Treasury Presentation to TBAC
Office of Debt Management

Fiscal Year 2015 Q1 Report
Table of Contents

3

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

4
5 Source: United States Department of the Treasury 

(50%)

(25%)

0%

25%

50%

75%

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

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

Year over Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FICA)
6

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

Jun-04

Sep-04

Dec-04

Mar-05

Jun-05

Sep-05

Dec-05

Mar-06

Jun-06

Sep-06

Dec-06

Mar-07

Jun-07

Sep-07

Dec-07

Mar-08

Jun-08

Sep-08

Dec-08

Mar-09

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

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

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

Individual Income Taxes Corporation Income Taxes Social Insurance Taxes Other
7 Source: United States Department of the Treasury 

0

50

100

150

200

250

300

HHS

SSA

Defense

Treasury

Agriculture

Labor

VA

Transportation

OPM

Education

Other Defense Civil

$ bn

Eleven Largest Outlays

Oct - Dec FY15 Oct - Dec FY14
8 Source: United States Department of the Treasury 

(35)

(30)

(25)

(20)

(15)

(10)

(5)

0

5

10

15

20

25

30

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

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
9 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
Primary 

Dealers1 OMB2 CBO3 OMB MSR4

FY 2015 Deficit Estimate 475 583 468 525

FY 2016 Deficit Estimate 528 474 467 525

FY 2017 Deficit Estimate 552 463 489 468

FY 2015 Deficit Range 400-550

FY 2016 Deficit Range 375-600

FY 2017 Deficit Range 325-700

FY 2015 Net Marketable Borrowing Estimate 580 726 580 655

FY 2016 Net Marketable Borrowing Estimate 627 602 546 658

FY 2017 Net Marketable Borrowing Estimate 628 596 561 596

FY 2015 Net Marketable Borrowing Range 490-719

FY 2016 Net Marketable Borrowing Range 470-915

FY 2017 Net Marketable Borrowing Range 450-800

Estimates as of: Jan-15 Feb-15 Jan-15 Jul-14

1

Based on primary dealer feedback on Jan 26, 2015. Estimates above are averages. 

2

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

3

Table 1 of CBO's "The Budget and Economic Outlook: 2015 to 2025"

4

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

10

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

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

(2,500)

(2,000)

(1,500)

(1,000)

(500)

0

500

2001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025

$ bn

Fiscal Year

Budget Surplus/Deficit

Surplus/Deficit in $bn (L) Surplus/Deficit as a % of GDP (R)

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

11

OMB’s Projection
Section II:

Financing

12
13

Assumptions for Financing Section (pages 13 to 19)

• Portfolio and SOMA holdings as of 12/31/2014.

• 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 

02/04/2015, 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 12/31/2014. 

• No attempt was made to match future financing needs. 
14

Sources of Financing in Fiscal Year 2015 Q1

*Assumes an end-of-December 2014 cash balance of $224 billion versus a beginning-of-October 2014 cash balance of $158 billion. By keeping the 

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

Net Bill Issuance 47 Issuance Gross Maturing Net Gross Maturing Net

Net Coupon Issuance 180 Bills 4-Week 489 464 25 489 464 25

Subtotal: Net Marketable Borrowing 227 Bills 13-Week 312 345 (33) 312 345 (33)

Bills 26-Week 351 299 52 351 299 52

Ending Cash Balance 224 Bills 52-Week 75 72 3 75 72 3

Beginning Cash Balance 158 Bills CMBs 0 0 0 0 0 0

Subtotal: Change in Cash Balance 66 Bill Subtotal 1,227 1,180 47 1,227 1,180 47

Net Implied Funding for FY 2015 Q1* 161

Issue Gross Maturing Net Gross Maturing Net

2-Year 84 105 (21) 84 105 (21)

2-Year FRN 41 0 41 41 0 41

3-Year 78 100 (22) 78 100 (22)

5-Year 105 129 (24) 105 129 (24)

7-Year 87 0 87 87 0 87

10-Year 66 25 41 66 25 41

30-Year 42 0 42 42 0 42

5-Year TIPS 16 0 16 16 0 16

10-Year TIPS 13 0 13 13 0 13

30-Year TIPS 7 0 7 7 0 7

Coupon Subtotal 539 359 180 539 359 180

Total 1,766 1,539 227 1,766 1,539 227

October - December 2014 October - December 2014 Fiscal Year to Date

Bill Issuance

October - December 2014 Fiscal Year to Date

Coupon Issuance
15

Sources of Financing in Fiscal Year 2015 Q2

*Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 02/04/2015, 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-March 2015 cash balance of $100 billion versus a beginning-of-January 2015 cash balance of $224 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 2/4/2015* Issuance Gross Maturing Net Gross Maturing Net

Net Bill Issuance 32 Bills 4-Week 416 458 (42) 905 922 (17)

Net Coupon Issuance 121 Bills 13-Week 364 312 52 676 657 19

Subtotal: Net Marketable Borrowing 153 Bills 26-Week 325 309 16 676 608 68

Bills 52-Week 72 66 6 147 138 9

Treasury Announced Estimate: Net Marketable Borrowing** 155 Bills CMBs 0 0 0 0 0 0

Implied: Increase in FY 2015 Q2 Net Issuances 2 Bill Subtotal 1,177 1,145 32 2,404 2,325 79

Issue Gross Maturing Net Gross Maturing Net

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

2-Year FRN 41 0 41 82 0 82

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 1,705 1,552 153 3,471 3,090 381

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

Bill Issuance

January - March 2015 Fiscal Year to Date

Coupon Issuance
726 602 596 610 644 676 714 736 746 747 794

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 a Percent of GDP - RHS

Debt Held by Public Net of Financial Assets

as a Percent of GDP - RHS

16

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%

Net Interest 5,799 76%

Other 1,335 18%

Total 7,590

FY2015 - FY2025 Cumulative Total
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.” 17

The forward rates are the implied 10-year Treasury Note rates on January 2nd of that year.

10-Year Treasury Rate,

2.172%, as of 12/31/2014

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

20152016201720182019202020212022202320242025

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

Implied Forward Rates on January 2nd OMB's Fiscal Year 2016 Budget
18 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 1 of the “CBO: 

The Budget and Economic Outlook 2015 to 2025.” See table at the end of this section for details.

0

200

400

600

800

1,000

1,200

20152016201720182019202020212022202320242025

$bn

Fiscal Year

Projected Net Borrowing Assuming Constant Future Issuance

Projected Net Borrowing CBO: The Budget and Economic Outlook 2015 to 2025

OMB's Fiscal Year 2016 Budget PD Survey Marketable Borrowing Estimates
19

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 1 of the “CBO: 

The Budget and Economic Outlook 2015 to 2025.” See table at the end of this section for details.

