Wednesday, July 21, 2010

Treasury Auction for the Week of July 19, 2010 (Updated with Results)

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

Monday July 19, 2010

  • 13-week bill: $30 billion (same as last week)

    Primary Dealer: $14.86 billion (49.5%; last week 48.2%)
    Direct Bidder: $3.07 billion (10.2%; last week 8.9%)
    Indirect Bidder: $10.63 billion (35.4%; last week 38.1%)
    Bid to Cover Ratio: 4.29 (last week 4.64)
    Investment Rate: 0.157% (last week 0.152%)
    High Rate: 0.155% (allotted at high: 41.51%)

  • 26-week bill: $30 billion (same as last week)

    Primary Dealer: $11.38 billion (37.9%; last week 54.9%)
    Direct Bidder: $3.85 billion (12.8%; last week 13.6%)
    Indirect Bidder: $13.31 billion (44.4%; last week 27%)
    Bid to Cover Ratio: 4.19 (last week 3.90)
    Investment Rate: 0.198% (last week 0.203%)
    High Rate: 0.195% (allotted at high: 2.78%)
Tuesday July 20, 2010
  • 4-week bill: $32 billion (same as last week)

    Primary Dealer: $17.05 billion (53.3%; last week 52.4%)
    Direct Bidder: $3.68 billion (11.5%; last week 16.9%)
    Indirect Bidder: $10.99 billion (34.3%; last week 29.4%)
    Bid to Cover Ratio: 4.42 (last week 4.16)
    Investment Rate: 0.157% (last week 0.152%)
    High Rate: 0.155% (allotted at high: 0.87%)

    In addition, SOMA* purchased $2.42 billion 4-week bill.
Wednesday July 21, 2010
  • 56-day CMB* for SFP*: $25 billion (same as last week)

    Primary Dealer: $15.22 billion (60.9%; last week 71.5%)
    Direct Bidder: $3.97 billion (15.9%; last week 11.9%)
    Indirect Bidder: $5.81 billion (23.2%; last week 16.5%)
    Bid to Cover Ratio: 4.63 (last week 4.61)
    Investment Rate: 0.162% (last week 0.162%)
    High Rate: 0.160% (allotted at high: 17.02%)
Total for the week: $117 billion
  • Bills: $117 billion
Total for July 2010 so far: $436 billion
  • Bills: $355 billion
  • Notes and bonds: $81 billion
Additional Purchase by SOMA for July 2010 so far: $12.898 billion
  • Bills: $12.49 billion
  • Notes and bonds: $408 million

at 11:15 PM 0 comments  

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Tuesday, July 20, 2010

Direct Bidder Percentage in Treasury Auction from January 2009 to July 2010

(Click on the chart for clearer image.)

Direct Bidder Percentage used in the chart was calculated from the auction results published by the US Treasury Department. For bills, the 1st week of the month data were used. For notes, the July auctions will be held next week. The first-ever auction of 7-year note was February 2009.

Observation:

Many analysts and observers have noted the increased Direct Bidder participation in Treasury notes and bonds. However, the same is also true for shorter bills, as you can see in the chart.

There are a few volatile data series (2-year note, 7-year note), but the general average trend of Direct Bidder participation in Treasury auctions started to move up in February 2010. Notice that after April most Treasury securities featured here have over 10% Direct Bidder participation.

Events that may have influenced the trend:

In late January, the SEC announced new rules for money market funds. Money market funds would be required to hold certain percentage of safe and liquid securities such as Treasuries.

In early March, the SEC announced the implementation dates (end of May, end of June) for the new money market fund rules.

