015.

• SOMA redemptions until and including June 2021. These assumptions are based on Chairman 

Bernanke’s June 2013 press conference. 

• Assumes announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 

3/31/2015, while using an average of ~1.45 trillion of Bills outstanding consistent with Treasury’s 

guidance of the FRN program replacing some Bills issuance. 

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

as of 3/31/2015. 

• No attempt was made to match future financing needs. 
13

Sources of Financing in Fiscal Year 2015 Q2

*Assumes an end-of-March 2015 cash balance of $100 billion versus a beginning-of-January 2015 cash balance of $223 billion. By keeping the 

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

Net Bill Issuance 20 Security Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 121 4-Week 460 480 (20) 949 944 5

Subtotal: Net Marketable Borrowing 141 13-Week 326 312 14 638 657 (19)

26-Week 326 309 17 677 608 69

Ending Cash Balance 100 52-Week 75 66 9 150 138 12

Beginning Cash Balance 223 CMBs 0 0 0 0 0 0

Subtotal: Change in Cash Balance (123) Bill Subtotal 1,187 1,167 20 2,414 2,347 67

Net Implied Funding for FY 2015 Q2* 265

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 41 0 41 82 0 82

2-Year 78 105 (27) 162 210 (48)

3-Year 72 104 (32) 150 204 (54)

5-Year 105 129 (24) 210 258 (48)

7-Year 87 0 87 174 0 174

10-Year 66 34 32 132 60 72

30-Year 42 11 31 84 11 74

5-Year TIPS 0 0 0 16 0 16

10-Year TIPS 28 24 4 41 24 17

30-Year TIPS 9 0 9 16 0 16

Coupon Subtotal 528 407 121 1,067 765 302

Total 1,715 1,574 141 3,481 3,112 369

January - March 2015 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance

January - March 2015 January - March 2015 Fiscal Year-to-Date

Bill Issuance Bill Issuance
14

Sources of Financing in Fiscal Year 2015 Q3

*Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 03/31/2015, while using an average of 

~1.45 trillion of Bills outstanding consistent with Treasury’s guidance of the FRN program replacing some Bills issuance.

**Assumes an end-of-June 2015 cash balance of $260 billion versus a beginning-of-April 2015 cash balance of $100 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 and Average Bill Issuance Sizes as of 3/31/2015* Security Gross Maturing Net Gross Maturing Net

Net Bill Issuance (14) 4-Week 416 438 (22) 1,365 1,382 (17)

Net Coupon Issuance 138 13-Week 364 326 38 1,002 983 19

Subtotal: Net Marketable Borrowing 124 26-Week 325 351 (26) 1,002 959 43

52-Week 96 100 (4) 246 238 8

Treasury Announced Estimate: Net Marketable Borrowing** 59 CMBs 0 0 0 0 0 0

Implied: Decrease in FY 2015 Q3 Net Issuances (65) Bill Subtotal 1,201 1,215 (14) 3,615 3,562 53

Security Gross Maturing Net Gross Maturing Net

2-Year FRN 41 0 41 123 0 123

2-Year 78 105 (27) 240 315 (75)

3-Year 72 106 (34) 222 310 (88)

5-Year 105 123 (18) 315 381 (66)

7-Year 87 0 87 261 0 261

10-Year 66 34 32 198 94 104

30-Year 42 0 42 126 11 116

5-Year TIPS 18 23 (5) 34 23 11

10-Year TIPS 13 0 13 54 24 30

30-Year TIPS 7 0 7 23 0 23

Coupon Subtotal 529 391 138 1,596 1,157 439

Total 1,730 1,606 124 5,211 4,719 492

Coupon Issuance Coupon Issuance

April - June 2015 April - June 2015 Fiscal Year-to-Date

Bill Issuance Bill Issuance

April - June 2015 Fiscal Year-to-Date
55%

60%

65%

70%

75%

80%

(400)

(200)

0

200

400

600

800

1,000

20152016201720182019202020212022202320242025

$ bn

OMB's Projection of Borrowing from the Public

Primary Deficit Net Interest Other Debt Held by Public

as % of GDP (RHS)

Debt Held by Public Net of

Financial Assets as a % of GDP (RHS)

726 602 597 610 644 675 715 736 746 746 793

15

OMB’s projections of net borrowing from the public are from Table S-13 of the “Fiscal Year 2016 Budget of the US Government.” Data labels at 

the top represent the change in debt held by the public in $ billions. “Other” represents borrowing from the public to provide direct and 

guaranteed loans.

$ bn %

Primary Deficit 456 6.0

Net Interest 5,799 76.4

Other 1,335 17.6

Total 7,590

FY2015 - FY2025 Cumulative Total
1

1.5

2

2.5

3

3.5

4

4.5

5

20152016201720182019202020212022202320242025

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates as of 03/31/2015 OMB Fiscal Year 2016 Budget

10-Year Treasury Rate of 1.94% 

as of 3/31/2015

OMB’s economic assumption of the 10-year Treasury Note rates are from Table S-12 of the “Fiscal Year 2016 Budget of the US Government.” 16

The forward rates are the implied 10-year Treasury Note rates on March 31st of that year.
17 Treasury’s primary dealer survey estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the 

“Fiscal Year 2016 Budget of the US Government.” CBO’s estimates of the borrowing from the public are from Summary Table 3 of the “CBO: An 

Analysis of the President's 2016 Budget”. See table at the end of this section for details.

0

100

200

300

400

500

600

700

800

900

1,000

20152016201720182019202020212022202320242025

$ bn

Fiscal Year

Projected Net Borrowing Assuming Constant Future Issuance

Projected Net Borrowing CBO's "An Analysis of the President's 2016 Budget "

OFP's Fiscal Year 2015 Net Marketable Borrowing Estimate OMB's Fiscal Year 2016 Budget of the U.S. Government

PD Survey Marketable Borrowing Estimates
18

Impact of SOMA Actions on Projected Net Borrowing Assuming Future 

Issuance Remains Constant

Treasury’s primary dealer survey estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the 

“Fiscal Year 2016 Budget of the US Government.” CBO’s estimates of the borrowing from the public are from Summary Table 3 of the “CBO: An 

Analysis of the President's 2016 Budget.” See table at the end of this section for details.

0

100

200

300

400

500

600

700

800

900

1,000

20152016201720182019202020212022202320242025

Fiscal Year

Without Fed Reinvestments ($ bn)

Projected Net Borrowing

CBO's "An Analysis of the President's 2016 Budget "

OFP's Fiscal Year 2015 Net Marketable Borrowing Estimate

0

100

200

300

400

500

600

700

800

900

1,000

20152016201720182019202020212022202320242025

Fiscal Year

With Fed Reinvestments ($ bn)

OMB's Fiscal Year 2016 Budget of the U.S. Government

PD Survey Marketable Borrowing Estimates
19

Historical Net Marketable Borrowing and Projected Net Borrowing 

Assuming Future Issuance Remains Constant, $ billions

Treasury’s primary dealer survey estimates can be found on page 9. OMB’s estimates of borrowing from the public are from Table S-13 of the 

“Fiscal Year 2016 Budget of the US Government.” CBO’s estimates of the borrowing from the public are from Summary Table 3 of the “CBO: An 

Analysis of the President's 2016 Budget”

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2016 

Budget of the U.S. 