0

200

400

600

800

1,000

1,200

20152016201720182019202020212022202320242025

Fiscal Year

With Fed Reinvestments ($bn)

Projected Net Borrowing

CBO: The Budget and Economic Outlook 2015 to 2025

0

200

400

600

800

1,000

1,200

20152016201720182019202020212022202320242025

Fiscal Year

Without Fed Reinvestments ($bn)

OMB's Fiscal Year 2016 Budget

PD Survey Marketable Borrowing Estimates
20

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 1 of the “CBO: 

The Budget and Economic Outlook 2015 to 2025.”

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's Fiscal 

Year 2016 

Budget

CBO: The Budget 

and Economic 

Outlook 2015 to 2025

Jan 2015 

Primary 

Dealer Survey

2009 503 732 514 38 0 1,786

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 46 (283) 639 88 164 654 726 580 580

2016 (3) (173) 442 70 41 378 602 546 627

2017 0 (73) 256 71 (0) 253 596 561 628

2018 0 29 238 66 0 333 610 602

2019 0 35 104 67 0 205 644 714

2020 0 (0) 119 41 0 160 676 798

2021 0 13 156 15 0 183 714 871

2022 0 72 231 3 0 306 736 1,002

2023 0 44 195 3 (0) 241 746 1,005

2024 0 2 192 1 0 196 747 1,005

2025 0 (34) 200 (43) (0) 124 794 1,142
Section III:

Portfolio Metrics

21
22

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

• Portfolio and SOMA holdings as of 12/31/2014.

• 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 12/31/2014.

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

the US Government.”
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 15 Q1

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.

68.3 months on 

12/31/2014

58.9 months 

(Historical Average 

from 1980 to Present)
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.

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 25

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

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] > 10yr
26

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] > 10yr Total (0, 5]

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 3,195 1,785 1,346 2,397 1,490 1,129 1,660 13,003 8,724

2016 3,240 1,831 1,562 2,432 1,519 1,196 1,829 13,609 9,064

2017 3,287 2,071 1,552 2,513 1,518 1,275 2,015 14,230 9,422

2018 3,558 2,054 1,588 2,568 1,606 1,325 2,167 14,865 9,767

2019 3,541 2,155 1,699 2,677 1,724 1,405 2,338 15,538 10,071

2020 3,612 2,287 1,652 2,881 1,814 1,418 2,585 16,248 10,432

2021 3,744 2,217 1,888 2,971 1,861 1,468 2,849 16,998 10,820

2022 3,674 2,489 1,941 3,077 1,935 1,494 3,162 17,772 11,181

2023 3,946 2,530 1,996 3,107 1,986 1,514 3,480 18,559 11,579

2024 4,027 2,636 2,027 3,234 2,099 1,536 3,789 19,348 11,924

2025 4,095 2,701 2,079 3,494 2,135 1,559 4,134 20,197 12,369
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic 27

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] > 10yr
28

Recent and Projected Maturity Profile

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] > 10yr (0, 3] (0, 5]

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% 9.0% 14.2% 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% 17.2% 11.1% 9.0% 15.0% 47.6% 64.8%

2020 22.2% 14.1% 10.2% 17.7% 11.2% 8.7% 15.9% 46.5% 64.2%

2021 22.0% 13.0% 11.1% 17.5% 10.9% 8.6% 16.8% 46.2% 63.7%

2022 20.7% 14.0% 10.9% 17.3% 10.9% 8.4% 17.8% 45.6% 62.9%

2023 21.3% 13.6% 10.8% 16.7% 10.7% 8.2% 18.8% 45.6% 62.4%

2024 20.8% 13.6% 10.5% 16.7% 10.8% 7.9% 19.6% 44.9% 61.6%

2025 20.3% 13.4% 10.3% 17.3% 10.6% 7.7% 20.5% 43.9% 61.2%
Section IV:

Demand

29
30

*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 Q1 Auctions

Security 

Type Term Stop Out Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($ bn)

% 

Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($ bn)

SOMA 

Add Ons 

($ bn)

10-Yr 

Equivalent 

($ bn)**

Bill 4-Week 0.029 3.8 483.3 73.0% 4.4% 22.7% 3.2 0.0 4.6

Bill 13-Week 0.026 4.5 303.4 69.1% 6.1% 24.8% 5.1 0.0 9.2

Bill 26-Week 0.076 4.0 339.9 58.1% 5.9% 36.0% 4.3 0.0 13.9

Bill 52-Week 0.150 3.6 74.3 71.2% 4.7% 24.1% 0.4 0.0 6.8

Bill CMBs 0.000 0.0 0.0 0.0% 0.0% 0.0% 0.0 0.0 0.0

Coupon 2-Year 0.553 3.3 83.2 48.3% 15.7% 36.1% 0.5 0.0 17.4

Coupon 3-Year 1.018 3.3 77.5 47.3% 14.3% 38.4% 0.2 0.0 24.5

Coupon 5-Year 1.634 2.6 104.9 33.6% 9.2% 57.2% 0.1 0.0 55.3

Coupon 7-Year 2.034 2.5 87.0 37.6% 11.4% 51.1% 0.0 0.0 62.8

Coupon 10-Year 2.322 2.7 65.9 43.3% 9.2% 47.5% 0.1 0.0 66.2

Coupon 30-Year 3.011 2.5 42.0 34.2% 19.4% 46.4% 0.0 0.0 93.9

TIPS 5-Year 0.395 2.4 16.0 30.0% 5.2% 64.8% 0.0 0.0 7.8

TIPS 10-Year 0.497 2.6 13.0 29.5% 8.1% 62.4% 0.0 0.0 14.0

TIPS 30-Year 0.985 2.3 7.0 31.0% 4.5% 64.5% 0.0 0.0 19.7

FRN 2-Year FRN 0.076 3.5 41.0 54.1% 4.6% 41.3% 0.0 0.0 0.4

Total Bills 0.049 4.0 1,201.0 67.7% 5.3% 27.1% 13.0 0.0 34.4

Total Coupons 1.634 2.8 460.4 40.7% 12.6% 46.7% 1.0 0.1 320.2

Total TIPS 0.546 2.4 35.9 30.0% 6.1% 63.9% 0.1 0.0 41.5

Total FRN 0.076 3.5 41.0 54.1% 4.6% 41.3% 0.0 0.0 0.4
31

1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Dec-04Dec-05Dec-06Dec-07Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13Dec-14

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)
32

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

Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs
33

1

1.5

2

2.5

3

3.5

4

4.5

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

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
34

1

1.5

2

2.5

3

3.5

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

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
35

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
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%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

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

13-week moving average

Percent Awarded in Bill Auctions by Investor Class

(3-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%

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

6-month moving average

Percent Awarded in 2-, 3-, 5-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%

5%

10%

15%

20%

25%

30%

35%

40%

45%

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

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
39 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%

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

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
40 Excludes SOMA add-ons. 

30%

35%

40%

45%

50%

55%

60%

65%

70%

75%

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

% 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)
41 Excludes SOMA add-ons. 

0%

5%

10%

15%

20%

25%

Jun-09

Sep-09

Dec-09

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

% 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)
42 Foreign includes both private sector and official institutions.

0

20

40

60

80

100

120

140

160

180

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

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

$bn

Total Foreign Awards of Treasuries at Auction, $ Billion

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

43
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic 44

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
45

Recent and Projected Portfolio Composition by Issuance Type

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

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 11.6% 33.3% 46.5% 79.8% 8.6% 0.0%

2015 11.2% 29.3% 48.6% 77.9% 8.7% 2.2%

2016 10.7% 27.6% 50.4% 78.1% 8.8% 2.4%

2017 10.2% 27.2% 51.2% 78.4% 9.1% 2.3%

2018 9.8% 27.1% 51.5% 78.7% 9.3% 2.2%

2019 9.4% 27.4% 51.5% 79.0% 9.6% 2.1%

2020 8.9% 27.6% 51.8% 79.4% 9.6% 2.0%

2021 8.6% 27.7% 52.3% 80.0% 9.5% 1.9%

2022 8.2% 27.6% 53.1% 80.7% 9.3% 1.8%

2023 7.8% 27.6% 53.7% 81.3% 9.1% 1.8%

2024 7.5% 27.4% 54.4% 81.8% 9.0% 1.7%

2025 7.2% 27.2% 55.3% 82.5% 8.6% 1.7%
*Weighted averages of Competitive Awards. 46

**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-Yr 

Equivalent ($ 

bn)**

4-Week 10/9/2014 0.010 4.56 31.77 63.3% 4.0% 32.7% 0.23 0.00 0.30

4-Week 10/16/2014 0.015 3.68 32.74 85.8% 3.7% 10.5% 0.26 0.00 0.30

4-Week 10/23/2014 0.030 4.02 33.76 80.8% 3.6% 15.6% 0.24 0.00 0.32

4-Week 10/30/2014 0.020 4.02 33.21 74.6% 7.6% 17.8% 0.22 0.00 0.33

4-Week 11/6/2014 0.035 4.02 35.74 76.4% 5.7% 17.8% 0.26 0.00 0.34

4-Week 11/13/2014 0.045 3.84 39.73 70.7% 5.3% 24.0% 0.27 0.00 0.37

4-Week 11/20/2014 0.035 3.51 39.75 77.7% 4.8% 17.5% 0.25 0.00 0.37

4-Week 11/28/2014 0.060 3.65 38.77 77.1% 4.1% 18.9% 0.23 0.00 0.38

4-Week 12/4/2014 0.030 3.75 49.73 65.9% 3.1% 31.0% 0.27 0.00 0.48

4-Week 12/11/2014 0.040 3.52 49.72 73.0% 4.9% 22.1% 0.28 0.00 0.46

4-Week 12/18/2014 0.020 3.28 39.75 75.4% 4.0% 20.6% 0.25 0.00 0.37

4-Week 12/26/2014 0.010 3.74 29.77 66.5% 3.7% 29.8% 0.23 0.00 0.28

4-Week 1/2/2015 0.015 3.67 28.89 60.0% 2.3% 37.7% 0.24 0.00 0.28

13-Week 10/9/2014 0.015 5.05 23.54 75.7% 4.2% 20.1% 0.41 0.00 0.71

13-Week 10/16/2014 0.010 4.33 23.50 75.2% 5.4% 19.5% 0.40 0.00 0.70

13-Week 10/23/2014 0.020 4.60 23.60 73.1% 3.9% 22.9% 0.40 0.00 0.71

13-Week 10/30/2014 0.020 4.83 22.84 68.7% 4.0% 27.2% 0.37 0.00 0.71

13-Week 11/6/2014 0.020 4.67 23.56 70.0% 6.0% 24.0% 0.35 0.00 0.72

13-Week 11/13/2014 0.025 4.65 23.49 51.5% 3.6% 44.9% 0.41 0.00 0.72

13-Week 11/20/2014 0.025 4.50 23.49 61.9% 4.5% 33.6% 0.41 0.00 0.69

13-Week 11/28/2014 0.020 4.28 22.67 79.8% 9.3% 10.9% 0.39 0.00 0.70

13-Week 12/4/2014 0.025 4.67 23.45 71.4% 4.5% 24.1% 0.35 0.00 0.70

13-Week 12/11/2014 0.025 4.51 23.57 62.6% 6.4% 31.0% 0.43 0.00 0.70

13-Week 12/18/2014 0.035 3.98 23.51 79.0% 9.7% 11.3% 0.39 0.00 0.70

13-Week 12/26/2014 0.055 3.83 23.50 59.5% 9.7% 30.8% 0.40 0.00 0.70

13-Week 1/2/2015 0.040 3.94 22.64 70.3% 8.5% 21.2% 0.37 0.00 0.70

26-Week 10/9/2014 0.040 4.62 23.17 60.4% 6.7% 32.9% 0.36 0.00 0.57

26-Week 10/16/2014 0.040 4.32 26.18 54.1% 4.9% 41.0% 0.34 0.00 0.70

26-Week 10/23/2014 0.050 3.91 29.34 68.9% 8.9% 22.3% 0.31 0.00 0.85

26-Week 10/30/2014 0.055 4.03 28.74 59.5% 4.9% 35.6% 0.28 0.00 1.75

26-Week 11/6/2014 0.060 4.19 29.21 47.6% 3.4% 48.9% 0.32 0.00 0.99

26-Week 11/13/2014 0.060 3.83 27.19 57.8% 5.6% 36.6% 0.34 0.00 0.99

26-Week 11/20/2014 0.070 3.83 27.36 63.4% 5.1% 31.5% 0.36 0.00 1.02

26-Week 11/28/2014 0.070 4.03 26.66 48.5% 5.1% 46.4% 0.35 0.00 1.60

26-Week 12/4/2014 0.075 4.21 25.33 61.5% 7.0% 31.5% 0.29 0.00 1.06

26-Week 12/11/2014 0.090 4.20 25.35 56.9% 4.0% 39.1% 0.38 0.00 1.12

26-Week 12/18/2014 0.110 3.81 25.37 64.3% 3.0% 32.8% 0.35 0.00 1.18

26-Week 12/26/2014 0.155 3.74 23.28 53.6% 8.9% 37.5% 0.34 0.00 1.38

26-Week 1/2/2015 0.130 3.94 22.73 66.3% 6.6% 27.1% 0.28 0.00 1.20

52-Week 10/16/2014 0.100 3.86 24.77 68.1% 3.2% 28.7% 0.15 0.00 2.08

52-Week 11/13/2014 0.140 3.59 24.80 67.5% 3.9% 28.6% 0.12 0.00 2.33

52-Week 12/11/2014 0.210 3.44 24.77 78.1% 7.1% 14.8% 0.16 0.00 2.48

Bills
47

*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-toCover 

Ratio*

Competitive 

Awards ($ 

bn)

