Treasury Presentation to TB
Office of Debt Manageme

Fiscal Year 2016 Q1 Report
Table of Contents

I. Executive Summary p. II. Fiscal

A. Quarterly Tax Receipts p. B. Monthly Receipt Levels p. C. Eleven Largest Outlays p. D. Treasury Net Nonmarketable Borrowing p. E. Cumulative Budget Deficits p. F. Deficit and Borrowing Estimates p. G. Budget Surplus/Deficit p. 

III. Financing

A. Sources of Financing p. B. OMB’s Projections of Net Borrowing from the Public p. C. Interest Rate Assumptions p. D. Net Marketable Borrowing on “Auto Pilot” Versus Deficit Forecasts p. 

IV. Portfolio Metrics

A. Weighted Average Maturity of Marketable Debt Outstanding with Projections p. B. Projected Gross Borrowing p. C. Maturity Profile p. 

V. Demand

A. Summary Statistics p. B. Bid-to-Cover Ratios p. C. Investor Class Awards at Auction p. D. Primary Dealer Awards at Auction p. E. Direct Bidder Awards at Auction p. F. Foreign Awards at Auction p. 
Section I:

Executive Summary
Sources of Financing in Fiscal Year 2016 

• Demand for Treasury bills remains strong and is expected to continue to grow through the end of FY 2016. As no

Quarterly Refunding Statement, Treasury believes that it is prudent to increase the level of Treasury bills outstandquarters. 

• To accommodate this increase in bill issuance, Treasury may need to gradually reduce issuance sizes of nominal c

• If the Federal Reserve continues to reinvest its SOMA portfolio throughout FY 2016 and coupon sizes remain at cu

forecasting that Treasury will be overfunded by $118 billion (Page 20).

Projected Net Marketable Borrowing

• Between FY 2016 and 2018, Treasury’s borrowing from the public could rise notably if the Federal Reserve allows 

held in the SOMA portfolio to mature.

• There are $675 billion of Treasury securities in the SOMA portfolio that will mature between FY 2016 and 2018.

Bid-to-Cover Ratios (BTC)

• 1-Month bill auctions from late September through October 2015 were characterized by temporarily elevated BTC 

limit-related constraints on bill auction sizes, however, these ratios have since retraced to more normal levels. 

• BTC ratios for FRNs have risen in recent months, and have been little changed across the nominal curve. 

Investor Class Allotments

• Since the beginning of October, investment fund awards rose in bills and long coupons (7-, 10-, and 30-Year), and 

coupons (2-, 3-, and 5-Year). 

• Primary dealer awards fell slightly in bills, and were broadly unchanged across other tenors. • Other dealers and brokers awards rose noticeably in bills.

Highlights of Treasury’s February 2016 Quarterly Refunding P

to the Treasury Borrowing Advisory Committee (TBA
Section II:

Fiscal
Source: United States Department of the Treasury 

(50%)(40%)(30%)(20%)(10%)

0%

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

Dec-05

Apr-06

Aug-06

Dec-06

Apr-07

Aug-07

Dec-07

Apr-08

Aug-08

Dec-08

Apr-09

Aug-09

Dec-09

Apr-10

Aug-10

Dec-10

Apr-11

Aug-11

Dec-11

Apr-12

Aug-12

Dec-12

Apr-13

Aug-13

Dec-13

Apr-14

Aug-14

Year-over-Year % Change

Quarterly Tax Receipts

Corporate Taxes Non-Withheld Taxes (incl SECA) Withheld Taxes (incl FIC
Individual Income Taxes include withheld and non-withheld. Social Insurance Taxes include FICA, SECA, RRTA, UTF deposits, RUIA. Other includes excise taxes, estate and gift taxes, customs duties and miscellaneous receipts. Source: United States Department of the Treasury 

0

20406080

100120140

Dec-05

Apr-06

Aug-06

Dec-06

Apr-07

Aug-07

Dec-07

Apr-08

Aug-08

Dec-08

Apr-09

Aug-09

Dec-09

Apr-10

Aug-10

Dec-10

Apr-11

Aug-11

Dec-11

Apr-12

Aug-12

Dec-12

Apr-13

Aug-13

Dec-13

Apr-14

Aug-14

$ bn

Monthly Receipt Levels

(12-Month Moving Average)

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

0

50

100150200250300

HHS

SSA

Defense

Treasury

Agriculture

Labor

VA

Transportation

OPM

Education

$ bn

Eleven Largest Outlays

Oct - Dec FY 2015 Oct - Dec FY 2016
Source: United States Department of the Treasury 

(40)(30)(20)(10)

0

102030

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

Q4-13

Q1-14

Q2-14

Q3-14

Q4-14

$ bn

Fiscal Quarter

Treasury Net Nonmarketable Borrowing

Foreign Series State and Local Govt. Series (SLGS) Savings Bonds
Source: United States Department of the Treasury 

0

100200300400500600700

October

November

December

January

February

March

April

May

June

July

August

$ bn

Cumulative Budget Deficits by Fiscal Year

FY2014 FY2015 FY2016
FY 2016-2018 Deficits and Net Marketable Borrowing Estimates 

Primary 

Dealers1 CBO2 OMB MSR3 CB

FY 2016 Deficit Estimate 539 544 429 38FY 2017 Deficit Estimate 546 561 436 40FY 2018 Deficit Estimate 579 572 481 43FY 2016 Deficit Range 414-650

FY 2017 Deficit Range 416-640FY 2018 Deficit Range 500-685FY 2016 Net Marketable Borrowing Estimate 644 861 563 46

FY 2017 Net Marketable Borrowing Estimate 600 635 567 48FY 2018 Net Marketable Borrowing Estimate 641 631 611 51FY 2016 Net Marketable Borrowing Range 375-810FY 2017 Net Marketable Borrowing Range 375-750FY 2018 Net Marketable Borrowing Range 500-785Estimates as of: Jan-16 Jan-16 Jul-15 Ma

1Based on primary dealer feedback on January 25, 2016. Estimates above are averages. 2Table 1 of CBO's "Summary of the Budget and Economic Outlook: 2016 to 2026."3Table S-11 of OMB's "Fiscal Year 2016 Mid-Session Review"4Table 1 and 3 of CBO's "An Analysis of the President's 2016 Budget"5Table S-13 of OMB's "Fiscal Year 2016 Budget of the US Government"
(1,600)(1,400)(1,200)(1,000)

(800)(600)(400)(200)

0

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

$ bn

Fiscal Year

Budget Surplus/Deficit

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

Projections are from Table S-1 of OMB's ''Fiscal Year 2016 Mid-Session Review" 

OMB’s Projection
Section III:

Financing
Assumptions for Financing Section (pages 15 to 22)

• Portfolio and SOMA holdings as of 12/31/2015.• SOMA reinvestments until Q1 CY2017, and SOMA redemptions until and including Februa

These assumptions are based on Chair Yellen’s December 2015 press conference and the meexpectations from the December FRB-NY survey of primary dealers. 

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

12/31/2015, while using an average of ~$1.5 trillion of Bills outstanding. 

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

as of 12/31/2015. 

• No attempt was made to match future financing needs. 
Sources of Financing in Fiscal Year 2016 Q1

*An end-of-December 2015 cash balance of $333 billion versus a beginning-of-October 2015 cash balance of $199 billion. By keepinbalance constant, Treasury arrives at the net implied funding number. 

Net Bill Issuance 156 Security Gross Maturing Net Gro

Net Coupon Issuance 198 4-Week 465 385 80 465 

Subtotal: Net Marketable Borrowing 354 13-Week 367 320 47 367 

26-Week 349 336 13 349 

Ending Cash Balance 333 52-Week 36 75 (39) 36 

Beginning Cash Balance 199 CMBs 95 40 55 95 

Subtotal: Change in Cash Balance 135 Bill Subtotal 1,312 1,156 156 1,31

Net Implied Funding for FY 2016 Q1* 219

Security Gross Maturing Net Gro

2-Year FRN 41 0 41 41 

2-Year 78 96 (18) 78 

3-Year 72 96 (24) 72 

5-Year 105 109 (4) 105 

7-Year 87 0 87 87 

10-Year 66 23 43 66 30-Year 42 6 36 42 

5-Year TIPS 16 0 16 16 

10-Year TIPS 13 0 13 13 30-Year TIPS 7 0 7 7 

Coupon Subtotal 527 330 198 527 

Total 1,839 1,486 354 1,83

Coupon Issuance 

October - December 2015 October - December 2015 

Bill Issuance 

October - December 2015 
Sources of Financing in Fiscal Year 2016 Q2

*Keeping announced issuance sizes and patterns constant for Nominal Coupons, TIPS, and FRNs as of 12/31/2015.**Assumes an end-of-March 2016 cash balance of $320 billion versus a beginning-of-January 2016 cash balance of $333 billion.