Government

CBO's "An Analysis of 

the President's 2016 

Budget "

April 2015 Primary 

Dealer Survey

2010 (204) 869 783 35 0 1,483 

2011 (311) 576 751 88 0 1,104 

2012 139 148 738 90 0 1,115 

2013 (86) 86 720 111 0 830 

2014 (119) (92) 669 88 123 669 

2015 49 (283) 639 88 164 657 726 595 574 

2016 (6) (173) 442 70 41 375 602 469 576 

2017 0 (73) 256 71 (0) 253 597 488 603 

2018 0 29 238 66 0 333 610 512 

2019 0 35 104 67 0 205 644 588 

2020 0 0 119 40 0 159 675 646 

2021 0 15 157 15 0 187 715 735 

2022 0 72 231 4 0 306 736 770 

2023 0 43 195 3 0 242 746 798 

2024 0 2 192 2 0 197 746 832 

2025 0 (34) 200 (42) (0) 124 793 865 
Section III:

Portfolio Metrics

20
21

Assumptions for Portfolio Metrics Section (pages 22 to 27) and Appendix

• Portfolio and SOMA holdings as of 3/31/2015.

• SOMA redemptions until and including June 2021. These assumptions are based on Chairman 

Bernanke’s June 2013 press conference. 

• To match OMB’s projected borrowing from the public for the next 10 years, Nominal Coupon securities 

(2-, 3-, 5-, 7-, 10-, and 30-year) were adjusted by the same percentage. 

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

as of 3/31/2015.

• OMB’s estimates of borrowing from the public are from Table S-13 of the “Fiscal Year 2016 Budget of 

the U.S. Government.”
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 22

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury.

40

45

50

55

60

65

70

75

80

85

90

19801982198419861988199019921994199619982000200220042006200820102012201420162018202020222024

Weighted Average Maturity (Months)

Calendar Year

Weighted Average Maturity of Marketable Debt Outstanding

Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 1980 to end of FY 2015 Q2

68.7 months on

3/31/2015

58.9 months

(Historical Average

from 1980 to Present)
0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

20152016201720182019202020212022202320242025

$ bn

Projected Gross Borrowing excluding Bills for Fiscal Year

Maturing in < 1 Year excluding Bills OMB's Projected Net Borrowing

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 23

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury.
0

5

10

15

20

25

20152016201720182019202020212022202320242025

$ tr

Projected Maturity Profile from end of Fiscal Year

<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 24

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details. 
25

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio composition by original issuance type 

and term can be found in the appendix (Page 43).

Recent and Projected Maturity Profile, $ billions

End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10 Total (0,5]

2007 1,606 639 341 545 267 480 557 4,434 3,130

2008 2,152 711 280 653 310 499 617 5,222 3,796

2009 2,702 774 663 962 559 643 695 6,998 5,101

2010 2,563 1,141 895 1,273 907 856 853 8,488 5,872

2011 2,620 1,334 980 1,541 1,070 1,053 1,017 9,616 6,476

2012 2,951 1,373 1,104 1,811 1,214 1,108 1,181 10,742 7,239

2013 2,939 1,523 1,242 1,965 1,454 1,136 1,331 11,590 7,669

2014 2,935 1,739 1,319 2,207 1,440 1,113 1,528 12,281 8,199

2015 3,197 1,783 1,345 2,394 1,488 1,126 1,656 12,991 8,720

2016 3,239 1,832 1,563 2,434 1,520 1,196 1,829 13,612 9,067

2017 3,288 2,072 1,552 2,514 1,519 1,273 2,014 14,232 9,426

2018 3,558 2,054 1,589 2,569 1,605 1,326 2,167 14,869 9,771

2019 3,544 2,155 1,697 2,681 1,724 1,403 2,335 15,540 10,078

2020 3,612 2,286 1,654 2,887 1,813 1,413 2,581 16,247 10,439

2021 3,743 2,219 1,890 2,973 1,861 1,465 2,845 16,996 10,826

2022 3,677 2,491 1,944 3,077 1,930 1,493 3,157 17,769 11,189

2023 3,948 2,533 1,995 3,108 1,983 1,512 3,474 18,553 11,584

2024 4,031 2,635 2,028 3,231 2,100 1,533 3,782 19,340 11,925

2025 4,094 2,703 2,066 3,496 2,133 1,557 4,126 20,174 12,358
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic 26

trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

20152016201720182019202020212022202320242025

Projected Maturity Profile from end of Fiscal Year

<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10
27

Recent and Projected Maturity Profile, percent

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio composition by original issuance type 

and term can be found in the appendix (Page 43).

End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10 (0,3] (0,5]

2007 36.2 14.4 7.7 12.3 6.0 10.8 12.6 58.3 70.6

2008 41.2 13.6 5.4 12.5 5.9 9.6 11.8 60.2 72.7

2009 38.6 11.1 9.5 13.7 8.0 9.2 9.9 59.1 72.9

2010 30.2 13.4 10.5 15.0 10.7 10.1 10.0 54.2 69.2

2011 27.2 13.9 10.2 16.0 11.1 10.9 10.6 51.3 67.3

2012 27.5 12.8 10.3 16.9 11.3 10.3 11.0 50.5 67.4

2013 25.4 13.1 10.7 17.0 12.5 9.8 11.5 49.2 66.2

2014 23.9 14.2 10.7 18.0 11.7 9.1 12.4 48.8 66.8

2015 24.6 13.7 10.4 18.4 11.5 8.7 12.8 48.7 67.1

2016 23.8 13.5 11.5 17.9 11.2 8.8 13.4 48.7 66.6

2017 23.1 14.6 10.9 17.7 10.7 8.9 14.1 48.6 66.2

2018 23.9 13.8 10.7 17.3 10.8 8.9 14.6 48.4 65.7

2019 22.8 13.9 10.9 17.3 11.1 9.0 15.0 47.6 64.8

2020 22.2 14.1 10.2 17.8 11.2 8.7 15.9 46.5 64.3

2021 22.0 13.1 11.1 17.5 10.9 8.6 16.7 46.2 63.7

2022 20.7 14.0 10.9 17.3 10.9 8.4 17.8 45.6 63.0

2023 21.3 13.7 10.8 16.7 10.7 8.2 18.7 45.7 62.4

2024 20.8 13.6 10.5 16.7 10.9 7.9 19.6 45.0 61.7

2025 20.3 13.4 10.2 17.3 10.6 7.7 20.4 43.9 61.3
Section IV:

Demand

28
29

*Weighted averages of Competitive Awards.

