Treasury Presentation to TBAC
Office of Debt Management
Fiscal Year 2013 Q3 Report
Table of Contents
I.
Fiscal
A.
B.
C.
D.
E.
F.
G.
Quarterly Tax Receipts
Monthly Receipt Levels
Eleven Largest Outlays
Treasury Net Nonmarketable Borrowing
Cumulative Budget Deficits
Deficit and Borrowing Estimates
Budget Surplus/Deficit
p.
p.
p.
p.
p.
p.
p.
4
5
6
7
8
9
10
p.
p.
p.
p.
12
14
15
16
II. Financing
A.
B.
C.
D.
Sources of Financing
OMBs Projections of Borrowing from the Public
Interest Rate Assumptions
Net Marketable Borrowing on Auto Pilot Versus Deficit Forecasts
III. Portfolio Metrics
A. Weighted Average Maturity of Marketable Debt Outstanding with Projections
B. Recent and Projected Maturity Profile
p. 19
p. 20
IV. Demand
A.
B.
C.
D.
E.
Summary Statistics
Bid-to-Cover Ratios
Investor Class Auction Awards
Foreign Awards at Auction
Primary Dealer Awards at Auction
p.
p.
p.
p.
p.
25
26
30
37
41
Section I:
Fiscal
Sep-02
Dec-02
Mar-03
Jun-03
Sep-03
Dec-03
Mar-04
Jun-04
Sep-04
Dec-04
Mar-05
Jun-05
Sep-05
Dec-05
Mar-06
Jun-06
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Year over Year % Change
Quarterly Tax Receipts
75%
50%
25%
0%
-25%
-50%
Corporate Taxes
Non-Withheld Taxes (incl SECA)
Withheld Taxes (incl FICA)
Sept. 2002 year over year % change data point excluded from corporate taxes due to 9-11 impacts on data.
Monthly Receipt Levels
(12-Month Moving Average)
120
100
$ bn
80
60
40
20
Sep-02
Dec-02
Mar-03
Jun-03
Sep-03
Dec-03
Mar-04
Jun-04
Sep-04
Dec-04
Mar-05
Jun-05
Sep-05
Dec-05
Mar-06
Jun-06
Sep-06
Dec-06
Mar-07
Jun-07
Sep-07
Dec-07
Mar-08
Jun-08
Sep-08
Dec-08
Mar-09
Jun-09
Sep-09
Dec-09
Mar-10
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Sep-12
Dec-12
Mar-13
Jun-13
Individual Income Taxes
Corporation Income Taxes
Social Insurance Taxes
Other
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.
Oct-Jun FY 2012
Other Defense Civil
Education
OPM
Transportation
VA
Labor
Agriculture
Treasury
Defense
SSA
HHS
$ bn
Eleven Largest Outlays
700
600
500
400
300
200
100
Oct-Jun FY 2013
Q4-02
Q1-03
Q2-03
Q3-03
Q4-03
Q1-04
Q2-04
Q3-04
Q4-04
Q1-05
Q2-05
Q3-05
Q4-05
Q1-06
Q2-06
Q3-06
Q4-06
Q1-07
Q2-07
Q3-07
Q4-07
Q1-08
Q2-08
Q3-08
Q4-08
Q1-09
Q2-09
Q3-09
Q4-09
Q1-10
Q2-10
Q3-10
Q4-10
Q1-11
Q2-11
Q3-11
Q4-11
Q1-12
Q2-12
Q3-12
Q4-12
Q1-13
Q2-13
Q3-13
$ bn
Treasury Net Nonmarketable Borrowing
30
20
10
(10)
(20)
(30)
Fiscal Quarter
Foreign Series
State and Local Govt. Series (SLGS)
Savings Bonds
Cumulative Budget Deficits by Fiscal Year
1,400
1,200
1,000
$ bn
800
600
400
200
FY2011
FY2012
September
August
July
June
May
April
March
February
January
December
November
October
FY2013
FY 2014-2016 Deficits and Net Marketable Borrowing Estimates
Primary
Dealers
CBO
In $ Billions
CBO's Estimate
of the
3
President's Budget
OMB
FY 2014 Deficit Estimate
627
560
675
750
FY 2015 Deficit Estimate
514
378
437
626
FY 2016 Deficit Estimate
506
432
413
578
FY 2014 Deficit Range
525-750
FY 2015 Deficit Range
400-650
FY 2016 Deficit Range
400-600
FY 2014 Net Marketable Borrowing Estimate
677
649
754
874
FY 2015 Net Marketable Borrowing Estimate
566
471
530
787
FY 2016 Net Marketable Borrowing Estimate
568
510
497
736
May-13
May-13
Jul-13
FY 2014 Net Marketable Borrowing Range
482-825
FY 2015 Net Marketable Borrowing Range
324-800
FY 2016 Net Marketable Borrowing Range
Estimates as of:
445-750
Jul-13
Based on primary dealer feedback on July 22, 2013. Estimates above are averages.
Table 1 and 5 from "Updated Budget Projections: Fiscal Years 2013 to 2023"
3
Table 1 and 2 of the "An Analysis of the President's 2014 Budget"
4
Table S-5 and S-11 of the "Fiscal Year 2014 Mid-Session Review Budget of the US Government"
2
Budget Surplus/Deficit
500
2%
0%
2%
(500)
$ bn
4%
(1,000)
6%
(1,500)
8%
(2,000)
10%
(2,500)
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
12%
Fiscal Year
Surplus/Deficit in $ bn (L)
Surplus/Deficit as a % of GDP (R)
OMBs Projection
Projections are from Table S-5 and S-6 of the Fiscal Year 2014 Mid-Session Review Budget of the US Government.
10
Section II:
Financing
11
Sources of Financing in Fiscal Year 2013 Q3
April-June 2013
April-June 2013
Fiscal Year to Date
Bill Issuance
Net Bill Issuance (221)
Net Coupon Issuance 210
Subtotal: Net Marketable Borrowing (11)
Ending Cash Balance 135
Beginning Cash Balance 79
Subtotal: Change in Cash Balance 56
Issuance
Gross
Maturing
Net
Gross
Maturing
Net
4-Week
460
515
(55)
1,500
1,535
(35)
13-Week
404
437
(33)
1,257
1,261
(4)
26-Week
340
364
(24)
1,082
1,083
(1)
52-Week
98
102
(4)
248
254
(6)
CMBs
30
135
(105)
240
240
Bill Subtotal
1,332
1,553
(221)
4,327
4,373
(46)
Net Implied Funding for FY 2013 Q3* (66)
April-June 2013
Fiscal Year to Date
Coupon Issuance
Issue
Gross
Maturing
Net
Gross
Maturing
Net
2-Year
105
3-Year
96
112
(7)
315
330
(15)
120
(24)
288
371
(83)
5-Year
105
62
43
315
158
157
7-Year
87
87
261
261
10-Year
66
18
48
198
56
142
30-Year
42
42
126
126
5-Year TIPS
18
16
32
16
16
10-Year TIPS
13
13
54
54
30-Year TIPS
23
23
Coupon Subtotal
539
329
210
1,612
932
680
Total
1,871
1,882
(11)
5,939
5,305
634
*Assumes an end-of-June 2013 cash balance of $79 billion versus a beginning-of-April 2013 cash balance of $79 billion. By keeping the cash
balance constant, Treasury arrives at the net implied funding amount.
Financing Estimates released by the Treasury can be found via the following url: http://www.treasury.gov/resource-center/data-chartcenter/quarterly-refunding/Pages/Latest.aspx
12
Sources of Financing in Fiscal Year 2013 Q4
Assuming Constant Issuance Sizes as of 6/28/2013
July-September 2013
July-September 2013
Fiscal Year to Date
Bill Issuance
Assuming Constant Issuance Sizes as of 6/28/2013*:
Net Bill Issuance (72)
Net Coupon Issuance 299
Subtotal: Net Marketable Borrowing 227
Treasury Announced Estimate: Net Marketable Borrowing** 209
Implied: Decrease In FY 2013 Q4 Net Issuances
(18)
Issuance
Gross
Maturing
Net
Gross
Maturing
Net
4-Week
390
395
(5)
1,890
1,930
(40)
13-Week
390
404
(14)
1,647
1,665
(18)
26-Week
325
378
(53)
1,407
1,461
(54)
52-Week
75
75
(0)
323
329
(6)
CMBs
240
240
Bill Subtotal
1,180
1,252
(72)
5,507
5,625
(118)
Fiscal Year to Date
July-September 2013
Coupon Issuance
5Year
10Year
30Year
Issue
Gross
Maturing
Net
Gross
Maturing
Net
2-Year
140
108
32
455
439
16
3-Year
96
104
(8)
384
476
(92)
5-Year
140
73
67
455
232
223
7-Year
116
116
377
377
10-Year
66
34
32
264
89
175
30-Year
42
42
168
168
5-Year TIPS
16
16
48
16
32
10-Year TIPS
28
25
82
25
57
30-Year TIPS
23
23
Coupon Subtotal
644
345
299
2,256
1,277
979
Total
1,824
1,597
227
7,763
6,902
861
*Keeping issuance sizes and patterns, as of 6/28/2013, constant for all securities.
**Assumes an end-of-September 2013 cash balance of $95 billion versus a beginning-of-July 2013 cash balance of $135 billion.
Financing Estimates released by the Treasury can be found via the following url: http://www.treasury.gov/resource-center/data-chartcenter/quarterly-refunding/Pages/Latest.aspx
13
OMB's Projections of Borrowing from the Public
1,000
932
Annual Change in Debt Held by the Public
666
874
712
690
787
800
712
736
661
634
677
600
$ bn
400
200
2023
2022
2021
8,082
2020
19%
Total
2019
1,520
2018
64%
Other
2016
17%
5,161
2015
1,401
Net Interest
2013
(400)
2014
(200)
$ bn
Primary Deficit
2017
FY 2013 - 2023 Cumulative Total
Fiscal Year
PrimaryDeficit
NetInterest
Other
DataLabels:AnnualChangein
DebtHeldbyPublic
OMBs projections of borrowing from the public are from Table S-11 of the Fiscal Year 2014 Mid-Session Review Budget of the US
Government. Data labels represent the change in debt held by the public in $ billions. Other represents borrowing from the public to
provide direct and guaranteed loans, in addition to TARP activity. Data labels represent the annual change in debt held by the public.
14
Interest Rate Assumptions:
10-Year Treasury Notes
5.5
10-Year Treasury Note Rate, %
4.5
3.5
10-Year Treasury Rate,
2.487%, as of 6/28/2013
2.5
OMB FY 2014 MSR
May 2013
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
1.5
Implied Forward
Rates as of 6/28/2013
OMBs economic assumption of the 10-year Treasury note rates were developed in late May 2013 and are from the Table 2 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. The implied 10-Year Treasury note forward rates are the averages for each fiscal year.
15
1,000
Projected Net Borrowing Assuming Future Issuance Remains
Constant
800
$ bn
600
400
200
TIPS
End of Fiscal Year
ProjectedNetMarketable
Borrowing(datalabelsatbottom)
690
712
2022
OMBsProjectionsof
BorrowingfromthePublic
666
2023
712
2021
677
2020
634
2019
7/10/30
661
2018
2/3/5
736
2017
787
2016
874
2015
Bills
932
2014
(200)
2013
CBO'sEstimateofthe
President'sBudget
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012
by the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the
Federal Reserves June 2013 primary dealer survey. Assumes issuance sizes for Bills, Nominal Coupons and TIPS are unchanged from
6/28/2013 levels. The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. No attempt was made
to match future financing needs. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year 2014 MidSession Review Budget of the US Government. CBOs estimate of the borrowing from the public are from Table 2 of the An Analysis of the
President's 2014 Budget.
Data labels represent historical net marketable borrowing and projected net borrowing assuming future issuance remains constant at current
sizes. See table on the following page for details.
16
Historical Net Marketable Borrowing and Projected Net Borrowing*
Assuming Future Issuance Remains Constant, $ Billion
Historical Net
End of Fiscal
Year
Bills
2/3/5
7/10/30
TIPS
Marketable
Borrowing/Projected Net
Borrowing Capacity
OMBs Projections
CBO's Estimate of
of Borrowing
the President's
from the Public
Budget
2009
503
732
514
38
1,786
2010
(204)
869
783
35
1,483
2011
(311)
576
751
88
1,104
2012
139
148
738
90
1,115
2013
(118)
148
720
111
861
932
777
2014
(13)
(8)
669
88
736
874
754
2015
(94)
639
87
632
787
530
2016
(18)
442
67
492
736
497
2017
(7)
256
68
316
661
484
2018
273
62
335
634
507
2019
134
243
71
449
677
611
2020
126
236
40
403
712
667
2021
54
225
11
290
690
667
2022
38
249
(3)
284
712
695
2023
(13)
212
(5)
194
666
624
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012
by the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the
Federal Reserves June 2013 primary dealer survey. Assumes issuance sizes for Bills, Nominal Coupons and TIPS are unchanged from
6/28/2013 levels. The principal on the TIPS securities were accreted to each projection date based on market ZCIS levels. No attempt was made
to match future financing needs. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year 2014 MidSession Review Budget of the US Government. CBOs estimate of the borrowing from the public are from Table 2 of the An Analysis of the
President's 2014 Budget.
17
Section III:
Portfolio Metrics
18
Weighted Average Maturity of Marketable Debt Outstanding
85
Weighted Average Maturity (Months)
80
66.0 months on
6/28/2013
75
70
58.1 months
(Historical Average
from 1980 to 2010)
65
60
55
50
45
2024
2022
2020
2018
2016
2014
2012
2010
2008
2006
2004
2002
2000
1998
1996
1994
1992
1990
1988
1986
1984
1982
1980
40
Calendar Year
Historical
Adjust Nominal Coupons to Match Financing Needs
Historical Average from 1980 to 2010
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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.