Financing Estimates released by the Treasury can be found here: http://www.treasury.gov/resource-center/data-chart-center/q

refunding/Pages/Latest.aspx

Assuming Constant Coupon Issuance Sizes*

Treasury Announced Net Marketable Borrowing** 250

Net Coupon Issuance 90

Implied Increase in Bills 160

Security Gross Maturing Net Gross M

2-Year FRN 41 41 (0) 82 

2-Year 78 96 (18) 156 

3-Year 72 96 (24) 144 

5-Year 105 109 (4) 210 7-Year 87 48 39 174 

10-Year 66 22 44 132 30-Year 42 5 37 84 

5-Year TIPS 0 0 0 16 

10-Year TIPS 28 20 8 41 30-Year TIPS 9 0 9 16 

Coupon Subtotal 528 438 90 1,055 

January - March 2016

January - March 2016 Fiscal Y

Coupon Issuance Coupo
564 568 610 659 683 729 751 781 801 

(400)(200)

0

200400600800

1,000

2016

2017

2018

2019

2020

2021

2022

2023

2024

$bn

OMB's Projection of Borrowing from the Public

Primary Deficit Net Interest Other Debt Held by Public

as % of GDP (RHS)

Debt Held by Public NeFinancial Assets as a % o

OMB’s projections of net borrowing from the public are from Table S-11 of the “Fiscal Year 2016 Mid-Session Review.” Data laberepresent the change in debt held by the public in $ billions. “Other” represents borrowing from the public to provide direct and loans.

$ bn %

Primary Deficit 632 9.0

Net Interest 5,181 74.1

Other 1,181 16.9

Total 6,994

FY2016 - FY2025 Cumulative Total
OMB's economic assumption of the 10-Year Treasury Note rates are from Table 2 of the “Fiscal Year 2016 Mid-Session Review.” 

The forward rates are the implied 10-Year Treasury Note rates on December 31 of that year.

1

1.5

2

2.5

3

3.5

4

4.5

5

2015

2016

2017

2018

2019

2020

2021

2022

2023

10-Year Treasury Note Rate, %

Interest Rate Assumptions: 10-Year Treasury Note

OMB FY 2016 MSR Implied Forward Rates as of 12/31/2015

10-Year Treasury Rate of 2.27% as of 12/31/2015
Treasury’s primary dealer survey estimates can be found on page 9. OMB's projections of net borrowing from the public are from 

the “Fiscal Year 2016 Mid-Session Review.” CBO's estimates of the borrowing from the public are from Table 1 of “Summary of thEconomic Outlook: 2016 to 2026.” See table at the end of this section for details.

0

200400600800

1,0001,2001,400

2016

2017

2018

2019

2020

2021

2022

2023

2024

$ bn

Fiscal Year

Projected Net Borrowing Assuming Constant Future Issuan

Projected Net Borrowing CBO's "Summary of the Budget and EconomOMB's FY 2016 MSR PD Survey Net Marketable Borrowing Estim
Impact of SOMA Actions on Projected Net Borrowing Assuming 

Issuance Remains Constant

Treasury’s primary dealer survey estimates can be found on page 9. OMB's projections of net borrowing from the public are from 

the “Fiscal Year 2016 Mid-Session Review.” CBO's estimates of the borrowing from the public are from Table 1 of “Summary of thEconomic Outlook: 2016 to 2026.” See table at the end of this section for details.

0

200400600800

1,0001,2001,400

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

Fiscal Year

Without Fed Reinvestments ($ bn)

Projected Net BorrowingCBO's "Summary of the Budget and EconomicOutlook"

0

200400600800

1,0001,2001,400

2016

2017

2018

2019

2020

2021

Fiscal Year

With Fed Reinvestm

OMB's FY 2016 MSRPD Survey Net Marketable Bor
Additional Funding Gap Assuming No SOMA Roll

(174) (181)

(320)

(377)

(259)

(154)

(400)(350)(300)(250)(200)(150)(100)

(50)

0

2016

2017

2018

2019

2020

2021

$ bn

Fiscal Year
Historical Net Marketable Borrowing and Projected Net Borro

Assuming Future Issuance Remains Constant, $ billions

Treasury’s primary dealer survey estimates can be found on page 9. OMB's projections of net borrowing from the public are from 

the “Fiscal Year 2016 Mid-Session Review.” CBO's estimates of the borrowing from the public are from Table 1 of “Summary of thEconomic Outlook: 2016 to 2026.”

Fiscal 

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

Historical/Projected 

Net Borrowing 

Capacity

OMB's FY 2016 MidSession Review CBO's "Summary 

Budget and Econ

Outlook: 2016 to 2

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 (53) (282) 641 88 164 558 2016 128 (172) 442 70 41 509 564 861 2017 27 (73) 256 71 (0) 280 568 635 

2018 0 28 238 66 0 332 610 631 2019 0 35 104 67 0 205 659 789 2020 0 (0) 119 41 0 160 683 853 2021 0 (0) 135 16 0 151 729 927 2022 0 35 170 5 0 210 751 1,078 2023 0 44 195 5 0 243 781 1,112 2024 0 10 185 4 (0) 198 801 1,126 

2025 0 (10) 176 (40) 0 126 848 1,270 
Section IV:

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

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

4045505560657075808590

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

Weighted Average Maturity (Months)

Calendar Year

Weighted Average Maturity of Marketable Debt Outstandi

Historical Adjust Nominal Coupons to Match Financing Needs Historical Average from 1980 to 

68.8 months on12/31/2015

59.0 month(Historical from 1980 
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to dem

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

0

500

1,0001,5002,0002,5003,0003,500

2016

2017

2018

2019

2020

2021

2022

2023

2024

$ bn

Projected Gross Borrowing excluding Bills for Fiscal Yea

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 dem

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

05

10152025

2016

2017

2018

2019

2020

2021

2022

2023

2024

$tr

Projected Maturity Profile from end of Fiscal Year

<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to dembasic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio composition by original 

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

Recent and Projected Maturity Profile, $ billions

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

2008 2,152 711 280 653 310 499 617 5,222009 2,702 774 663 962 559 643 695 6,992010 2,563 1,141 895 1,273 907 856 853 8,482011 2,620 1,334 980 1,541 1,070 1,053 1,017 9,612012 2,951 1,373 1,104 1,811 1,214 1,108 1,181 10,742013 2,939 1,523 1,242 1,965 1,454 1,136 1,331 11,592014 2,935 1,739 1,319 2,207 1,440 1,113 1,528 12,282015 3,097 1,775 1,335 2,382 1,478 1,121 1,654 12,842016 3,261 1,794 1,534 2,380 1,478 1,159 1,807 13,412017 3,308 2,033 1,527 2,448 1,475 1,225 1,983 14,002018 3,577 2,023 1,544 2,503 1,572 1,283 2,131 14,632019 3,571 2,106 1,666 2,622 1,674 1,382 2,297 15,312020 3,621 2,250 1,611 2,842 1,766 1,399 2,539 16,022021 3,766 2,176 1,857 2,915 1,837 1,444 2,794 16,782022 3,692 2,470 1,894 3,046 1,931 1,452 3,089 17,572023 3,986 2,481 1,960 3,098 1,986 1,473 3,405 18,392024 4,038 2,608 2,031 3,239 2,092 1,508 3,714 19,232025 4,125 2,713 2,048 3,520 2,111 1,550 4,053 20,11
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to dem

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%

2016

2017

2018

2019

2020

2021

2022

2023

2024

Percent Compositioin

Projected Maturity Profile from end of Fiscal Year

<= 1yr (1,2] (2,3] (3,5] (5,7] (7,10] > 10
Recent and Projected Maturity Profile, percent

This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to dembasic trajectory of average maturity absent changes to the mix of securities issued by Treasury. Portfolio composition by original 

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

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

2008 41.2 13.6 5.4 12.5 5.9 9.6 11.8 60.2009 38.6 11.1 9.5 13.7 8.0 9.2 9.9 59.2010 30.2 13.4 10.5 15.0 10.7 10.1 10.0 54.2011 27.2 13.9 10.2 16.0 11.1 10.9 10.6 51.2012 27.5 12.8 10.3 16.9 11.3 10.3 11.0 50.2013 25.4 13.1 10.7 17.0 12.5 9.8 11.5 49.2014 23.9 14.2 10.7 18.0 11.7 9.1 12.4 48.2015 24.1 13.8 10.4 18.5 11.5 8.7 12.9 48.2016 24.3 13.4 11.4 17.7 11.0 8.6 13.5 49.2017 23.6 14.5 10.9 17.5 10.5 8.8 14.2 49.2018 24.4 13.8 10.5 17.1 10.7 8.8 14.6 48.2019 23.3 13.7 10.9 17.1 10.9 9.0 15.0 47.2020 22.6 14.0 10.1 17.7 11.0 8.7 15.8 46.2021 22.4 13.0 11.1 17.4 10.9 8.6 16.6 46.2022 21.0 14.1 10.8 17.3 11.0 8.3 17.6 45.2023 21.7 13.5 10.7 16.8 10.8 8.0 18.5 45.2024 21.0 13.6 10.6 16.8 10.9 7.8 19.3 45.2025 20.5 13.5 10.2 17.5 10.5 7.7 20.1 44.
Section V:

Demand
*Weighted averages of Competitive Awards.**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS’ 10-year equi

constant auction BEI is used as the inflation assumption.