**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.

Summary Statistics for Fiscal Year 2015 Q2 Auctions

Security 

Type

Term Stop Out Rate 

(%)*

Bid-to-Cover 

Ratio*

Competitive 

Awards 

($bn)

% 

Primary 

Dealer*

% 

Direct*

% 

Indirect*

Non-Competitive 

Awards ($bn)

SOMA 

Add Ons 

($bn)

10-Year 

Equivalent 

($bn)**

Bill 4-Week 0.020 3.7 463.7 70.8 4.8 24.5 3.4 0.0 4.1

Bill 13-Week 0.023 4.1 316.9 70.7 7.9 21.3 5.0 0.0 9.2

Bill 26-Week 0.091 4.1 314.3 57.9 6.4 35.7 4.6 0.0 18.4

Bill 52-Week 0.244 3.8 99.1 51.6 4.0 44.5 0.6 0.0 11.2

Bill CMBs 0.000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

Coupon 2-Year 0.580 3.5 77.2 39.0 13.4 47.5 0.5 0.0 17.4

Coupon 3-Year 1.026 3.3 71.6 41.3 10.0 48.7 0.2 0.0 24.1

Coupon 5-Year 1.385 2.5 104.8 33.1 7.2 59.6 0.1 0.0 56.9

Coupon 7-Year 1.739 2.4 87.0 34.5 12.6 53.0 0.0 0.0 64.4

Coupon 10-Year 2.022 2.6 65.9 33.0 10.8 56.2 0.1 0.0 66.8

Coupon 30-Year 2.557 2.3 42.0 36.3 13.7 50.0 0.0 0.0 98.6

TIPS 5-Year 0.000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

TIPS 10-Year 0.262 2.4 27.9 24.6 6.0 69.4 0.1 0.0 30.9

TIPS 30-Year 0.842 2.4 9.0 27.0 4.0 69.0 0.0 0.0 26.7

FRN 2-Year 0.084 4.1 41.0 40.4 3.1 56.5 0.0 0.0 0.0

Total Bills 0.058 3.9 1194.1 65.8 6.0 28.3 13.6 0.0 42.9

Total Coupons 1.461 2.8 448.4 36.0 10.9 53.1 1.0 0.0 328.2

Total TIPS 0.403 2.4 36.9 25.2 5.5 69.3 0.1 0.0 57.6

Total FRNs 0.084 4.1 41.0 40.4 3.1 56.5 0.0 0.0 0.0
30

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Mar-05Mar-06Mar-07Mar-08Mar-09Mar-10Mar-11Mar-12Mar-13Mar-14Mar-15

Bid-to-Cover Ratio

Bid-to-Cover Ratios for Treasury Bills

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

26-Week (13-week moving average) 52-Week (6-month moving average)
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Jan-14

Feb-14

Mar-14

Apr-14

May-14

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs
32

1

1.5

2

2.5

3

3.5

4

4.5

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

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
33

1

1.5

2

2.5

3

3.5

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

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
34

1

1.5

2

2.5

3

3.5

Sep-00Sep-01Sep-02Sep-03Sep-04Sep-05Sep-06Sep-07Sep-08Sep-09Sep-10Sep-11Sep-12Sep-13Sep-14

Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

5-Year 10-Year (6-month moving average) 20-Year 30-Year
35 Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

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

Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

40%

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

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

Pension and Insurance.

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

6-month moving average

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

Auctions by Investor Class (6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International Other
38 Excludes SOMA add-ons. The “Other” category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 

Pension and Insurance.

0%

10%

20%

30%

40%

50%

60%

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

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
39 Excludes SOMA add-ons. 

25%

30%

35%

40%

45%

50%

55%

60%

65%

70%

75%

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

% of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

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

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

TIPS (6-month moving average)
40 Excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25%

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

% of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

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

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

TIPS (6-month moving average)
41 Foreign includes both private sector and official institutions.

0

20

40

60

80

100

120

140

160

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

$ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2,3,5 7,10,30 TIPS FRN
Appendix

42
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic 43

trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2016201720182019202020212022202320242025

Projected Portfolio Composition by Issuance Type, Percent

Bills 2/3/5 7/10/30 TIPS (principal accreted to projection date) FRN
44

Recent and Projected Portfolio Composition by Issuance Type, Percent

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 

basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. 

End of Fiscal 

Year

Bills 2-, 3-, 5-Year 

Nominal Coupons

7-, 10-, 30-Year 

Nominal Coupons

Total Nominal 

Coupons

TIPS (principal accreted 

to projection date) FRN

2007 21.6 38.9 29.2 68.1 10.3 0.0

2008 28.5 34.5 26.9 61.4 10.0 0.0

2009 28.5 36.2 27.4 63.6 7.9 0.0

2010 21.1 40.1 31.8 71.9 7.0 0.0

2011 15.4 41.4 35.9 77.3 7.3 0.0

2012 15.0 38.4 39.0 77.4 7.5 0.0

2013 13.2 35.8 43.0 78.7 8.1 0.0

2014 11.5 33.0 46.0 79.0 8.5 1.0

2015 11.2 29.3 48.6 78.0 8.6 2.2

2016 10.7 27.6 50.4 78.0 8.9 2.4

2017 10.2 27.2 51.1 78.3 9.1 2.3

2018 9.8 27.1 51.5 78.6 9.4 2.2

2019 9.4 27.5 51.5 79.0 9.6 2.1

2020 8.9 27.7 51.8 79.4 9.6 2.0

2021 8.6 27.8 52.3 80.1 9.5 1.9

2022 8.2 27.6 53.0 80.7 9.3 1.8

2023 7.8 27.6 53.7 81.3 9.1 1.8

2024 7.5 27.5 54.4 81.8 9.0 1.7

2025 7.2 27.3 55.3 82.6 8.6 1.6
*Weighted averages of Competitive Awards. 45

**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)

SOMA Add 

Ons ($bn)

