Survey on Treasury Floating Rate Notes and Debt Management
United States Government Accountability Office
Contents
- Introduction
- Your Organization
- Survey Participant
- Treasury Floating Rate Notes
- Treasury Floating Rate Notes (Continued)
- Treasury Floating Rate Notes (Continued)
- Treasury FRNs of Different Maturities
- Treasury FRNs of Different Maturities (Continued)
- Treasury Auctions and Holdings
- Overall Demand for Treasury Securities
- Treasury Information Sources
- Additional Comments and Submit Your Survey to GAO
Introduction
The United States Government Accountability Office (GAO) is conducting a study at the request of Congress on Treasury
debt management, including the introduction of Treasury floating rate notes (FRNs). Our objectives are to (1) examine
Treasury's rationale for introducing FRNs and evaluate the information used to support Treasury's decision-making process;
and (2) identify the demand for Treasury securities from a broad range of investors, and determine whether changes would
help Treasury meet its goals.
As part of our research, we are collecting information from a variety of organizations, with interests in Treasury
securities. You are receiving this survey because you or your organization was identified based on its holdings of
Treasury securities. We plan to report survey results in the aggregate. GAO will not include in its public report individually
identifiable data from this survey.
We understand that there are great demands on your time, but your response is very important. The results of our
evaluation will help Congress and Treasury make some critical debt management decisions in the future. We estimate it will
take approximately 30-45 minutes to complete the survey.
GAO, the audit, evaluation, and investigation arm of Congress, exists to support Congress in meeting its constitutional
responsibilities and to help improve the performance and accountability of the federal government for the American
people. For additional information about our agency, please visit
www.gao.gov.
_____ to learn more about completing the survey, printing your responses, and whom to contact if you have
questions.
Thank you in advance for your assistance in taking part in our survey.
Your Organization
Please answer the questions in this survey specifically for your organization:
_____
According to information available to us, your organization is of the following type:
_____
If the organization type identified above is incorrect, please enter the correct information below.
Survey Participant
1. Please provide the following information for the organization and the person primarily responsible for completing
this survey in case we need to contact you to clarify a response.
Contact name:
Contact job title:
Telephone
E-mail address:
Treasury Floating Rate Notes
As you know, Treasury held its first Treasury floating rate note (FRN) auction on January 29, 2014.
The FRN has a 2-year maturity and is indexed to the 13-week Treasury bill auction high rate.
See this Treasury term sheet for more information:
(Click here to view term sheet)
2. Did your organization participate in the initial Treasury auction of FRNs on 1/29/2014 (including participation in the "when issued" market)?
3. Looking forward, does your organization plan to purchase Treasury FRNs in calendar year 2014, in
the following ways? (Select one answer in each row.)
a. At auction (not including the "when-issued" market)
| Not checked |
Definitely will |
Probably will |
Uncertain if will or will not |
Probably will not |
Definitely will not |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 9 | 14 | 13 | 20 | 6 | 62 |
b. In the "when-issued" market
| Not checked |
Definitely will |
Probably will |
Uncertain if will or will not |
Probably will not |
Definitely will not |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 9 | 15 | 11 | 23 | 4 | 62 |
c. In the secondary market
| Not checked |
Definitely will |
Probably will |
Uncertain if will or will not |
Probably will not |
Definitely will not |
Number of respondents |
|---|---|---|---|---|---|---|
| 1 | 11 | 19 | 17 | 13 | 1 | 62 |
4. Approximately what dollar amount of Treasury FRNs do you estimate your organization will purchase in
calendar year 2014? (Select one answer in each row.)
a. For your own use
| Not checked |
$0 |
More than $0 - $250 million |
More than $250 million - $500 million |
More than $500 million - $1 billion |
More than $1 billion - $5 billion |
More than $5 billion - $10 billion |
More than $10 billion |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 3 | 29 | 18 | 6 | 4 | 0 | 1 | 1 | 62 |
b. For your customers
| Not checked |
$0 |
More than $0 - $250 million |
More than $250 million - $500 million |
More than $500 million - $1 billion |
More than $1 billion - $5 billion |
More than $5 billion - $10 billion |
More than $10 billion |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 12 | 22 | 10 | 7 | 5 | 3 | 0 | 3 | 62 |
5. To what extent, if at all, are the following reasons why Treasury FRNs are an attractive investment option for your
organization or clients? (Select one answer in each row.)