Summary Statistics for Fiscal Year 2016 Q1 Auctions

Security 

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

A

Bill 4-Week 0.139 3.5 450.6 65.1 9.0 25.8 3.3 Bill 13-Week 0.150 3.6 340.6 64.7 8.2 27.1 4.6 Bill 26-Week 0.341 3.7 321.4 51.6 6.9 41.5 4.1 Bill 52-Week 0.512 3.9 35.5 55.6 5.3 39.0 0.4 Bill CMBs 0.064 3.7 95.0 73.7 7.0 19.3 0.0 

Coupon 2-Year 0.943 3.0 77.6 39.9 19.0 41.1 0.4 Coupon 3-Year 1.140 3.0 71.8 39.7 14.9 45.3 0.2 Coupon 5-Year 1.623 2.4 104.9 35.6 8.3 56.0 0.1 Coupon 7-Year 2.020 2.5 87.0 31.0 13.9 55.1 0.0 Coupon 10-Year 2.206 2.6 65.9 26.2 12.3 61.5 0.1 Coupon 30-Year 2.993 2.4 42.0 27.9 11.9 60.2 0.0 

TIPS 5-Year 0.472 2.4 16.0 25.0 5.0 69.9 0.0 TIPS 10-Year 0.664 2.4 13.0 25.3 7.5 67.2 0.0 TIPS 30-Year 1.200 2.6 7.0 21.7 8.5 69.8 0.0 

FRN 2-Year 0.235 3.2 41.0 53.0 2.2 44.7 0.0 

Total Bills 0.199 3.6 1,243.1 61.9 8.0 30.1 12.5 

Total Coupons 1.719 2.7 449.1 34.0 13.2 52.8 0.9 

Total TIPS 0.683 2.4 35.9 24.5 6.6 68.9 0.1 

Total FRNs 0.235 3.2 41.0 53.0 2.2 44.7 0.0 
1

1.5

2

2.5

3

3.5

4

4.5

5

5.5

6

Dec-05

Dec-06

Dec-07

Dec-08

Dec-09

Dec-10

Dec-11

Dec-12

Dec-13

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)
2

2.5

3

3.5

4

4.5

5

5.5

6

Jan-14

Feb-14

Mar-14

Apr-14

May-14

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Apr-15

May-15

Jun-15

Jul-15

Aug-15

Sep-15

Bid-to-Cover Ratio

Bid-to-Cover Ratios for FRNs
1

1.5

2

2.5

3

3.5

4

4.5

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Bid-to-Cover Ratio

Bid-to-Cover Ratios for 2-, 3-, and 5-Year Nominal Securiti

(6-Month Moving Average)

2-Year 3-Year 5-Year
1

1.5

2

2.5

3

3.5

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Bid-to-Cover Ratio

Bid-to-Cover Ratios for 7-, 10-, and 30-Year Nominal Securit

(6-Month Moving Average)

7-Year 10-Year 30-Year
1

1.5

2

2.5

3

3.5

Dec-01

Dec-02

Dec-03

Dec-04

Dec-05

Dec-06

Dec-07

Dec-08

Dec-09

Dec-10

Dec-11

Dec-12

Dec-13

Bid-to-Cover Ratio

Bid-to-Cover Ratios for TIPS

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

0%2%4%6%8%

10%12%14%16%18%20%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

13-week moving average

Percent Awarded in Bill Auctions by Investor Class 

(13-Week Moving Average)

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

0%5%

10%15%20%25%30%35%40%45%50%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

6-month moving average

Percent Awarded in 2-, 3-, and 5-Year Nominal Security 

Auctions by Investor Class (6-Month Moving Average)

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

0%5%

10%15%20%25%30%35%40%45%50%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

6-month moving average

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

by Investor Class (6-Month Moving Average)

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

0%

10%20%30%40%50%60%70%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

6-month moving average

Percent Awarded in TIPS Auctions by Investor Class

(6-Month Moving Average)

Other Dealers and Brokers Investment Funds Foreign and International 
Excludes SOMA add-ons. 

20%30%40%50%60%70%80%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

% of Total Competitive Amount Awarded

Primary Dealer Awards at Auction

4/13/26-Week (13-week moving average) 52-Week (6-month moving average)2/3/5 (6-month moving average) 7/10/30 (6-month moving average)TIPS (6-month-moving average)
Excludes SOMA add-ons. 

0%5%

10%15%20%25%30%

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

% of Total Competitive Amount Awarded

Direct Bidder Awards at Auction

4/13/26-Week (13-week moving average) 52-Week (6-month moving average)2/3/5 (6-month moving average) 7/10/30 (6-month moving average)TIPS (6-month-moving average)
Foreign includes both private sector and official institutions.

0

20406080

100120

Dec-13

Jan-14

Feb-14

Mar-14

Apr-14

May-14

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Apr-15

May-15

Jun-15

Jul-15

Aug-15

Sep-15

$ bn

Total Foreign Awards of Treasuries at Auction, $ billions

Bills 2,3,5 7,10,30 TIPS FRN
Appendix
This scenario does not represent any particular course of action that Treasury is expected to follow. Instead, it is intended to dem

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%

2016

2017

2018

2019

2020

2021

2022

2023

2024

End of Fiscal Year

Projected Portfolio Composition by Issuance Type

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

to projection 

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 13.2 35.8 43.0 78.7 8.1 2014 11.5 33.0 46.0 79.0 8.5 2015 10.6 29.4 49.0 78.3 8.8 2016 11.1 27.1 50.4 77.4 9.0 2017 10.8 26.5 51.0 77.5 9.3 2018 10.3 26.6 51.3 77.9 9.5 2019 9.9 27.1 51.2 78.3 9.7 2020 9.4 27.5 51.4 78.8 9.7 2021 9.0 27.8 51.8 79.5 9.5 2022 8.6 27.8 52.4 80.2 9.3 2023 8.2 27.7 53.1 80.9 9.1 2024 7.9 27.6 53.8 81.5 9.0 2025 7.5 27.6 54.7 82.3 8.6 
*Weighted averages of Competitive Awards. 

**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards.

Issue Settle Date Stop Out Rate (%)* Bid-to-Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) SOMA Add Ons ($bn) 10-Year Equivalent ($bn)*

4-Week 10/8/2015 0.000 9.74 7.8 61.8 8.3 29.9 0.3 0.0 0.14-Week 10/15/2015 0.000 9.66 4.7 69.8 10.2 20.0 0.3 0.0 0.04-Week 10/22/2015 0.120 4.53 4.7 59.8 2.4 37.8 0.3 0.0 0.04-Week 10/29/2015 0.010 3.75 4.8 91.2 6.4 2.4 0.2 0.0 0.04-Week 11/5/2015 0.070 3.46 49.8 62.3 7.0 30.8 0.2 0.0 0.44-Week 11/12/2015 0.075 3.34 51.7 61.3 6.4 32.3 0.3 0.0 0.54-Week 11/19/2015 0.075 3.41 54.7 70.3 8.3 21.4 0.3 0.0 0.54-Week 11/27/2015 0.120 3.22 49.1 76.0 7.4 16.6 0.2 0.0 0.44-Week 12/3/2015 0.190 3.13 44.8 68.2 11.7 20.1 0.2 0.0 0.44-Week 12/10/2015 0.235 3.42 44.7 58.0 10.9 31.2 0.3 0.0 0.44-Week 12/17/2015 0.205 3.08 44.7 63.6 13.8 22.5 0.3 0.0 0.44-Week 12/24/2015 0.195 3.50 44.6 62.0 10.5 27.5 0.3 0.0 0.44-Week 12/31/2015 0.170 3.24 44.5 61.2 7.3 31.5 0.2 0.0 0.4

13-Week 10/8/2015 0.000 4.14 20.6 68.1 4.1 27.8 0.4 0.0 0.613-Week 10/15/2015 0.000 4.13 19.6 75.6 4.6 19.8 0.4 0.0 0.613-Week 10/22/2015 0.015 3.54 25.7 68.5 5.3 26.2 0.3 0.0 0.713-Week 10/29/2015 0.020 3.39 24.8 72.5 5.6 21.9 0.3 0.0 0.713-Week 11/5/2015 0.110 3.69 27.5 32.7 2.1 65.2 0.3 0.0 0.813-Week 11/12/2015 0.135 3.31 29.5 77.9 13.9 8.3 0.4 0.0 0.913-Week 11/19/2015 0.145 3.42 29.5 73.6 11.7 14.7 0.4 0.0 0.813-Week 11/27/2015 0.140 3.66 26.6 61.6 5.5 32.9 0.4 0.0 0.813-Week 12/3/2015 0.215 3.35 27.5 73.0 7.1 19.9 0.3 0.0 0.813-Week 12/10/2015 0.280 3.28 27.6 66.4 8.2 25.3 0.4 0.0 0.813-Week 12/17/2015 0.280 3.58 27.5 48.8 14.8 36.3 0.4 0.0 0.813-Week 12/24/2015 0.250 3.63 27.4 66.1 13.3 20.6 0.4 0.0 0.813-Week 12/31/2015 0.260 3.64 26.7 59.8 7.3 32.9 0.3 0.0 0.826-Week 10/8/2015 0.065 3.86 20.2 62.3 6.4 31.3 0.3 0.0 1.226-Week 10/15/2015 0.080 3.75 19.1 66.7 7.0 26.3 0.3 0.0 1.126-Week 10/22/2015 0.110 3.56 25.3 59.5 6.4 34.1 0.3 0.0 1.526-Week 10/29/2015 0.155 3.34 24.7 67.5 4.4 28.1 0.3 0.0 1.526-Week 11/5/2015 0.280 3.75 25.3 34.7 2.5 62.8 0.3 0.0 1.526-Week 11/12/2015 0.340 3.69 27.4 33.6 6.8 59.6 0.3 0.0 1.626-Week 11/19/2015 0.330 3.91 27.5 43.1 9.0 47.9 0.3 0.0 1.626-Week 11/27/2015 0.350 3.46 24.9 60.4 9.1 30.5 0.3 0.0 1.526-Week 12/3/2015 0.415 3.65 25.6 53.5 6.6 39.9 0.2 0.0 1.526-Week 12/10/2015 0.535 3.42 25.6 62.0 5.6 32.4 0.3 0.0 1.526-Week 12/17/2015 0.585 3.63 25.6 49.8 11.5 38.6 0.3 0.0 1.526-Week 12/24/2015 0.515 3.56 25.4 47.8 8.0 44.2 0.4 0.0 1.526-Week 12/31/2015 0.550 4.15 24.8 37.6 6.3 56.1 0.3 0.0 1.552-Week 10/15/2015 0.205 4.12 9.8 58.9 4.5 36.6 0.2 0.0 1.152-Week 11/12/2015 0.500 4.03 11.9 47.5 4.6 47.9 0.1 0.0 1.452-Week 12/10/2015 0.740 3.58 13.9 60.3 6.6 33.2 0.1 0.0 1.6

CMBs 10/8/2015 0.000 7.93 15.0 57.9 7.4 34.7 0.0 0.0 0.1CMBs 10/30/2015 0.070 2.99 35.0 71.8 6.4 21.8 0.0 0.0 0.7CMBs 11/3/2015 0.080 2.76 45.0 80.4 7.4 12.2 0.0 0.0 1.0

Bills
*Weighted averages of Competitive Awards.**Approximated using prices at settlement and includes both Competitive and Non-Competitive Awards. For TIPS’ 10-Year Equ

constant auction BEI is used as the inflation assumption.

Issue Settle Date Stop Out Rate (%)* Bid-to-Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) 

A

2-Year 11/5/2015 0.824 3.01 25.9 48.9 11.0 40.0 0.1 2-Year 11/30/2015 0.948 3.15 25.8 35.3 19.0 45.7 0.2 2-Year 12/31/2015 1.056 2.80 25.8 35.4 27.1 37.5 0.2 3-Year 10/15/2015 0.895 3.14 24.0 41.1 11.1 47.7 0.0 3-Year 11/16/2015 1.271 2.82 23.9 44.1 15.1 40.8 0.1 3-Year 12/15/2015 1.255 3.14 23.9 34.0 18.6 47.4 0.1 5-Year 11/2/2015 1.415 2.43 35.0 37.2 3.8 58.9 0.0 5-Year 11/30/2015 1.670 2.52 35.0 33.2 10.1 56.7 0.0 5-Year 12/31/2015 1.785 2.32 35.0 36.5 11.0 52.5 0.0 7-Year 11/2/2015 1.885 2.55 29.0 23.7 14.0 62.3 0.0 7-Year 11/30/2015 2.013 2.51 29.0 30.5 13.5 55.9 0.0 7-Year 12/31/2015 2.161 2.34 29.0 38.8 14.1 47.1 0.0 

10-Year 10/15/2015 2.066 2.59 21.0 27.5 10.3 62.2 0.0 10-Year 11/16/2015 2.304 2.58 23.9 25.2 14.3 60.5 0.1 10-Year 12/15/2015 2.233 2.64 21.0 26.0 12.1 62.0 0.0 30-Year 10/15/2015 2.914 2.46 13.0 28.1 15.5 56.4 0.0 30-Year 11/16/2015 3.070 2.41 16.0 29.6 10.2 60.3 0.0 30-Year 12/15/2015 2.978 2.42 13.0 25.7 10.4 63.9 0.0 

2-Year FRN 11/2/2015 0.168 3.10 15.0 48.4 2.0 49.6 0.0 2-Year FRN 11/27/2015 0.216 3.11 13.0 52.4 3.2 44.4 0.0 2-Year FRN 12/28/2015 0.330 3.48 13.0 59.1 1.5 39.4 0.0 

Issue Settle Date Stop Out Rate (%)* Bid-to-Cover Ratio* Competitive Awards ($bn) % Primary Dealer* % Direct* % Indirect* Non- Competitive Awards ($bn) 

A

5-Year TIPS 12/31/2015 0.472 2.38 16.0 25.0 5.0 69.9 0.0 

10-Year TIPS 11/30/2015 0.664 2.38 13.0 25.3 7.5 67.2 0.0 30-Year TIPS 10/30/2015 1.200 2.62 7.0 21.7 8.5 69.8 0.0 

Nominal Coupons

TIPS
Treasury Borrowing Advisory Committee Presenta

• At the November 2015 Quarterly Refunding, and consistent with a recommendatio

Committee, Treasury reaffirmed its commitment to increase Treasury bill issuance

declining deficits, Treasury’s borrowing needs have declined over the last several order to increase Treasury bill issuance meaningfully, Treasury may need to reduc

coupon or TIPS issuance over the next year or two.

• We would like the Committee to discuss the appropriate size of an increase in bill 

over the next couple of years. If a reduction in nominal coupon and TIPS issuance required, discuss how Treasury should evaluate issuance across these securities

should be considered and how should they be weighed against each other?

1
Agenda

Bills supply and demand dynamics

• What are the drivers of demand for HQLA?

• What are the supply dynamics for Tbills/HQLA? 

• How substitutable are various short How substitutable are various short-end products? end products?

Given these demand dynamics, how much should TBill supply be increased?

• Are there any particular tenors of T-Bills that should be the focus of increases?• Should Treasury consider adding an additional T Should Treasury consider adding an additional T-bill tenor ( bill tenor (e.g, 2 month)? , 2 month)?

Treasury financing needs

• What is the deficit/net borrowing needs outlook through the end of FY2017?

• With the existing auction sizes, is Treasury over financed or underfinanced? By how mu

• What is the likelihood that the Federal Reserve will begin to reduce the SOMA portfolio • What are the estimates for the magnitude of the reductions through FY2017?• To what extent should Treasury reduce coupon or TIPS issuance in order to increase b

Framework for determining how to reduce coupon and TIPS issuance?

• What sort of framework(s)/factors should Treasury consider for evaluating where to red

• How should Treasury implement any such reductions in coupons and/or TIPS? How should Treasury implement any such reductions in coupons and/or TIPS?• If Treasury should reduce TIPS issuance, how should Treasury communicate the fact th

committed to the TIPS program?

2
Bills supply and demand dynamics

3
A supply imbalance will develop for government sa

Est. imbalance for short term safe assets ($bn)

• We expect the demand for 

assets to exceed the availab

and 2017

2016 2017

Demand for safe ST assetsG l f db l 300 100 and 2017

• The Treasury can fill the ga

bill issuance

Gov-only money fun

d

b

alances 300 100

Bank deposit outflows 150 0Other demand (HQLA, margin) 50 50Total 500 150Supply of safe Supply of safe ST assets ST assetsPrivate sector repo -90 -90FHLB issuance 75 25RRP usage 285 150Total 270 85 • Even if the Treasury increases Projected supply imbalance -230 -65 by $230bn there may not be 

bill rates given the equally st

• The bill-OIS spread may 

-10bp to-15bp level

Bill-OIS, 3m (bp)

0 10bp to 15bp level

• Additional issuance in 2017 w

cheapen bills 

• In 2013, when the bill/to

-10

-5

0

at 13%, 3m bills traded 

-25

-20

-15

A 09

A 11

A 13

A 15

4

Source: US Treasu

Apr-09

Apr-11

Apr-13

Apr-15
Factors affecting bills on the demand side (1)

Institutional prime fund departures in 2016• Institutional prime fund investors are likely to start leaving next year 

ahead of the October 2016 mandatory money fund reform deadline

• The 

pace and scale of the de

partures will de

pend on:

Prime fun

1,400

1,450

p pp

• Level of market rates 

• Are prime fund returns high enough to overcome investor 

dislike of floating NAVs, liquidity fees, and redemption gates? 1,300

1,350

1,400

• How aggressively will the Fed raise interest rates?

• Availability of substitutes – such as bank deposits and gov-only 

money funds

• Lar

ge US banks face ca

pital and de

posit insurance 

1,200

1,250

Jan-15 Apr-15 

g pp

assessments that make them unwilling deposit recipients

• We have little sense of how much money will leave institutional 

prime funds next year but our initial estimate is $300bn

Gov-onl

375

425

Gov-only money fund portfolio reallocation• If $300bn leaves prime funds for gov-only funds in the first half of 2016 

the demand for gov-safe assets could rise sharply

• Based on current 

gov-onl

y fund allocations: 225

275

325

g

y

• Tsys +$105bn, Agencies +$85bn, Gov-repo +$111bn

• But if agency and private sector gov-repo is less available, govonly funds could ramp up their Treasury allocations

175

Jan-12 Jan-13 

AGY 

5 

• To 50% or more from 35% currently
Factors affecting bills on the demand side (2)

Other sources of demand• Large US banks are eager to shed non-operating deposits as these 

balances are expensive for the banks to maintain

• A shortage of safe assets for them to deploy these cash balances

Money fun

107

108

A shortage of safe assets for them to deploy these cash balances

• Deposit insurance assessments are determined by the total sum of 

the banks’ assets 

• Likewise the supplemental leverage ratio is determined by total 

t ( ith t d t i k i hti ) l it l

104

105

106

assets (without regar

d to ris

k weighting) less capit

al

• One large bank has already shed $200bn in non-operating balances in 

2015 (after announcing plans to shed $100bn in February 2015)

• There are few places for this cash to go beside government-only 100

101102103

money funds

97

9899

0 2 

Money fund balances typically increase in a tightening Months • Traditionally, bank de

posit rates la

g the increase in the fed funds rate 

Total MMF 

y, p g

during a tightening

• And deposits flow into money funds

• In past rate hike cycles, money fund balances have risen an average of 

7% in the year after the first hike

Note: Money fund balanof the tightening cycle. 

7% and 2004 cycles. Sourc

in the year after the first hike

• But the increase may be larger as banks are eager to shed 

balances given capital and deposit insurance costs

and 2004 cycles. Sourc

Research

6 Sourc
Factors affecting bills on the supply side (1)

• Less competition from private sector TSY repo

• Bank capital requirements become more binding

Declining dealer Treasu

2,000

2,100

Bank capital requirements become more binding

• More institutions shift to average daily net exposure reporting

• effectively makes “every day a quarter-end”

• We expect Treasury tri-party repo volumes to shrink by 20% 1,700

1,800

1,900

(or $180bn) through 2017

• Although this is conservative given the behavior of the 

GCF market on quarter-ends where the decline is closer to 40%

1,5001,600

10 11 12 

• FHLB discount note issuance to slow

• Recent sur

ge driven b

y demand for advances from a handful of 

500

Discount notes 

g y

large US banks (FHLB advances used to purchase HQLA)

• FHLB discount note issuance has picked up sharply as 

other GSEs have stepped back from issuing disc notes

• But in 2015 bank demand for FHLB advances began to cool as 100

200300

400

• But in 2015, bank demand for FHLB advances began to cool as

the largest banks are already LCR-compliant

0

100

10 11 12 

FNMA 

7

1/ Includes bilate
Factors affecting bills on the supply side (2)

• More collateral from the Fed’s RRP

• Close, but not perfect, substitute for Treasury bills

• Not all cash-long institutions have access to the RRP

Daily overnight 

400500

• Small money funds (under $5bn in AUM), nonmoney market asset managers, securities lenders

• The Fed is likely uncomfortable with an unlimited RRP program 

given its 

potential to dis-intermediate bank financin

g in a crisis

200300

400

g p

g

• We expect a cap will be re-imposed on the RRP – perhaps 

as early as Jun’16, and then steadily reduced through ‘17

0

100

Jun-15 Aug-15 

RRP use has been moderate since lift-off• The volume of extra collateral provided by the RRP depends on the 

spread between market interest rates and the RRP and dealer balance 

h t it

Tsy triparty repo rate ha

than 

70

bp

s

hee

t capacit

y

• Treasury tri-party repo rates have averaged 4bp above the RRP 

since lift-off 

• And this has been sufficient to keep daily program usage 30

405060

fairly moderate

• Outside of the balance sheet driven surge at year-end 

average post-lift off usage has been $160bn/day 0

1020

Jan-15 Mar-15 May-15 Jul

8

Source: Fe

BNY ex RRP 
A new bill maturity?

• An increase in bill issuance of $230bn in 2016 might justify the introduction of a n

• Balance sheet constraints make it more difficult for the primary dealers to bi

Should Treasury consider adding an additional T-bill tenor (e.g, 2 month)?

Balance sheet constraints make it more difficult for the primary dealers to bi

rata shares of super-sized bill auctions

• Market participants seem interested in a 2m maturity

• Other suggestions have included bills with of less than 1m to mat

Other suggestions have included bills with of less than 1m to mat

• Or changing the settlement cycle so that some weekly bills settle o

than Thursday

• But it is not clear how either would benefit the Treasury

• Investors are somewhat familiar with the 2m maturity from the Treasur

Supplemental Financing Bill program

• If the Treasury decides to introduce a new bill maturity we expect the m

would be for a 2m security

9
Treasury financing needs and issuance outlook

10
Budget deficits are likely to be higher going for

What is the deficit/net borrowing needs outlook through the end of FY2017?

• Budget deficits have been shrinking over the last few years amid solid tax revenu

seem to have stabilized recentl

yg y as 

growth of outla

ys has increased

• Budget deficits expected to widen going forward amid a modest slowdown in rev

a pickup in outlays. We expect budget deficits of ~$550bn in FY16 and FY17.

• The increase is largely a result of the Bipartisan Budget Act of 2015, a retroactive 

Budget Deficit Outlook

provisions calendar effects. More broadly, entitlement related outlays will continu

$400

$0$400

10%20%30% Deficit FY'15: $439bn Revenue growth: 7.6%

Outlay growth: 5.2%

Barclays Forecast

Revenue 

Growth, 

y/y

-$1,200

-$800-$400

-10%

0%

10% y/y 

FY'14 8.9% FY'15 7.6% FY'16 3.9% FY'17 4.5% 

-20% -$1,600

01 03 05 07 09 11 13 15

Receipts, y/y % Outlays, y/y % 12m deficit (RHS, $bn)

11

Source: Hav
Borrowing needs likely to remain higher than d

What is the deficit/net borrowing needs outlook through the end of FY2017?

