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Posted in Liquidity Trader

Fed Report

There were no Treasury auctions today. The Treasury announced next week’s 13 and 26 week bill auctions today, a day earlier than usual due to the holiday. Both will be for $28 billion. Both are $1 billion more than the TBAC estimate made on October 31. Both are $1 billion more than the amounts expiring and thus will raise $2 billion in new cash. The indirect bid last week was $7.2 billion on the 13 week bill and $10 billion on the 26 week. Anything less than those numbers at next week’s auctions could be early warning signs of trouble brewing. Numbers equal to or greater than that would indicate that the panic into Treasuries is as strong as ever.

The usual 4 week bill will be announced Monday. $34 billion of 4 week bills will be maturing. The TBAC estimate for the 4 week bill was $25 billion. $45 billion in CMBs will be maturing next week. So we can expect a large CMB auction to be announced. You can track announcements and results from here.

The Fed did its usual $25 billion reverse repo rollover today as it continues in standstill mode in Open Market Operations. All of the real action is hidden from view until the H41 is released on Thursday evening. Even then the information is slightly stale because it covers the previous week through Wednesday, but it’s all we have. Tomorrow is a holiday, so the H41 will not be reported. The Fed says that it will be reported on Friday at 4:30. You can access it here.

I will be traveling this weekend and Monday, so will not be able to post a full update for Professional Edition subscribers until next Tuesday. If time and conditions permit I will post a limited update for subscribers this weekend. Check in here Saturday night or Sunday.

In the meantime, have a safe and happy holiday! I’ll see you next week!

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