a. Liquidity (Ability to buy and sell any amount with little effect on prices)
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 9 | 24 | 13 | 8 | 4 | 4 | 62 |
b. Depth of the Treasury FRN market (Ability to purchase large amounts)
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 4 | 16 | 11 | 13 | 9 | 8 | 62 |
c. FRNs will be used for hedging
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 2 | 1 | 4 | 11 | 37 | 7 | 62 |
d. FRNs have the full backing of the U.S. Government, in contrast to other floating rate products
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 25 | 22 | 7 | 3 | 4 | 1 | 62 |
e. FRNs are useful when there is a debt limit impasse
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 0 | 4 | 9 | 12 | 30 | 7 | 62 |
f. FRNs help avoid the transaction costs of rolling over bills
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 3 | 9 | 17 | 6 | 21 | 6 | 62 |
g. Price stability of the Treasury FRNs
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 15 | 16 | 14 | 9 | 7 | 62 |
h. Stability of terms and conditions of Treasury FRNs
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 5 | 15 | 18 | 13 | 9 | 2 | 62 |
i. FRNs provide diversification of Treasury products
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 6 | 11 | 17 | 9 | 17 | 1 | 62 |
j. Low charge against risk-based capital
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 4 | 5 | 8 | 8 | 25 | 12 | 62 |
k. Inflation protection
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 9 | 15 | 11 | 22 | 4 | 62 |
l. Interest rate risk protection
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 12 | 17 | 15 | 12 | 5 | 1 | 62 |
m. Macroeconomic outlook
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 3 | 3 | 21 | 16 | 16 | 3 | 62 |
n. Relative valuation
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 6 | 15 | 10 | 16 | 12 | 3 | 62 |
o. Cash management
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 12 | 8 | 14 | 14 | 13 | 1 | 62 |
p. Asset-liability matching
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 1 | 5 | 9 | 9 | 32 | 4 | 62 |
q. Consistency with client or fund investment guidelines
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 10 | 17 | 8 | 8 | 12 | 7 | 62 |
r. Conformance with requirements for collateral for centrally cleared derivatives
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 3 | 8 | 11 | 28 | 11 | 62 |
s. Conformance with new regulatory capital requirements for banking organizations
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 4 | 3 | 1 | 6 | 32 | 16 | 62 |
t. Conformance with weighted average maturity (WAM) and weighted average life (WAL) requirements for money market funds
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 13 | 7 | 9 | 3 | 16 | 14 | 62 |
u. Conformance with proposed net asset value (NAV) regulations
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 5 | 6 | 7 | 5 | 20 | 19 | 62 |
v. Other - Please select an answer and specify below.
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 22 | 4 | 0 | 1 | 1 | 7 | 27 | 62 |
Please specify "Other" listed in v.
6. How do the following structural elements affect the attractiveness of Treasury FRNs to your organization?
(Select one answer in each row.)
Structural Element
a. 2-year maturity
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 4 | 22 | 23 | 9 | 1 | 3 | 62 |
b. Original issue date is the last day of a month
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 0 | 6 | 44 | 2 | 1 | 9 | 62 |
c. Indexed to the 13-week Treasury bill rate
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 3 | 21 | 28 | 6 | 0 | 4 | 62 |
d. Daily interest rate reset
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 13 | 21 | 12 | 11 | 1 | 4 | 62 |
e. Difference in term of the index (13-week) vs. the interest rate reset period (daily)
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 4 | 12 | 34 | 5 | 2 | 5 | 62 |
f. Minimum daily interest accrual of zero
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 14 | 15 | 24 | 3 | 1 | 5 | 62 |
g. Lock-out period is 2 business days
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 0 | 4 | 40 | 8 | 2 | 8 | 62 |
h. Quarterly interest payments
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 2 | 18 | 34 | 2 | 0 | 5 | 62 |
i. Not STRIPS-eligible
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 0 | 3 | 40 | 5 | 0 | 13 | 62 |
j. Maximum noncompetitive award is $5 million
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 3 | 0 | 2 | 42 | 3 | 1 | 11 | 62 |
k. Tentative auction schedule - Monthly (quarterly new issue followed by two reopenings)
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 3 | 27 | 25 | 2 | 0 | 3 | 62 |
l. Anticipated auction size of $10-15 billion/month
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 3 | 36 | 17 | 3 | 0 | 2 | 62 |
m. Other - Please select an answer and specify below.