19
Projected Maturity Profile, $ Trillion
20
18
16
14
$ tr
12
10
8
6
4
2
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
0
End of Fiscal Year
< 1yr
[1, 2)
[2, 3)
[3, 5)
[5, 7)
[7, 10)
>= 10yr
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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. See table on the following page for details.
Maturity distribution by original issuance type and term can be found in the appendix (slide 43).
20
Recent and Projected Maturity Profile, $ Billion
End of Fiscal
< 1yr
[1, 2)
[2, 3)
[3, 5)
[5, 7)
[7, 10)
>= 10yr
Total
[0, 5)
2007
1,581
663
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
529
672
695
6,998
5,101
2010
2,563
1,141
869
1,299
907
856
853
8,488
5,872
2011
2,620
1,272
1,002
1,516
1,136
1,053
1,017
9,616
6,410
2012
2,889
1,395
1,109
1,847
1,214
1,108
1,181
10,742
7,239
2013
2,947
1,525
1,177
2,030
1,425
1,165
1,331
11,601
7,680
2014
3,078
1,585
1,478
2,230
1,429
1,159
1,538
12,496
8,370
2015
3,138
1,894
1,466
2,372
1,561
1,192
1,683
13,305
8,869
2016
3,344
1,903
1,709
2,477
1,543
1,232
1,859
14,068
9,434
2017
3,456
2,108
1,686
2,593
1,578
1,294
2,045
14,761
9,844
2018
3,662
2,188
1,729
2,670
1,645
1,338
2,200
15,432
10,248
2019
3,634
2,264
1,903
2,707
1,787
1,474
2,380
16,149
10,508
2020
3,825
2,412
1,834
2,904
1,803
1,479
2,648
16,904
10,974
2021
3,967
2,353
1,994
3,032
1,837
1,536
2,921
17,641
11,347
2022
3,908
2,525
2,142
3,117
1,941
1,536
3,233
18,401
11,692
2023
4,081
2,694
2,120
3,141
2,018
1,518
3,547
19,119
12,035
Year
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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.
Maturity distribution by original issuance type and term can be found in the appendix (slide 43).
21
Projected Maturity Profile, Percent
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
0%
End of Fiscal Year
< 1yr
[1, 2)
[2, 3)
[3, 5)
[5, 7)
[7, 10)
>= 10yr
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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. See table on the following page for details.
Maturity distribution by original issuance type and term can be found in the appendix (slide 43).
22
Recent and Projected Maturity Profile, Percent
End of Fiscal
< 1yr
[1, 2)
[2, 3)
[3, 5)
[5, 7)
[7, 10)
>= 10yr
[0, 3)
[0, 5)
2007
35.7%
15.0%
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%
7.6%
9.6%
9.9%
59.1%
72.9%
2010
30.2%
13.4%
10.2%
15.3%
10.7%
10.1%
10.0%
53.9%
69.2%
2011
27.2%
13.2%
10.4%
15.8%
11.8%
10.9%
10.6%
50.9%
66.7%
2012
26.9%
13.0%
10.3%
17.2%
11.3%
10.3%
11.0%
50.2%
67.4%
2013
25.4%
13.1%
10.1%
17.5%
12.3%
10.0%
11.5%
48.7%
66.2%
2014
24.6%
12.7%
11.8%
17.8%
11.4%
9.3%
12.3%
49.1%
67.0%
2015
23.6%
14.2%
11.0%
17.8%
11.7%
9.0%
12.6%
48.8%
66.7%
2016
23.8%
13.5%
12.1%
17.6%
11.0%
8.8%
13.2%
49.4%
67.1%
2017
23.4%
14.3%
11.4%
17.6%
10.7%
8.8%
13.9%
49.1%
66.7%
2018
23.7%
14.2%
11.2%
17.3%
10.7%
8.7%
14.3%
49.1%
66.4%
2019
22.5%
14.0%
11.8%
16.8%
11.1%
9.1%
14.7%
48.3%
65.1%
2020
22.6%
14.3%
10.8%
17.2%
10.7%
8.7%
15.7%
47.7%
64.9%
2021
22.5%
13.3%
11.3%
17.2%
10.4%
8.7%
16.6%
47.1%
64.3%
2022
21.2%
13.7%
11.6%
16.9%
10.5%
8.3%
17.6%
46.6%
63.5%
2023
21.3%
14.1%
11.1%
16.4%
10.6%
7.9%
18.6%
46.5%
62.9%
Year
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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.
Maturity distribution by original issuance type and term can be found in the appendix (slide 43).