10-Year 

Equivalent ($bn)*

4-Week 1/8/2015 0.010 3.77 29.74 82.54 3.70 13.76 0.26 0.00 0.26

4-Week 1/15/2015 0.015 3.84 29.74 77.36 5.49 17.15 0.26 0.00 0.26

4-Week 1/22/2015 0.005 3.74 29.73 77.38 1.83 20.79 0.27 0.00 0.26

4-Week 1/29/2015 0.020 3.78 28.80 76.58 4.42 19.00 0.21 0.00 0.27

4-Week 2/5/2015 0.020 3.79 39.60 70.47 4.83 24.70 0.30 0.00 0.35

4-Week 2/12/2015 0.015 3.95 39.74 70.26 6.38 23.36 0.26 0.00 0.36

4-Week 2/19/2015 0.010 3.75 39.75 68.46 4.87 26.67 0.25 0.00 0.34

4-Week 2/26/2015 0.015 3.68 38.79 59.36 5.39 35.25 0.25 0.00 0.34

4-Week 3/5/2015 0.005 4.05 29.71 65.48 7.03 27.48 0.30 0.00 0.25

4-Week 3/12/2015 0.015 3.43 39.71 78.52 6.06 15.42 0.29 0.00 0.34

4-Week 3/19/2015 0.050 3.57 39.76 76.05 3.05 20.89 0.24 0.00 0.34

4-Week 3/26/2015 0.020 3.45 38.94 65.81 4.02 30.17 0.23 0.00 0.34

4-Week 4/2/2015 0.050 3.39 39.74 57.86 4.42 37.73 0.26 0.00 0.34

13-Week 1/8/2015 0.030 4.15 23.63 79.47 6.89 13.64 0.37 0.00 0.69

13-Week 1/15/2015 0.025 4.25 23.33 67.53 9.63 22.84 0.47 0.00 0.69

13-Week 1/22/2015 0.025 4.31 23.63 74.07 12.45 13.48 0.37 0.00 0.69

13-Week 1/29/2015 0.020 4.46 22.62 65.90 11.64 22.46 0.38 0.00 0.69

13-Week 2/5/2015 0.015 4.13 25.45 74.41 6.88 18.71 0.35 0.00 0.75

13-Week 2/12/2015 0.020 4.44 25.50 59.53 1.10 39.37 0.40 0.00 0.75

13-Week 2/19/2015 0.015 4.13 25.51 77.96 8.55 13.49 0.39 0.00 0.73

13-Week 2/26/2015 0.020 4.21 24.70 70.78 5.82 23.39 0.35 0.00 0.73

13-Week 3/5/2015 0.015 4.3 25.45 64.53 7.86 27.60 0.35 0.00 0.72

13-Week 3/12/2015 0.015 4.18 25.63 74.15 6.91 18.94 0.37 0.00 0.72

13-Week 3/19/2015 0.040 3.69 25.53 70.89 7.41 21.69 0.37 0.00 0.72

13-Week 3/26/2015 0.020 3.78 22.71 71.96 13.58 14.45 0.39 0.00 0.66

13-Week 4/2/2015 0.035 3.9 23.26 67.92 5.79 26.28 0.39 0.00 0.67

26-Week 1/8/2015 0.110 4.57 23.25 57.76 5.61 36.63 0.35 0.00 1.37

26-Week 1/15/2015 0.085 4.22 23.47 46.57 7.34 46.09 0.36 0.00 1.37

26-Week 1/22/2015 0.075 4.18 23.26 59.28 8.08 32.64 0.46 0.00 1.37

26-Week 1/29/2015 0.075 4.26 22.75 61.31 12.27 26.42 0.37 0.00 1.38

26-Week 2/5/2015 0.065 4.2 25.02 58.21 9.28 32.50 0.36 0.00 1.49

26-Week 2/12/2015 0.085 4.43 25.03 47.71 4.96 47.33 0.40 0.00 1.50

26-Week 2/19/2015 0.065 4.39 25.13 51.79 5.52 42.70 0.42 0.00 1.45

26-Week 2/26/2015 0.065 4.22 24.71 56.74 6.26 37.00 0.32 0.00 1.45

26-Week 3/5/2015 0.075 4.16 25.33 61.79 2.59 35.62 0.29 0.00 1.43

26-Week 3/12/2015 0.095 3.96 25.29 61.35 5.69 32.95 0.34 0.00 1.44

26-Week 3/19/2015 0.145 3.59 25.42 67.23 4.29 28.48 0.30 0.00 1.44

26-Week 3/26/2015 0.105 3.72 22.82 56.66 6.04 37.30 0.36 0.00 1.33

26-Week 4/2/2015 0.135 3.66 22.80 66.82 5.32 27.85 0.30 0.00 1.34

52-Week 1/8/2015 0.250 3.84 24.80 52.02 3.89 44.09 0.12 0.00 2.83

52-Week 2/5/2015 0.205 3.81 24.74 56.26 4.58 39.17 0.18 0.00 2.85

52-Week 3/5/2015 0.260 3.91 24.77 47.98 3.08 48.94 0.16 0.00 2.77

52-Week 4/2/2015 0.260 3.71 24.83 49.95 4.42 45.63 0.17 0.00 2.79

Bills
46

*Weighted averages of Competitive Awards.

**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-to-Cover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % Indirect* Non-Competitive Awards ($bn)

SOMA Add 

Ons ($bn)

10-Year 

Equivalent ($bn)*

2-Year FRN 2/2/2015 0.084 3.72 14.99 46.00 6.94 47.06 0.01 0.00 0.00

2-Year FRN 2/27/2015 0.084 4.28 12.99 49.87 1.92 48.21 0.01 0.00 0.00

2-Year FRN 3/27/2015 0.085 4.34 12.99 24.48 0.00 75.52 0.01 0.00 0.00

2-Year 2/2/2015 0.540 3.74 25.73 42.60 8.75 48.65 0.17 0.00 5.88

2-Year 3/2/2015 0.603 3.45 25.73 38.52 13.27 48.21 0.17 0.00 5.72

2-Year 3/31/2015 0.598 3.46 25.74 35.99 18.31 45.70 0.16 0.00 5.79

3-Year 1/15/2015 0.926 3.33 23.95 39.38 14.84 45.78 0.05 0.00 8.07

3-Year 2/17/2015 1.050 3.34 23.84 43.94 7.16 48.90 0.06 0.00 8.12

3-Year 3/16/2015 1.104 3.33 23.81 40.53 8.04 51.42 0.09 0.00 7.90

5-Year 2/2/2015 1.288 2.49 34.96 27.45 9.49 63.07 0.04 0.00 19.30

5-Year 3/2/2015 1.480 2.54 34.94 32.43 7.49 60.08 0.06 0.00 18.70

5-Year 3/31/2015 1.387 2.35 34.86 39.59 4.72 55.69 0.04 0.00 18.90

7-Year 2/2/2015 1.590 2.5 28.98 29.04 14.89 56.07 0.01 0.00 21.90

7-Year 3/2/2015 1.834 2.37 28.99 37.15 10.54 52.32 0.01 0.00 21.14

7-Year 3/31/2015 1.792 2.32 28.99 37.19 12.30 50.51 0.01 0.00 21.35

10-Year 1/15/2015 1.930 2.61 20.99 40.79 9.19 50.02 0.01 0.00 20.98

10-Year 2/17/2015 2.000 2.62 23.96 27.79 12.70 59.51 0.04 0.00 24.90

10-Year 3/16/2015 2.139 2.65 20.98 31.19 10.20 58.61 0.02 0.00 20.96

30-Year 1/15/2015 2.430 2.32 13.00 37.40 13.69 48.91 0.00 0.00 29.88

30-Year 2/17/2015 2.560 2.26 15.98 35.15 15.45 49.40 0.02 0.00 38.55

30-Year 3/16/2015 2.681 2.18 12.99 36.56 11.56 51.88 0.01 0.00 30.15

Issue Settle Date Stop Out Rate 

(%)*

Bid-to-Cover 

Ratio*

Competitive 

Awards ($bn)

% Primary 

Dealer* % Direct* % Indirect* Non-Competitive Awards ($bn)

SOMA Add 

Ons ($bn)

10-Year 

Equivalent ($bn)*

10-Year TIPS 1/30/2015 0.315 2.39 14.95 25.85 10.20 63.95 0.05 0.00 16.82

10-Year TIPS 3/31/2015 0.200 2.43 12.99 23.21 1.08 75.71 0.01 0.00 14.05

30-Year TIPS 2/27/2015 0.842 2.43 8.98 27.00 3.96 69.04 0.02 0.00 26.72

Nominal Coupons

TIPS
Office of Debt Management

Treasury Debt Management Strategy
Overview

2

 Treasury may borrow on the credit of the United States Government 

amounts necessary for expenditures authorized by law and may 

issue securities for the amounts borrowed. 

 Treasury debt issuance principles have been “least cost over time” 

and “regular and predictable.”

 Since 2009, Treasury has issued more longer-term debt consistent 

with these principles. WAM has extended from 48 months to nearly 

69 months.

 The principles are not changing; however, as has been discussed by 

TBAC, WAM is one of several measures to quantify the achievement 

of the debt issuance objectives. 
Debt Management Principles and Objectives

3

 Principles can be explained by:

 Fund at the least cost to the taxpayer

 Maintain a predictable issuance to support liquidity

 Additional possible objectives might include:

 Support market functioning

 Avoid sharp swings in interest expense 

 Maintain a manageable pattern of debt maturity
Least Expected Cost Over Time and 

Regular and Predictable

4

Least Cost

 Interest expense is important, as the President’s 2016 Budget 

forecasts that the U.S. government will reach primary surplus in 

2022.

