Sunday, June 20, 2010

Treasury Auction Schedule for the Week of June 21, 2010 (Updated with Results)

(Sorry for the delay. Bear with me while I catch up with updates..)

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

Monday June 21, 2010

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

    Primary Dealer: $16.90 billion (62.6%; last week 56.4%)
    Direct Bidder: $4.09 billion (15.1%; last week 9.6%)
    Indirect Bidder: $4.39 billion (16.3%; last week 28.8%)
    Bid to Cover Ratio: 3.91 (last week 4.93)
    Investment Rate: 0.117% (last week 0.066%)
    High Rate: 0.115% (allotted at high: 96.56%)

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

    Primary Dealer: $11.75 billion (43.5%; last week 55.4%)
    Direct Bidder: $3.04 billion (11.3%; last week 10.3%)
    Indirect Bidder: $10.73 billion (39.7%; last week 29.6%)
    Bid to Cover Ratio: 4.12 (last week 4.25)
    Investment Rate: 0.173% (last week 0.152%)
    High Rate: 0.170% (allotted at high: 84.91%)
Tuesday June 22, 2010
  • 4-week bill: $32 billion ($1 billion more than last week)

    Primary Dealer: $17.54 billion (54.8%; last week 52.3%)
    Direct Bidder: $7.05 billion (22%; last week 10.8%)
    Indirect Bidder: $7.14 billion (22.3%; last week 36.2%)
    Bid to Cover Ratio: 3.70 (last week 4.36)
    Investment Rate: 0.086% (last week 0.030%)
    High Rate: 0.085% (allotted at high: 58.75%)

    In addition, SOMA* purchased $2.42 billion 4-week bill.

  • 2-year note: $40 billion ($2 billion less than last month)

    Primary Dealer: $14.85 billion (37.1%; last month 48%)
    Direct Bidder: $8.43 billion (21.1%; last month 15%)
    Indirect Bidder: $16.39 billion (41%; last month 35.8%)
    Bid to Cover Ratio: 3.45 (last month 2.93)
    Interest Rate: 0.625% (last month 0.750%)
    High Yield: 0.738% (allotted at high: 70.18%)

    In addition, SOMA purchased $1.19 billion 2-year note.
Wednesday June 23, 2010
  • 56-day CMB* under SFP*: $25 billion (same as last week)

    Primary Dealer: $11.50 billion (46%; last week 73.6%)
    Direct Bidder: $4.93 billion (19.7%; last week 14.6%)
    Indirect Bidder: $8.57 billion (34.3%; last week 11.8%)
    Bid to Cover Ratio: 4.33 (last week 4.11)
    Investment Rate: 0.122% (last week 0.091%)
    High Rate: 0.120% (allotted at high: 30.06%)

  • 5-year note: $38 billion ($2 billion less than last month)

    Primary Dealer: $20.74 billion (54.6%; last month 44.3%)
    Direct Bidder: $4.04 billion (10.6%; last month 15%)
    Indirect Bidder: $13.09 billion (34.4%; last month 40.4%)
    Bid to Cover Ratio: 2.58 (last month 2.71)
    Interest Rate: 1.875% (last month 2.125%)
    High Yield: 1.995% (allotted at high: 18.36%)

    In addition, SOMA purchased $1.13 billion 5-year note.
Thursday June 24, 2010
  • 7-year note: $30 billion ($1 billion less than last month)

    Primary Dealer: $11.75 billion (39.2%; last month 37.5%)
    Direct Bidder: $2.94 billion (9.8%; last month 11.4%)
    Indirect Bidder: 15.29 billion (51%; last month 51.1%)
    Bid to Cover Ratio: 3.01 (last month 2.88)
    Interest Rate: 2.500% (last month 2.750%)
    High Yield: 2.575% (allotted at high: 65.69%)

    In addition, SOMA purchased $893 million 7-year note.
Total for the week: $219 billion
  • Bills: $111 billion
  • Notes: $108 billion
Total for June 2010 so far: $670 billion
  • Bills: $492 billion
  • Notes and bonds: $178 billion
Additional purchase by SOMA for June 2010 so far: $22.047 billion
  • Bills: $18.43 billion
  • Notes and bonds: $3.617 billion

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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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