| Not checked |
Greatly more attractive |
Somewhat more attractive |
Neither more nor less attractive |
Somewhat less attractive |
Greatly less attractive |
No basis to judge/No opinion |
Number of respondents |
|---|---|---|---|---|---|---|---|
| 39 | 0 | 0 | 3 | 1 | 0 | 19 | 62 |
Please specify "Other" listed in m.
Comments (Please note the letter to which your comment corresponds):
Treasury Floating Rate Notes (Continued)
7. Is the duration risk of the Treasury FRN a factor your organization will consider in its purchases of
Treasury FRNs?
7a. If yes, what time will you use as the effective reset period to calculate the duration statistic?
(The duration statistic is a measurement of the sensitivity of the price of a security to a
change in interest rates. It is expressed as the percentage change in price for a unit change in interest
rates. Time to maturity, the maturity of the index, and the reset period are factors used to calculate the
duration statistic. The Treasury FRN has a time to maturity of 2 years and an interest rate that resets daily
to the 13-week Treasury bill rate which, based on Treasury's current auction schedule, resets weekly.)
| Not checked |
One day |
7 days |
91 days (i.e., 13 weeks) |
2 years |
Other |
Number of respondents |
|---|---|---|---|---|---|---|
| 22 | 17 | 13 | 8 | 0 | 2 | 62 |
Other - Please specify:
7b. If yes, how will the difference between the term of the index rate (13-weeks) and the
term of the reset period (daily) get factored into your duration calculation?
8. To what extent, if at all, will your organization's purchases of Treasury FRNs substitute for purchases
or use of these other types of investments? (Select one answer in each row.)
Investment Type
a. Treasury bills
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 8 | 11 | 10 | 14 | 18 | 1 | 62 |
b. Treasury notes
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 2 | 2 | 10 | 18 | 27 | 2 | 62 |
c. FRNs from other issuers
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 2 | 2 | 9 | 21 | 26 | 2 | 62 |
d. Money market fund shares
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 2 | 6 | 7 | 34 | 12 | 62 |
e. Repurchase agreements
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 3 | 10 | 9 | 32 | 7 | 62 |
f. Commercial paper
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 3 | 0 | 6 | 16 | 29 | 8 | 62 |
g. Derivatives, including futures or interest rate swaps
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 3 | 1 | 0 | 0 | 5 | 40 | 13 | 62 |
h. Bank deposits, including certificates of deposit
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 1 | 1 | 5 | 9 | 36 | 10 | 62 |
i. Other - Please select an answer and specify below.
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 36 | 0 | 0 | 1 | 1 | 12 | 12 | 62 |
Please specify "Other" listed in i.
9. To what extent, if at all, will your organization use the Treasury FRNs it purchases as
follows? (Select one answer in each row.)
Uses of Treasury FRNs
a. Hold to maturity
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 5 | 13 | 14 | 12 | 11 | 6 | 62 |
b. Trade in the secondary market
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 6 | 10 | 13 | 14 | 13 | 6 | 62 |
c. Use as collateral in the repo market
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 2 | 2 | 11 | 13 | 26 | 8 | 62 |
d. Lend in the securities lending market
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 2 | 6 | 12 | 12 | 21 | 8 | 62 |
e. Use as collateral for derivative contracts
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 3 | 3 | 9 | 15 | 19 | 13 | 62 |
f. Other - Please select an answer and specify below.
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 41 | 0 | 0 | 1 | 1 | 5 | 14 | 62 |
Please specify "Other" listed in f.
10. How will the attractiveness of Treasury FRNs to your organization vary with the interest rate
environment? (Select one answer in each row.)
