Treasury Presentation to TBAC

Office of Debt Management

Fiscal Year 2017 Q2 Report

 Table of Contents
I. Executive Summary p. 4

II. Fiscal
A. Quarterly Tax Receipts p. 6
B. Monthly Receipt Levels p. 7
C. Eleven Largest Outlays p. 8
D. Treasury Net Nonmarketable Borrowing p. 9
E. Cumulative Budget Deficits p. 10
F. Deficit and Borrowing Estimates p. 11
G. Budget Surplus/Deficit p. 12

III. Financing
A. Sources of Financing p. 15
B. OMBs Projections of Net Borrowing from the Public p. 17
C. Interest Rate Assumptions p. 18
D. Net Marketable Borrowing on Auto Pilot Versus Deficit Forecasts p. 19

IV. Portfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections p. 24
B. Maturity Profile p. 25

V. Demand
A. Summary Statistics p. 30
B. Bid-to-Cover Ratios p. 31
C. Investor Class Awards at Auction p. 36
D. Primary Dealer Awards at Auction p. 40
E. Direct Bidder Awards at Auction p. 41
F. Foreign Awards at Auction p. 42
2
 Section I:
Executive Summary

3
 Highlights of Treasurys May 2017 Quarterly Refunding Presentation
to the Treasury Borrowing Advisory Committee (TBAC)

Receipts and Outlays

Fiscal year-to-date, corporate receipts are $25 billion (or 17%) lower than the same period of the previous year, due largely to a statutory
change in the due date for certain corporate taxes, from mid-March to mid-April.
Fiscal year-to-date, outlays related to Health and Human Services (HHS) have increased by $24 billion (or 5%) year-over-year; this
increase was driven by increased Medicare and Medicaid payments.
Fiscal year-to-date, Treasury outlays increased by $24 billion (or 8%) as compared to the same period of the previous year, due largely to
an increase in the inflation adjustment on TIPS.
Fiscal year-to-date, Social Security Administration (SSA) expenditures increased by $13 billion (or 3%) year-over-year, resulting from an
increase in program enrollment.

Sources of Financing in Fiscal Year 2017

Based on the Quarterly Borrowing Estimate, Treasurys Office of Fiscal Projections currently projects a net marketable borrowing need
of $26 billion for Q3 FY 2017, with an end-of-June cash balance of $200 billion. For Q4 FY 2017, net marketable borrowing need is
projected to be $98 billion, with an end-of-September cash balance of $115 billion.

Projected Net Marketable Borrowing

Between FY 2017 and 2019 Treasurys net marketable borrowing could rise notably if the Federal Reserve allows the Treasury securities
held in the SOMA portfolio to mature without reinvesting.
As of the January 2017 Survey of Primary Dealers, the median expectation was for SOMA reinvestments to continue until June 2018.

Bid-to-Cover Ratios (BTC)

BTC ratios for all securities were stable over the January to March period.

4
Section II:
Fiscal

5
 Year-over-Year % Change

10%
20%
30%
40%
50%
60%

(50%)
(40%)
(30%)
(20%)
(10%)
0%
Mar-07
Jul-07
Nov-07
Mar-08
Jul-08
Nov-08
Mar-09

Source: United States Department of the Treasury

Corporate Taxes
Jul-09
Nov-09
Mar-10
Jul-10
Nov-10
Mar-11
Jul-11
Nov-11
Mar-12
Jul-12
Nov-12

Non-Withheld Taxes (incl SECA)

Mar-13
Quarterly Tax Receipts

Jul-13
Nov-13
Mar-14
Jul-14
Nov-14
Mar-15
Jul-15
Nov-15
Withheld Taxes (incl FICA)

Mar-16
Jul-16
Nov-16
Mar-17
6
 Monthly Receipt Levels
(12-Month Moving Average)
140

120

100

80
$ bn

60

40

20

0
Mar-07

Mar-08

Mar-09

Mar-10

Mar-11

Mar-12

Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
Nov-07

Nov-08

Nov-09

Nov-10

Nov-11

Nov-12

Nov-13

Nov-14

Nov-15

Nov-16
Jul-07

Jul-08

Jul-09

Jul-10

Jul-11

Jul-12

Jul-13

Jul-14

Jul-15

Jul-16
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. 7
Source: United States Department of the Treasury
 Eleven Largest Outlays
600

500

400
$ bn

300

200

100

Transportation

OPM
VA

Other Defense Civil

Defense
SSA
HHS

Agriculture

Labor
Treasury

Education
Jan - Mar FY 2016 Jan - Mar FY 2017

Source: United States Department of the Treasury 8

 $ bn

0
10
20
30

(40)
(30)
(20)
(10)
Q2-07
Q3-07
Q4-07
Q1-08
Q2-08
Q3-08
Q4-08
Q1-09
Q2-09

Source: United States Department of the Treasury

Q3-09
Q4-09
Q1-10

Foreign Series
Q2-10
Q3-10
Q4-10
Q1-11
Q2-11
Q3-11
Q4-11
Q1-12
Q2-12
Q3-12

Fiscal Quarter
Q4-12
Q1-13
Q2-13
Q3-13

State and Local Govt. Series (SLGS)

