Thursday, July 8, 2010

Treasury Auction for the Week of July 6, 2010 (Updated with Results)

The US Treasury Department auctioned the following Treasury securities this week.

Tuesday July 6, 2010

  • 13-week bill: $30 billion ($2 billion more than last week)

    Primary Dealer: $11.82 billion (39.4%; last week 46.3%)
    Direct Bidder: $2.44 billion (8.1%; last week 15%)
    Indirect Bidder: $14.38 billion (47.9%; last week 30.9%)
    Bid to Cover Ratio: 4.23 (last week 3.95)
    Investment Rate: 0.167% (last week 0.162%) *same as 4-week bill, 56-day CMB*
    High Rate: 0.165% (allotted at high: 51.92%)

  • 26-week bill: $30 billion ($2 billion more than last week)

    Primary Dealer: $13.16 billion (43.9%; last week 32.1%)
    Direct Bidder: $4.40 billion (14.7%; last week 18.1%)
    Indirect Bidder: $11.16 billion (37.2%; last week 43.7%)
    Bid to Cover Ratio: 4.15 (last week 4.24)
    Investment Rate: 0.208% (last week 0.218%)
    High Rate: 0.205% (allotted at high: 73.41%)
Wednesday July 7, 2010
  • 4-week bill: $36 billion (same as last week)

    Primary Dealer: $23.67 billion (65.8%; last week 64%)
    Direct Bidder: $5.09 billion (14.1%; last week 12.8%)
    Indirect Bidder: $6.98 billion (19.4%; last week 19.6%)
    Bid to Cover Ratio: 3.57 (last week 3.47)
    Investment Rate: 0.167% (last week 0.152%) *same as 13-week bill, 56-day CMB*
    High Rate: 0.165% (allotted at high: 88.94%)

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

  • 56-day CMB* under SFP* for the Federal Reserve: $25 billion (same as last week)

    Primary Dealer: $13.64 billion (54.6%; last week 44.6%)
    Direct Bidder: $4.30 billion (17.2%; last week 11.1%)
    Indirect Bidder: $7.07 billion (28.3%; last week 44.3%)
    Bid to Cover Ratio: 4.40 (last week 4.50)
    Investment Rate: 0.167% (last week 0.183%) *same as 4-week bill, 13-week bill*
    High Rate: 0.165% (allotted at high: 24.41%)
Thursday July 8, 2010
  • 10-year TIPS: $12 billion ($2 billion more than last original issue in January)

    Primary Dealer: $5.20 billion (43.3%; last original issue 52%)
    Direct Bidder: $0.50 billion (4%; last original issue 3%)
    Indirect Bidder: $6.15 billion (51.3%; last original issue 39.6%)
    Bid to Cover Ratio: 2.88 (last original issue 2.65)
    Interest Rate: 1.250% (last original issue 1.375%)
    High Yield: 1.295% (allotted at high: 43.46%)

    In addition, SOMA purchased $388 million 10-year TIPS.
Total for the week: $133 billion
  • Bills: $121 billion
  • Notes: $12 billion
Total for July 2010 so far: $133 billion
  • Bills: $121 billion
  • Notes: $12 billion
Additional purchase by SOMA for July 2010 so far: $4.168 billion
  • Bills: $3.78 billion
  • Notes: $388 million

at 9:30 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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