Interest Rate Environment
a. Expectations of rising interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 58 | 3 | 0 | 0 | 62 |
b. Expectations of steady interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 3 | 51 | 5 | 2 | 62 |
c. Expectations of falling interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 0 | 11 | 49 | 1 | 62 |
d. Expectations of volatile interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 29 | 25 | 4 | 3 | 62 |
e. High absolute interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 16 | 28 | 15 | 2 | 62 |
f. Low absolute interest rates
| Not checked |
Treasury FRNs will be more attractive |
Treasury FRNs will be neither more nor less attractive |
Treasury FRNs will be less attractive |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 11 | 34 | 13 | 3 | 62 |
11. The Treasury FRN will pay interest at a rate that is the 13-week bill rate plus or minus the "FRN spread," which will
be determined competitively at the FRN auction. How, if at all, do you expect the FRN spread will vary with the short-term
interest rate environment? (Select one answer in each row.)
Short-term interest rate environment
a. Expectations of rising interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 0 | 21 | 6 | 28 | 7 | 62 |
b. Expectations of steady interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 0 | 51 | 2 | 8 | 62 |
c. Expectations of falling interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 0 | 27 | 9 | 19 | 7 | 62 |
d. Expectations of volatile interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 2 | 28 | 13 | 9 | 10 | 62 |
e. High absolute interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 0 | 23 | 21 | 10 | 8 | 62 |
f. Low absolute interest rates
| Not checked |
FRN spread will increase |
FRN spread will not be affected |
FRN spread will decrease |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|
| 0 | 10 | 23 | 21 | 8 | 62 |
Treasury Floating Rate Notes (Continued)
12. How interested, if at all, do you anticipate the following investors will be in purchasing Treasury FRNs?
(Select one answer in each row.)
Investor Type
a. Money market mutual funds
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 47 | 11 | 0 | 4 | 62 |
b. Bond funds
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 5 | 39 | 11 | 7 | 62 |
c. Other mutual funds
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 5 | 28 | 15 | 14 | 62 |
d. Commercial or retail banks
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 10 | 27 | 11 | 14 | 62 |
e. Corporate treasuries
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 15 | 31 | 4 | 12 | 62 |
f. Securities broker-dealers
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 1 | 6 | 34 | 7 | 14 | 62 |
g. Foreign central banks
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 20 | 27 | 2 | 13 | 62 |
h. Pension funds
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 4 | 23 | 25 | 10 | 62 |
i. Insurance companies
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 4 | 24 | 22 | 12 | 62 |
j. Other institutional investors
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 0 | 4 | 29 | 10 | 19 | 62 |
k. Individual investors
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 1 | 7 | 26 | 16 | 12 | 62 |
l. Other - Please select an answer and specify below.
| Not checked |
Very interested |
Somewhat interested | Not interested |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|
| 45 | 1 | 1 | 2 | 13 | 62 |
Please specify "Other" listed in l.
13. Treasury has announced that auctions of Treasury FRNs will be held at the end of the month.
What preference do you have for the timing of Treasury FRN auctions?
| Not checked |
Beginning of month |
Middle of month | End of month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 2 | 3 | 6 | 50 | 62 |
14. What preference(s), if any, do you have for a particular Treasury FRN auction, issuance, or payment day
of the week? (Please select all answers that apply.)
a. Auction day(s)
1. Monday
2. Tuesday
3. Wednesday
4. Thursday
5. Friday
6. No preference
b. Issuance day(s)
1. Monday
2. Tuesday
3. Wednesday
4. Thursday
5. Friday
6. No preference
c. Payment day(s)
1. Monday
2. Tuesday
3. Wednesday
4. Thursday
5. Friday
6. No preference
If you indicated a preference for an auction day, please state the reasons for your preference.
If you indicated a preference for an issuance day, please state the reasons for your preference.
If you indicated a preference for an payment day, please state the reasons for your preference.
15. The size of the first Treasury FRN auction was $15 billion. What is the minimum size of the Treasury FRN issuance you think will be needed to make Treasury FRNs sufficiently liquid for your purposes? (Enter dollars in billions. Use a decimal to show the portion of a billion; for example, 500 million would be entered as 0.5 billion, one and a half billion would be entered as 1.5 billion, etc.)