Q4-13
Q1-14
Q2-14
Q3-14
Q4-14
Treasury Net Nonmarketable Borrowing

Q1-15
Savings Bonds

Q2-15
Q3-15
Q4-15
Q1-16
Q2-16
Q3-16
Q4-16
Q1-17
Q2-17
9
 Cumulative Budget Deficits by Fiscal Year

700

600

500

400
$ bn

300

200

100

0
April

August
December

September
October

November

January

June
May

July
February

March

FY2015 FY2016 FY2017

Source: United States Department of the Treasury 10

FY 2017-2019 Deficits and Net Marketable Borrowing Estimates In $ billions
Primary
Dealers1 CBO2 CBO3 OMB MSR4 OMB5
FY 2017 Deficit Estimate 606 559 433 441 504
FY 2018 Deficit Estimate 699 487 383 330 454
FY 2019 Deficit Estimate 788 601 518 427 550
FY 2017 Deficit Range 500-700
FY 2018 Deficit Range 478-951
FY 2019 Deficit Range 600-950

FY 2017 Net Marketable Borrowing Estimate 593 670 508 419* 419*
FY 2018 Net Marketable Borrowing Estimate 799 578 452 436 561
FY 2019 Net Marketable Borrowing Estimate 869 676 578 534 659
FY 2017 Net Marketable Borrowing Range 406-785
FY 2018 Net Marketable Borrowing Range 550-1150
FY 2019 Net Marketable Borrowing Range 670-1100
Estimates as of: Apr-17 Jan-17 Mar-16 Jul-16 Feb-16
1Based on primary dealer feedback on April 24, 2017. Estimates above are averages.
2Summary Table 1 of CBO's "The Budget and Economic Outlook: 2017 to 2027"
3Table 1 and 2 of CBO's "An Analysis of the President's 2017 Budget"
4Table S-11 of OMB's The FY2017 Mid-Session Review
5Table S-13 of OMB's Budget of the United States Government, Fiscal Year 2017
* OFP's FY 2017 Net Marketable Borrowing Estimate.

11
 Budget Surplus/Deficit

0 0%

(200)
(2%)

(400)

(4%)
(600)

% of GDP
$ bn

(800) (6%)

(1,000)
(8%)

(1,200)

(10%)
(1,400)

(1,600) (12%)
2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
Fiscal Year

OMBs Projection Surplus/Deficit (LHS) Surplus/Deficit (RHS)

Projections are from Table S-11 of The FY2017 Mid-Session Review. 12

Section III:
Financing

13
 Assumptions for Financing Section (pages 15 to 21)

Portfolio and SOMA holdings as of 03/31/2017.

SOMA reinvestments until June 2018, followed by SOMA redemptions until and including February
2022. These assumptions are based on the median expectations from the January 2017 FRB-NY Survey
of Primary Dealers.
Assumes announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of
03/31/2017, while using an average of ~$1.8 trillion of Bills outstanding.
The principal on the TIPS securities was accreted to each projection date based on market ZCIS levels
as of 03/31/2017.
No attempt was made to match future financing needs.

14
 Sources of Financing in Fiscal Year 2017 Q2
January - March 2017 January - March 2017 Fiscal Year-to-Date
Bill Issuance Bill Issuance
Net Bill Issuance (61) Security Gross Maturing Net Gross Maturing Net
Net Coupon Issuance 101 4-Week 548 563 (15) 1,203 1,173 30
Subtotal: Net Marketable Borrowing 40 13-Week 450 505 (55) 955 1,007 (52)
26-Week 372 437 (65) 799 765 34
Ending Cash Balance 92 52-Week 80 74 6 140 110 30
Beginning Cash Balance 399 CMBs 138 70 68 138 70 68
Subtotal: Change in Cash Balance (307) Bill Subtotal 1,588 1,649 (61) 3,235 3,125 110

Net Implied Funding for FY 2017 Q2* 347 January - March 2017 Fiscal Year-to-Date
Coupon Issuance Coupon Issuance
Security Gross Maturing Net Gross Maturing Net
2-Year FRN 44 41 3 85 82 3
2-Year 116 105 11 172 162 10
3-Year 76 90 (14) 153 180 (27)
5-Year 152 143 8 225 216 9
7-Year 125 131 (7) 185 196 (11)
10-Year 67 22 45 135 45 89
30-Year 41 0 41 84 19 65
5-Year TIPS 0 0 0 14 0 14
10-Year TIPS 26 21 5 38 21 18
30-Year TIPS 8 0 8 13 0 13
Coupon Subtotal 654 553 101 1,106 921 185

Total 2,242 2,202 40 4,341 4,046 295

*An end-of-March 2017 cash balance of $92 billion versus a beginning-of-January 2017 cash balance of $399 billion. By keeping the cash balance
constant, Treasury arrives at the net implied funding number. 15
Gross issuance values include SOMA add-ons.
 Sources of Financing in Fiscal Year 2017 Q3
April - June 2017

Assuming Constant Coupon Issuance Sizes*

Treasury Announced Net Marketable Borrowing** 26
Net Coupon Issuance 74
Implied Change in Bills (48)

April - June 2017 Fiscal Year-to-Date

Coupon Issuance Coupon Issuance
Security Gross Maturing Net Gross Maturing Net
2-Year FRN 45 41 4 130 123 7
2-Year 88 52 36 260 214 46
3-Year 80 87 (7) 233 267 (34)
5-Year 115 132 (17) 340 348 (8)
7-Year 95 95 (1) 280 291 (11)
10-Year 71 26 45 206 71 134
30-Year 44 16 28 128 34 93
5-Year TIPS 16 48 (32) 30 48 (18)
10-Year TIPS 12 0 12 51 21 30
30-Year TIPS 6 0 6 19 0 19
Coupon Subtotal 571 496 74 1,676 1,417 259

*Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 03/31/2017.
**Assumes an end-of-June 2017 cash balance of $200 billion versus a beginning-of-April 2017 cash balance of $92 billion.
Financing Estimates released by the Treasury can be found here: http://www.treasury.gov/resource-center/data-chart-center/quarterly-
refunding/Pages/Latest.aspx
16
 OMB's Projection of Borrowing from the Public

1,000 80%

808
800
739
652 667 650 75%

573 550
600 530
534

436
70%
400
$ bn

200
65%

FY2017 - FY2026 Cumulative Total 60%

$ bn %
(200) Primary Deficit 233 3.8
Net Interest 5,000 81.4
Other 906 14.8
Total 6,139 100.0
(400) 55%
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
Primary Deficit Net Interest Other Debt Held by Public Debt Held by Public Net of
as % of GDP (RHS) Financial Assets as a % of GDP (RHS)

OMBs projections of net borrowing from the public are from Table S-11 of The FY2017 Mid-Session Review. 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.
17
 Interest Rate Assumptions: 10-Year Treasury Note
4.5

3.5
10-Year Treasury Note Rate, %

2.5
10-Year Treasury Rate of 2.42%
as of 03/31/2017

1.5

1
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

2027
OMB FY 2017 MSR Implied Forward Rates as of 03/31/2017

OMB's economic assumption of the 10-Year Treasury Note rates are from Table S-11 of The FY2017 Mid-Session Review. The forward rates 18
are the implied 10-Year Treasury Note rates on March 31 of that year.
 Impact of SOMA Actions on Projected Net Borrowing Assuming Future
Issuance Remains Constant

With Fed Reinvestments ($ bn)

Without Fed Reinvestments ($ bn)* 1,600
1,600
1,400
1,400
1,200
1,200
1,000
1,000
800
800

600
600

400 400

200 200

0 0
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

2027

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
Fiscal Year Fiscal Year
OMB's FY 2017 Mid-Session Review
Projected Net Borrowing
PD Survey Marketable Borrowing Estimates
CBO's "The Budget and Economic Outlook: 2017 to OFP's FY 2017 Net Marketable Borrowing Estimate
2027"

Treasurys primary dealer survey estimates can be found on page 11. OMB's projections of net borrowing from the public are from Table S-11 of
The FY2017 Mid-Session Review. CBO's estimates of the borrowing from the public are Summary Table 1 of The Budget and Economic
Outlook: 2017 to 2027. See table at the end of this section for details. 19
*Does not reflect SOMA reinvestments after June 2018 and before February 2022.
 Additional Funding Gap Assuming No SOMA Roll after June 2018

0 0
0

(50)

(100)
(106) (110)
(150)

(200)

(227)
$ bn

(250)

(300)

(350)
(342)

(400)

(431)
(450)

(500)
2017

2018

2019

2020

2021

2022

2023
Fiscal Year

Assumes normalization will be complete by FY 2023, which implies no additional funding gap.
20
 Historical Net Marketable Borrowing and Projected Net Borrowing
Assuming Future Issuance Remains Constant, $ billions

Historical/Projected CBO's "The Budget and

Fiscal OMB's FY 2017 Mid- Primary Dealer
Bills 2/3/5 7/10/30 TIPS FRN Net Borrowing Economic Outlook:
Year Session Review Survey
Capacity 2017 to 2027"
2012 139 148 738 90 0 1,115
2013 (86) 86 720 111 0 830
2014 (119) (92) 669 88 123 669
2015 (53) (282) 641 88 164 558
2016 289 (82) 477 64 47 795
2017 198 9 292 55 9 562 419* 670 593
2018 0 121 293 55 3 472 436 578 799
2019 0 (24) 67 42 (9) 76 534 676 869
2020 0 (86) 83 15 (9) 3 530 753
2021 0 (76) 99 (5) 0 17 550 859
2022 0 12 141 (14) 2 141 652 1,017
2023 0 44 157 (13) 7 195 667 1,055
2024 0 30 136 (13) 1 154 650 1,082
2025 0 13 123 (53) (1) 82 739 1,220
2026 0 (18) 174 (45) (2) 109 808 1,352
2027 0 5 151 (36) (3) 117 1,463

Net Borrowing capacity does not reflect SOMA reinvestments after June 2018 and before February 2022.
Treasurys primary dealer survey estimates can be found on page 11. OMB's projections of net borrowing from the public are from Table S-11 of
The FY2017 Mid-Session Review. CBO's estimates of the borrowing from the public are from Table 1 and 2 of The Budget and Economic
Outlook: 2017 to 2027. 21
*OFPs FY 2017 Net Marketable Borrowing Estimate
 Section IV:
Portfolio Metrics

22
Assumptions for Portfolio Metrics Section (pages 24 to 28) and Appendix

Portfolio and SOMA holdings as of 03/31/2017.

SOMA reinvestments until June 2018, followed by SOMA redemptions until and including February
2022. These assumptions are based on the median expectations from the January 2017 FRB-NY Survey
of Primary Dealers.
Assumes announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of
03/31/2017, while using an average of ~$1.8 trillion of Bills outstanding.
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 was accreted to each projection date based on market ZCIS levels
as of 03/31/2017.
OMBs estimates of borrowing from the public are Table S-11 of the Fiscal Year 2017 Mid-Session
Review.

23
 Weighted Average Maturity of Marketable Debt Outstanding

85

80

75
70.0 months on
Weighted Average Maturity (Months)

03/31/2017
70

65

60

55
59.3 months
50
(Historical Average
from 1980 to Present)

45

40
1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

2022

2024

2026
Calendar Year

Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 1980 to end of FY 2017 Q2

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.
 Projected Maturity Profile from end of Fiscal Year
25

20

15
$ tr

10

0
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 25
basic trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details.
 Recent and Projected Maturity Profile, $ billions

End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10 Total (0,5]
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 3,097 1,775 1,335 2,382 1,478 1,121 1,654 12,841 8,589
2016 3,423 1,828 1,538 2,406 1,501 1,151 1,800 13,648 9,195
2017 3,675 2,029 1,507 2,436 1,469 1,182 1,948 14,245 9,646
2018 3,905 2,010 1,540 2,470 1,526 1,194 2,061 14,707 9,926
2019 3,890 2,097 1,619 2,569 1,628 1,269 2,200 15,273 10,175
2020 3,945 2,190 1,607 2,726 1,666 1,286 2,414 15,834 10,468
2021 4,038 2,156 1,777 2,788 1,690 1,331 2,636 16,418 10,760
2022 4,005 2,383 1,826 2,869 1,794 1,328 2,898 17,103 11,083
2023 4,232 2,422 1,863 2,900 1,871 1,345 3,177 17,809 11,417
2024 4,309 2,495 1,899 3,036 1,946 1,368 3,443 18,497 11,740
2025 4,344 2,582 1,927 3,321 1,961 1,400 3,741 19,276 12,175
2026 4,432 2,572 2,163 3,377 2,069 1,480 4,033 20,125 12,544

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 26
and term can be found in the appendix (Page 44).
 Projected Maturity Profile from end of Fiscal Year
100%

90%

80%

70%
Percent Compositioin

60%

50%

40%

30%

20%

10%

0%
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the basic 27
trajectory of average maturity absent changes to the mix of securities issued by Treasury. See table on following page for details.
 Recent and Projected Maturity Profile, percent

End of Fiscal Year <= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10 (0,3] (0,5]
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 24.1 13.8 10.4 18.5 11.5 8.7 12.9 48.3 66.9
2016 25.1 13.4 11.3 17.6 11.0 8.4 13.2 49.7 67.4
2017 25.8 14.2 10.6 17.1 10.3 8.3 13.7 50.6 67.7
2018 26.5 13.7 10.5 16.8 10.4 8.1 14.0 50.7 67.5
2019 25.5 13.7 10.6 16.8 10.7 8.3 14.4 49.8 66.6
2020 24.9 13.8 10.1 17.2 10.5 8.1 15.2 48.9 66.1
2021 24.6 13.1 10.8 17.0 10.3 8.1 16.1 48.6 65.5
2022 23.4 13.9 10.7 16.8 10.5 7.8 16.9 48.0 64.8
2023 23.8 13.6 10.5 16.3 10.5 7.6 17.8 47.8 64.1
2024 23.3 13.5 10.3 16.4 10.5 7.4 18.6 47.1 63.5
2025 22.5 13.4 10.0 17.2 10.2 7.3 19.4 45.9 63.2
2026 22.0 12.8 10.7 16.8 10.3 7.4 20.0 45.6 62.3

