Sunday, August 8, 2010

Treasury Auction for the Week of August 9, 2010 (Updated with Results)

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

Monday August 9, 2010

  • 13-week bill: $30 billion (same as last week)
  • 26-week bill: $30 billion (same as last week)
Tuesday August 10, 2010
  • 4-week bill: TBA (last week $31 billion)
  • 3-year note: $34 billion ($1 billion less than last month)
Wednesday August 11, 2010
  • 56-day CMB* for SFP*: $25 billion (same as last week)

    Primary Dealer: $15.08 billion (60.3%; last week 63.8%)
    Direct Bidder: $4.73 billion (18.9%; last week 17.8%)
    Indirect Bidder: $5.20 billion (20.8%; last week 18.3%)
    Bid to Cover Ratio: 4.95 (last week 4.64)
    Investment Rate: 0.137% (last week 0.162%)
    High Rate: 0.135% (allotted at high: 80.85%)
  • 10-year note: $24 billion (same as the last original issue in May 2010)

    Primary Dealer: $10.38 billion (43.3%; last original issue 33%)
    Direct Bidder: $2.53 billion (10.5%; last original issue 24.8%)
    Indirect Bidder: $10.92 billion (45.5%; last original issue 41.6%)
    Bid to Cover Ratio: 3.04 (last original issue 2.96)
    Interest Rate: 2.625% (last original issue 3.500%)
    High Yield: 2.730% (allotted at high: 10.57%)

    In addition, SOMA purchased $1.44 billion 10-year note.
Thursday August 12, 2010
  • 30-year bond: $16 billion (same as the last original issue in May 2010)
Total for the week: $134 billion
  • Bills: $60 billion (without 4-week bill and 56-day CMB)
  • Notes and bonds: $74 billion
Total for August 2010 so far: $116 billion
  • Bills: $116 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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