% 

Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($ bn)

SOMA 

Add Ons 

($ bn)

10-Yr 

Equivalent ($ 

bn)**

2-Year FRN 10/31/2014 0.053 3.58 14.98 50.1% 3.3% 46.6% 0.02 0.00 0.02

2-Year FRN 11/28/2014 0.068 4.00 12.99 42.8% 5.4% 51.8% 0.01 0.00 0.24

2-Year FRN 12/26/2014 0.110 2.90 12.99 70.1% 5.2% 24.7% 0.01 0.00 0.14

2-Year 10/31/2014 0.425 3.11 28.73 47.2% 16.2% 36.7% 0.17 0.00 5.89

2-Year 12/1/2014 0.542 3.71 27.75 48.0% 16.2% 35.8% 0.15 0.00 5.80

2-Year 12/31/2014 0.703 3.21 26.76 49.8% 14.5% 35.7% 0.14 0.00 5.88

3-Year 10/15/2014 0.994 3.42 26.84 47.0% 17.4% 35.5% 0.06 0.00 8.30

3-Year 11/17/2014 0.998 3.18 25.84 47.1% 15.2% 37.7% 0.06 0.03 8.34

3-Year 12/15/2014 1.066 3.24 24.83 47.7% 10.1% 42.2% 0.07 0.00 8.03

5-Year 10/31/2014 1.567 2.36 34.94 41.7% 10.5% 47.8% 0.06 0.00 18.46

5-Year 12/1/2014 1.595 2.91 34.95 25.1% 9.9% 65.0% 0.05 0.00 18.32

5-Year 12/31/2014 1.739 2.39 34.96 33.9% 7.3% 58.7% 0.04 0.00 18.75

7-Year 10/31/2014 2.018 2.42 28.99 38.0% 15.4% 46.6% 0.01 0.00 21.01

7-Year 12/1/2014 1.960 2.63 28.98 37.1% 12.8% 50.0% 0.02 0.00 20.84

7-Year 12/31/2014 2.125 2.39 28.99 37.6% 5.9% 56.5% 0.01 0.00 21.12

10-Year 10/15/2014 2.381 2.52 20.98 49.0% 6.6% 44.4% 0.02 0.00 20.99

10-Year 11/17/2014 2.365 2.52 23.93 42.0% 13.4% 44.7% 0.05 0.03 24.30

10-Year 12/15/2014 2.214 2.97 20.96 39.3% 6.9% 53.8% 0.04 0.00 20.99

30-Year 10/15/2014 3.074 2.40 12.99 32.2% 21.5% 46.2% 0.00 0.00 28.78

30-Year 11/17/2014 3.092 2.29 15.98 42.5% 13.8% 43.8% 0.01 0.02 36.06

30-Year 12/15/2014 2.848 2.76 12.99 25.9% 24.3% 49.8% 0.01 0.00 29.09

Issue Settle Date Stop Out 

Rate (%)*

Bid-toCover 

Ratio*

Competitive 

Awards ($ 

bn)

% 

Primary 

Dealer*

% 

Direct*

% 

Indirect*

NonCompetitive 

Awards ($ bn)

SOMA 

Add Ons 

($ bn)

10-Yr 

Equivalent ($ 

bn)**

5-Year 12/31/2014 0.395 2.37 15.96 30.0% 5.2% 64.8% 0.04 0.00 7.83

10-Year 11/28/2014 0.497 2.57 12.99 29.5% 8.1% 62.4% 0.01 0.00 14.00

30-Year 10/31/2014 0.985 2.29 6.98 31.0% 4.5% 64.5% 0.02 0.00 19.72

Nominal Coupons

TIPS
Treasury Borrowing Advisory Committee Presentation

• WAM and the Debt Portfolio

• Historically, Treasury has used the Weighted Average Maturity (WAM) of the debt portfolio as a 

simple proxy for the portfolio’s structure, cost and risk. Since the 2008/09 financial crisis, 

Treasury has extended the WAM from 49 months to 68 months and the WAM is now at levels 

approaching multi-decade highs. 

• WAM, however, is just one metric and, as with all simple proxies, WAM does not fully capture 

several important characteristics of the Treasury portfolio. We would like the Committee to 

comment on WAM as a metric for measuring the debt portfolio. What other metrics should 

Treasury monitor and publish with respect to the Treasury portfolio? Please discuss.

48
WAM is approaching multi-decade highs

• The weighted average maturity (WAM) of outstanding Treasury debt has risen significantly from the lows of 

49 months and is now approaching multi-decade highs

• Is WAM an accurate measure of Treasury’s costs and risks?

Weighted average maturity of the outstanding 

Treasury debt has risen to close to 30y highs

Source: Haver Analytics, US Treasury

Pros

• A single summary indicator of Treasury’s risks

• A simple, easy to communicate, metric 

Cons

• May overstate /understate shifts in roll-over risk

• Does not capture the concentration of roll-over risk

• Not a sufficient statistic to capture the ex-ante cost of 

issuing debt

• Does not capture the “completeness” of the market

40

45

50

55

60

65

70

75

1980 1985 1990 1995 2000 2005 2010

mths

Average maturity of Total Outstanding Marketable Debt

49
Is WAM a good measure of Treasury’s roll-over risk?

• WAM is a proxy for measuring roll-over risk. Higher WAM typically implies lower roll-over risk

• However, changes in WAM may overstate or understate the shifts in the degree of roll-over risk

• Alternate Metric: % of outstanding debt maturing over the next year (T-bills and <1y)

• Average maturity has risen from the lows but only back to the levels seen in 1990 and 2000. However T-bills, 

as a % of outstanding debt and % debt maturing in the next one year are much lower

• Extension of WAM is actually understating the reduction in the near term roll-over risk

Bills, as % of total debt, are at much lower levels 

even as WAM has increased to near record highs

Debt maturing in 1y, as % of total debt, is at much 

lower level, even as WAM has increased to highs

Source: Haver Analytics, US Treasury

45

50

55

60

65

70

75

10%

15%

20%

25%

30%

35%

40%

45%

50%

1975 1980 1985 1990 1995 2000 2005 2010

Bills, % of total marketable debt, LHS

WAM: total marketable debt, mths, RHS

45

50

55

60

65

70

75

20

25

30

35

40

45

1980 1985 1990 1995 2000 2005 2010

% of debt maturing in next 1y, LHS

WAM: total marketable debt, mths, RHS

50
Why is the rise in WAM understating the reduction in near term 

roll over risk?

• The reason why the increase in WAM so far has understated the reduction in near term roll-over risk is 

because the Treasury universe is still relatively front loaded

• As compared with Dec-2000, when WAM was at similar levels, % maturing at in 1-5y is greater and % 

maturing in 10y+ is lower

• WAM of the Treasury universe, maturing in >1 years, is well below the historical highs

WAM of the Treasury universe >1y 

Is well below historical highs

% Debt maturing in <1y is well below 2000 levels but it 

has mainly gone up in the 1-5y sector

24%

43%

21%

13%

39%

29%

13%

19%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

<1y 1-5y 5-10y 10y+

Dec-14 Dec-00

Source: Haver Analytics, US Treasury

60

70

80

90

100

110

120

45

50

55

60

65

70

75

1990 1995 2000 2005 2010

WAM: total marketable debt, mths

WAM: total marketable debt, >1y, mths, RHS

51
WAM does not capture concentration of roll-over risk

• WAM is silent about the distribution of outstanding debt. As seen earlier, roughly similar WAMs can 

correspond to different distributions

• Alternate Metric: highest % maturing in any period of x years (beyond the first year*)

• For instance, currently the highest % maturing in any 5y period (beyond the first year) is 55%. In 2000, that 

was 40%. Same is the case with periods of other lengths

• Concentrated roll-over risk has risen even as near term roll over risk has fallen

Debt maturing in 1-5y, as % of total debt, has increased, 

suggesting shifting of rollover risk from 1st year

Highest % maturing in any given window has not fallen 

even as near term roll over risk has

Note: * The rhs figure reflects max maturing excluding the first year as the first year is already captured by metrics focused on near term roll over risks. 

Source: Haver Analytics, US Treasury

20%

25%

30%

35%

40%

45%

2000 2003 2006 2009 2012

1-5y debt, % of total debt out 

52

0%

10%

20%

30%

40%

50%

60%

2000 2002 2004 2006 2008 2010 2012 2014

% max mat, 1y % max mat, 2y

% max mat, 3y % max mat, 4y

% max mat, 5y
Distribution of Outstanding Debt: A global perspective

% of debt maturing

WAM 

(yrs) <1y 1-5y 5-10y 10y+ 

US 5.7 24% 43% 21% 13%

Germany 6.6 14% 41% 29% 16%

France 6.9 19% 34% 26% 20%

Japan 8.4 9% 40% 26% 25%

UK 15.5 10% 24% 20% 46%

Treasury’s roll-over risk is still high in a global context

Source: US Treasury, MOF Japan, Bloomberg

0

2

4

6

8

10

12

14

16

18

1997 1999 2001 2003 2005 2007 2009 2011 2013

WAM, yrs

Japan US UK Germany France

WAM of US Treasury debt is at the lower end 

of the range for major issuers

• WAM is high in a historical context but is low in a global context.

• Near term roll over risk is higher than other major government bond issuers.

53
Is WAM a good proxy for cost of issuing debt?

Treasury’s Primary Goal: to finance government borrowing needs at the lowest cost over time

Methodology: issue debt in a regular and predictable pattern, provide transparency in our decisionmaking process, and seek continuous improvements in the auction process

How to measure the cost of issuing debt?

• Treasury yields = Expectations of the path of short rates + Term premium

• Tem premium = compensation demanded by investors for taking duration risk

• Hence, term premium can be thought of as Treasury’s ex-ante cost of issuing fixed rate debt vs 

T-bills /FRNs 

• Increasing WAM typically comes at a cost as term premium is usually significantly positive

• As a result, there usually exists a trade-off between reducing roll-over risk (via issuing long term debt) 

and reducing cost (via issuing short term debt).

• However, this does not always have to be the case

Source: US Treasury

54
Term premium is well below pre-crisis levels, perhaps negative

• How does one measure term premia?

• Survey based measures: Difference between current 10y yields and 

the expected average of 3M T-bills/FF rate over the next 10y years

• Survey of professional forecasters (top right)

• NY Fed Survey of primary dealers / market participants (bottom 

right)

• Term structure models (bottom left)

• Kim and Wright (2005) 

• Adrian, Crump and Moench (2013)

• Both methodologies suggest term premium is currently very low, perhaps 

negative. Hence, even though WAM is at historically high levels, ex-ante 

cost of issuing term debt is well below pre-crisis levels

Models based measures also show term 

premium is currently negative

Survey based measures show term premium is 

currently negative

Source: Haver Analytics, New York Fed, US Treasury

-1.2

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14

10y avg FF Rate, NY Fed Survey

10y Tsy Yield

Term Premium, %

55

-3

-2

-1

0

1

2

3

4

0

2

4

6

8

10

1990 1995 2000 2005 2010

10y CMT yield, %

Average 3m bill return over the next 10y, Median, %

Term Premium, % RHS

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

1980 1985 1990 1995 2000 2005 2010

10y ZC Term Premium, %

10y Term premium ACM model, %
WAM is at the highs but ex-ante costs are quite low

WAM is at the highs, but ex-ante cost of debt 

issuance is well below pre-crisis lows Scope for long end universe to expand 

• WAM is close to the historical highs but ex-ante cost of issuing term debt is perhaps negative (given 

that term premium is arguably negative)

• % maturing in the long end is low in a historical context. More room for issuing longer dated debt

Source: Haver Analytics, US Treasury

56

45

50

55

60

65

70

75

80

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

1980 1985 1990 1995 2000 2005 2010

10y ZC Term Premium, %

10y Term premium ACM model, %

Avg mat of total outstanding debt, mths, RHS

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

8%

10%

12%

14%

16%

18%

20%

2000 2002 2004 2006 2008 2010 2012 2014

10y+ maturity total debt, % of out

Term premium, RHS, %
Measuring ex-ante cost of issuing Nominals vs TIPS

• With the share of TIPS in the outstanding universe having risen, nominal term premium also does not fully 

capture the trade-off the Treasury faces

• Ex-ante cost of issuing Nominal Treasuries vs TIPS: Inflation Risk Premium – Liquidity Premium