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 28
and term can be found in the appendix (Page 44).
Section V:
Demand

29
 Summary Statistics for Fiscal Year 2017 Q2 Auctions

Competitive % SOMA 10-Year

Security Stop Out Bid-to-Cover % % Non-Competitive
Term Awards Primary Add Ons Equivalent
Type Rate (%)* Ratio* Direct* Indirect* Awards ($bn)
($bn) Dealer* ($bn) ($bn)**

Bill 4-Week 0.575 3.4 542.1 58.9 8.4 32.7 4.6 0.0 4.8
Bill 13-Week 0.601 3.4 440.5 59.1 7.9 33.0 5.7 0.0 12.7
Bill 26-Week 0.712 3.4 361.2 54.3 2.6 43.1 5.2 0.0 21.0
Bill 52-Week 0.887 3.3 78.2 51.0 3.1 45.9 0.8 0.0 9.0
Bill CMB 0.647 3.4 138.0 61.9 4.3 33.8 0.0 0.0 1.4
Coupon 2-Year 1.234 2.7 77.4 35.9 13.4 50.7 0.5 8.4 19.3
Coupon 3-Year 1.508 2.8 71.7 38.6 7.7 53.7 0.2 4.1 25.3
Coupon 5-Year 1.958 2.3 101.8 30.6 5.9 63.5 0.2 11.0 60.9
Coupon 7-Year 2.249 2.5 84.0 22.0 8.8 69.2 0.0 9.0 68.2
Coupon 10-Year 2.408 2.5 62.9 23.6 9.4 67.0 0.1 3.8 67.1
Coupon 30-Year 3.028 2.3 39.0 27.9 7.3 64.8 0.0 2.4 92.5
TIPS 10-Year 0.450 2.3 23.9 17.9 11.0 71.1 0.1 2.2 28.8
TIPS 30-Year 0.923 2.3 7.0 23.6 6.6 69.8 0.0 1.0 23.6
FRN 2-Year 0.128 3.2 41.0 61.5 0.9 37.6 0.0 2.5 0.0

Total Bills 0.636 3.4 1,559.9 57.8 6.3 36.0 16.4 0.0 48.9
Total Coupons 1.972 2.5 436.9 29.9 8.7 61.3 0.9 38.7 333.4
Total TIPS 0.557 2.3 30.9 19.2 10.0 70.8 0.1 3.1 52.3
Total FRN 0.128 3.2 41.0 61.5 0.9 37.6 0.0 2.5 0.0

*Weighted averages of Competitive Awards.

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-year equivalent, a 30
constant auction BEI is used as the inflation assumption.
 Bid-to-Cover Ratios for Treasury Bills

5.5

4.5
Bid-to-Cover Ratio

3.5

2.5

1.5

1
Mar-07

Mar-08

Mar-09

Mar-10

Mar-11

Mar-12

Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
4-Week (13-week moving average) 13-Week (13-week moving average)
26-Week (13-week moving average) 52-Week (6-month moving average)
31
 Bid-to-Cover Ratio

2
2.5
3
3.5
4
4.5
5
Sep-14
Oct-14
Nov-14
Dec-14
Jan-15
Feb-15
Mar-15
Apr-15
May-15
Jun-15
Jul-15
Aug-15
Sep-15
Oct-15
Nov-15
Dec-15
Jan-16
Feb-16
Mar-16
Apr-16
May-16
(6-Month Moving Average)
Bid-to-Cover Ratios for FRNs

Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
Jan-17
Feb-17
Mar-17
32
 Bid-to-Cover Ratio

1
1.5
2
2.5
3
3.5
4
4.5
Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

2-Year
Dec-13

Mar-14

Jun-14

3-Year
Sep-14

Dec-14

Mar-15

5-Year
Jun-15
(6-Month Moving Average)

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16
Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securities

Dec-16

Mar-17
33
 Bid-to-Cover Ratio

1
1.5
2
2.5
3
Mar-12 3.5

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

7-Year
Dec-13

Mar-14

Jun-14

Sep-14

10-Year
Dec-14

Mar-15

Jun-15

30-Year
(6-Month Moving Average)

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16
Bid-to-Cover Ratios for 7-, 10-, and 30-Year Nominal Securities

Dec-16

Mar-17
34
 Bid-to-Cover Ratios for TIPS

3.5

3
Bid-to-Cover Ratio

2.5

1.5

1
Mar-06

Mar-07

Mar-08

Mar-09

Mar-10

Mar-11

Mar-12

Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
5-Year 10-Year (6-month moving average) 20-Year 30-Year