 For a given amount of debt issuance, the expected relative cost—

over time—of issuing at different points on the curve matter.

 Further analysis of expected cost of issuance across a range of 

maturities is warranted. 

Regular and Predictable

 Being “regular and predictable” argues against being opportunistic.

 Issuance experience, complemented by surveys of the primary 

dealers, informs Treasury’s view on the speed of any adjustment.

 Greater liquidity reduces Treasury’s funding costs over the long run.

 However, limiting the speed of adjustment of issuance implies slowly 

adjusting to shifts in expected cost.
Market Functioning

5

 A liquid, efficient market for Treasury securities is central to the 

financial system.

 Historically, a liquid market garners a liquidity premium for a 

security, which leads to greater cost savings.

 The private sector uses Treasury securities as a benchmark for 

issuance.

 A minimum level of issuance can help to maintain a liquid market at 

all points on the curve.
Survey Results Help Inform Market Functioning 

Considerations of Issuance Decisions

6

“All else equal, what is the maximum change in monthly coupon auction size (+/- X $billions) that can be 

implemented over a single quarter without causing “significant yield deviations?”

“All else equal, what is your definition, in basis points, of a “significant yield deviation?”

* Survey conducted on 03/19/2015. http://www.treasury.gov/resource-center/data-chartcenter/quarterly-refunding/Pages/dealer-agenda-survey.aspx

Maximum change (+/-) per Estimate of a significant

quarter in auction size yield deviation

Maturity Mean ($ billion) Maturity Mean (basis points)

2-year 5 2-year 4.1

3-year 5 3-year 4.4

5-year 3 5-year 5.2

7-year 3 7-year 5.2

10-year 4 10-year 6.4

30-year 2 30-year 7.4
Survey Results (cont.)

7

“All else equal, what is the minimum auction size needed to maintain benchmark liquidity? Specifically, what 

is the smallest auction size (weekly for bills, monthly for coupons) necessary to support “on-the-run” issue 

liquidity in the secondary market?”

* Survey conducted on 03/19/2015. http://www.treasury.gov/resource-center/data-chartcenter/quarterly-refunding/Pages/dealer-agenda-survey.aspx

Maturity Mean ($ billion) Current ($ billion)

2-year 20 26

3-year 20 24

5-year 26 35

7-year 22 29

10-year 18 21

30-year 11 13

Minimum auction size needed to maintain benchmark

liquidity
Treasury bills

8

 Market functioning is an especially important consideration for the 

Treasury bill market. Bills are an important safe and liquid asset for 

the financial system.

 Treasury bills as a proportion of total debt outstanding have fallen to 

multi-decade lows.

 Demand for bills is likely to grow significantly in the year ahead.

 Increasing bill issuance could improve market functioning and lower 

interest cost for the taxpayer.

0%

5%

10%

15%

20%

25%

30%

35%

40%

Jan-00

Oct-00

Jul-01

Apr-02

Jan-03

Oct-03

Jul-04

Apr-05

Jan-06

Oct-06

Jul-07

Apr-08

Jan-09

Oct-09

Jul-10

Apr-11

Jan-12

Oct-12

Jul-13

Apr-14

Jan-15

Bills Supply (as % of Total Treasuries Outstanding)
Notes and Bonds

9

 The overall strategy of issuing longer-term debt is not changing.

 With historically low rates, longer-term debt could save interest 

expense over time.

 Longer-term debt could also be seen as insuring against higher 

interest rates in the future.

 A cost-benefit analysis should inform issuance and the benefits of 

the strategy can be communicated in the context of objectives instead 

of simply by WAM.
Charge #1

Treasury bill supply as a percentage of the total Treasury debt outstanding is 

currently about 11%, a multi-decade low. At the same time, with $1.4 trillion in 

Treasury bills outstanding, the total volume of Treasury bills outstanding 

remains near historically high levels. What are the drivers of potential demand 

for high-quality, short-dated securities? Given these considerations, should the 

Treasury either increase or decrease Treasury bill issuance in the coming year?

1
Introduction

Current developments in market structure, regulations, 

and policy have the potential to change significantly the 

supply and demand in the market for short-end, highquality assets where Treasury Bills are centric.

US Treasury Bills are critical to the financial ecosystem, 

as they are the closest substitute to cash given strong 

liquidity, no credit risk, and minimal duration risk.

2
What makes T-bills special?

T-bills are considered the safest shortterm assets available to all investors. 

They are particularly important to 

those who

• do not have access to currency in 

large denominations,

• do not have access to reserves at 

the central banks (only banks do),

• do not have access to Reverse Repo 

with the Fed (as do banks, dealers, 

MFs, and FX reserve managers),

• are too large for insured deposits.

3

• T-bills are highly liquid compared to 

other non-insured deposit short 

term assets.

• Demand for T-bills and short -term 

High Quality Liquid Assets (HQLA) 

has increased due to capital and 

Dodd-Frank related regulations.

• T-bills are generally able to maintain 

their liquidity. While other markets 

may be more challenged as a result 

of leverage ratio constraints, making 

it more difficult to make markets or 

maintain a large balance sheet, 

T-bills appear to have been immune 

to such issues .

Who Can Access What?

T-Bills Short TSY Coupons Commercial Paper Tri-Party Repo Fed RRP Fed Account earning IOER

MMMF X X X X X

Asset Managers X X X X

Corporates X X X X

Municipalities X X X

Banks X X X X X X

Broker/Dealers X X X X X

Size ($bn)* 1,458 1,404 1,014 1,495** 397 2,503***

Sources: SIFMA, Federal Reserve, US Treasury

*As of December 31, 2014 unless otherwise noted

** Excludes Fed RRP, as of December 9, 2014

***Excess reserves
T-bill substitutes

Short Coupons

• Price discovery challenges – no 

weekly new issues, only monthly 

maturities, smaller sizes , and less 

liquidity

Repo

• Best substitute for T-bills ,as they 

trade at a discount

• Deep and liquid market for 

overnights, but subject to seasonal 

balance sheet constraints

• Mature daily (or on a specific day) 

rather than waiting for Thursday Tbill settlement

Treasury FRNs

• WAL issues for 2a7 funds until they 

roll down the curve

• Awkward index to hedge

Agency D/Ns & Short coupons

• Excludes Treasury-only investors

• Market shrinking as Agency 

balance sheets are reduced

4

Dec-07 Dec-10 Dec-14

T-Bills 1,004 1,773 1,458

Treasury Coupons <1y 616 835 1,404

Agency Debt <1y 834 565 629

Total S.T. HQLA (ex 

reserves) 2,453 3,172 3,491

Financial CP 815 530 530

Non-Fin CP 163 128 261

ABCP 803 379 224

Total CP 1,781 1,037 1,014

TSY Repo (Tri-Party)1 1,135 616 679

Non-TSY Repo (Tri-Party)1 667 1,083 960

Total Repo 1,802 1,699 1,639

Short IG Corp coupons 149 147 285

Total 6,185 6,056 6,428

Outstanding Short-End Supply ($bn)

Sources: SIFMA, Federal Reserve, ICI, Credit Suisse Liquid US Corp Index+

1 2007 is estimated
Short-end, high-quality 

asset supply has remained 

stable post-crisis

Aggregate amounts of short-end, highquality assets have remained relatively 

stable since 2012.