• Inflation risk premium = Compensation demanded by investors for taking inflation risk

• Liquidity Premium = What investors are willing to pay to own a more liquid security (Nominals)

• Hence ex-ante cost in issuing nominal Treasuries vs TIPS are higher when inflation risk premium is higher 

and perceived liquidity premium is lower

TIPS breakevens have tightened sharply over the last 

few months. CPI Swap rates at lows

Share of TIPS in the outstanding universe 

has increased over the last few years

0%

2%

4%

6%

8%

10%

12%

Dec-97 Dec-00 Dec-03 Dec-06 Dec-09 Dec-12

TIPS, % of outstanding

Source: Haver Analytics, US Treasury

57

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2005 2007 2009 2011 2013 2015

5Y5Y CPI Swap Rate, % 5y5y TIPS breakeven, %
Ex-ante cost of issuing Nominals vs TIPS has declined

• Measuring Inflation risk premium using the difference between market and survey based measures

• 5y5y inflation swap rates have fallen over the last few months. However, the NY Fed survey of primary dealers 

show 5y5y inflation expectation have remained stable. This suggests that inflation risk premium has 

compressed. 

• Measuring Liquidity premium: Asset swap differential between TIPS and nominal Treasuries. Excluding the 

2008 crisis, the differential has remained in the 20-40bp range at the 10y tenor (TIPS being cheaper than 

Nominals)

• This suggests that ex-ante cost of issuing nominal Treasuries vs TIPS has fallen over the last few months as 

inflation risk premium has fallen and liquidity premium has remained stable TIPS trade at a discount to nominal 

Treasuries on Asset Swap

Survey based measures of medium term inflation 

expectations have remained unchanged

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

2.0%

2.1%

2.2%

2.3%

2.4%

2.5%

2.6%

2.7%

2.8%

2.9%

3.0%

Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14

Median PD 5y5y inf exp, %

5y5y BE Zero Swap, %

5y5y BE Zero Swap - Median PD 5y5y inf exp, RHS

Source: Haver Analytics, New York Fed

58

0

20

40

60

80

100

120

140

160

2006 2008 2010 2012 2014

10Y TIPS Vs Comparator Z Spread ASW, bp
Measuring the “completeness” of the market

• WAM does not say anything about idiosyncrasies of the distribution of the outstanding debt

• There are no nominal Treasuries maturing between Feb 2031 and Feb 2036. Further, the total amount 

outstanding between Feb 36 and May 38 (both included) is $112bn of which $72bn is held by the Fed. 

Hence, the total float available to investors in this sector is very small 

• Feb 2036 are trading significantly rich on the curve as they are likely to be the CTD in the US Futures 

contract for many years. This richness has spilled over to nearby issues as well.

• At current auction schedule, it will be a while before new 10y securities issued by the Treasury start filling 

the gap. The Treasury may consider issuing securities in this sector to iron out such dislocations.

59

-30

-25

-20

-15

-10

-5

0

5

10

15

0

10

20

30

40

50

60

70

Nov-14 Nov-17 Nov-20 Nov-23 Nov-26 Nov-29 Nov-32 Nov-35 Nov-38 Nov-41 Nov-44

Float (Outstanding - SOMA holdings), $bn, lhs Asset Swap Spread, bp, rhs

As of Jan 26. Source: New York Fed, US Treasury

Outstanding debt is unevenly distributed with no bonds maturing between 2031 and 2036
Measuring the Ownership concentration risk

• WAM , obviously, does not say anything about the 

ownership structure of the outstanding debt

• Foreign investors hold almost 60% of privately held 

Treasury debt. 

• In contrast depository institutions hold just 4%

• The Treasury may consider ways to diversify the investor 

base.

Foreign investors hold ~60% of privately held 

Treasury debt and Depository Institutions only 4%

Breakdown of ownership of privately held Treasury 

debt

As of Q3 14. Source: Haver Analytics, US Treasury

60

0%

10%

20%

30%

40%

50%

60%

70%

1990 1995 2000 2005 2010

Foreign ownership, % of private held debt

0%

2%

4%

6%

8%

10%

12%

14%

1990 1995 2000 2005 2010

Dep Inst, % of private held debt

Depository 

institutions

4%

U.S. savings 

bonds

2%

Private pension 

funds

5%

State & local 

government 

pension funds

2%

Insurance 

companies

2%

Mutual funds

10%

State & local 

governments

6%

Foreign & 

international

58%

Other investors

11%
Government ownership of financial assets has risen substantially 

from pre-crisis levels

• Government’s holdings of financial assets have increased substantially since the crisis. For instance, direct student

loans on government balance sheet are almost $0.8trn (equivalent to roughly 50% of outstanding 10y+ debt).

• Further, funding needs related to acquiring financial assets, mainly direct student loans, are increasingly becoming a

significant share of overall borrowing needs (equivalent to 25% of budget deficits in 2014)

• According to OMB, direct loan accounts are expected to increase by another $1trillion or so over the next decade.

• Other financial assets include operating cash balance (2014 average: $83bn) and GSE preferred stock ($140bn)

• Should the portfolio be considered net of financial assets?

61

0%

5%

10%

15%

20%

25%

30%

0

500

1,000

1,500

2,000

Dec-05 Dec-07 Dec-09 Dec-11 Dec-13

Yearly Budget Deficits, $bn

Financing Related to Direct Student Loans, $bn

Ratio, rhs

Financing needs related to direct student loans have 

average ~25% of deficits recently

Source: OMB, Haver Analytics, Federal Reserve, US Treasury

0%

25%

50%

75%

100%

0

500

1,000

1,500

2,000

Dec-06 Dec-08 Dec-10 Dec-12 Dec-14

10y+ Oustanding debt, $bn

Federal Direct Student Loans, $bn

Ratio, rhs

Direct student loans on government balance sheet 

equate to roughly 50% of outstanding 10y+ debt
Should the portfolio be considered net of financial assets?

• Credit / Liquidity / Cash flow profile of the asset should be taken into account before netting.

• Direct student loans are not liquid and ~25% are either in forbearance, delinquent or in default. Further they are

long dated assets with an uncertain cash flow profile

• Asset liability management approach should be favored. Options range from issuing structures with embedded 

optionality to a mix of existing coupon maturities to match the cash flow profile of student loans. The former 

allows for more accurately matching the cash flow risk and the latter does not require any new form of issuance.