$ size (in billions)
a. New issue auctions
Minimum for new issue auctions
or
1. No basis to judge
b. Reopening auctions
Minimum for reopening auctions
or
1. No basis to judge
c. Total outstanding per CUSIP
Minimum for Outstanding per CUSIP
or
1. No basis to judge
d. 2-year FRN total outstanding
at any given time
Minimum for 2-year FRN
or
1. No basis to judge
16. Did or will your organization need to make changes to its systems to be able to
purchase Treasury FRNs? (Select one answer in each row.)
System Type
a. Trading (including auction
and secondary trading)
| Not checked |
Changes needed and completed |
Changes needed, but not yet completed |
Changes not needed |
Number of respondents |
|---|---|---|---|---|
| 2 | 13 | 6 | 41 | 62 |
b. Accounting
| Not checked |
Changes needed and completed |
Changes needed, but not yet completed |
Changes not needed |
Number of respondents |
|---|---|---|---|---|
| 2 | 9 | 11 | 40 | 62 |
c. Compliance
| Not checked |
Changes needed and completed |
Changes needed, but not yet completed |
Changes not needed |
Number of respondents |
|---|---|---|---|---|
| 6 | 11 | 4 | 41 | 62 |
d. Risk management
| Not checked |
Changes needed and completed |
Changes needed, but not yet completed |
Changes not needed |
Number of respondents |
|---|---|---|---|---|
| 3 | 12 | 7 | 40 | 62 |
e. Other - Please select an answer
and specify below.
| Not checked |
Changes needed and completed |
Changes needed, but not yet completed |
Changes not needed |
Number of respondents |
|---|---|---|---|---|
| 45 | 2 | 0 | 15 | 62 |
Please specify "Other" listed in e.
17. If changes were or will be needed, have you received adequate assistance or information you need to make the changes
from Treasury or the Federal Reserve?
18. In your opinion, has Treasury provided sufficient information to investors regarding its plans for Treasury FRNs?
18a. If not, what additional information could Treasury provide to investors regarding its plans for FRNs?
Treasury FRNs of Different Maturities
19. If Treasury decided to issue FRNs of different maturities, what dollar amount of Treasury FRNs in the following
maturities do you estimate your organization would purchase in a year? (Select one answer in each row.)
a. 1-year FRN
| Not checked |
$0 |
More than $0 - $ 1 billion |
More than $1 billion - $5 billion |
Greater than $5 billion |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 11 | 25 | 13 | 3 | 10 | 62 |
b. 3-year FRN
| Not checked |
$0 |
More than $0 - $ 1 billion |
More than $1 billion - $5 billion |
Greater than $5 billion |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|---|
| 2 | 19 | 25 | 1 | 2 | 13 | 62 |
c. 5-year FRN
| Not checked |
$0 |
More than $0 - $ 1 billion |
More than $1 billion - $5 billion |
Greater than $5 billion |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 22 | 24 | 0 | 2 | 14 | 62 |
d. 7-year FRN
| Not checked |
$0 |
More than $0 - $ 1 billion |
More than $1 billion - $5 billion |
Greater than $5 billion |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 29 | 15 | 1 | 1 | 16 | 62 |
e. 10-year FRN
| Not checked |
$0 |
More than $0 - $ 1 billion |
More than $1 billion - $5 billion |
Greater than $5 billion |
No basis to judge |
Number of respondents |
|---|---|---|---|---|---|---|
| 0 | 29 | 13 | 1 | 2 | 17 | 62 |
20. If Treasury were to issue FRNs of different maturities, what issuance size(s) (i.e., total outstanding at any given time) do you think would be needed to make Treasury FRNs of the following different maturities sufficiently liquid for your purposes? (Enter dollars in billions. Use a decimal to show the portion of a billion; for example, 500 million would be entered as 0.5 billion, one and a half billion would be entered as 1.5 billion, etc.)
a. 1-year FRN
Issuance size for 1 year FRN
or
1. No basis to judge
b. 3-year FRN
Issuance size for 3 year FRN
or
1. No basis to judge
c. 5-year FRN
Issuance size for 5 year FRN
or
1. No basis to judge
d. 7-year FRN
Issuance size for 7 year FRN
or
1. No basis to judge
e. 10-year FRN
Issuance size for 10 year FRN
or
1. No basis to judge
21. The 2-year Treasury FRN is indexed to the 13-week Treasury bill rate. If Treasury were to issue FRNs of different
maturities, do you think they should also be indexed to the 13-week Treasury bill rate?
