Agenda – November 2016 Refunding 

Treasury Dealer Meetings – October 27 – October 28, 2016 

Dealer ___________________ 

To allow more time for discussion, please e-mail your responses prior to 12:00 PM on Monday, October 24, 2016 to 

Debt.Management@treasury.gov and NY.QTR@ny.frb.org. Even if you are not scheduled to meet with Treasury officials this 

quarter, your responses are still appreciated. 

I. Marketable Borrowing Estimates 

 Central 

Estimate 

Range that would not 

surprise you 

 Low/High 

 October-December 2016 / 

 Ending Cash Balance / 

 January-March 2017 / 

 Ending Cash Balance / 

 FY 2017 Total Net Marketable Borrowing 

 FY 2018 Total Net Marketable Borrowing / 

 FY 2019 Total Net Marketable Borrowing / 

 

II. Budget Deficit and Growth Estimates 

 FY 2017 / 

 FY 2018 / 

 FY 2019 / 

 Real GDP(4Q/4Q % Chg) CY2016 

 Real GDP(4Q/4Q % Chg) CY2017 

 Nominal GDP(4Q/4Q % Chg) CY2016 

 Nominal GDP(4Q/4Q % Chg) CY2017 

 

III. Quarterly Note and Bond Issuance Estimates 

 3-year note (Nov/Dec/Jan) / / / / - / / 

 10-year note (Nov) / 

 10-year note reopening (Dec/Jan) / / - / 

 30-year bond (Nov) / 

 30-year bond reopening (Dec/Jan) / / 

 2-year note (Nov/Dec/Jan) / / / / - / / 

 5-year note (Nov/Dec/Jan) / / / / - / / 

 7-year note (Nov/Dec/Jan) / / / / - / / 

 10-year TIPS reopening (Nov) 

 5-year TIPS reopening (Dec) 

 10-year TIPS (Jan) 

 2-year FRN reopening (Nov/Dec) 

 2-year FRN (Jan) 

 

IV. Bill Issuance Estimates 

 52-week bill size (Nov/Dec/Jan) / / / / - / / 

 Total change in bills outstanding 11/16 - 1/17 / 

 Total change in bills outstanding FY 2017 / 

 CMB issuance Nov‘16 – Jan ‘17 (size/date) / / / / 

Discussion Topics 

1. Please discuss your latest economic and fiscal forecasts for FY2017 and FY2018. Do you believe the current financing 

schedule is well-suited to meet Treasury’s financing needs though the end of FY2017? 

2. Please discuss the recent market dynamics associated with money market mutual fund (MMF) reform 

implementation. Were prime to government-only MMF conversion amounts in-line with market expectations? Please 

comment on the effect that these conversions had on short-term money market rates. Please comment on the post-reform 

outlook on demand for Treasury bills and the optimal level of bills outstanding to satisfy this demand. 

3. Should Treasury consider changing the 7-year auction schedule such that there would be four new issues per year, with 

each new issue followed by two subsequent re-openings of the CUSIP? What are the potential benefits and 

considerations associated with making this change to the 7-year auction schedule? Specifically, discuss pricing, liquidity, 

and auction size considerations related to such a change. 
Part 2: 

The Treasury Department’s Office of Debt Management (ODM) would like your perspectives on current Treasury auction sizes. 

This information would be used to help test ODM’s debt-issuance modeling assumptions, and does not reflect potential policy 

decisions. We appreciate your participation in a similar survey conducted in May 2016, and the aggregate response can be found

online at http://www.treasury.gov/resource-center/data-chart-center/quarterly-refunding/Pages/dealer-agenda-survey.aspx. 

For each of the 14 securities that Treasury currently issues regularly, we would be interested in your views on the following 

matters: 

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

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

in the secondary market? 

2) All else equal, what is the maximum auction size, per auction, that could be issued without causing “significant yield 

deviations” from current fair value? This fair value could, for example, be as measured by your spline, or other 

analytical models. 

3) All else equal, what is the maximum change in auction size (+/- X $billions) that can be implemented between two 

consecutive new issuances without causing “significant yield deviations”? 

4) All else equal, estimate the changes in auction stop out rates given small, intermediate and large changes in auction 

offering amounts. For purposes of these estimates, assume that the change values in the table below represent 

consecutive monthly increases in offering amounts for a particular tenor relative to current auction sizes and that those 

increases would be applied for one year. For each tenor, estimate the changes in the stop out rates at the end of 1 year 

relative to where stop out rates would have been absent any changes to issue sizes. (E.g., For the 2-year note, a change 

of “$2 billion” would imply that at the end of one year, the monthly offering amount would grow by $24 billion from the 

current level. All else being equal, how much would the stop out rate have changed for 2 year notes relative to where stop 

out rates would have been absent any changes in offering amounts? ) 

 

If you have any questions, please contact Dave Chung at 202-622-1053. Please complete and submit the table below to 

DebtManagement@treasury.gov or Won.Chung@treasury.gov by 12:00 Noon ET on Monday, October 24, 2016. 

Thank you very much for your continuing collaboration. 

Tranche Minimum 

Auction 

Size needed 

to maintain 

Benchmark 

Liquidity 

($bil) 

Maximum 

Auction Size 

that could be 

issued without 

causing 

significant yield 

deviations from 

fair value ($bil) 

Maximum 

change (+/-

) in auction 

size 

between 

new 

issuances 

($bil) 

Change 

in 

Auction 

Size 

($bil) per 

month 

Change in 

Auction 

Stop Out 

Rate (bp) 

at end of 1 

year given 

change in 

auction 

size 

Change in 

Auction 

Size ($bil) 

per month 

Change in 

Auction 

Stop Out 

Rate (bp) 

at end of 1 

year given 

change in 

auction 

size 

Change in 

Auction 

Size ($bil) 

per month 

Change in 

Auction 

Stop Out 

Rate (bp) 

at end of 1 

year given 

change in 

auction 

size 

Bills 

4-week 5 10 20 

13-week 2 4 8 

26-week 2 4 8 

52-week 2 4 8 

Coupons 

2-year 1 2 4 

3-year 1 2 4 

5-year 1 2 4 

7-year 1 2 4 

10-year 1 2 4 

30-year 1 2 4 

TIPS 

5-year 1 2 4 

10-year 1 2 4 

30-year 1 2 4 

FRNs 

2-year 1 2 4 

Additional Comments: