April 20, 2017

Critical updates from the Federal Reserve, Treasury and more

In the Spotlight

Treasury International Capital Data for February
On April 17th, the U.S. Department of the Treasury released Treasury International Capital (TIC) data for February 2017.  The next release, which will report on data for March 2017, is scheduled for May 15, 2017.

The sum total in February of all net foreign acquisitions of long-term securities, short-term U.S. securities, and banking flows was a monthly net TIC inflow of $19.3 billion.  Of this, net foreign private inflows were $30.9 billion, and net foreign official outflows were $11.6 billion.

Foreign residents increased their holdings of long-term U.S. securities in February; net purchases were $35.9 billion.  Net purchases by private foreign investors were $41.1 billion, while net sales by foreign official institutions were $5.2 billion.
Press Release

The U.S. Department of the Treasury Issues Agenda for May 2017 Refunding Treasury Dealer Meetings
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? FY2018?
  2. Please comment on Treasury’s cash balance policy and whether or not Treasury should consider holding additional liquidity in order to mitigate risks associated with the loss of market access.
  3. Please discuss the potential volume of demand for long-duration sovereign products. What factors should Treasury consider when structuring a security with a maturity greater than 30 years (e.g., 40-, 50-, or 100-year)? At what price, relative to the current 30-year bond offering, could Treasury reasonably expect an ultra-long to price?

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 November 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”?


FICC Capped Contingency Liquidity Facility Test – April 24, 2017
On an annual basis, MBSD conducts a CCLF test with all Clearing Members in an effort to assess each Member’s understanding of CCLF from an operational perspective and increase awareness of the potential capital commitment should the CCLF be invoked.

On April 24, 2017, MBSD will conduct this test.
Press Release

Full Program Available: Fixed Income Market Structure Seminar, April 27
SIFMA’s Fixed Income Market Structure Seminar in NYC brings together market participants and policymakers to discuss the latest regulatory and market developments in the fixed income markets. This half-day discussion will address the key questions and issues emerging from significant changes in market structure, including: Investment Grade New Issue Process, Fixed Income Pre-Trade Transparency and Price Discovery, and Execution and Order Management in Fixed Income.
View the program and register



SIFMA Releases US Quarterly Highlights, First Quarter 2017
Long-term securities issuance totaled $1.85 trillion in 1Q'17, a 15.5 percent decrease from $1.60 trillion in 4Q'16 and a 11.3 percent increase year-over-year. Treasury, corporate, agency and equity securities experienced increases q-o-q in the first quarter, while municipal, mortgage-related, and asset-backed securities experienced declines.
Press Release

FICC Announces Submission of Rule Filing (SR-FICC-2017-11) – Establishing of Effective Date for the GSD Margin Proxy
On April 13, 2017, Fixed Income Clearing Corporation (“FICC”) filed a rule change (SR-FICC- 2017-011) (“Rule Filing”) with the Securities and Exchange Commission (the “SEC”) pursuant to Section 19(b)(3)(A) of the Securities Exchange Act of 1934, as amended. As more fully described in the Rule Filing, the purpose of this rule change is to establish April 24, 2017 as the effective date for the approved rule changes in SR-FICC-2017-001, which will establish a minimum volatility calculation referred to as the Margin Proxy.
Press Release



SIFMA Calls for Further Extension of the DOL Fiduciary Rule, Suggests Path Forward for New Secretary
SIFMA submitted a comment letter to the Department of Labor regarding the Department’s proposed delay and reconsideration of its fiduciary regulation. SIFMA AMG submitted a separate comment letter. In both cases, SIFMA and SIFMA AMG call for the DOL to delay the applicability of the rule beyond June 09, 2017 in order to allow for a proper review of the rule, consistent with the President’s February 3, 2017 memorandum. In a statement, Kenneth E. Bentsen, Jr., SIFMA president and CEO, said, “Notwithstanding the industry’s longstanding and continued support for a best interest standard, SIFMA continues to believe the DOL rule will do investors much more harm than good.  As our letters clearly state, the evidence gathered as firms have moved to implement the rule shows the negative consequences of less choice, greater cost, and increased legal liability.”
Press Release
SIFMA Comment Letter
SIFMA AMG Comment Letter
Bloomberg TV Clip
DOL Fiduciary Resource Center

Calling All Volunteers: SIFMA Foundation is Looking for InvestWrite Judges
More than 5,000 industry volunteers served as judges for last year’s InvestWrite program, a national essay competition based on the acclaimed Stock Market Game. SIFMA and the SIFMA Foundation encourage you and your firms to get involved with this year’s program. Take a small step, judging takes less than two hours and is completely virtual, to make a big impact in a child’s life by supporting this financial capability program. Registration is now open; sign up today!