21a. If No, what index rate would you prefer for Treasury FRNs of the following different maturities? (For each type of
FRN, list three index rates in order of preference.)
a. 1-year FRN - 1st choice:
2nd choice:
3rd choice:
b. 3-year FRN - 1st choice:
2nd choice:
3rd choice:
c. 5-year FRN - 1st choice:
2nd choice:
3rd choice:
d. 7-year FRN - 1st choice:
2nd choice:
3rd choice:
e. 10-year FRN - 1st choice:
2nd choice:
3rd choice:
22. If Treasury were to issue FRNs of different maturities, what preference would you have for the frequency of the interest
rate reset for Treasury FRNs of the following different maturities?
(Select one answer in each row.)
a. 1-year FRN
| Not checked |
Daily |
Weekly |
Monthly |
Quarterly |
Annually |
The term of the index rate |
Other |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 0 | 31 | 9 | 8 | 6 | 0 | 7 | 1 | 62 |
b. 3-year FRN
| Not checked |
Daily |
Weekly |
Monthly |
Quarterly |
Annually |
The term of the index rate |
Other |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 4 | 18 | 15 | 8 | 9 | 0 | 7 | 1 | 62 |
c. 5-year FRN
| Not checked |
Daily |
Weekly |
Monthly |
Quarterly |
Annually |
The term of the index rate |
Other |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 4 | 15 | 11 | 9 | 12 | 1 | 9 | 1 | 62 |
d. 7-year FRN
| Not checked |
Daily |
Weekly |
Monthly |
Quarterly |
Annually |
The term of the index rate |
Other |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 4 | 14 | 10 | 10 | 13 | 1 | 9 | 1 | 62 |
e. 10-year FRN
| Not checked |
Daily |
Weekly |
Monthly |
Quarterly |
Annually |
The term of the index rate |
Other |
Number of respondents |
|---|---|---|---|---|---|---|---|---|
| 4 | 14 | 10 | 10 | 13 | 1 | 9 | 1 | 62 |
If you indicated "Other," for 1-year FRN, please specify:
If you indicated "Other," for 3-year FRN, please specify:
If you indicated "Other," for 5-year FRN, please specify:
If you indicated "Other," for 7-year FRN, please specify:
If you indicated "Other," for 10-year FRN, please specify:
Treasury FRNs of Different Maturities (Continued)
23. If Treasury were to issue FRNs of different maturities, what preference would you have for the frequency of interest
payments for Treasury FRNs of the following different maturities?
(Select one answer in each row.)
a. 1-year FRN
b. 3-year FRN
c. 5-year FRN
d. 7-year FRN
e. 10-year FRN
If you indicated "Other," for 1-year FRN, please specify:
If you indicated "Other," for 3-year FRN, please specify:
If you indicated "Other," for 5-year FRN, please specify:
If you indicated "Other," for 7-year FRN, please specify:
If you indicated "Other," for 10-year FRN, please specify:
24. If Treasury were to issue FRNs of different maturities, would you prefer that Treasury FRNs of the following
different maturities be eligible for STRIPS? (Select one answer in each row.)
a. 1-year FRN
b. 3-year FRN
c. 5-year FRN
d. 7-year FRN
e. 10-year FRN
25. If Treasury were to issue FRNs of different maturities, what preference would you have for the frequency of Treasury FRN auctions
of the following different maturities?