35
 Percent Awarded in Bill Auctions by Investor Class
(13-Week Moving Average)
35%

30%

25%
13-week moving average

20%

15%

10%

5%

0%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
Other Dealers and Brokers Investment Funds Foreign and International Other

Excludes SOMA add-ons. The Other category includes categories that are each less than 5%, which include Depository Institutions, Individuals, 36
Pension and Insurance.
 Percent Awarded in 2-, 3-, and 5-Year Nominal Security
Auctions by Investor Class (6-Month Moving Average)
50%

45%

40%

35%
6-month moving average

30%

25%

20%

15%

10%

5%

0%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
Other Dealers and Brokers Investment Funds Foreign and International Other

Excludes SOMA add-ons. The Other category includes categories that are each less than 5%, which include Depository Institutions, Individuals, 37
Pension and Insurance.
 Percent Awarded in 7-, 10-, 30-Year Nominal Security Auctions
by Investor Class (6-Month Moving Average)
60%

50%

40%
6-month moving average

30%

20%

10%

0%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
Other Dealers and Brokers Investment Funds Foreign and International Other

Excludes SOMA add-ons. The Other category includes categories that are each less than 5%, which include Depository Institutions, Individuals, 38
Pension and Insurance.
 Percent Awarded in TIPS Auctions by Investor Class
(6-Month Moving Average)
70%

60%

50%
6-month moving average

40%

30%

20%

10%

0%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
Other Dealers and Brokers Investment Funds Foreign and International Other

Excludes SOMA add-ons. The Other category includes categories that are each less than 5%, which include Depository Institutions, Individuals, 39
Pension and Insurance.
 Primary Dealer Awards at Auction
80%

70%
% of Total Competitive Amount Awarded

60%

50%

40%

30%

20%

10%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
4/13/26-Week (13-week moving average) 52-Week (6-month moving average)
2/3/5-Year (6-month moving average) 7/10/30-Year (6-month moving average)
TIPS (6-month moving average)

Excludes SOMA add-ons. 40

 Direct Bidder Awards at Auction
30%

25%
% of Total Competitive Amount Awarded

20%

15%

10%

5%

0%
Sep-13

Sep-14

Sep-15

Sep-16
Mar-13

Mar-14

Mar-15

Mar-16

Mar-17
May-13

May-14

May-15

May-16
Jan-14

Jan-15

Jan-16

Jan-17
Nov-13

Nov-14

Nov-15

Nov-16
Jul-13

Jul-14

Jul-15

Jul-16
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)

Excludes SOMA add-ons. 41

 Total Foreign Awards of Treasuries at Auction, $ billions
120

100

80
$ bn

60

40

20

0
Sep-15

Sep-16
Mar-15

Mar-16

Mar-17
Dec-15

Dec-16
Apr-15

Apr-16
May-15

May-16
Oct-15

Oct-16
Aug-15

Aug-16
Jan-16

Jan-17
Nov-15

Nov-16
Feb-16

Feb-17
Jun-15

Jun-16
Jul-15

Jul-16

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

Foreign includes both private sector and official institutions. 42

Appendix

43
 Projected Portfolio Composition by Issuance Type
100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%
2017

2018

2019

2020

2021

2022

2023

2024

2025

2026
End of Fiscal Year

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

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.
 Recent and Projected Portfolio Composition by Issuance Type, Percent

7-, 10-, 30-Year Total

End of Fiscal 2-, 3-, 5-Year TIPS (principal accreted
Bills Nominal Nominal FRN
Year Nominal Coupons to projection date)
Coupons Coupons
2009 28.5 36.2 27.4 63.6 7.9 0.0
2010 21.1 40.1 31.8 71.9 7.0 0.0
2011 15.4 41.4 35.9 77.3 7.3 0.0
2012 15.0 38.4 39.0 77.4 7.5 0.0
2013 13.2 35.8 43.0 78.7 8.1 0.0
2014 11.5 33.0 46.0 79.0 8.5 1.0
2015 10.6 29.4 49.0 78.3 8.8 2.2
2016 12.1 27.0 49.6 76.6 8.9 2.4
2017 13.0 26.0 49.6 75.6 9.0 2.4
2018 12.5 25.9 49.9 75.8 9.3 2.4
2019 12.1 26.5 49.8 76.3 9.5 2.2
2020 11.7 26.9 50.0 76.9 9.4 2.1
2021 11.2 27.1 50.4 77.5 9.2 2.0
2022 10.8 27.3 51.0 78.3 9.0 1.9
2023 10.4 27.5 51.5 79.0 8.8 1.9
2024 10.0 27.4 52.2 79.6 8.6 1.8
2025 9.6 27.5 53.0 80.6 8.1 1.7
2026 9.2 27.6 53.8 81.4 7.8 1.7