23
Section IV:
Demand
24
Summary Statistics for Fiscal Year 2013 Q3 Auctions
Security
Type
Term
StopOutRate
(%)*
BidtoCover Competitive %Primary
NonCompetitive SOMAAdd 10YrEquivalent
%Direct* %Indirect*
Awards($bn) Ons($bn)
($bn)**
Ratio*
Awards($bn) Dealer*
Bill
4-Week
0.043
4.5
499.5
66.7%
8.3%
25.0%
3.6
0.0
4.0
Bill
13-Week
0.054
4.7
461.9
76.3%
8.8%
14.8%
7.3
0.0
11.3
Bill
26-Week
0.088
5.0
385.6
62.3%
9.2%
28.4%
6.2
0.0
19.0
Bill
52-Week
0.137
4.6
121.3
59.7%
7.7%
32.6%
0.7
0.0
10.9
Bill
CMBs
0.050
4.3
30.0
89.0%
5.6%
5.4%
0.0
0.0
0.1
Coupon
2-Year
0.257
3.3
104.2
58.2%
20.7%
21.1%
0.5
0.0
15.6
Coupon
3-Year
0.426
3.2
95.6
59.3%
13.1%
27.6%
0.1
0.0
32.2
Coupon
5-Year
0.838
2.8
104.9
37.4%
18.0%
44.6%
0.1
0.0
38.2
Coupon
7-Year
1.300
2.7
87.0
41.5%
20.0%
38.5%
0.0
0.0
43.3
Coupon
10-Year
1.932
2.7
66.0
40.2%
19.1%
40.6%
0.0
0.0
66.9
Coupon
30-Year
3.102
2.5
42.0
48.5%
14.5%
37.0%
0.0
0.0
92.4
TIPS
5-Year
(1.311)
2.2
17.9
46.1%
7.8%
46.1%
0.1
0.0
10.1
TIPS
10-Year
(0.225)
2.5
13.0
30.9%
12.4%
56.8%
0.0
0.0
13.7
TIPS
30-Year
1.420
2.5
7.0
38.9%
0.4%
60.8%
0.0
0.0
20.7
TotalBills
TotalCoupons
TotalTIPS
0.066
4.7
1,498.3
68.4%
8.6%
23.0%
17.9
0.0
45.2
1.053
2.9
499.6
48.0%
17.8%
34.2%
0.8
0.0
288.6
(0.436)
2.4
37.9
39.6%
8.0%
52.4%
0.1
0.0
44.6
*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.
25
Bid-to-Cover Ratios for Treasury Bills
6
5.5
5
4
3.5
3
2.5
2
4-Week (13-week moving average)
13-Week (13-week moving average)
26-Week (13-week moving average)
52-Week (6-month moving average)
Jun-13
Jun-12
Jun-11
Jun-10
Jun-09
Jun-08
Jun-07
Jun-06
Jun-05
Jun-04
1.5
Jun-03
Bid-to-Cover Ratio
4.5
26
2-Year
3-Year
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Bid-to-Cover Ratio
Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securities
(6-Month Moving Average)
3.5
2.5
1.5
5-Year
27
7-Year
10-Year
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
Mar-09
Dec-08
Sep-08
Jun-08
Bid-to-Cover Ratio
Bid-to-Cover Ratios for 7-, 10-, and 30-Year Nominal Securities
(6-Month Moving Average)
3.4
3.2
2.8
2.6
2.4
2.2
30-Year
28
Bid-to-Cover Ratios for TIPS
3.5
1.5
0.5
5-Year
10-Year (6-month moving average)
20-Year
Sep-12
Sep-11
Sep-10
Sep-09
Sep-08
Sep-07
Sep-06
Sep-05
Sep-04
Sep-03
Sep-02
Sep-01
0
Sep-00
Bid-to-Cover Ratio
2.5
30-Year
29
Investor Class Auction Awards: Bills
Fiscal Year 2013-Q3
Other
4.7%
Foreign &
International
8.8%
Investment
Funds
11.2%
Other Dealers
& Brokers
8.5%
Primary
Dealers
66.8%
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 30
Pension and Insurance.
Change in Demand Over the Last Year in Bills, Auction Awards by
Investor Class
2.0%
Change from Previous 4 Quarters
1.5%
1.0%
0.5%
0.0%
-0.5%
-1.0%
-1.5%
2013-Q2 less Previous 4 Quarters
Other
Foreign &
International
Investment
Funds
Other Dealers
& Brokers
Primary
Dealers
-2.0%
2013-Q3 less Previous 4 Quarters
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals,
31
Pension and Insurance. These results may include seasonal effects.
Previous 4 Quarters = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters
Investor Class Auction Awards:
2-, 3-, and 5-Year Nominal
Securities
Fiscal Year 2013-Q3
Investor Class Auction Awards:
7-, 10-, and 30-Year Nominal
Securities
Fiscal Year 2013-Q3
Other
0.8%
Other
0.9%
Foreign &
International
14.4%
Foreign &
International
16.9%
Primary
Dealers
42.1%
Primary
Dealers
52.4%
Investment
Funds
22.4%
Investment
Funds
37.2%
Other
Dealers
& Brokers
7.5%
Other Dealers
& Brokers
5.4%
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 32
Pension and Insurance.
Change in Demand Over the Last Year in 2-, 3-, 5-Year Nominal
Securities, Auction Awards by Investor Class
8%
Change from Previous 4 Quarters
6%
4%
2%
0%
-2%
2013-Q2 less Previous 4 Quarters
Other
Foreign &
International
Investment
Funds
Other Dealers
& Brokers
Primary
Dealers
-4%
2013-Q3 less Previous 4 Quarters
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals,
33
Pension and Insurance. These results may include seasonal effects.
Previous 4 Quarters = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters
Change in Demand Over the Last Year in 7-, 10-, 30-Year
Nominal Securities, Auction Awards by Investor Class
8%
Change from Previous 4 Quarters
6%
4%
2%
0%
-2%
-4%
2013-Q2 less Previous 4 Quarters
Other
Foreign &
International
Investment
Funds
Other Dealers
& Brokers
Primary
Dealers
-6%
2013-Q3 less Previous 4 Quarters
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals,
34
Pension and Insurance. These results may include seasonal effects.
Previous 4 Quarters = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters
Investor Class Auction Awards:
TIPS
Fiscal Year 2013-Q3
Other
0.5%
Foreign &
International
14.4%
Primary
Dealers
39.5%
Investment
Funds
43.7%
Other Dealers
& Brokers
1.9%
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals, 35
Pension and Insurance.
Change in Demand Over the Last Year in TIPS, Auction Awards
by Investor Class
10%
Change from Previous 4 Quarters
8%
6%
4%
2%
0%
-2%
-4%
-6%
2013-Q2 less Previous 4 Quarters
Other
Foreign &
International
Investment
Funds
Other Dealers
& Brokers
Primary
Dealers
-8%
2013-Q3 less Previous 4 Quarters
Excludes SOMA add-ons. The Other category includes categories that are each less than 2%, which include Depository Institutions, Individuals,
36
Pension and Insurance. These results may include seasonal effects.
Previous 4 Quarters = Total Awards for the previous 4 quarters divided by Total Auction Awards of the previous 4 quarters
Total Foreign Awards of Treasuries at Auction, $ Billion
200
180
Monthly Private Award ($bn)
160
140
120
100
80
60
40
20
Bills
Foreign includes both private sector and official institutions.
2/3/5
7/10/30
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
TIPS
37
Foreign Awards of Bills at Auction, Percent
25%
% Awarded to Foreign Investors
20%
15%
10%
5%
Excludes SOMA add-ons. Foreign includes both private sector and official institutions.
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
0%
38
Foreign Awards of Nominal Coupons at Auction, Percent
50%
45%
% Awarded to Foreign Investors
40%
35%
30%
25%
20%
15%
10%
5%
2/3/5
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
0%
7/10/30
Excludes SOMA add-ons. Foreign includes both private sector and official institutions.
39
Foreign Awards of TIPS at Auction, Percent
25%
% Awarded to Foreign Investors
20%
15%
10%
5%
5-Year
10-Year
20-Year
Excludes SOMA add-ons. Foreign includes both private sector and official institutions.
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
Jun-09
0%
30-Year
40
Primary Dealer Awards at Auction, Percent
75%
65%
60%
55%
50%
45%
40%
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)
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
Sep-10
Jun-10
Mar-10
Dec-09
Sep-09
35%
Jun-09
% of Total Competitive Amount Awarded
70%
TIPS (6-month moving average)
41
Appendix
42
Projected Portfolio Composition by Issuance Type, Percent
100%
90%
80%
% of Portfolio
70%
60%
50%
40%
30%
20%
10%
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
0%
End of Fiscal Year
Bills
2/3/5
7/10/30
TIPS (principal accreted to projection date)
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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. See table on the following page for details.
43
Recent and Projected Portfolio Composition by Issuance Type, Percent
End of Fiscal Year
Bills
2-, 3-, 5-Year
7-, 10-, 30-Year
Nominal Coupons Nominal Coupons
Total Nominal
Coupons
TIPS (principal
accreted to
projection date)
2006
21.3%
40.5%
29.0%
69.5%
9.2%
2007
21.6%
38.9%
29.2%
68.1%
10.3%
2008
28.5%
34.5%
26.9%
61.4%
10.0%
2009
28.5%
36.2%
27.4%
63.6%
7.9%
2010
21.1%
40.1%
31.8%
71.9%
7.0%
2011
15.4%
41.4%
35.9%
77.3%
7.3%
2012
15.0%
38.4%
39.0%
77.4%
7.5%
2013
13.3%
36.4%
42.3%
78.7%
8.1%
2014
12.4%
34.2%
45.0%
79.2%
8.3%
2015
11.7%
32.1%
47.5%
79.7%
8.7%
2016
11.0%
31.2%
48.9%
80.1%
8.9%
2017
10.5%
31.0%
49.4%
80.4%
9.1%
2018
10.1%
30.6%
50.0%
80.6%
9.4%
2019
9.6%
30.5%
50.3%
80.8%
9.6%
2020
9.2%
30.5%
50.6%
81.1%
9.7%
2021
8.8%
30.5%
51.1%
81.6%
9.6%
2022
8.4%
30.4%
51.7%
82.1%
9.5%
2023
8.1%
30.1%
52.4%
82.5%
9.3%
Portfolio & SOMA holdings as of 6/28/2013 and estimated projections of the Large Scale Asset Purchase program, announced on 12/12/2012 by
the Federal Reserve, assumed to last until June 2014 with SOMA redemptions until December 2018. These assumptions are based on the Federal
Reserves June 2013 primary dealer survey. To match OMBs 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 were accreted to each
projection date based on market ZCIS levels. OMBs projections of borrowing from the public projections are from Table S-11 of the Fiscal Year
2014 Mid-Session Review Budget of the US Government. 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.
44
BillIssues
Issue
SettleDate
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
4Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
13Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
26Week
52Week
52Week
52Week
52Week
CMBs
4/4/2013
4/11/2013
4/18/2013
4/25/2013
5/2/2013
5/9/2013
5/16/2013
5/23/2013
5/30/2013
6/6/2013
6/13/2013
6/20/2013
6/27/2013
4/4/2013
4/11/2013
4/18/2013
4/25/2013
5/2/2013
5/9/2013
5/16/2013
5/23/2013
5/30/2013
6/6/2013
6/13/2013
6/20/2013
6/27/2013
4/4/2013
4/11/2013
4/18/2013
4/25/2013
5/2/2013
5/9/2013
5/16/2013
5/23/2013
5/30/2013
6/6/2013
6/13/2013
6/20/2013
6/27/2013
4/4/2013
5/2/2013
5/30/2013
6/27/2013
6/4/2013
NonCompetitive SOMAAdd 10YrEquivalent
StopOut BidtoCover Competitive %Primary
%Direct* %Indirect*
Awards($bn)
Ons($bn)
($bn)**
Rate(%)*
Ratio*
Awards($bn) Dealer*
0.070
0.060
0.050
0.045
0.025
0.000
0.010
0.035
0.030
0.040
0.040
0.045
0.030
0.075
0.065
0.055
0.050
0.050
0.040
0.045
0.045
0.045
0.045
0.045
0.045
0.060
0.105
0.095
0.090
0.085
0.080
0.075
0.080
0.085
0.080
0.080
0.080
0.075
0.105
0.140
0.105
0.135
0.160
0.050
4.26
4.58
4.43
4.45
4.93
5.42
5.08
4.41
4.12
4.38
4.63
4.61
4.55
4.61
4.87
4.40
4.75
4.86
4.96
4.86
4.54
4.55
4.97
4.79
4.35
4.30
4.85
4.95
4.85
5.14
5.43
5.37
5.25
4.67
5.13
5.15
4.99
4.78
4.53
4.89
4.91
4.19
4.10
4.28
44.74
44.70
44.69
39.75
29.18
19.76
19.73
44.77
44.19
34.75
29.73
29.72
29.06
33.87
34.36
34.35
31.53
27.86
28.39
28.36
29.41
28.82
29.36
29.48
29.41
28.48
29.10
29.13
28.97
27.05
22.87
23.11
23.10
24.21
23.87
23.91
24.15
24.29
23.60
24.74
22.67
24.58
24.59
30.00
63.1%
52.9%
65.7%
73.0%
73.9%
83.3%
80.7%
61.8%
56.0%
71.5%
65.1%
72.6%
78.3%
72.8%
79.4%
75.7%
80.8%
82.7%
79.2%
66.3%
73.5%
71.9%
78.2%
80.7%
77.3%
74.3%
69.2%
70.4%
61.9%
62.4%
52.7%
60.4%
70.3%
56.3%
48.5%
59.0%
61.2%
56.7%
60.3%
59.9%
62.8%
51.3%
64.9%
89.0%
9.3%
7.2%
6.3%
9.7%
8.7%
6.5%
8.6%
8.1%
5.9%
7.9%
10.1%
9.9%
9.6%
7.2%
10.2%
7.7%
6.6%
10.6%
10.4%
9.8%
6.6%
5.9%
7.0%
9.2%
11.2%
12.9%
6.6%
11.8%
8.2%
5.4%
7.9%
9.9%
7.8%
10.0%
9.6%
11.2%
12.0%
12.9%
6.7%
7.3%
7.7%
8.3%
7.9%
5.6%
27.7%
39.9%
28.0%
17.3%
17.3%
10.3%
10.8%
30.1%
38.2%
20.6%
24.7%
17.5%
12.1%
20.0%
10.4%
16.6%
12.6%
6.7%
10.3%
23.9%
19.8%
22.1%
14.9%
10.1%
11.5%
12.8%
24.2%
17.8%
29.9%
32.2%
39.4%
29.7%
21.9%
33.7%
41.9%
29.8%
26.8%
30.3%
33.0%
32.7%
29.6%
40.4%
27.1%
5.4%
*Weighted averages of Competitive Awards.
