7 Year Auction Results

Results of today’s 7 year auction:

	Yield	Price	Indirect %	Bid To Cover	Coupon
June 29	2.43	99.65	32.17	2.62	2.38
July 28	2.28	99.81	39.55	2.63	2.25

Updated August issuance calendar which will (??) change after August 2nd.

US Bond Auction Calendar, Statistics and Charts [GDocs]

And one more chart you don’t want to miss, from our colleague Dutch Book

7/26 Auction Results (All)

Today’s Auction Results:

4 Week

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jul 19	0.01	100.00	47.86	4.49	0.01
Jul 26	0.06	100.00	54.18	5.30	0.06

1 Year (52 Week)

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jun 28	0.20	99.80	27.39	4.15	0.20
Jul 26	0.20	99.80	29.82	4.63	0.20

2 Year

	Yield	Price	Indirect %	Bid To Cover	Coupon
Jun 27	0.40	99.96	22.00	3.08	0.38
Jul 26	0.42	99.92	27.67	3.14	0.38

Updated Auction Calendar, Stats, Charts Document [GDocs]

13 & 26 Week Auction Results, Updated Issuance Calendar

Today’s 13 and 26 week auction results are out with higher yields and higher participation compared to the previous auction. Today’s auction announcements include the scheduled 4 week bill and a 5 Day CMB maturing on 8/2/2011.

NY Fed Primary Dealers Report – July 21, 2011 (as of 7/13)

This is the latest weekly NY Fed Primary Dealer Report, released on 7/21

Positions Highlights: Overall Dealer UST positions decreased vs. the previous week by 2.693bn to -27.099bn. Maturities less than 3 years increased by 8.495bn to 22.381bn; maturities 6-11 years increased by 2.73bn to -19.746bn, while maturities greater than 11 years decreased by 911mn to 2.713bn. TIPS: Total TIPS positions decreased by 78mn to -243mn.

Quick Look: Initial and Continuing Claims

Initial Claims for the week of July 16 jumped 10k to 418k. The 4 week moving average (used to get a picture of the overall trend) dropped by 2.75k to 421.25k. Looking deeper in just 2011, the 4 wk average topped out at 440.25k the week of May 14, and has not dropped below 400k since the week of April 16 (399.25k).

10Y TIPS Results, Updated Issuance

Today’s 10Y TIPS auction results are out along with next week’s auction amounts. Next week expect to see 71bn in bills** and 99bn in notes across the 2/5/7 tenors.

	Yield	Price	Indirect %	Bid To Cover	Coupon
2011-05-19	0.89	104.36	40.67	2.66	1.12
2011-07-21	0.64	100.08	41.65	2.62	0.62

Updated US Bond Auction Calendar, Historical Stats and Charts [GDocs]

**4 week bill amount TBD, SSA estimate 25-30bn

4 Week Auction Results

Today’s 4 Week auction results are out:

	Yield	Indirects (%)	Bid To Cover	Coupon
7/12/2011	0.02	37.12	4.77	0.02
7/19/2011	0.005	47.86	4.49	0.005

Updated Auction Calendar, Stats, Charts [GDocs]

13 & 26 Week Auction Results

13 Week – Yield: 0.02 vs. 0.03 prev (7/11), Indirects: 20.59 vs. 18.17, Bid To Cover: 4.44 vs. 4.11, Coupon: 0.02 vs. 0.031

26 Week – Yield: 0.06 vs. 0.065 prev (7/11), Indirects: 36.57 vs. 40.66, Bid To Cover: 4.73 vs. 4.86, Coupon: 0.061 vs. 0.066

4 Week Auction Announcement: 28bn

Updated Auction Calendar, Stats, Charts [GDocs]

Sunday Charts

With a lot of talk around the European crisis and weird currency moves, Friday’s chartbook highlights currencies vs. the US 10Y rate. Also, take a look at relative performance among select pairs and US yields.

You can view the full chartbook for Friday July 15 here.

NY Fed Primary Dealers Report – July 14, 2011 (as of 7/6)

This is the latest NY Fed Primary Dealers report covering dealer position activity as of 7/6/2011.

Positions Highlights:
Overall Dealer UST positions increased vs. the previous week, total positions were up 2.46bn to -24.406bn. Maturities less than 3 years increased by 11.21bn to 13.886bn; maturities 6-11 years decreased by 2.37bn to -22.476bn, while maturities greater than 11 years decreased by 1.52bn to 3.624bn. TIPS: Total TIPS positions increased by 270mn to 165mn.