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to demonstrate the 45
basic trajectory of average maturity absent changes to the mix of securities issued by Treasury.
 Bills
Non- SOMA 10-Year
Stop Out Bid-to-Cover Competitive % Primary %
Issue Settle Date % Direct* Competitive Add Ons Equivalent
Rate (%)* Ratio* Awards ($bn) Dealer* Indirect*
Awards ($bn) ($bn) ($bn)*
4-Week 1/5/2017 0.475 3.25 44.5 61.6 7.1 31.3 0.4 0.0 0.4
4-Week 1/12/2017 0.500 3.46 44.6 73.8 8.0 18.3 0.3 0.0 0.4
4-Week 1/19/2017 0.520 3.54 44.6 57.3 1.8 40.9 0.3 0.0 0.4
4-Week 1/26/2017 0.480 3.36 44.6 54.5 10.4 35.1 0.3 0.0 0.4
4-Week 2/2/2017 0.490 3.45 44.5 60.1 8.4 31.6 0.4 0.0 0.4
4-Week 2/9/2017 0.530 3.46 44.6 55.2 6.6 38.2 0.3 0.0 0.4
4-Week 2/16/2017 0.515 3.41 44.6 64.0 10.7 25.3 0.3 0.0 0.4
4-Week 2/23/2017 0.480 3.60 34.6 64.4 11.2 24.4 0.3 0.0 0.3
4-Week 3/2/2017 0.400 3.96 17.5 65.3 14.9 19.8 0.4 0.0 0.2
4-Week 3/9/2017 0.570 3.81 14.6 56.9 2.5 40.6 0.3 0.0 0.1
4-Week 3/16/2017 0.770 3.40 54.6 51.8 7.2 40.9 0.3 0.0 0.5
4-Week 3/23/2017 0.745 3.17 54.5 55.2 10.9 33.8 0.4 0.0 0.5
4-Week 3/30/2017 0.745 3.21 54.5 52.9 9.6 37.5 0.4 0.0 0.5
13-Week 1/5/2017 0.530 3.70 33.5 45.1 11.1 43.8 0.4 0.0 1.0
13-Week 1/12/2017 0.510 3.64 33.5 68.2 4.7 27.1 0.4 0.0 1.0
13-Week 1/19/2017 0.530 3.22 33.5 71.6 4.0 24.4 0.4 0.0 1.0
13-Week 1/26/2017 0.505 3.67 33.5 53.9 9.5 36.6 0.4 0.0 1.0
13-Week 2/2/2017 0.515 3.51 33.4 52.8 6.8 40.4 0.4 0.0 1.0
13-Week 2/9/2017 0.530 3.30 33.4 73.8 8.4 17.9 0.4 0.0 1.0
13-Week 2/16/2017 0.540 3.33 33.3 62.7 9.5 27.8 0.5 0.0 1.0
13-Week 2/23/2017 0.535 3.33 32.6 60.7 9.0 30.3 0.4 0.0 1.0
13-Week 3/2/2017 0.515 3.35 33.3 60.3 10.1 29.7 0.4 0.0 0.9
13-Week 3/9/2017 0.745 3.22 29.5 54.3 4.4 41.2 0.4 0.0 0.8
13-Week 3/16/2017 0.780 3.51 35.3 46.0 7.0 47.1 0.5 0.0 1.0
13-Week 3/23/2017 0.760 3.08 38.3 62.8 10.0 27.2 0.5 0.0 1.1
13-Week 3/30/2017 0.780 3.19 37.5 56.3 7.6 36.2 0.5 0.0 1.1
26-Week 1/5/2017 0.630 3.62 27.5 52.3 3.7 44.0 0.4 0.0 1.6
26-Week 1/12/2017 0.590 3.74 27.4 55.6 2.3 42.1 0.4 0.0 1.6
26-Week 1/19/2017 0.605 3.35 27.3 62.0 2.7 35.2 0.5 0.0 1.6
26-Week 1/26/2017 0.600 3.69 26.6 50.0 3.2 46.8 0.4 0.0 1.6
26-Week 2/2/2017 0.625 3.47 27.4 56.2 2.3 41.5 0.3 0.0 1.6
26-Week 2/9/2017 0.620 3.64 27.2 38.6 2.0 59.4 0.4 0.0 1.6
26-Week 2/16/2017 0.645 3.25 27.2 55.8 1.9 42.3 0.5 0.0 1.6
26-Week 2/23/2017 0.670 3.25 26.6 54.7 1.4 43.8 0.4 0.0 1.6
26-Week 3/2/2017 0.670 3.11 27.4 68.6 5.7 25.7 0.4 0.0 1.6
26-Week 3/9/2017 0.835 3.72 23.3 48.1 1.7 50.2 0.4 0.0 1.3
26-Week 3/16/2017 0.910 3.13 29.3 50.0 0.7 49.3 0.4 0.0 1.7
26-Week 3/23/2017 0.890 3.10 32.3 58.7 3.7 37.6 0.4 0.0 1.8
26-Week 3/30/2017 0.905 3.23 31.5 53.4 2.7 44.0 0.5 0.0 1.8
52-Week 1/5/2017 0.870 3.39 19.8 47.9 1.9 50.2 0.2 0.0 2.2
52-Week 2/2/2017 0.810 3.48 19.8 46.2 4.3 49.5 0.2 0.0 2.3
52-Week 3/2/2017 0.850 3.14 19.8 60.0 3.0 37.0 0.2 0.0 2.2
52-Week 3/30/2017 1.025 3.17 18.8 49.9 3.2 46.9 0.2 0.0 2.3
CMB 2/9/2017 0.525 3.48 50.0 56.4 5.3 38.4 0.0 0.0 0.5
CMB 3/9/2017 0.515 3.68 20.0 62.2 4.0 33.8 0.0 0.0 0.0
CMB 3/14/2017 0.770 3.02 33.0 75.7 3.5 20.8 0.0 0.0 0.4
CMB 3/16/2017 0.780 3.31 35.0 56.8 3.6 39.6 0.0 0.0 0.4

