Nothing For Money As Strips Aren't Free

The US Treasury just issued $30bn four-week bills once again at the outstanding rate of 0.00000% as the bid-to-cover did drop a little from last week but remains on the same longer-term upward path of the last three years. This is not anomalous, as we see below, that all T-Bills out to 12/15/11 currently offer a negative rate - with most notably the very short-term (less than one week) charging even more to store your money (1.5bps to store our money in T-Bills for 1 week). The buyside demand declined as dealers dominated the bidding with almost $120bn and Direct bidders saw the lowest takedown since Jan10 on a relatively low bid size.

The short-end of the Strips curve also (as you would expect) is negative with Nov11 -3.6bps! Nothing to see here, move along (especially as the Fed is supposedly selling the short-end to buy the long-end). We also note that short-term Euro commercial CP rates are popping with USD rates rising faster than EUR (everyone wants them dollars).

Chart: Bloomberg


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