13 & 26 Week Bill Auction, April Issuance Calendar

11 Apr

Today’s 13 and 26 week auction results are out and the trend of lower indirects/weaker bid to cover at low(er) rates that was noted and discussed by @japhychron last week continues – at least on the short end:

26 Week – Yield 0.11 vs. 0.13 (May 4, previous), Indirect Bidders: 43.66 (27.57 prev – see note), Bid To Cover: 4.45 vs. 4.40 prev, Coupon 0.112 vs. 0.132 prev.

14 Week – Yield 0.05 (unch. vs. May 4), Indirect Bidders: 14.17 vs. 26.28 prev, Bid To Cover: 4.18 vs. 4.34, Coupon: 0.051 (unch)

The 26 week auction saw a noticeable jump in both Indirects and in the BTC despite lower yield and coupons. For the last 10 auctions, the indirects mean has been 34.63 while 1 std. deviation moves have been 9. This jump is particularly interesting today with the noted continued weakness in shorter term bills (13 week).

Updated Issuance Calendar and Stats

The Auction Stats and April’s issuance calendar has been updated on Google Docs and can be found here. It’s a relatively “quiet” market as we await the slew of issuance this week in 3/10/30y (10 and 30s are both re-openings). Tomorrow also brings the 4 week bill auction in which I’ll be watching the results to see if we continue to see weakness in the two categories at these low rates.

Update, 2:51PM ET: From the mailbag, chatter from Credit Observer attributing the recent “wonkiness” in short term rates to the new FDIC assessment changes that went into effect on 4/1 (not an April fool’s joke). While I haven’t looked at the changes, at first glance (correct me if I’m wrong) this may partially explain the weaker appetite for shorter term bills that we’ve seen lately. I still don’t see the connection between weaker indirects, but then again I’m not the brightest bulb in the market. Please feel free to comment and I’ll begin taking a peek at the actual FDIC changes For those who are bored, the FDIC changes (eff. 4/1, published Feb ’11 is Here)
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