June 22, 2015 / 4:51 PM / 4 years ago

MONEY MARKETS-U.S. July bills rates hold in negative territory

* Some T-bill rates most negative since end-2011 - Tradweb

* Analysts cite quarter-end demand, tight T-bill supply (Updates throughout, adds byline)

By Richard Leong

NEW YORK, June 22 (Reuters) - Interest rates on U.S. Treasury bills that mature in July held in negative territory on Monday as cash investors scrambled for low-risk vehicles to park their money as the end of the second quarter approaches next week.

Money market funds and other investors have shifted more cash into the U.S. Federal Reserve’s reverse repurchase agreement (RRP) program, given the relative scarcity of ultra short-dated government debt, analysts said.

“Indeed, the growing bid for Treasury bills going into quarter-end finally pushed one-month bills into negative territory on Thursday,” J.P. Morgan analysts wrote in a research note on Monday.

On the open market, interest rates on T-bills that come due in July were bid at minus 0.005 percent to minus 0.030 percent, down as much as 2 basis points from late on Friday, according to Tradeweb.

T-bill rates, depending on maturity, were at their most negative since the end of 2011, Tradeweb data showed.

Heavy demand and tight supply have held T-bill rates in the below 0.10 percent into January 2016 as traders reckoned the Fed won’t end its near zero rate policy until early next year.

Bidding for T-bill supply on Monday was mixed.

The U.S. Treasury Department sold $24 billion of three-month bills to the lowest overall demand in seven weeks, paying investors an interest rate of 0.01 percent, matching last week’s auction, Treasury data showed.

The ratio of bids submitted to the amount of three-month T-bills offered was 4.16, down from previous week’s 4.57 and the lowest since 4.13 at an auction held on May 14.

The Treasury also sold $24 billion of six-month bills at an interest rate of 0.08 percent, down from 0.10 percent the prior week.

The six-month T-bill sale’s bid-to-cover ratio was 4.29, up from last week’s 4.19. (Reporting by Richard Leong; Editing by Meredith Mazzilli and Peter Galloway)

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