Treasury Auction for the Week of July 26, 2010

The US Treasury Department will auction the following Treasury securities for the week of July 26, 2010.

The trend continues, of decreased amount raised via the auctions of notes (Treasury securities with maturities longer than one year).

Monday July 26, 2010

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

Tuesday July 27, 2010

• 4-week bill: TBA (last week $32 billion)
• 52-weel bill: $25 billion (same as last month)
• 2-year note: $38 billion ($2 billion less than last month)

Wednesday July 28, 2010

• 56-day CMB* under SFP*: TBA (last week $25 billion)
• 5-year note: $37 billion ($1 billion less than last month)

Thursday July 29, 2010

• 7-year note: $29 billion ($1 billion less than last month)

Total for the week: $189 billion (without 4-week bill and 56-day CMB)

• Bills: $85 billion (without 4-week bill and 56-day CMB)
• Notes: $104 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

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

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.

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

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
  

Treasury Auctions from July 2009 to June 2010 (1-Year Anniversary Special)

(Click on the chart for sharper image.)

Observations:

After subdued fall and winter auctions, the treasury auctions spiked in March, due to the increased issuance of short-term bills, in particular, 56-day CMB (Cash Management Bill) to raise money for the use of Federal Reserve (and the money goes to the "Supplemental Financing Account" at the Federal Reserve; the balance as of June 30 is $199,965 million).

In addition to the 56-day CMB, there has been a noticeable increase in short-term bill issuance since January.

• Weekly issuance of 4-week bill went from $10 billion in January to $36 billion in the last week of June;
• Weekly issuance of 13-week bill went from $23 billion in January to $28 billion in June; and
• Weekly issuance of 26-week bill went from $25 billion in January to $28 billion in June.

The dotted line on the chart indicates the total amount of short-term bills each month.

The issuance of notes and bonds declined in June to below $180 billion per month for the first time since July 2009. 12-month average is $193.15 billion per month.

This is despite the Treasury Secretary Tim Geithner's remarks last October that the Treasury plans to lengthen the average maturity of debt from 49 months to 72 months.

Looking at the actual auction results for the last 12 months, particularly since the beginning of this year, the opposite seems to be true; the Treasury Department is borrowing using short-term debt to fund the government spending, which by nature is long-term.

Treasury Auction for June 2010