The Federal Reserve ended the quantitative easing on March 31.

at 12:40 AM 0 comments  

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Sunday, July 18, 2010

Treasury Auction for the Week of July 12, 2010 (Corrected) (UPDATED WITH RESULTS)

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

Monday July 12, 2010

  • 13-week bill: $30 billion (same as last week)

    Primary Dealer: $14.45 billion (48.2%; last week 39.4%)
    Direct Bidder: $2.68 billion (8.9%; last week 8.1%)
    Indirect Bidder: $11.42 billion (38.1%; last week 47.9%)
    Bid to Cover Ratio: 4.64 (last week 4.23)
    Investment Rate: 0.152% (last week 0.167%)
    High Rate: 0.150% (allotted at high: 80.78%)

  • 26-week bill: $30 billion (same as last week)

    Primary Dealer: $16.46 billion (54.9%; last week 43.9%)
    Direct Bidder: $4.07 billion (13.6%; last week 14.7%)
    Indirect Bidder: $8.09 billion (27%; last week 37.2%)
    Bid to Cover Ratio: 3.90 (last week 4.15)
    Investment Rate: 0.203% (last week 0.208%)
    High Rate: 0.200% (allotted at high: 36.10%)

  • 3-year note: $35 billion ($1 billion less than last month)

    Primary Dealer: $15.76 billion (45%; last month 36.9%)
    Direct Bidder: $4.98 billion (14.2%; last month 16.3%)
    Indirect Bidder: $14.20 billion (40.6%; last month 46.6%)
    Bid to Cover Ratio: 3.20 (last month 3.23)
    Interest Rate: 1% (last month 1.125%)
    High Yield: 1.055% (allotted at high: 72.43%)

    In addition, SOMA* purchased $10 million 3-year note.
Tuesday July 13, 2010
  • 4-week bill: $32 billion ($4 billion less than last week)

    Primary Dealer: $16.77 billion (52.4%; last week 65.8%)
    Direct Bidder: $5.41 billion (16.9%; last week 14.1%)
    Indirect Bidder: $9.40 billion (29.4%; last week 19.4%)
    Bid to Cover Ratio: 4.16 (last week 3.57)
    Investment Rate: 0.152% (last week 0.167%)
    High Rate: 0.150% (allotted at high: 63.33%)

    In addition, SOMA* purchased $6.29 billion 4-week bill.

  • 9-year 10-month note (2nd reopening): $21 billion (same as 1st reopening in June)

    Primary Dealer: $10.18 billion (48.5%; 1st reopening 46.2%)
    Direct Bidder: $2.05 billion (9.8%; 1st reopening 13.5%)
    Indirect Bidder: $8.73 billion (41.6%; 1st reopening 40.0%)
    Bid to Cover Ratio: 3.09 (1st reopening 3.24; original issue 2.96)
    Interest Rate: 3.500%
    High Yield: 3.119% (allotted at high: 77.69%) (1st reopening high yield: 3.242%; original issue high yield: 3.548%)

    In addition, SOMA* purchased $6 million 9-year 10-month note. (last month's purchase: $121 million)

Wednesday July 14, 2010

  • 56-day CMB: $25 billion (same as last week)

    Primary Dealer: $17.88 billion (71.5%; last week 54.6%)
    Direct Bidder: $2.98 billion (11.9%; last week 17.2%)
    Indirect Bidder: $4.13 billion (16.5%; last week 28.3%)
    Bid to Cover Ratio: 4.61 (last week 4.40)
    Investment Rate: 0.162% (last week 0.167%)
    High Rate: 0.160% (allotted at high: 36.00%)

  • 29-year 10-month bond (2nd reopening): $13 billion (same as 1st reopening in June)

    Primary Dealer: $6.03 billion (46.4%; 1st reopening 43.6%)
    Direct Bidder: $2.09 billion (16.1%; 1st reopening 20.2%)
    Indirect Bidder: $4.86 billion (37.4%; 1st reopening 35.9%)
    Bid to Cover Ratio: 2.89 (1st reopening 2.87; original issue 2.60)
    Interest Rate: 4.375%
    High Yield: 4.080% (allotted at high: 39.23%) (1st reopening 4.182%; original issue 4.449%)

    In addition, SOMA* purchased $4 million 29-year 10-month bond. (1st reopening purchase: $75 million)
Total for the week: $186 billion
  • Bills: $117 billion
  • Notes and bonds: $69 billion
Total for July 2010 so far: $319 billion
  • Bills: $238 billion
  • Notes: $81 billion
Additional purchase by SOMA for July 2010 so far: $10.478 billion
  • Bills: $10.07 billion
  • Notes: $408 million

at 4:25 PM 0 comments  

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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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