美债流动性系列之二：美债一级市场如何运行？

Group 1: Report Overview - The report aims to introduce the process of US Treasury bond auctions, participants, and observation indicators for the primary market liquidity of US Treasury bonds [3][4] Group 2: US Treasury Bond Auction Process - The US Treasury releases financing plans for the current and next quarters and auction sizes for the next three months around the end of January, April, July, and October each year [3][5] - The Treasury announces specific auction dates, terms, and amounts one day to one week in advance [3][5] - After the auction announcement, investors start pre - trading in the When - Issued market, which helps with price discovery and bond distribution [5] - On the auction day, investors can bid electronically through Treasury Direct or TAAPS systems, with competitive and non - competitive bids available [5] Group 3: Participants in the US Treasury Bond Primary Market - Participants include institutional and individual investors, divided into competitive (including direct and indirect bidders) and non - competitive bidders [3][7] - Direct bidders are institutions or individuals submitting bids directly, such as primary dealers, investment funds, and insurance companies [3][7] - Indirect bidders bid through direct bidders, including FIMA through the New York Fed [7] - Non - competitive bidders are mainly small investors and FIMA, with certain bid amount limits [7][8] - The Federal Reserve's SOMA reinvests in maturing US Treasury bonds through non - competitive bids at auctions, and its roll - over amount is not included in the announced auction amount [3][7] Group 4: US Treasury Bond Auction Categories and Frequencies - For 2Y, 3Y, 5Y, and 7Y Treasury bonds, the Treasury issues them monthly; 10Y, 20Y, and 30Y bonds are issued quarterly; and Treasury bills with maturities less than 1Y are issued weekly [10] - Cash management bills are issued irregularly to meet the Treasury's temporary funding needs [10] - After the initial issuance, most bonds are reopened within the next two months to increase the bond's outstanding amount and liquidity [10][11] Group 5: Observation Indicators for US Treasury Bond Auction Demand - The bid - to - cover ratio, a higher ratio indicates strong investor demand, and it can be compared with the results of the last six auctions [13] - A high proportion of primary dealer allocations means insufficient demand from other investors, and their allocation share in Treasury auctions has been decreasing [15] - If the high yield is higher than the When - Issued yield (Tail), it shows insufficient auction demand; otherwise (Stop Through), it represents strong demand [17] - The indirect investor allocation ratio can reflect overseas investors' demand to some extent, and the Treasury publishes detailed investor category allocation information twice a month [20]