(Select one answer in each row.)
a. 1-year FRN
b. 3-year FRN
c. 5-year FRN
d. 7-year FRN
e. 10-year FRN
If you indicated "Other," for 1-year FRN, please specify:
If you indicated "Other," for 3-year FRN, please specify:
If you indicated "Other," for 5-year FRN, please specify:
If you indicated "Other," for 7-year FRN, please specify:
If you indicated "Other," for 10-year FRN, please specify:
26. If Treasury were to issue FRNs of different maturities, what preference would you have for the timing of
Treasury FRN auctions of the following different maturities? (Select one answer in each row.)
a. 1-year FRN
| Not checked |
Beginning of the month |
Middle of the month |
End of the month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 1 | 2 | 10 | 6 | 43 | 62 |
b. 3-year FRN
| Not checked |
Beginning of the month |
Middle of the month |
End of the month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 3 | 2 | 8 | 6 | 43 | 62 |
c. 5-year FRN
| Not checked |
Beginning of the month |
Middle of the month |
End of the month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 3 | 2 | 7 | 6 | 44 | 62 |
d. 7-year FRN
| Not checked |
Beginning of the month |
Middle of the month |
End of the month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 3 | 3 | 7 | 5 | 44 | 62 |
e. 10-year FRN
| Not checked |
Beginning of the month |
Middle of the month |
End of the month |
No preference |
Number of respondents |
|---|---|---|---|---|---|
| 4 | 3 | 7 | 5 | 43 | 62 |
27. Based on your knowledge of the market for Treasury securities, do you anticipate the following investors would be
interested in purchasing Treasury FRNs of these different maturities?
(Please select an answer in each cell.)
Investor Type
1-year
FRN
3-year
FRN
5-year
FRN
7-year
FRN
10-year
FRN
a. Money market
mutual funds
b. Other mutual
funds
c. Commercial or
retail banks
Investor Type
1-year
FRN
3-year
FRN
5-year
FRN
7-year
FRN
10-year
FRN
d. Corporate
treasuries
e. Securities
broker-dealers
f. Foreign central
banks
Investor Type
1-year
FRN
3-year
FRN
5-year
FRN
7-year
FRN
10-year
FRN
g. Pension funds
h. Insurance
companies
i. Other
institutional
investors
Investor Type
1-year
FRN
3-year
FRN
5-year
FRN
7-year
FRN
10-year
FRN
j. Individual
investors
Treasury Auctions and Holdings
28. What amounts of the following types of Treasury securities did your organization, _____, hold as of
September 30, 2013? (Enter dollars in billions. Use a decimal to show the portion of a billion; for example,
500 million would be entered as 0.5 billion, one and a half billion would be entered as 1.5 billion, etc.)
Amount held - Treasury Bills
data intentionally not reported
Amount held - Treasury Notes
data intentionally not reported
Amount held - Treasury Bonds
data intentionally not reported
Amount held - TIPS
data intentionally not reported
Amount held - STRIPS
data intentionally not reported
29. For the following types of Treasury securities that your organization may purchase at auction (including in
the "when-issued" market), at what frequency does it usually do so?
(Select one answer in each row.)
a. Bills
| Not checked |
Never |
At every auction | Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 1 | 25 | 12 | 8 | 0 | 3 | 13 | 62 |
b. Notes
| Not checked |
Never |
At every auction | Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 23 | 9 | 1 | 7 | 5 | 15 | 62 |
c. Bonds
| Not checked |
Never |
At every auction | Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 24 | 8 | 1 | 4 | 6 | 17 | 62 |
d. TIPS
| Not checked |
Never |
At every auction | Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 28 | 9 | 0 | 6 | 2 | 15 | 62 |
30. For the following types of Treasury securities that your organization may purchase in the secondary
market, at what frequency does it usually do so? (Select one answer in each row.)
a. Bills
| Not checked |
Never |
Daily |
Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 10 | 23 | 9 | 5 | 3 | 12 | 62 |
b. Notes
| Not checked |
Never |
Daily |
Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 1 | 26 | 16 | 7 | 3 | 7 | 62 |
c. Bonds
| Not checked |
Never |
Daily |
Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 9 | 24 | 9 | 4 | 2 | 12 | 62 |
d. TIPS
| Not checked |
Never |
Daily |
Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 14 | 15 | 4 | 9 | 2 | 16 | 62 |
e. STRIPS
| Not checked |
Never |
Daily |
Weekly |
Monthly |
Quarterly |
Less than quarterly | Number of respondents |
|---|---|---|---|---|---|---|---|
| 2 | 20 | 12 | 8 | 4 | 2 | 14 | 62 |
Overall Demand for Treasury Securities
In addition to questions about the new Treasury FRN, we have some questions on the demand for Treasury securities in general.
