4-/8- Week Bill Sizes Reduced Sharply Ahead Of Thanksgiving

Treasury has reduced the size of its 4/8-week bill auctions by a total $15B for this week's auctions - meaning that net cash raised next Tuesday (including the unchanged 17W bill) will be $5B, as opposed to the $20B if all sizes had remained unchanged.

• The following auctions are tomorrow Nov 22, settling Nov 28 (note the 4W and 8W sales have been moved forward a day due to the Thanksgiving holiday):
  • $85B 4W BILL (down from $95B)
  • $80B 8W BILL (down from $85B)
  • $56B 17W BILL (unch)

While a reduction in bill sizes has been well-telegraphed by the Treasury's Nov 1 refunding announcement, there were some expectations that reductions could wait a little longer (Wrightson ICAP this morning saw sizes unchanged: "The Treasury is getting close to a round of seasonal cutbacks in bill auction sizes, but it is not quite there yet.")

• Treasury said on Nov 1 that it "expects to maintain bill auction sizes at current levels into late-November – this will help to ensure sufficient liquidity to meet our elevated one-week cash needs around the end of this month. By early-December, Treasury anticipates implementing modest reductions to short-dated bill auction sizes that will likely then be maintained through mid- to late-January."