Short-end senior agency debt has 

fallen to pre-crisis levels, and although 

it has climbed from recent lows , it is 

not expected to grow significantly as a 

result of operational constraints.

T-bills outstanding have fallen by over 

25% from the 2009 peak, but Treasury 

coupons within one year have risen 

dramatically.

5

400

500

600

700

800

900

1,000

1,100

1,200

Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15

All GSE Short Term Debt ($bn)

Sources: US Treasury Department, ICI, Federal Reserve, Company reports

0

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14

Holders of Bills and Treasury Coupons <1y ($bn)

Everyone else (ex MMMF and FX reserve managers)

FX Reserve Managers

MFs
Regulatory Changes Impacting 

Demand for T-Bills

• Money Fund Reforms 

– Investors are reassessing Prime funds as a liquidity vehicle, with estimates of a $300 

billion reallocation from Prime to Government funds.

– Funds are in the process of announcing changes to structure, most notably with Fidelity 

re-classifying certain Prime funds as Government funds,

• Changes in Bank Capital Rules – Liquidity Coverage Ratio (LCR) and Net Stable 

Funding Ratio (NSFR)

– Banks have to hold more high-quality liquid assets (HQLA) and/or shorter-duration 

assets while extending the maturity of their borrowing.

– This increases demand for a while, decreasing supply of short-term HQLA.

• Leverage Ratios

– Smaller balance sheets on the whole diminish borrowing in repo.

• Dodd-Frank – More HQLA Needed for Collateral Posting

– Bills receive favorable haircut treatment; therefore, they are generally the preferred 

security for margin posting.

6
2a7 money reform

• Money funds by definition and rule 

own short-duration assets

• Bills and short coupons fulfill 

requirements for assets that offer 

daily and weekly liquidity

2010 Reforms

• Reduced weighted-average maturity 

from 90 to 60 days.

• Created weighted-average life 

maximum of 120 days.

• Mandated that 10% of assets must 

offer daily liquidity and 30% weekly 

liquidity.

2014 Reforms (October 2016 

Implementation)

• Floating (out to fourth decimal) NAV 

for prime institutional funds

• Potential imposition of “gates” or 

“fees” on all prime funds

7

Source: Crane Data

Implication – Increased demand for shorter-maturity 

and short-duration Treasury assets, while prime funds no 

longer offer a true liquidity vehicle. With some funds 

preemptively announcing a re-designation of prime funds 

as government-only, combined with expected investor 

reallocation ahead of implementation, analysts estimate 

up to $300 billion of potential prime-to-government flows 

in the near future.

MMMF Asset Distribution as of March 31, 2015

$bn T-Bills

TSY Short 

Coupons

Agency 

Debt

Treasury 

Repo

Agency 

Repo Other Total

TSY 2a7 177 175 3 136 2 1 494

Govt 2a7 7 14 246 93 96 2 459

Prime 2a7 32 53 84 163 49 1121 1502

Total 216 242 332 393 147 1124 2455
Capital rules

8

Bank holdings of Treasuries have 

increased over $200 billion since 2012 

as result of regulatory developments.

Under various rules, banks are 

required to hold additional HQLA. • Liquidity coverage ratio (LCR) 

requires large banks to hold HQLA 

equal to 30 days of peak 

cumulative cash outflow.

• Under LCR rules, Treasuries receive 

no haircut, while other assets 

(Agency MBS) have >15% haircuts.

• Net stable funding ratio (NSFR) 

rules will incentivize holding 

Treasury securities and shorter-

term assets.

On the liabilities side, the LCR and 

NSFR encourage banks to extend the 

maturity profile of funding. • Banks funding less short

-term.

• Banks actively discouraging large, 

non-operational deposits.

Sources: Federal Reserve, FDIC
Capital and leverage ratios

9

10%

13%

16%

19%

22%

25%

28%

1993 1994 1996 1998 2000 2001 2003 2005 2007 2008 2010 2012 2014

Non-Deposit Liabilities as percent of

Non-Reserve Assets

Bank capital rules have caused firms 

to reduce leverage throughout the 

system. 

• Balance sheet reduction has often 

come with reduced repo books.

• The easiest means for financial 

firms to increase ratios is to shrink 

assets and corresponding 

liabilities.

Balance sheet reduction has been 

broad based – causing a reduction in 

liabilities that were instruments 

available to investors.

• Deposits as a share of liabilities 

has increased given their favorable 

treatment.

• Bank non-deposit liabilities have 

declined significantly as a source 

of funding non-reserve assets.

Sources: Credit Suisse

Sources: FDIC
Dodd-Frank impacts

Dodd-Frank/Central Clearing

• T-bills receive the most favorable 

treatment of securities for posting, 

with haircuts for T-bills 0.5% at 

CME, compared to 2% for 1- to 3-

year Treasury securities.

It was estimated in the Q2 2013 TBAC 

discussion that as a result of the procyclical demand for high-quality 

collateral (HQC), a stressed scenario 

could result in incremental demand 

from clearing, bilateral margining, and 

flight to quality flows that approaches 

$10 trillion.

10

Sources: http://www.cmegroup.com/clearing/financial-and-collateral-management/#Tbills

Source: Q2 2013 TBAC 
Additional Market Developments 

Impacting Bill Supply and Demand

• Trajectory of deficits/ fiscal policy

– The budget outlook is positive for the next several years.

– The Treasury could fund much of the expected deficit through T-bills without changing 

coupon sizes, as they remain regular and predictable.

• Increasing cash balances 

– The Treasury could inexpensively fund increased cash balances by issuing a modest 

amount of T-bills.

– Demand for short-term Treasuries should remain robust; therefore, adding a new 

maturity should not be disruptive. 

– A new short-term maturity could help increase front-end liquidity by creating a shorterterm primary market to “prove the level” where T-bills are trading.

11
Deficits could largely be 

addressed by adjusting 

T-bill issuance

Deficits should begin to rise after FY 

2016, particularly in FY 2019.

Bills should be used in their traditional 

function as stabilizer.

Ultimately, coupon issuance might also 

need to be increased, but if the Fed 

continues to reinvest, this would be far 

into the future.

The entirety of the incremental deficit 

could be financed by increased T-bill 

issuance to the public (provided that the 

Fed reinvests 100%).

As deficits rise and if the roll-off of 

SOMA Treasury holdings is low, T-bills 

as a portion of the market can grow 

during the first few years.

12

8%

13%

18%

23%

28%

33%

38%

43%

Jul-52 Jul-58 Jul-64 Jul-70 Jul-76 Jul-82 Jul-88 Jul-94 Jul-00 Jul-06 Jul-12 Jul-18

Bills as % of Marketable Debt Forecast

 (2,500)

 (1,500)

 (500)

 500

 1,500

 2,500

2015 2016 2017 2018 2019 2020 2021 2022 2023

US$bn Redemptions Gross Issuance Net T-Bill Growth

*Available to the market, assumes 100% Fed Treasury reinvestment

Source: US Treasury, estimates after March 2015
Treasury increasing cash 

balances could be funded 

through increase in bills

Current coupon and FRN issuance 

levels over the next two years could 

fund a significant portion of cash 

balance increase.

Should the Treasury wish to increase 

cash balance beyond coupons, there is 

scope to increase T-bill issuance.

Creation of a 1- or 2-week and an 8-

week bill could generate several 

hundred billion that could be rolled.