31. If Treasury were to introduce the following types of securities or debt management practices, do you expect they would
enhance the demand for Treasury securities? (Select one answer in each row.)
a. Issue ultra-long bonds (e.g. 40-year bonds)
b. Issue callable securities (securities that are subject to call by Treasury before maturity)
c. Issue floating rate notes indexed to inflation
d. Issue zero-coupon notes or bonds
e. Introduce a different new security (specify below)
f. Discontinue an existing security (specify which security type(s) below)
g. Buybacks (Treasury purchases of off-the-run securities)
h. Use a reverse inquiry window
i. Increase frequency of initial auctions (specify which security type(s) below)
j. Increase frequency of reopenings (specify which security type(s) below)
k. Increase issuance sizes (specify which security type(s) below)
l. Increase the limit on noncompetitive awards in Treasury auctions (currently $5 million)
m. Other (specify below)
Specify entry in e. above
Specify entry in f. above
Specify entry in i. above
Specify entry in j. above
Specify entry in k. above
Specify entry in m. above
32. Now that Treasury FRNs use the 13-week Treasury bill as its index rate, do you expect Treasury bills to become
a more-widely used benchmark for other products?
32a. If yes, what products?
33. Do you expect Treasury FRNs to become a benchmark for other products?
33a. If yes, in what ways would it be
used as a benchmark?
34. Given that events in recent years showed that the London Interbank Offered Rate (LIBOR) was susceptible to
manipulation, some have called for a shift away from LIBOR as the dominant index rate. In your opinion, what
should be the basis of a benchmark index rate?
If survey:
a. Who should be surveyed?
b. What safeguards should be in place?
If market rates:
What transactions or trades?
If other, please specify:
Survey respondents could specify the type of benchmark index rate they preferred. The open-ended responses for “survey” or “other” index rates are intentionally
not reported because the number of these responses was small. The types of market transactions or trades respondents preferred are summarized below.
Some respondents provided multiple suggestions and each suggestion is counted separately.
- Treasury transaction or trade (11)
- Not Treasury transaction or trade (35)
- Unclear if Treasury transaction or trade (7)
35. Do you think it is feasible for the market to shift to a new benchmark index rate?
35a. Percent that could migrate to new benchmark
Treasury Information Sources
36. In your opinion, to what extent, if at all, do market participants, such as yourself, have opportunities to provide input to Treasury?
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 4 | 12 | 16 | 22 | 4 | 4 | 62 |
36a. (If in question 36 you answered "little or no extent" or "no basis to judge")
What could Treasury do differently or better to ensure that end-investors have sufficient opportunities
to provide input? (Please list up to five actions in order of importance.)
1.
2.
3.
4.
5.
37. In your opinion, to what extent, if at all, does Treasury provide sufficient information to investors
regarding its plans for debt management?
| Not checked |
Very great extent | Great extent |
Moderate extent |
Some extent |
Little or no extent |
No basis to judge | Number of respondents |
|---|---|---|---|---|---|---|---|
| 0 | 9 | 34 | 13 | 5 | 0 | 1 | 62 |
37a. (If in question 37 you answered "little or no extent" or "no basis to judge")
What additional information should Treasury provide to investors?
Additional Comments and Submit Your Survey to GAO
38. Any other comments regarding the topics covered in this questionnaire?
39. Are you ready to submit your final completed survey to GAO?
(This is equivalent to mailing a completed paper survey to us. It
tells us that your answers are official and final.)
| Not checked | Yes, my survey is complete - To submit your final responses, please click on "Exit" below" | No, my survey is not yet complete - To save your responses for later, please click on "Exit" below" | Number of respondents |
|---|---|---|---|
| 0 | 62 | 0 | 62 |
You may view and print your completed survey by clicking on the Summary link in
the menu to the left.
Thank you very much for your assistance.