• Scope for further rise in WAM given the increase in holdings of long dated assets

62

Note: WAM of student loans assumed to be 15 years for the rhs figure for illustrative purposes. Source: Department of Education, US Treasury

Roughly 25% of direct student loans are either in 

forbearance, delinquent or in default

In-School

21%

Grace

7%

Current 

Repayment

34%

Deferment

13%

Delinquent

7%

Forbearance

11%

Default

6%

Other

1%

WAM of debt net of student loans 

has risen to a lesser extent

0%

1%

2%

3%

4%

5%

6%

7%

40

45

50

55

60

65

70

75

Dec-00 Dec-04 Dec-08 Dec-12

WAM, Outstanding Debt, months

WAM, Outstanding Debt net of Loans, months

Direct Student Loans, % of oustanding debt, rhs
Recommendations on Debt Management

Communication

The Treasury could publish a base case forecast of issuance trends over a certain period (say 1y)

• WAM of issuance

• % to be issued in different buckets / instruments

• Actual issue sizes

Each option entails a trade-off between guidance and flexibility

Measurement Metrics

The Treasury could publish current and a base case forecast (x years out) (where applicable)

1. Roll-over risk: 

• % of debt outstanding maturing in the near term

• % of debt outstanding maturing within a x-year window at any point in time

2. Range of ex-ante measures of cost of issuing various forms of debt 

• % issuance in a given sector* Term premium at that tenor

• % issuance in TIPS * (Nominal Liquidity premium – Inflation Risk Premium)

3. Completeness of Market: 

• Lowest float maturing in a certain window (say 5y / 10y)

• Measure of aggregate dislocations (RMSE) of securities by sector

4. Various measures of WAM

• Outstanding debt / Coupon Universe 

• Consolidated Debt / Debt Net of Fin. Assets (after accounting for Fair Value and Maturity)

63
References

• http://libertystreeteconomics.newyorkfed.org/2014/05/treasury-term-premia-1961-present.html

• http://www.newyorkfed.org/markets/primarydealer_survey_questions.html

• http://www.imf.org/external/pubs/ft/tnm/2012/tnm1202.pdf

• http://www.brookings.edu/~/media/research/files/papers/2014/09/30_government_debt_management_zlb/30_

government_debt_management_zlb.pdf 

• http://www.imf.org/external/np/mfd/pdebt/2003/eng/am/120903.pdf

• http://www.bis.org/publ/bppdf/bispap65l_rh.pdf

• http://www.nao.org.uk/wp-content/uploads/2012/11/debt_management_office.pdf

• https://www.boj.or.jp/en/announcements/release_2013/k130122c.pdf

• http://www.bankofcanada.ca/wp-content/uploads/2011/08/larson.pdf

• https://www.bancaditalia.it/compiti/operazioni-mef/index.html?com.dotmarketing.htmlpage.language=1

• http://www.bundesbank.de/Navigation/EN/Service/Federal_securities/federal_securities.html

• http://www.aft.gouv.fr/rubriques/the-french-financial-markets_111_lng3.html

64

In the early 2000s, Treasury used buybacks as a tool to enhance the liquidity of its 

benchmark issuance during a time of budgetary surpluses. We would like the 

Committee to comment on the use of buybacks during a time of budgetary deficits, 

and whether such a tool could be used to assist Treasury in managing the maturity 

structure of debt portfolios, secondary market liquidity, and cash. 
 Treasury bought back $67.5 billion of outstanding bonds from March 2000 to April 2002

 Involved 45 reverse auction operations

 Buyback program was implemented in response to shrinking financing needs

 Federal budget turned to a surplus in 1998

 CBO forecasted increases in surplus going forward from that point

 Treasury had reduced its new debt issuance substantially

 TBAC in 1999 argued that “individual issues are now near a minimum size that would allow 

sufficient liquidity to maintain benchmark status”

 Buyback program ended once funding needs began to increase
 The budget deficit (primary deficit plus interest expenses) has to be met by changes in the 

amount of outstanding Treasury debt (or changes in cash balance)

 Those changes determined by:

Change in outstanding debt = Net debt issuance – Debt buybacks, or

Change in outstanding debt = Gross debt issuance – Maturing debt – Debt buybacks 

 With buybacks set at zero, any variation in the Treasury’s funding need (the change in 

outstanding debt plus maturing debt) has to be met by changing gross debt issuance

 But Treasury has emphasized the importance of regular and predictable issuance

 Treasury could consider running a program of regular buybacks with the ability to adjust the 

size over time (for purposes discussed in following slides)
 Enhance liquidity of Treasury securities

 Allow larger on-the-run issue sizes

 Create liquidity for off-the-run issues

 Smooth gross issuance of debt over time

 Maintain sizes of coupon issues during periods of temporary overfunding

 Reduce short-run variation in Treasury bill issuance or cash balance

 Provide another tool for managing seasonal fluctuations in funding needs

 Reduce maturity peaks in outstanding debt

 Allow pre-funding of large maturity dates to lower refinancing risk

 Allow more efficient changes to Treasury debt profile

 Achieve faster adjustments to debt profile (e.g., WAM) over time
 On-the-run Treasury securities provide liquidity that is highly valued by market participants

 Buybacks allow Treasury to separate on-the-run issue sizes from its funding needs

 Treasury can optimize the size of these issues, rather than having it imposed by budget needs

 However, it is unclear that current sizes are not sufficiently large

 The liquidity premium on on-the-run 

issues has been related to their size

 On-the-run debt was scarce in the early 

2000s and commanded a high premium

 Issue sizes have now reached levels at 

which the average liquidity premium is 

smaller and perhaps less sensitive to size
 Regular buybacks offer liquidity events for off-the-run Treasury securities

 Help guard against individual issues becoming very illiquid or idiosyncratically cheap

 Could be particularly helpful during periods of market dysfunction or stress

 Similar effects were observed during the Fed’s asset purchase programs

 Any reduction of illiquidity discount should also benefit newly issued Treasury securities

 Fed purchases led to a reduction in the 

dispersion of Treasury yields

 This pattern occurred because the Fed 

purchased less liquid, off-the-run issues

 Dispersion began to increase again as 

Fed purchases diminished
 Buybacks could be used to maintain consistent issue sizes for coupon securities during periods 

of overfunding

 Approach might be appealing if issue sizes would have to increase again beyond the overfunded period

 The potential for overfunding in 2014-2015 provided an example

 Treasury cut coupon sizes in recent 

years given falling funding needs

 It cut 2s and 3s further last year to 

address overfunding in 2014-2015

 However, Treasury is expected to be 

underfunded in 2016 and beyond 

with the current issue sizes

 An alternative approach would have 

left issue sizes unchanged in 2014 

and conducted a buyback program 

of $40 to 50 billion last year
 Treasury faces considerable variation in funding needs at a higher frequency

 This variation is largely due to timing mismatch of revenues and expenditures 

 Historically, much of this variation has been met through large fluctuations in bill issuance

 Also produces short-term swings in Treasury cash balances when bills cannot be cut sufficiently

 Buybacks could be used to dampen these seasonal swings in bill issuance/cash balances

 Issuance of bills varies over a wide 

range over the year

 Treasury could keep a steadier, larger 

amount of outstanding bills on average

 It would then use buybacks to reduce 

the excess funding realized at times
 However, there are limits on the scope of using buybacks for this purpose

 Buybacks would be much smaller than the variation in bills

 Operations would have to focus on issues with very short remaining maturities

 To date, there has been little apparent cost due to the variation in bill issuance

 Important issue is whether this will remain the case going forward

 Bills have served as a very efficient 

shock absorber

 Treasury has been able to vary bill size 

with little apparent cost (relationship 

does not appear to be convex)

 However, that has taken place in a high 

liquidity, low rate environment
 Treasury faces an uneven profile of maturing debt

 Mid-quarter months are projected to have large amounts of maturing debt

 This pattern owes in part to the regular re-opening of 10- and 30-year securities

 There is also some unevenness of maturities across different years

 This pattern creates considerable variation in gross funding needs

 This variation could result in increased rollover risk

 Makes it more challenging to smooth gross coupon issuance (need to use bills more extensively)

 Requires larger cash balance to guard against operational disruptions
 Buybacks could reduce the amount of debt maturing on peak dates

 One approach would be to purchase coupon securities as they approach maturity

 Allows the Treasury to essentially pre-fund the maturing debt

 Treasury could also smooth maturity profile farther in advance if consistent with other objectives

 Short-dated coupons might be attractive to purchase

 Short-dated coupons trade cheap 

relative to bills

 This pattern makes them more 

attractive to purchase

 Many other debt managers focus 

buyback programs on short-dated 

coupon securities 
 Treasury should have the flexibility to alter broad characteristics of its debt over time

 For example, implementing any decisions to change the WAM or the proportion of bills

 Buybacks could make the implementation of these changes quicker and more efficient

 Especially if Treasury were reluctant to change new issue sizes abruptly

 As an illustrative example, consider an effort 

to return WAM to its historical average

 This adjustment could be achieved by 

adjusting issuance without using buybacks

 However, the adjustment would occur quite 

slowly if Treasury were reluctant to make large 

changes to issue sizes

 A buyback program of $100 billion per year 

would accelerate the adjustment to the WAM
 Costs of operating on both sides of the market

 Pay bid-offer spread, plus additional concessions at auctions and at buyback operations

 Costs presumably increase with size of operations, perhaps limiting the overall program size

 However, Treasury would be capturing more liquidity premium, mitigating this concern

 It would be important for the Treasury to monitor such costs if it were to implement buybacks

 Discomfort with Treasury interfering in market functioning

 Some may worry about the market functioning consequences of additional Treasury activity

 However, net supply would basically remain on same path that it would without buybacks; Treasury 

would just be achieving that path in a more effective manner

 Buybacks could improve market functioning by creating more liquid instruments

 Accounting issue with buying premium bonds 

 Premiums on purchased securities count as current expenditures, so they would increase the reported 

budget deficit

 However, the premium is just the market price for reducing future excess interest payments

 This issue could interact with the debt limit, since the limit is measured on par debt
 Many countries conduct either debt buybacks or debt exchange programs

 A recent OECD survey indicated that 29 of the 33 countries surveyed had used such programs

 Some countries conduct buybacks on regular basis, while others conduct them on an ad-hoc basis

Source: 2012 Survey on Buyback and Switches by OECD WPDM, as reported in OECD Working Papers on Sovereign Borrowing 

and Public Debt Management, No. 5.
 Buyback operations are usually targeted at securities that are approaching maturity

 Most respondents said that the purpose was “to smooth the redemption profile” or “to 

mitigate refinancing risk”
 Operational experience from Fed asset purchases

 Have operational infrastructure and experienced staff for implementation 

 Can rely on the past experience of Treasury and Fed to guide operational details

 Initial thoughts on operational procedures

 Conduct buybacks as reverse auctions over defined set of securities 

 Accept offers based on cheapness relative to other similar Treasury securities

 Place ownership limits on individual CUSIPs

 Exclude particular issues as needed

 Exclude STRIPS

 Aim for some degree of “regular and predictable” activity for buybacks

 Likely to be some benefit from regular presence in the market

 But also want the flexibility to adjust sizes and composition over time, given some of the 

objectives noted above

 Adjustments should not be so abrupt to create meaningful uncertainty about gross issuance
 Buybacks would proceed at a much slower pace than the Fed’s purchases in recent years

 Fed’s programs bought at a rapid pace, reflecting their intention to influence financial conditions

 Buybacks would instead be focused on the objectives described above

 Purchases of up to $100 billion per year could likely be achieved with little difficulty

 Fed programs bought at a pace as high 

as $100 billion per month

 Buyback program would be at a fraction 

of the pace of Fed purchases

 Nevertheless, the Fed’s programs 

showed that sizable purchases can be 

achieved without notable detriment to 

market functioning
 Some capacity for buybacks has been used up by the Fed’s purchase programs



 Still considerable room for a buyback program across a wide range of maturities

 Fed owns a meaningful share of 

some segments of the market 

(such as bonds that have aged 

significantly)

 Fed ownership is limited at 

shorter maturities
 Buyback program is operationally feasible and provides benefits discussed above

 Potential structure of buyback program

 Start with a program of modest size, conducted as a regular set of operations

 Size of purchases would vary through the year to achieve the objectives above

 Focus a considerable portion of purchases on securities with relatively short remaining maturities

 But also consider some amount of purchases across the curve

 If program proves useful, could move towards larger sizes and greater variation

 Arguments in favor:

 Build the flexibility to smooth maturity peaks and manage variation in bills/cash balances

 Enhance the liquidity of off-the-run issues

 Help implement any decisions on the desired structure of outstanding debt

 Arguments against:

 No clear need to raise on-the-run issue sizes at this time

 As outlook swings towards underfunding, buybacks will exacerbate need to raise issue sizes

 Bills are currently serving as an effective tool for addressing short-run variation in funding needs