Banks are now net lenders into cash 

markets as regulations force them to 

borrow term and less wholesale, 

meaning funds need more front-end 

collateral.

The Treasury could increase cash 

balance to the $200 billion to $250 

billion range without adjusting coupon 

issuance.

13

0

50

100

150

200

250

300

350

12/12 12/13 12/14 12/15 12/16 12/17

Ending Cash Balance

Source: US Treasury, estimates after March 2015

Source: FDIC
Federal Reserve Rate Normalization 

and Reverse Repo Facility

• System Open Market Account (SOMA) Treasury Securities During “Normalization” 

– Fed may not roll off any SOMA Treasury securities.

– Should the FOMC decide to allow Treasury securities to roll off, the Treasury would have 

to increase issuance to the market in relatively short order, likely requiring increased 

coupon sizes while also driving T-bill supply higher.

• Reverse Repo Facility a Useful Tool for Front-End Liquidity

– This facility allows non-dealer short-end market participants to access the SOMA 

collateral pool.

– It creates short-term supply on demand, helping financial stability beyond its monetary 

policy uses.

14
The elephant in the room 

is monetary, fiscal 

interactions

Reserves, Fed’s RRP facility, dealer 

and tri-party repo, and T-bills are 

substitutes. They are money or have 

high moneyness.

• The supply of these assets 

depends on policy choices and 

elasticities influenced by 

regulation and monetary policy.

If the RRP facility grows to be large, 

money market government funds 

should grow substantially. 

• This is the end result of a 

transition from high repo to high 

reserve balances to large 

government money market funds 

holding T-bills or RRP.

• RRP supply should have a major 

impact on the demand for bills. 

RRP also should help re-shape the 

system in a way that might 

guarantee strong T-bill demand in 

the future, especially if the Fed 

shrinks its balance sheet. 15

Source: the BLOOMBERG PROFESSIONALTM service

Duration Risk

Liquidity Risk Credit Risk

Cash

10 year Treasury

IG

ABS

Moneyness = Low Duration, 

Liquidity, and Credit Risk 
Fed SOMA roll-off would 

require additional T-bill 

issuance given uncertainty

The Federal Reserve would be likely to 

reinvest a portion (and perhaps a high 

portion initially) of its holdings in 

2016. An important reason to do so is 

to ensure there are on-the-run 

Treasuries in the SOMA for the 

securities lending program to ease 

funding pressures.

The FOMC has suggested that at least 

some run-off is likely during the hiking 

cycle, and the potential for shortmaturity coupon sales was discussed.

Because the Treasury cannot plan for 

exactly when and how much the Fed 

will stop reinvesting, T-bills must be 

utilized initially to fill any funding gaps.

If the Fed allows significant roll-off 

over time, the Treasury would likely 

need to increase coupon issuance 

while also increasing bills outstanding.

16

0

5

10

15

20

25

30

35

40

45

50

Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18

Amount Maturing ($bn)

50

100

150

200

250

300

350

400

2016 2021 2026 2031 2036 2041

Maturing Fed Holdings ($bn)

Source: FRBNY
Fed reverse repo, raising 

rates, and related 

uncertainty

The Fed’s reverse repo facility provides 

certain front-end investors – critically 

money funds and GSEs – access to the 

Fed and offers a T-bill-like substitute.

• Currently capped at $300bn (still in 

testing); term operations boosted 

capacity at recent quarter-ends

During the substantial T-bill supply 

reduction in spring 2014, RRP usage 

picked up substantially and appeared 

to succeed in supporting yields.

RRP is expected to help the 

normalization process, but questions 

remain regarding size and duration of 

the facility.

• If RRP did not exist or were 

inadequate during rate hikes, bank 

balance sheet reductions at 

quarter-end, or other stress points, 

T-bill yields may be driven lower 

and risk significant market 

dislocations. 17

Sources: FRBNY, the BLOOMBERGPROFESSIONALTM service

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0

50

100

150

200

250

300

350

Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15

Term RRP Usage ($bn)

O/N RRP Usage ($bn)

3m Bill yield (RHS)

O/N RRP Rate (RHS)
Conclusion • In order to satisfy demand and ensure market function, we suggest that the Treasury at least maintains 

the current level of T-bills outstanding over the next 12 months. This would require either maintaining a 

larger cash balance or reducing coupon issuance.

– If possible, the Treasury should consider increasing the level of T-bills outstanding.

– Otherwise, T-bills outstanding would likely decline over the coming quarters as funding needs will be smaller than 

cash raised by coupon issuance.

• Demand for short-term, HQLA is increasing as a result of structural market changes stemming from bank 

capital rules, 2a-7 reform, and growing clearing/ margin needs.

• T-bill substitutes are either stagnating or declining in size as a result of developments such as shrinking 

bank balance sheets or have drawbacks such as failing to offer truly comparable liquidity.

• These dual dynamics suggest that appetite exists for greater T-bill supply and that there is relatively little 

risk of crowding out other short-term products.

• From the Treasury’s perspective, increasing T-bill issuance now could help it maintain a larger cash balance 

and would afford flexibility in navigating uncertain monetary policy periods ahead. 

• The Fed’s reverse repo facility is providing a key vehicle for front-end investors, in the event of a stress 

event or if the facility isn’t sufficiently large to absorb funds, potentially overwhelming flows into T-bills 

and resulting in dislocations .

• The Treasury could approach increasing supply either by increasing current auction sizes or introducing 

regular 1-week and 2-month issuance.

– If the Treasury increases current auction sizes, we recommend that those adjustments be made primarily to 4-week 

and 13-week bills, as structural, regulatory-driven demand is highest for shorter-dated paper. 

– Alternatively, considering new auction tenors could provide additional points of price discovery, enhancing liquidity 

and avoiding ballooning individual auction sizes, particularly down the road as deficits grow.

18
Mix of T-bill issuance –

possible increases to 

current tenors

If the Treasury increases current 

auction sizes, we recommend that 

those adjustments be made primarily 

to 4-week and 13-week T-bills, as 

structural, regulatory-driven demand 

is highest for shorter-dated paper. 

A recent survey of primary dealers

suggests that 4-week T-bill auctions 

could grow to ~$56bn and 13-week bill 

auctions to ~$39bn – increases of 

$20bn and $14bn, respectively, from 

the last quarter’s average auction size 

– without significant yield deviations 

from fair value.

The same survey also suggests that the 

Treasury could make these 

adjustments relatively quickly.

19

Tranche

Minimum auction 

size needed to 

maintain 

benchmark 

liquidity ($bil)

Maximum auction 

size that could be 

issued without 

causing significant 

yield deviations from 

fair value ($bil)

Maximum 

change (+/-) per 

quarter in 

auction size 

($bil)

Auction size over 

last 13 weeks

MEAN STD MEAN STD MEAN STD MEAN Max/Min

4-week 22 4.5 56 5.4 17 7.8 36.2 40 / 30

13-week 20 2.7 39 6.5 11 5.2 25.1 26 / 24

26-week 19 2.5 37 4.5 10 5 25.1 26 / 24

52-week 17 2.6 32 4.3 6 2.3 25 25 / 25

 -

 50

 100

 150

 200

 250

Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15

Recent mix of Bill Issuance by month ($bn)

4-week 13-week 26-week 52-week

Sources: Primary Dealer Auction Size Survey, the BLOOMBERG PROFESSIONALTM service

Source: the BLOOMBERG PROFESSIONALTM service
Mix of T-bill issuance –

possible to consider 1-

week and 2-month 

Alternatively, considering new auction 

tenors could provide additional points 

of price discovery, enhancing liquidity 

and avoiding ballooning individual 

auction sizes, particularly down the 

road as deficits grow.