OPS 2017: Addressing Top Operations Priorities May 8-11, Florida :
Join your peers, subject matter experts, industry leaders and regulators at the 44th annual Operations Conference and Exhibition to address industry changes driven by regulation, risk, resiliency, and the evolution of technology. The program includes sessions on top operations priorities with a diverse speaker line-up including: Robert S. Mueller, III, Partner at WilmerHale & Former Director of the FBI; Richard Dzina, Executive Vice President at the Federal Reserve Bank of New York; Ron Lefferts, Managing Partner, IBM North America; Amanda Smith, Senior Vice President at Fidelity Investments; Bill Wollman, Executive Vice President at FINRA; and more.

Sign up for SIFMA’s FinTech Conference: June 5-6 in New York City
New developments in robo advising, robotics, artificial intelligence, machine learning and blockchain experiments have the potential to reshape securities markets and processes – and regulators are exploring how regulation should adapt to this new technology. SIFMA’s FinTech Conference, on June 5–6 in New York City, will bring together innovators and industry leaders to discuss these developments and how they are changing the way firms understand and interact with their customers, manage risk, and run their operations. Early bird rates available.


Economic Calendar

Week of4/24


  • Chicago Fed National Activity Index 8:30 AM ET
  • Dallas Fed Mfg Survey 10:30 AM ET
  • 4-Week Bill Announcement 11:00 AM ET
  • Neel Kashkari Speaks 11:30 AM ET
  • 3-Month Bill Auction 11:30 AM ET
  • 6-Month Bill Auction 11:30 AM ET
  • Neel Kashkari Speaks 3:15 PM ET


  • Redbook 8:55 AM ET
  • FHFA House Price Index 9:00 AM ET
  • S&P Corelogic Case-Shiller HPI 9:00 AM ET
  • New Home Sales 10:00 AM ET
  • Consumer Confidence 10:00 AM ET
  • Richmond Fed Manufacturing Index 10:00 AM ET
  • State Street Investor Confidence Index 10:00 AM ET
  • 4-Week Bill Auction 11:30 AM ET
  • 52-Week Bill Auction 11:30 AM ET
  • 2-Yr Note Auction 1:00 PM ET


  • MBA Mortgage Applications 7:00 AM ET
  • EIA Petroleum Status Report 10:30 AM ET
  • 2-Yr FRN Note Auction 11:30 AM ET
  • 5-Yr Note Auction 1:00 PM ET


  • Weekly Bill Settlement
  • Durable Goods Orders 8:30 AM ET
  • International Trade in Goods 8:30 AM ET
  • Jobless Claims 8:30 AM ET
  • Bloomberg Consumer Comfort Index 9:45 AM ET
  • Pending Home Sales Index 10:00 AM ET
  • EIA Natural Gas Report 10:30 AM ET
  • Kansas City Fed Manufacturing Index 11:00 AM ET
  • 3-Month Bill Announcement 11:00 AM ET
  • 6-Month Bill Announcement 11:00 AM ET
  • 7-Yr Note Auction 1:00 PM ET
  • Farm Prices 3:00 PM ET
  • Fed Balance Sheet 4:30 PM ET
  • Money Supply 4:30 PM ET


  • GDP 8:30 AM ET
  • Employment Cost Index 8:30 AM ET
  • Chicago PMI 9:45 AM ET
  • Consumer Sentiment 10:00 AM ET
  • Baker-Hughes Rig Count 1:00 PM ET
  • Patrick Harker Speaks 2:30 PM ET


Featured Data and Resources

View all Rates Reference Data Aggregated by SIFMA Rates Group

SIFMA’s 2017-2018 Market Close Recommendations
CME’s Full 2017 Holiday Calendar and Related Notices
FICC’s 2017 Holiday Schedule for GSD


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