*Weighted averages of Competitive Awards. 46

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards.
 Nominal Coupons
Non- SOMA 10-Year
Stop Out Bid-to-Cover Competitive % Primary %
Issue Settle Date % Direct* Competitive Add Ons Equivalent
Rate (%)* Ratio* Awards ($bn) Dealer* Indirect*
Awards ($bn) ($bn) ($bn)*
2-Year 1/31/2017 1.210 2.68 25.8 41.9 9.3 48.8 0.2 1.6 6.2
2-Year 2/28/2017 1.230 2.82 25.8 30.1 20.1 49.8 0.2 3.6 6.6
2-Year 3/31/2017 1.261 2.73 25.7 35.7 10.8 53.6 0.2 3.1 6.5
3-Year 1/17/2017 1.472 2.97 23.9 38.8 6.6 54.6 0.1 1.3 8.4
3-Year 2/15/2017 1.423 2.78 23.9 34.7 8.1 57.2 0.1 2.8 9.0
3-Year 3/15/2017 1.630 2.74 23.8 42.2 8.4 49.4 0.1 0.0 7.9
5-Year 1/31/2017 1.988 2.38 34.0 32.1 4.6 63.3 0.0 2.2 19.6
5-Year 2/28/2017 1.937 2.29 33.9 33.3 8.4 58.2 0.1 4.7 20.8
5-Year 3/31/2017 1.950 2.37 33.9 26.4 4.8 68.9 0.1 4.1 20.6
7-Year 1/31/2017 2.335 2.45 28.0 20.7 6.6 72.8 0.0 1.8 21.8
7-Year 2/28/2017 2.197 2.49 28.0 24.8 11.4 63.8 0.0 3.9 23.3
7-Year 3/31/2017 2.215 2.56 28.0 20.5 8.4 71.1 0.0 3.4 23.1
10-Year 1/17/2017 2.342 2.58 20.0 20.7 8.7 70.5 0.0 1.1 21.1
10-Year 2/15/2017 3.005 2.25 15.0 28.9 4.9 66.2 0.0 1.7 37.6
10-Year 3/15/2017 3.170 2.34 12.0 25.8 13.1 61.1 0.0 0.0 26.4
30-Year 1/31/2017 0.436 2.45 12.9 15.9 7.0 77.1 0.1 0.8 15.3
30-Year 3/31/2017 0.466 2.23 11.0 20.4 15.6 64.1 0.0 1.3 13.5
30-Year 2/28/2017 0.923 2.25 7.0 23.6 6.6 69.8 0.0 1.0 23.6
2-Year FRN 1/31/2017 0.140 3.16 15.0 73.1 1.5 25.4 0.0 1.0 0.0
2-Year FRN 2/24/2017 0.133 3.08 13.0 50.9 0.4 48.7 0.0 0.0 0.0
2-Year FRN 3/31/2017 0.109 3.43 13.0 58.8 0.8 40.4 0.0 1.6 0.0

TIPS
Non- SOMA 10-Year
Stop Out Bid-to-Cover Competitive % Primary %
Issue Settle Date % Direct* Competitive Add Ons Equivalent
Rate (%)* Ratio* Awards ($bn) Dealer* Indirect*
Awards ($bn) ($bn) ($bn)*
10-Year TIPS 1/31/2017 0.436 2.45 12.9 15.9 7.0 77.1 0.1 0.8 15.3
10-Year TIPS 3/31/2017 0.466 2.23 11.0 20.4 15.6 64.1 0.0 1.3 13.5
30-Year TIPS 2/28/2017 0.923 2.25 7.0 23.6 6.6 69.8 0.0 1.0 23.6

*Weighted averages of Competitive Awards.

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS 10-Year Equivalent, a 47
constant auction BEI is used as the inflation assumption.