• Borrowing needs are likely to be higher than budget deficits owing to changes i

other financin

g ,p y needs, particularl

y student loans

• Expect Borrowing needs of roughly $725bn in FY16 and $625bn in FY17

Net Borrowing Need Projection Projection for cash balan

financing p

700 Projection $bn400500600

$bn

FY2015 FY2016 FY2017

Deficit (Barcla

ys Estimate) 439 550 550

+ Increase in o

peratin

g cash balance 40 100 0

Starting Cash Balance 158 199 300

Projection

100200300 Starting Cash Balance 158 199 300 Endin

g Cash Balance 199 300 300

+Other financing needs (inc student loan 

pro

gram) 79 75 75

Net Borrowin

g Need 558 725 625

-100

0

05 06 07 08 09 10 11 

Level of Operating 12m chan

ge in stud

12

Source: Hav

g 
The Treasury is underfinanced through FY201

With the existing auction sizes, is Treasury over financed or underfinanced now and then end of FY2017?

Scenario 1: The Fed continues to reinvest the entire maturing amount of Treasuries

$bn FY2015 FY2016 FY2017Gross to Pvt Investors (ex-bills) (A) $ 2,131 $ 2,119 $ 2,119 

Fed Add-ons (B) $ 3 $ 174 $ 192 Total Gross Issuance (C=A+B) $ 2,134 $ 2,293 $ 2,311 

b ( b ll ) ( )

$

$

$

Scenario 1: The Fed continues to reinvest the entire maturing amount of Treasuries

With existing coupunderfinanced by ~

Maturin

g De

bt (exbills) (D) $ 1,523 

$ 1,738 

$ 1,867 $180bn in FY17

Net Issuance (ex-bills) (E=C-D) $ 611 $ 555 $ 444 

Borrowing Needs (F) $ 558 $ 725 $ 625 Fundin

g

g

ap (F-E, +ve shows underfunding) $ (53) $ 170 $ 181 

Bills, % of outstanding 10.6% 11.3% 12.0%

$180bn in FY17

Bills, as % of outsta

$b 201 2016 201

Scenario 2: The Fed maintains reinvestment policy in FY2016, but tapers reinvestments gradually star

$bn FY2015 FY2016 FY201

7

Gross to Pvt Investors (ex-bills) (A) $ 2,131 $ 2,119 $ 2,119 

Fed Add-ons (B) $ 3 $ 174 $ 164 Total Gross Issuance (C=A+B) $ 2,134 $ 2,293 $ 2,283 Maturin

g Debt (ex-bills) (D) $ 1,523 $ 1,738 $ 1,867 

With existing coupounderfinanced by ~$Bills, as % of outstan

Net Issuance (ex-bills) (E=C-D) $ 611 $ 555 $ 416 

Borrowing Needs (F) $ 558 $ 725 $ 625 Fundin

g

g

ap (F-E, +ve shows underfunding) $ (53) $ 170 $ 209 

Bills, % of outstanding 10.6% 11.3% 12.2%

By FY’18, bills will be 

13

Source: Hav
SOMA Reinvestments: Likely to remain in place 

What is the likelihood that the Federal Reserve will begin to reduce the SOMA portfolio between NY Fed President Dudley (Jan’16): “If the economy were growing very quickly and the risks of an early return to th

FOMC statement Dec’15: The Committee ... anticipates [reinvesting] until normalization of the level of the federa

NY Fed President Dudley (Jan 16): If the economy were growing very quickly and the risks of an early return to th

federal funds rate were deemed to be low, then I could see ending reinvestment at a relatively low federal funds raeconomy lacked forward momentum and the risks of a return to the zero lower bound were judged to be considercontinue reinvestment until the federal funds rate was higher.”

Low unemployment rate, modestly above trend GDP growth and rising core inflaallow the FOMC to begin phasing out reinvestments around Q1’17

Median Consensus Forecast 2015 2016 2017%

Q1 Q

2

Q

3

Q

4

Q1 

Consensus Forecasts

Q

Q

Q

Q

Q

Real GDP (q/q saar) 2.0* 2.5 2.6 2.5 2.5 2.3 Private consumption (q/q saar) 2.7* 2.8 2.8 2.7 2.6 2.4Unemployment rate 5.0 4.9 4.8 4.8 4.7 4.7 Core PCE (y/y) 1.3 1.5 1.5 1.6 1.7 1.8 Fed Funds rate (upper end) 0.50 0.75 0.75 1.00 1.25 1.50 * Assuming consensus forecast of 1.4% and 2.3% in Q4 for real GDP and Private Consumptio

14

Sourc
Consensus for reinvestment phase out to begin 

and last 12 months

What is the likelihood that the Federal Reserve will begin to reduce the SOMA portfolio between 

NY Fed Survey suggests Q1 17 as the start of ending reinvestments or NY Fed Survey suggests Q1 17 as the start of ending reinvestments, or

~15m after the first hike 15m after the first hike

Most likely time for Fed to first cease reinvesting Number of months relative to liftoff

Treasuries Agency Debt and MBS Treasuries 

25th percentile response Q1'17 Q4'16 25th percentile response 12 Median response Q1'17 Q1'17 Median response 15 75th percentile response Q2'17 Q1'17 75th percentile response 18 

Probability of phase-out process for reinvestments in Treasuries

No change to Reinvestments Reinvestments phased

NY Fed Survey suggests a 65% chance that reinvestments will be phased out - on average over 12m

Anticipated duration of phase-out (mth

No change to 25th til

8

reinvestments

Reinvestments

ceased all at once

Reinvestments phased

out over time

Average 19% 18% 64%

25th percentile response 8Median response 1275th percentile response 12

15
SOMA portfolio is unlikely to be materially reduce

If the Fed decides to reduce the SOMA portfolio, what are the estimates for magnitude of the re

5060 Monthly amount reinvested, $

SOMA portfolio should shrink by $29bn by FY 17 and 

$375bn by FY 18 assuming gradual phase out

10203040

Amt reinvested from maturing Tsy in SOMA

0

Sep-15 Mar-16 Sep-16 Mar-17 

No ending of reinvestmeEnding reinvestment graE di i t t i M 

Amt reinvested frommaturing Tsy inSOMA$bn No ending of reinvestment

Ending 

reinvestment 

gradually starting 

Q1'17

Ending 

reinvestment in 

Mar'17

FY2016 174 174 174 Ending reinvestment in 

M

$

-100

0

Reduction in amount reinvested

FY2016 174 174 174FY2017 192 164 73Total 366 338 247Cumulative Chan

ge

-29 -119

$(119)

-500-400-300-200

g

-600

Sep-16 Mar-17 Sep-17 

No ending of reinvestmenEnding reinvestment gradEnding reinvestment in M

16

Source: Hav

Ending reinvestment in M
Room for cuts in coupon sizes

• Bill issuance to fall short of ex-ante demand in 2016 by ~$50-75bn. • We recommend that the Treasury cut auction sizes to allow for a faster expansion of the bill un• Extent of cuts should also take into account future funding gaps. Deeper cuts now would sig

funding gap in future years funding gap in future years

• For instance, if the Treasury cuts all coupon sizes by just $1bn each starting February, funding g

$295bn in addition to roughly $225bn in FY 16.

• While $225bn in net bill issuance is likely to be easily absorbed in FY 16, another $295bn in FY 

• The Treasury could also temporarily increase the cash balance in FY 16 to allow for a greater ex

universe in the near term without having to rely on cutting coupon auction sizes

• Where should the Treasury reduce auction sizes? 

2016 2017

Demand for safe ST assets

Est. imbalance for short term safe assets ($bn) Tsy overfinancing under scenario of Fed 

$bn 

Demand Gross to Pvt Investors (ex-bills) (A) $ 

for safe ST assets

Gov-only money fund balances 300 100Bank deposit outflows 150 0Other demand (HQLA, margin) 50 50Total 500 150Supply of safe ST assets

( )( )

Fed Add-ons (B) $ 

Total Gross Issuance (C=A+B) $ Maturin

g Debt (ex-bills) (D) $ 

Net Issuance (ex-bills) (E=C-D) $ Borrowing Needs (F) $ 

pp y

Private sector repo -90 -90FHLB issuance 75 25RRP usage 285 150Total 270 85Projected supply imbalance -230 -65

Fundin

g

g

ap (F-E, +ve shows underfunding) $ 

Bills, % of outstanding 

17

Source: Hav
Ex-ante cost of issuing debt is highest at the lo

• Even though term premium has declined recently and is currently close to zero, the shape o

curve remains upward sloping

• Ex-ante cost of issuing long term debt is higher than issuing short term debt

While term premium has declined...

