Daily Speculations

The Web Site of Victor Niederhoffer & Laurel Kenner

Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter;  a forum for us to use our meager abilities to make the world of specinvestments a better place.

 

Home

Write to us at: (address is not clickable)

9/8/04
George Zachar: A Bond Miscalculation

The bidding result in today's $15 billion five year auction has the street chasing its tail and scratching its head all at the same time.

In the table below, you can see a two order of magnitude jump in "direct bidders accepted", meaning NON-street accounts taking their bids directly to the Fed.

Direct bidders have never taken close to that % of this auction before, and the street questioned the figures. Now that they've been confirmed as correct, trading desks are scrambling to buy securities they had hoped/planned/assumed to purchase in the auction - hence this late debt market rally.

Yes, this is all very inside baseball to non-debt types, but I thought my stock friends would benefit from a glimpse of what looks like noise.

            =========================================================================
Auction Total Total Primary % of Direct % of Indirect % of
Date Public Comp. Dealers Comp. Bidders Comp. Bidders Comp.
Accepted Accepted Accepted Total Accepted Total Accepted Total
=========================================================================
09/08/04 $15.000 $14.807 $ 5.380 36.3% $4.75 32.1% $4.68 31.6%
08/11/04 $15.000 $14.816 $ 8.525 57.5% $0.04 0.3% $6.25 42.2%
07/07/04 $15.000 $14.894 $ 8.583 57.6% $0.58 3.9% $5.73 38.5%
06/09/04 $15.000 $14.833 $ 6.365 42.9% $0.07 0.5% $8.40 56.6%
05/12/04 $15.000 $14.778 $ 9.442 63.9% $0.22 1.5% $5.12 34.6%
04/06/04 $16.000 $15.902 $ 9.243 58.1% $0.08 0.5% $6.58 41.4%
03/10/04 $16.000 $15.901 $ 8.612 54.2% $0.25 1.6% $7.04 44.2%
02/11/04 $16.000 $15.783 $ 8.927 56.6% $0.08 0.5% $6.78 43.0%
01/07/04 $16.000 $15.899 $ 9.428 59.3% $0.05 0.3% $6.42 40.4%
12/10/03 $16.000 $15.895 $10.054 63.3% $0.31 1.9% $5.54 34.8%
11/12/03 $16.000 $15.816 $10.836 68.5% $0.02 0.1% $4.96 31.4%
10/08/03 $16.000 $15.887 $ 7.846 49.4% $0.03 0.2% $8.01 50.4%
09/10/03 $16.000 $15.867 $11.801 74.4% $0.06 0.4% $4.00 25.2%
08/06/03 $18.000 $17.763 $11.879 66.9% $0.09 0.5% $5.80 32.6%
06/11/03 $15.000 $14.946 $12.798 85.6% $0.06 0.4% $2.09 14.0%
05/07/03 $18.000 $17.784 $11.909 67.0% $0.06 0.3% $5.82 32.7%
=========================================================================