Monday, June 28, 2010

Treasury Auction for the Week of June 28, 2010 (Updated with Results)

The US Treasury Department will auction the following Treasury securities this week.

Monday June 28, 2010

  • 13-week bill: $28 billion ($1 billion more than last week)

    Primary Dealer: $12.95 billion (46.3%; last week 62.6%)
    Direct Bidder: $4.22 billion (15%; last week 15.1%)
    Indirect Bidder: $8.66 billion (30.9%; last week 16.3%)
    Bid to Cover Ratio: 3.95 (last week 3.91)
    Investment Rate: 0.162% (last week 0.117%)
    High Rate: 0.160% (allotted at high: 44.35%)

  • 26-week bill: $28 billion ($1 billion more than last week)

    Primary Dealer: $8.98 billion (32.1%; last week 43.5%)
    Direct Bidder: $5.06 billion (18.1%; last week 11.3%)
    Indirect Bidder: $12.24 billion (43.7%; last week 39.7%)
    Bid to Cover Ratio: 4.24 (last week 4.12)
    Investment Rate: 0.218% (last week 0.173%)
    High Rate: 0.215% (allotted at high: 67.21%)

Tuesday June 29, 2010

  • 4-week bill: $36 billion ($4 billion more than last week; the previous high was August 2009 at $35 billion)

    Primary Dealer: $23.05 billion (64%; last week 54.8%)
    Direct Bidder: $4.60 billion (12.8%; last week 22%)
    Indirect Bidder: $7.06 billion (19.6%; last week 22.3%)
    Bid to Cover Ratio: 3.47 (last week 3.70)
    Investment Rate: 0.152% (last week 0.086%)
    High Rate: 0.150% (allotted at high: 65.36%)

    In addition, SOMA* purchased $5.94 billion 4-week bill.
Wednesday June 30, 2010
  • 56-day CMB* under SFP* for the Federal Reserve: $25 billion

    Primary Dealer: $11.14 billion (44.6%; last week 46%)
    Direct Bidder: $2.78 billion (11.1%; last week 19.7%)
    Indirect Bidder: $11.07 billion (44.3%; last week 34.3%)
    Bid to Cover Ratio: 4.50 (last week 4.33)
    Investment Rate: 0.183% (last week 0.122%)
    High Rate: 0.180% (allotted at high: 13.22%)
Total for the week: $117 billion
  • Bills: $117 billion
Total for June 2010: $787 billion
  • Bills: $609 billion
  • Notes and Bonds: $178 billion
Additional purchase by SOMA for June 2010: $27.987 billion
  • Bills: $24.37 billion
  • Notes and Bonds: $3.617 billion

at 10:03 PM  

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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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