1.21.4 Term structure of Term Pre

...term structure of term premium 

3.504.00

0 40.60.81.01.2

1.502.002.503.00

0 4

-0.2

0.00.2

0.4

-0.50

0.000.501.00

-0.4

1y 2y 3y 4y 5y 6y 

Pre-crisis avg (1997-2007) 

-1.00

90 92 94 96 98 00 02 04 06 08 10 12 14

10y Term Premium, %

18

Source: Hav
Long end is trading significantly cheap relative t

• In sharp contrast to a few years ago, long end Treasuries are trading significantly cheap to O• This cheapening has happened throughout 2015 and seems persistent. • This increases the ex This increases the ex-ante cost of issuing long term debt ante cost of issuing long term debt

Long end Treasuries cheap to OIS

77 80

100 bp

30y Tsy have cheapened to OIS 

4 04.5

%

21 25 21 29 20

36 

45 43 

4060

80

2 02.53.03.54.0

(3)

10 

21 21

(15)

20

-20

0

20

0 00.51.01.52.0

(15) 3m bills 2s 5s 7s 10s 30s

Jan-14 Jan-16

0.0

12 13 14 

30y OIS 30y Tsy yield 

19
WAM is already close to the historical highs

WAM is already at multi-dec

outstanding in bills is c

• WAM of the Treasury universe has already risen to the highs. •% maturing at the very long end has steadily risen over th l t f 70

75 mths

the las

t

few years. 

•% bills is close to the historical lows•These alon

g with u

pward slo

pin

g term 

premia suggest 50

55606570

% of debt maturing in 20y+ has already 

risen back to the 2000 hi

ghs

g p pg

p gg

room for long end sizes to be reduced

404550

80 85 90 95 00 

Average Maturity, mon

g $2 auction size cut from 

42% 40%

50% % of outstanding

$2 auction size cut from $1 auction size cut from 

35%40%45%50%

26%

20% 20%30%

10%15%20%25%30%35%

2%

11%

0%

10%

01 03 05 07 09 11 13 15

<1y 1 5y

5 10y 10 20y 20y+

0%5%

55 60 65 70 75 80 85 90 

Bills, % of marketab$1 auction size cut f$2 auction size cut f

20

Source: Hav

<1y 1-5y

5-10y 10-20y 20y+ $2 auction size cut f
Deep cuts in auction size of any tenor should b

The Treasury should maintain a certain buffer versus the minimum size needed to maintain 

28

35

29 30

3540

21 20

28

23

18

26

24 24

16

18

15 

202530

11

13

10

6

15

9

5

1015

0

2y 3y 5y 7y 10y 30y 5y TIPS 10y TIPS30y TIPS 2

Minimum Auction Size needed to maintain Benchmark Liquidity Minimum Auction Size needed to maintain Benchmark Liquidity Current Current

21

Source: U
The Treasury could also rely on a higher cash bala

expand the T-bill universe in a short order

• To increase bill issuance significantly in 2016 without aggressively cutting coupon iss

could also increase its year-end cash buffer 

• TBAC recommendation was to maintain $500bn in cash balance for 10d of li

q y uidit

y. Y

was $333bn. 

The Treasury could also target a higher cash balance Higher cash balance would res

300

350

400

-10

-5

05

150

200

250

-30-25-20-15

0

50

100

Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16

-40-35

11 12 13 

3m bill - IOER 

22

Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16
The Treasury should also consider reducing TIP

•The Treasury should also consider reducing TIPS issuance, along with nominals coupon Treasu•TIPS’ share of net coupon issuance would rise to about 17% and TIPS current share of the outs

would also rise from about 10.3% to 10.6% by year-end. 

•It h ld t i TIPS l ti t i l l ti h t t l d 

It s

hould no

t increase TIPS relative 

to nominal coupon supply as a time w

hen s

truc

tural deman

class may have declined. 

•Foreign official institutions may have reached a steady state in their TIPS holdings as a pereserves. Risk-parity funds, a historically important TIPS demand base, may also be less ke

class because

of its in

crease volatility

a

n

d corr

elation 

of brea

keven perform

a

nce

with ri

sk 

Inflation risk 

premium is likel

y now ne

gative and illi

quidit

y discount has remained 

per

c ass ecause o ts c ease vo at ty a d co e at o o ea eve pe o a ce w t s 

•It appears that inflation risk premium is much lower now where as illiquidity discount has remasuggesting a greater cost in issuing TIPS relative to Nominals.

p y g qy p

3.03.23.4

%

4550

bp

2.42.62.8

2025303540

2.02.2

Mar-06 Mar-08 Mar-10 Mar-12 Mar-14

5

y

5

y CPI Inflation Ex

pectation, SPF

5

y

5

y CPI Swa

p Rate

101520

12 13 14 

10Y TIPS Relative AS

23

Source: Hav

yy p , yy p
Implementation / Communication strategy

• Overall, the Treasury should consider making modest cuts to coupon auction sizes. • Long end of the nominal curve and TIPS appear to be the best candidates for making modest • Were the Treasury to pursue much deeper cuts, they should be spread across all tenors to ma

minimum size needed for liquidity minimum size needed for liquidity

• The Treasury should gradually reduce auction sizes maintaining its policy of being regular and • Specifically with respect to TIPS, the Treasury should emphasise commitment to the program

• It should stress that reduction in TIPS auction sizes is in line with the overall policy of red

It should stress that reduction in TIPS auction sizes is in line with the overall policy of red

make way for T-bills. 

• Highlight that from the peak, reduction in nominal coupon sizes is still larger than that f• Note that TIPS auction sizes may very well be raised again if coupon auction sizes are ra

• The Treasury should increase the frequency of new issue 5y TIPS auctions

• The Treasury should issue the same, or slightly lower, annual amount but across two cusi

where one would mature in April and the other in October where one would mature in April and the other in October. 

• This would add another maturity seasonal point to the curve; this would help the inflation Treasury should point to this as an example of greater commitment to the inflation market

• Th T ld b i h h l i i hi h ill 

The 

Treasury would save 

borrowing costs t

hroug

h a lower auction concession whi

c

h will 

sizes. • Most April issues trade cheap because of their large size. The large size of the April series 

pressure on them when they roll out of 1-30y TIPS indices

24

pressure on them when they roll out of 1 30y TIPS indices
TBAC Charge # 2

• The extent of publicly available data on transactions in U.S. Treasury markets is substantially less than 

what is available for other major asset classes. For example, cash Treasury securities do not have any 

public transaction or order book reporting.

• Observers have cited several potential benefits associated with greater transparency in the Treasury 

market including 1) improved market efficiency, 2) reduced transaction costs, 3) enhanced fairness, 4) 

improved risk management practices and 5) greater participation by new entrants, who may otherwise be 

reluctant to engage in a market where they have less information than their counterparties.

• Others have suggested that the current level of transparency in the Treasury market is sufficient and note 

that additional trade reporting requirements could adversely affect the willingness of some intermediaries 

to engage in “block” trading of Treasury securities which could impair market liquidity

• We would like the Committee to comment the appropriate level and form of data that should be made 

available to the public, including that related to market prices, trading volumes, market participant 

inventories, and trends in market risk and liquidity.

1
Trace in Corp Bond Mkt

2

• The Trade Reporting and Compliance Engine (TRACE), introduced in 2002, captures real-time transaction 

data for all eligible public and private (144A) corporate bonds, including investment grade, high-yield and 

convertible debt, agency debt, and asset and mortgage-backed securities. 

• Per FINRA, TRACE procedures and practices increase transparency by fully disseminating transaction 

information related to trades—namely time, price and volume. Brokers and firms are required to report to 

TRACE within 15 minutes of effecting a transaction (for corporate bonds)

• Per FINRA, bond liquidity may become clearer by consulting a bond's trading history—if a bond has not 

traded in days or weeks, it may be illiquid.

• Helps in discovery of the costs associated with buying or selling a bond before actually trading a bond
Trace Stats & History

3

Mutual Funds, Closed-End Funds and ETFs 

Corporate Bonds Holdings as a Multiple of 

Daily Trading Volume 2002 through Q3 

2015

Mutual Funds, Closed-End Funds and ETFs 

Corporate Bonds Holdings as a Multiple of 

Those Held by Brokers and Dealers 1985 

through Q3 2015

• Brokers and Dealers Inventory of Corporate bonds has continued to decline.

