Six-Week Treasury Bill Auction Preview: Wide Forward Rollover Premiums Attract Attention

⑴ The US Treasury will issue $65 billion in six-week Treasury bills on Tuesday, with a maturity date of August 6, 2026. After settlement on June 25, this issuance will result in approximately $2 billion in funds being repaid. ⑵ The current indicative yield for six-week Treasury bills this week is 3.6475%. The corresponding money market yield for bidding is about 3.663%. The money market yield for Treasury bills maturing on July 30 is 3.605%. The forward roll spread is about 6 basis points, providing certain trading value. ⑶ Federal funds rate futures indicate a 33% probability of a rate hike in July, while SOFR futures market pricing puts the probability of a rate hike at 66%. There is a clear divergence between the two, but institutional views believe the likelihood of a rate hike in July is relatively limited. ⑷ Due to the relatively wide forward roll spread, bids in this auction are expected to focus on the upper end of the issuance yield. However, overall market sentiment is negative, and it is not ruled out that the auction may see some discount to attract more demand.