Live Updates > Live Update Details
2026-09-15 21:46:13
[US 6-Week Treasury Bill Auction Imminent; Forward Pricing and Interest Rate Hike Expectations Support Demand] ⑴ The US Treasury will auction approximately $75 billion in 6-week Treasury bills, maturing on October 29, 2026. ⑵ Non-competitive bidding will begin at 11:00 AM Eastern Time, and competitive bidding will begin at 11:30 AM Eastern Time. ⑶ The current pre-issuance level of 6-week Treasury bills is approximately 3.87%, corresponding to a money market yield of approximately 3.89%. ⑷ The bid price for existing 6-week Treasury bills corresponds to a money market yield of approximately 3.84%, with a forward rollover of approximately 5.3 basis points. ⑸ The spread between 1-month and 2-month yields is approximately 9 basis points, equivalent to approximately 2.25 basis points per week; therefore, the 5.3 basis point forward rollover has some value. ⑹ Given the forward rollover valuation, the bidding is expected to be quite active. (7) Following tomorrow's Fed statement, the next meeting is on October 28th, and the pre-issued bonds expire the following day, giving buyers an option to potentially reinvest in a funding environment 25 basis points higher. (8) For direct long positions, it is recommended to bid on the ask side and welcome any opportunities for concessions. (9) The average bid-to-cover ratio for the last six 6-week Treasury bill auctions was 2.89, with indirect bids accounting for approximately 63%, direct bids for approximately 3%, and dealer bids for approximately 30%. (10) Overall, the forward rolling value and the reinvestment options arising from the approaching Fed policy meeting may jointly support demand for this Treasury bill auction.
