Friday, January 1, 2010

Treasury Issues from July to December 2009

Treasury notes and bond issues each month were constant around $200 billion, even when the short-term funding needs (Treasury bills) fluctuated.

Wednesday, December 30, 2009

Treasury Auction Result for 12/30/2009

The U.S. Treasury Department auctioned the following Treasury securities today.

36-day CMB: $5 billion (under SFP*, for use by the Federal Reserve)

  • Primary Dealer: $3.96 billion
  • Indirect Bidder: $1.03 billion
  • Indirect Bidder Percentage: 20.6%
  • Bid to Cover Ratio: 6.66
  • Investment Rate: 0%
  • High Rate: 0% (allotted at high: 29.83%)

7-year note (912828MD9): $32 billion (last month $32 billion)

  • Primary Dealer: $15.56 billion
  • Indirect Bidder: $14.27 billion
  • Indirect Bidder Percentage: 44.6% (last month 62.4%)
  • Bid to Cover Ratio: 2.72 (last month 2.76)
  • Interest Rate: 3.250% (last month 2.750%)
  • High Yield: 3.345% (allotted at high: 55.69%) (last month high yield 2.835%)

In addition, SOMA* purchased $948 million 7-year note.

Total for the week so far: $203 billion

  • Bills: $85 billion
  • Notes: $118 billion

Total for December 2009: $630 billion

  • Bills: $438 billion
  • Notes and bonds: $192 billion

Additional purchase by SOMA* for December 2009 so far: $28.606 billion

  • Bills: $24.72 billion
  • Notes and bonds: $3.886 billion
*For details, scroll down to the bottom of the page.

Tuesday, December 29, 2009

Treasury Auction Result for 12/29/2009

The U.S. Treasury Department auctioned the following Treasury securities today.

4-week bill: $23 billion (last week $28 billion)

  • Primary Dealer: $8.31 billion
  • Indirect Bidder: $12.75 billion
  • Indirect Bidder Percentage: 55.4% (last week 60.5%)
  • Bid to Cover Ratio: 3.95 (last week 4.08)
  • Investment Rate: 0.010% (last week 0.005%)
  • High Rate: 0.010% (allotted at high: 12.36%)
In addition, SOMA* purchased $6.29 billion 4-week bill.

5-year note (912828ME7): $42 billion (last month $42 billion)

  • Primary Dealer: $18.00 billion
  • Indirect Bidder: $18.44 billion
  • Indirect Bidder Percentage: 43.9% (last month 60.7%)
  • Bid to Cover Ratio: 2.59 (last month 2.81)
  • Interest Rate: 2.625% (last month 2.125%)
  • High Yield: 2.665% (allotted at high: 31.16%) (last month high yield 2.175%)

In addition, SOMA* purchased $1.24 billion 5-year note.

Total for the week so far: $166 billion

  • Bills: $80 billion
  • Notes: $86 billion

Total for December 2009 so far: $593 billion

  • Bills: $433 billion
  • Notes and bonds: $160 billion

Additional purchase by SOMA* for December 2009 so far: $27.658 billion

  • Bills: $24.72 billion
  • Notes and bonds: $2.938 billion
*For details, scroll down to the bottom of the page.

Monday, December 28, 2009

Treasury Auction Result for 12/28/2009

The U.S. Treasury Department auctioned the following Treasury securities today.

13-week bill: $28 billion (last week $30 billion)

  • Primary Dealer: $17.95 billion
  • Indirect Bidder: $2.66 billion
  • Indirect Bidder Percentage: 9.5% (last week 20.1%)
  • Bid to Cover Ratio: 3.39 (last week 3.28)
  • Investment Rate: 0.112% (last week 0.071%)
  • High Rate: 0.110% (allotted at high: 79.75%)

26-week bill: $29 billion (last week $31 billion)

  • Primary Dealer: $10.95 billion
  • Indirect Bidder: $15.50 billion
  • Indirect Bidder Percentage: 53.4% (last week 68.3%)
  • Bid to Cover Ratio: 3.57 (last week 3.56)
  • Investment Rate: 0.203% (last week 0.173%)
  • High Rate: 0.200% (allotted at high: 40.81%)

2-year note (912828ML1): $44 billion

  • Primary Dealer: $19.95 billion
  • Indirect Bidder: $15.18 billion
  • Indirect Bidder Percentage: 34.5% (last month 44%)
  • Bid to Cover Ratio: 2.91 (last month 3.16)
  • Interest Rate: 1% (last month 0.750%)
  • High Yield: 1.089% (allotted at high: 59.68%) (last month high yield 0.802%)

In addition, SOMA* purchased $1.30 billion 2-year note.

Total for the week so far: $101 billion

  • Bills: $57 billion
  • Notes: $44 billion

Total for December 2009 so far: $528 billion

  • Bills: $410 billion
  • Notes and bonds: $118 billion

Additional purchase by SOMA* for December 2009 so far: $20.128 billion

  • Bills: $18.43 billion
  • Notes and bonds: $1.698 billion
*For details, scroll down to the bottom of the page.

Sunday, December 27, 2009

13-Week Bill Auction Trend Since October 2009

The chart below plots Indirect Bidder (i.e. foreign buyers of Treasuries) Percentage on the left Y axis and Bid to Cover Ratio on the right Y axis for 13-week bill auctions since October 2009.

Note that both Indirect Bidder Percentage and Bid to Cover Ratio seem to have broken the respective support (around 25% for Indirect Bidder Percentage and 3.8 for Bid to Cover Ratio).

Treasury Auction Schedule for the Week of 12/28/2009

The U.S. Treasury Department will auction the following Treasury securities this week.
Monday December 28, 2009

  • 13-week bill: $28 billion (last week $30 billion)
  • 26-week bill: $29 billion (last week $31 billion)
  • 2-year note (912828ML1): $44 billion (last month $44 billion)
Tuesday December 29, 2009
  • 4-week bill: TBA
  • 5-year note (912828ME7): $42 billion (last month $42 billion)

Wednesday December 30, 2009

  • 7-year note (912828MD9): $32 billion (last month $32 billion)

Total for the week: $175 billion (without 4-week bill)

  • Bills: $57 billion (without 4-week bill)
  • Notes: $118 billion
Total for December 2009 so far (as of 12/22): $427 billion
  • Bills: $353 billion
  • Notes and bonds: $74 billion

Terminology
SOMA System Open Market Account at the Federal Reserve New York Bank
Primary Dealer A bank or securities broker-dealer that may trade directly with the Federal Reserve System. Primary Dealers are required to bid at Treasury auctions. Current list of Primary Dealers is available at New york Fed.
Indirect Bidder Supposed to be the foreign investors, both foreign central banks and foreign private investors
Bid to Cover ratio The number of bids received divided by the number of bids accepted. The higher the ratio, the higher the demand.
Reopening The U.S. Treasury issues additional amounts of a previously issued security. The reopened security has the same maturity date and coupon interest rate as the original security, but with a different issue date and usually a different purchase price.
Cash Management Bill (CMB) A short-term security sold by the U.S. Department of the Treasury. The maturity on a CMB can range from a few days to six months. The money raised through these issues is used by the Treasury to meet any temporary shortfalls. CMBs tend to pay higher yields than bills with fixed maturities, but their shorter maturities lead to lower overall interest expense.
Supplementary Financing Program (SFP) A program initiated by the U.S. Treasury Department at the request of the Federal Reserve in September 17, 2008. The cash raised from the auction will be used in the various Federal Reserve initiatives to support the financial markets and manage its balance sheet.

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