**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards.
0.26
0.30
0.26
0.25
0.26
0.24
0.27
0.23
0.23
0.25
0.27
0.28
0.25
0.48
0.49
0.54
0.47
0.42
0.51
0.49
0.49
0.48
0.44
0.52
0.49
0.54
0.40
0.48
0.43
0.40
0.33
0.40
0.42
0.42
0.38
0.41
0.37
0.43
0.42
0.16
0.13
0.15
0.13
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.39
0.39
0.39
0.35
0.26
0.17
0.17
0.38
0.38
0.31
0.26
0.26
0.26
0.99
0.98
0.98
0.90
0.82
0.82
0.82
0.82
0.83
0.83
0.83
0.83
0.83
1.68
1.68
1.68
1.57
1.35
1.36
1.36
1.37
1.38
1.38
1.38
1.39
1.39
2.80
2.59
2.75
2.78
0.12
45
NominalCouponSecurities
Issue
SettleDate
2Year
2Year
2Year
3Year
3Year
3Year
5Year
5Year
5Year
7Year
7Year
7Year
10Year
10Year
10Year
30Year
30Year
30Year
4/30/2013
5/31/2013
7/1/2013
4/15/2013
5/15/2013
6/17/2013
4/30/2013
5/31/2013
7/1/2013
4/30/2013
5/31/2013
7/1/2013
4/15/2013
5/15/2013
6/17/2013
4/15/2013
5/15/2013
6/17/2013
NonCompetitive SOMAAdd 10YrEquivalent
StopOut BidtoCover Competitive %Primary
%Direct* %Indirect*
Rate(%)*
Ratio*
Awards($bn) Dealer*
Awards($bn) Ons($bn)
($bn)**
0.233
0.283
0.430
0.342
0.354
0.581
0.710
1.045
1.484
1.155
1.496
1.932
1.795
1.810
2.209
2.998
2.980
3.355
3.63
3.04
3.05
3.24
3.38
2.95
2.86
2.79
2.45
2.71
2.70
2.61
2.79
2.70
2.53
2.49
2.53
2.47
34.76
34.74
34.76
31.88
31.86
31.87
34.98
34.97
34.95
28.99
28.98
28.99
20.99
23.98
20.98
12.99
15.99
13.00
51.6%
65.5%
56.3%
64.9%
54.7%
58.4%
42.4%
32.6%
43.5%
41.0%
38.5%
37.8%
33.6%
49.2%
36.6%
49.3%
45.7%
51.3%
27.7%
12.6%
7.8%
16.2%
14.6%
8.4%
14.0%
23.3%
3.6%
19.7%
20.7%
15.7%
29.1%
16.9%
11.7%
19.2%
15.5%
8.5%
20.7%
21.9%
35.8%
19.0%
30.7%
33.1%
43.6%
44.0%
53.0%
39.3%
40.8%
46.4%
37.3%
33.9%
51.7%
31.4%
38.8%
40.2%
0.14
0.16
0.13
0.02
0.04
0.03
0.02
0.03
0.04
0.01
0.02
0.01
0.01
0.02
0.02
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
7.89
7.70
7.78
10.75
10.87
10.54
19.43
18.79
18.82
21.99
21.27
21.16
20.98
24.94
20.99
28.32
36.20
27.92
TIPS
Issue
SettleDate
5Year
10Year
30Year
4/30/2013
5/31/2013
6/28/2013
StopOut BidtoCover Competitive %Primary
NonCompetitive SOMAAdd 10YrEquivalent
%Direct* %Indirect*
Rate(%)*
Ratio*
Awards($bn) Dealer*
Awards($bn) Ons($bn)
($bn)**
(1.311)
(0.225)
1.420
2.18
2.52
2.48
17.93
12.97
6.98
46.1%
30.9%
38.9%
7.8%
12.4%
0.4%
46.1%
56.8%
60.8%
0.07
0.03
0.02
0.00
0.00
0.00
*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.
10.12
13.75
20.70
46
