Sunday, June 6, 2010

Treasury Auction Schedule for the Week of June 7, 2010 (Updated with Results)

The US Treasury Department will auction the following Treasury securities for the week of June 7, 2010.

Monday June 7, 2010

  • 13-week bill: $27 billion (same as last week)

    Primary Dealer: $12.69 billion
    Indirect Bidder: $11.06 billion
    Indirect Bidder Percentage: 41% (last week 42.8%)
    Direct Bidder: $1.87 billion (6.92%; last week 16.9%)
    Bid to Cover Ratio: 4.80 (last week 4.51)
    Investment Rate: 0.132% (last week 0.162%)
    High Rate: 0.130% (allotted at high: 32.05%)

  • 26-week bill: $27 billion (same as last week)

    Primary Dealer: $10.66 billion
    Indirect Bidder: $11.18 billion
    Indirect Bidder Percentage: 41.4% (last week 28.3%)
    Direct Bidder: $3.96 billion (14.7%; last week 16.2%)
    Bid to Cover Ratio: 4.53 (last week 4.01)
    Investment Rate: 0.213% (last week 0.223%)
    High Rate: 0.210% (allotted at high: 30.61%)
Tuesday June 8, 2010
  • 4-week bill: $31 billion (same as last week)

    Primary Dealer: $19.05 billion (61.5%)
    Indirect Bidder: $4.75 billion
    Indirect Bidder Percentage: 15.3% (last week 39.4%)
    Direct Bidder: $6.95 billion (22.4%; last week 16.1%)
    Bid to Cover Ratio: 4.32 (last week 4.51)
    Investment Rate: 0.091% (last week 0.132%)
    High Rate: 0.090% (allotted at high: 3.6%)

    In addition, SOMA* purchased $ 3.78 billion 4-week bill.

  • 3-year note: $36 billion ($2 billion less than last month)

    Primary Dealer: $13.29 billion (36.9%)
    Indirect Bidder: $16.78 billion
    Indirect Bidder Percentage: 46.6% (last month 50.4%)
    Direct Bidder: $5.86 billion (16.3%; last month 16.4%)
    Bid to Cover Ratio: 3.23 (last month 3.27)
    Interest Rate: 1.125% (last month 1.375%)
    High Yield: 1.220% (allotted at high: 58.71%)

    In addition, SOMA purchased $208 million 3-year note.
Wednesday June 9, 2010
  • 5-day CMB: $26 billion

    Primary Dealer: $22.44 billion
    Indirect Bidder: $0.135 billion
    Direct Bidder: $3.43 billion
    Bid to Cover Ratio: 4.20
    Investment Rate: 0.162% (higher than this week's 13-week bill at 0.132%)
    High Rate: 0.160% (allotted at high: 17.38%)

  • 56-day CMB* under SPF*: $25 billion

    Primary Dealer: $17.88 billion (71.5%)
    Indirect Bidder: $4.38 billion
    Indirect Bidder Percentage: 17.5% (last week 35%)
    Direct Bidder: $2.72 billion (10.9%; last week 8.04%)
    Bid to Cover Ratio: 4.24 (last week 4.47)
    Investment Rate: 0.096% (last week 0.142%)
    High Rate: 0.095% (allotted at high: 36.12%)

  • 9-year 11-month note: $21 billion (1st reopening, original issue May 2010 $24 billion)

    Primary Dealer: $9.71 billion (46.2%)
    Indirect Bidder: $8.41 billion
    Indirect Bidder Percentage: 40.0% (original issue 41.6%)
    Direct Bidder: $2.83 billion (13.5%; original issue 24.8%)
    Bid to Cover Ratio: 3.24 (original issue 2.96)
    Interest Rate: 3.500%
    High Yield: 3.242% (allotted at high 87.15%) (original issue high yield 3.548%)
    (It is not usual to have High Yield lower than Interest Rate in Treasury notes and bonds.)

    In addition, SOMA purchased $121 million 9-year 11-month note.
Thursday June 10, 2010
  • 29-year 11-month bond: $13 billion (1st reopening, original issue May 2010 $16 billion)

    Primary Dealer: $5.67 billion (43.6%)
    Indirect Bidder: $4.67 billion
    Indirect Bidder Percentage: 35.9% (original issue 32.4%)
    Direct Bidder: $2.63 billion (20.2%; original issue 21.8%)
    Bid to Cover Ratio: 2.87 (original issue 2.60)
    Interest Rate: 4.375%
    High Yield: 4.182% (allotted at high 84.84%) (original issue high yield 4.449%)
    (It is not usual to have High Yield lower than Interest Rate in Treasury notes and bonds.)

    In addition, SOMA purchased $75 million 29-year 11-month bond.
Total for the week: $206 billion
  • Bills: $136 billion
  • Notes and bonds: $70 billion
Total for June 2010 so far: $341 billion
  • Bills: $271 billion
  • Notes and bonds: $70 billion
Additional purchase by SOMA for June 2010 so far: $10.124 billion
  • Bills: $9.72 billion
  • Notes and bonds: $0.404 billion

at 10:27 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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