• Since TRACE was introduced in 2002, we have seen that growth of Mutual Funds, Closed-End Funds and 

ETF holdings continue to outpace the daily trading volumes. 

• Also, after TRACE was introduced for 144A bonds, the HY market participants anecdotally noted that 

liquidity among 144A issues has fallen. 

• Mutual Funds, Closed-End Funds and ETFs Corporate Bonds holdings as a multiple of those held by Brokers 

and Dealers has gone up sharply in the recent years
Equity Market

Equity Market

• All-to-all platform through centralized 

exchanges: e.g. NYSE, NASDAQ

• Price transparency: continuous pre-trade 

information, publicly available best 

quotation etc.

• Comprehensive execution information: 

immediate availability of prices and sizes 

of completed trades

• Smooth risk transfer: less transaction cost, 

better inventory risk sharing 

Treasury Market

• Fragmented platforms: dealer & vendor 

dependent

• Price discovery: more difficult due to lack 

of centralized platform 

• Opaque execution information: details of 

executed trades unavailable to all market 

participants

• Risk transfer: higher transaction cost, 

increasing inventory carry cost

4
Treasury Market

• Past developments increasing price transparency were actually through direct access platforms.

• Tradeweb, led by a consortium of dealers, provided the first true visibility into off-the-run pricing where 

levels were executable.

• Bloomberg, though older, was late to offer direct access so the transparency was lacking.

• This was because unlike other markets, risk transfer in Treasuries has been and remains principal-based, 

with dealers expected to be the conduit between end users.

5
Why so much daily volume has shifted to Treasury futures and SEFs

Trading activity in Treasuries futures has grown 

relative to cash, similar to the shift towards 

SEFs in swaps:

• Desire to move to a common platform

• All-to-all execution

• Anonymity

• Price transparency

6

Annual Avg Daily Trading Volume in Futures vs Hot-run Cash Issues

Source: DTCC
What could Trace or SDR in Treasuries look like

7

Similarities to Trace / SDR:

• Block size -> all blocks above “X” amount would be reported as “X+”

• “X” could equal 240mm similar to SDR

• Timing -> All reportable transactions would need to be recorded within 15 minutes

Differences to Trace / SDR:

• Limit on what transactions need to be reported -> minimum threshold for transaction size

• Volumes in treasury market are significantly larger than other markets

• Unless you had an all-to-all platform, operationally reporting all transactions would be tedious and too time 

consuming

• Transactional data on small odd-lot amount may not add to increased transparency and liquidity in the market

• Consider grouping trades by maturity bucket

• By giving trace data on specific off-the-run issues you could diminish liquidity and widen bid/ask -> opposite of 

goal 
ADV of Treasury Products

8 Lit Secondary has been relatively flat, while the Outstanding Debt has grown significantly
Is Public UST Information Sufficient? Lit vs Dark

The market for active UST's is bifurcated between Lit and Dark venues

• Lit Venues (Interdealer ECN's): Broker Tec (BTEC), eSpeed (ESPD), Dealer Web

• BTEC (70+% market share for 2015) sells their market data that includes full depth of book, all order 

levels for a fee of $20,000 per month. Information is delivered via API. 

• ESPD also sells full order depth for substantially less, and maintains ~25% market share (2015 Stats). 

• Dealer Web market share is small.

• Dark Venues (Dealer to Client) - no market data is made available 

• Tradeweb has not allowed NON banks in as market makers.

• Bloomberg (BBERG) only recently has allowed NON Banks. Citadel is active, and Virtu is working to on 

board. Through BPipe on BBERG, and for ~$10,000 per month, post traded volumes can be seen via an 

api.

9
Is Public UST Information Sufficient? 

• Based upon market participant assumptions, the D to C Dark space is as large as the interdealer space, yet 

Price, Time, and Volume are basically dark. 

• All pre or post trade data could easily be made available without attribution from D to D and all D to C 

venues.

• Only issue to be resolved would be whether a real time display or an agreed upon delay is 

implemented analogous to TRACE for Corporate. 

• Given that in active USTs, we’re only speaking about 2's 3's 5's 7's 10's and 30's, the data capture and 

publication should be very easy. 

10
Is Public UST Information Sufficient? (Cont’d) 

• In Off the Runs ("OTR's") - which includes hundreds of cusips - trade capture and reporting would be much 

more difficult

• Given the illiquid nature of OTR's, a TRACE-like 15 minute delay in reporting Price, Time & Volume 

would have limited market impact.

• An advisable change to public reporting of Active UST data would be a minimum volume threshold in the 

D to C space. 

• For all ECN data, as close to real time reporting could be expected for any volume amounts traded. In the 

D to C space, however, amounts less than $X Million in ALL active issues could require a reporting timeline 

of no more than 5 minutes. In Off the Runs, regardless of amounts traded, a reporting window of no more 

than 15 minutes could be required.

11
Additional UST Information that should be made available 

• A consolidated and aggregated UST ACTIVE TAPE, could easily be made available for public consumption, 

yet it would only capture approximately 50% of the total UST market trades.

• This data could easily be aggregated from the existing ECN's, and the reporting delay is all that is really 

left to be determined. 

• A related question: do the following also get called in for reporting and the appropriate delays in 

reporting?

• Dealer to Client Direct

• Electronic RFQ

• Single Bank Portal

• Telephone Market

• Chat Room Trades

• For actives, a sub 5 minute delay would be recommended. Off the Runs, a 15 minute delay would be 

recommended, regardless of execution venue. Again, Price, Time, and Volume inputs would be required. 

12
Secondary Market Transparency

• Although equally as large, the D to C component of ACTIVE USTs - especially Block Transactions, and the 

drilling down “at transaction level data" - could be viewed as disruptive to the current “working 

environment" in the Direct Dealer to Client space.

• Large buy side firms are trying to manage large risk positions and hope to minimize market impact.

• In the traditional, principal risk transfer model - deployed in USTs by the dealers - anything more 

than PTV, post trade with a notional +/- $XMillion traded with no longer than 5 minute and 15 

minute reporting requirements will have limited negative impact. In addition, it will hopefully bring 

new players to the market place.

13
Secondary Market Transparency (Cont’d)

• Should quotes and or orders be made public?

• LIT ECNs: full order books; e.g. full depth levels of Bids and Offers made available via an api and 

reported at near to real-time for a fee. 

• DARK: Capturing pre-trade market data in a D to C model is impossible, given that none really exists. 

If the long term desire is to move UST active trading to an ALL to ALL Lit Institutional venue, then 

some new entrants are coming to the market, and their success or failure can be easily monitored.

• What characteristics should be reported (e.g. participant type, aggressor side, volume, price)? Should the 

data be in real-time or delayed? 

• Any type of attribution to client type or name is not really necessary. In Client Limit Order Books 

“CLOBs” (BTEC, ESPD) most if not all participants are either FICC netting or PB'd. 

• Again, the greater issue is whether to drill down on the D to C venues and if so then, Price, Time and 

Volume are the only parameters required.

• Should the available data differ depending on the age of other characteristics of a particular security or 

transaction? 

• Regarding Active USTs traded on ECNs, or CLOBs or ATS’s, a real-time reporting of all transactions 

would be recommended. For D to C venue or direct trades where notional amounts traded are less 

than $X mil, a reporting delay of no more than 5 minutes would be recommended. D to C trades 

executed with Notional of > $X million, a reporting delay of no longer than 15 minutes would be 

expected.

14
Existing Transparency Model for USTs?

• Given that 50% of Active UST's trade on Lit venues like BTEC (who have >70% market share and publish 

market data at or near real time to those participants willing to pay for full access), reporting on a SIP is 

almost available now. 

• Larger issue is merging the dark D to C Active markets into the existing D to D market data, and creating a 

SIP or TAPE

• It is important to note that the Fed decided to publish complete transaction level details of its Large Scale 

Asset Purchases with a lag. 

• They didn’t want to publish those details in real-time, but thought that the lagged disclosure would 

be beneficial. It would allow customers to keep tabs on the dealers and reduce the information 

asymmetry at the relationship level, if not at the individual-transaction level.

15
Takeaways

• The principal-based risk transfer model is disappearing from fixed income markets

• End users are forced to provide liquidity more so than ever before

• Greater transparency would help these end users limit volatility in the market

• Absent an all-to-all platform for risk transfer, these efforts are necessary but not sufficient

• Possible reporting timelines by type of transaction: 

16