Aggregate demand for T-bills is very 

short as short tenors are most cashlike and fit the demand from some of 

the larger investor classes.

• 2a7 funds demand for shorter 

assets increases as maturities 

shorten. This pivots at about 30 

days (4-5 weeks).

The Treasury could adjust sizes based 

on near-term demand, reduce them 

into quarter-end if necessary, and use 

them in place of CMBs for short-term 

borrowing needs.

20

Sources: Crane Data, the BLOOMBERG PROFESSIONLTM service

20

40

60

80

100

120

140

160

180

Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16

2a7 Treasury Holdings by Maturity ($bn, as of March 31, 2015)

Coupons

Bills

0%

5%

10%

15%

20%

25%

30%

5

10

15

20

25

30 2a7 Bill Holdings (as of March 31, 2015)

Par Amount ($bn)

Holdings as % outstanding
Pros and Cons of More T-Bill Issuance as a Portion of Treasury Debt Issuance

Pros of Issuing More T-Bills Cons of Issuing More T-Bills

T-bills offer lower borrowing costs for 

taxpayers on average over time

Rollover risk in the future may be more 

challenging

Demand is likely to be higher as banks’ need 

for short-term HQLA is likely to increase

If more bills are issued in lieu of long-term 

Treasury benchmarks , the liquidity of fixed 

income assets may be significantly reduced

Demand is likely to be higher as new Money 

Fund regulations increase demand for shortend government paper

Balance sheet constraints (leverage ratios) may 

make market making more difficult, 

subsequently challenging bill liquidity, in 

particular around quarter-end

Fewer bill substitutes are likely as outstanding

amounts of other short-term alternatives are 

generally flat or shrinking, which also poses 

little risk of T-bills crowding out other HQLA

The Treasury could maintain a higher cash 

balance while maintaining coupon sizes

21
Appendix: A Study of T-Bill Market 

Liquidity

• T-bills compared to short coupons

– T-bill sizes tend to be larger than individual coupons

– Dealers appear unwilling to buy short coupons, meaning that offers can remain 

competitive, while bids are very wide compared to those for T-bills

• T-bill turnover tends to be much higher than for short coupons

• Dealers tend to bid on bills, but foreigners own a substantial amount

• The special place for bills becomes more acute during crises

22
T-bill versus short coupon 

– liquidity bill premium

Short coupons are not cheap given 

market technicals ,as some suggest –

just more illiquid.

• Offers for short coupons are 

generally similar to T-bills, bids are 

not.

T-bill liquidity tends to better because 

short-coupon sizes are relatively small 

and disconnected, while T-bill sizes 

increase at each auction.

The bid/offer spread on short coupons 

is wider as they can sit on dealers’ 

balance sheets and prove more 

difficult to sell.

Regular T-bill Issuance allows for 

better price discovery, while short 

coupons do not have similar 

instruments issued within two years to 

maturity.

23

Source: the BLOOMBERG PROFESSIONALTM service

May 2015 Maturities, 

as of 24 Apr 2015

Bid/Offer 

Spread (bps) Bid (bps) Offer (bps)

Bills (May 14) 0.005 0.015 0.010

Old 3y Note 0.135 0.115 -0.019

Old 10y Note 0.132 0.149 0.017

Bills (May 21) 0.005 0.010 0.005

Bills (May 28) 0.005 0.015 0.010

Old 2y Note 0.077 0.096 0.019

Old 5y Note 0.076 0.087 0.011

0

10

20

30

40

50

60

70

80

90

Bills 5/14 Old 3y Note Old 10y Note Bills 5/21 Bills 5/28 Old 2y Note Old 5y Note

Amount Outstanding, May Maturities ($bn)
T-bill versus short coupon 

– turnover has favored 

T-bills

Since the end of the financial 

crisis, T-bill turnover has 

increased and remains higher 

than that of short coupons.

Bank trading assets have generally 

been declining, with value-at-risk 

falling even faster.

Less flexible balance sheets may 

lead to market volatility, not only 

in longer-maturity Treasury 

securities but also T-bills –

particularly around changes in 

expectations for monetary policy.

24

Sources: Federal Reserve Bank of New York

Source: Company reports

Ten of the Largest Banks Globally

13,000,000

13,500,000

14,000,000

14,500,000

15,000,000

15,500,000

16,000,000

16,500,000

17,000,000

Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14

Total Assets ($mm,10 GSIBs)

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14

Total Rate Risk ($mm, 10 GSIBs)
Other demand for and 

ownership of T-bills

25

Source: US Treasury

Dealers and investment funds are 

dominant in the primary market for 4-

week and 13-week T-bills.

• At auction, they have combined to 

take down 97% of the 4-week Tbills and 94% of the 13-week Tbills over the last 12 months.

Foreign investors hold a substantial 

portion of the T-bill market, with their 

primary market activity more 

concentrated in the 26-week and 52-

week issuance.

• Foreign investors have been 

awarded 32% of 26-week issuance 

and nearly 22% of the 52-week 

auctions over the last year.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Dealers Investment Funds Foreign

Bill Auction Allotments (last 12 months)

4-week

13-week

26-week

52-week

0%

10%

20%

30%

40%

50%

60%

0

200,000

400,000

600,000

800,000

1,000,000

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Foreign Holdings of Treasury Bills (Mil.$)

Foreign Bill holdings as % of Outstanding
T-bills relative to other 

markets

T-bill yields already trade below the 

fixed rate and other money market 

rates; Fed hikes may cause investors to 

shorten assets’ duration, creating 

additional T-bill demand.

The relative behavior of other rates 

versus bills could offer a gauge of 

market stresses and function.

• Spreads of other front-end rates 

widened noticeably during the 

crisis.

26

-0.05

0.05

0.15

0.25

0.35

0.45

0.55

0.65

0.75

Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15

3-Month AA Financial Commercial Paper (% per annum)

DTCC GCF Repo Index: Treasury Weighted Average (%)

3-Month Treasury Bill On the Run: Yield (%)

Source: Haver Analytics®

Source: the BLOOMBERG PROFESSIONALTM service 

As of April 24, 2015 As of October 15, 2008

Instrument Yield 3m Average

Spread to 

Bills (bps)

3m Avg 

Spread To 

Bills (bps) Yield 3m Average

Spread to 

Bills (bps)

3m Avg 

Spread To 

Bills (bps)

3m Bill 0.015% 0.014% - - 0.213% 1.264% - - 

Fixed O/N RRP Rate 0.050% 0.050% 3.5 3.6 

Fed Funds Effective 0.130% 0.120% 11.5 10.6 1.040% 1.860% 82.7 59.7 

GCF Repo 0.152% 0.173% 13.7 15.9 

3m OIS 0.135% 0.130% 12.0 11.6 1.097% 1.855% 88.4 59.1 

3m LIBOR 0.279% 0.267% 26.4 25.4 4.550% 3.228% 433.7 196.5 

3m Financial CP 0.120% 0.140% 10.5 12.6 3.950% 2.920% 373.7 165.7