U.S. Treasuries traded firmly with the belly of the curve continuing today’s outperformance pressuring yields toward their lowest levels of the day. Earlier we had a lower-than-expected PPI for December. The completion of today’s $12 bln 20-yr Treasury bond reopening, followed the path of last week’s auctions meeting excellent demand. The high yield 3.678%, which stopped through the when-issued yield by 2.7 bps while the bid-to-cover ratio (2.83x) and indirect takedown (76.3%) were comfortably above average. The desk gave a B+ rating on the auction. Stocks have sold off most of the day with S&P 500 down 1.3%.
Today’s $12 bln 20-yr bond -2.7 basis point stop through indicative of strong international demand. The desk gave a B+ rating on the auction.
- The domestic demand was below its six-month average indicative of softer domestic demand
- International demand (indirect) was comfortably above the six-month average
- Primary dealers were left with just over 8.14% versus normal around 10.8%
Auction Highlights
- Duration: 20 Years
- Amount: $12 billion
- High yield 3.678%
- WI 3.705%
- Tail -2.7 bp vs six-month average of -0.5 basis points
- Bid to cover 2.83X versus six-month average of 2.57X
- Directs 15.61% vs six-month average of 17.2%
- Indirects 76.25% versus six-month average of 71.9%
- Prime Dealers 8.14% versus six-month average of 10.8%
Auction grade: B+
Yields after the auction.
- 2-yr: -10 bps to 4.10%
- 3-yr: -15 bps to 3.72%
- 5-yr: -16 bps to 3.45%
- 10-yr: -15 bps to 3.39%
- 30-yr: -10 bps to 3.55%
Prior auction results:
- High yield: 3.935%
- Bid-to-cover: 2.68
- Indirect bid: 72.3%
- Direct bid: 19.0%
Average results of previous 12 auctions:
- High yield: 3.287%
- Bid-to-cover: 2.57
- Indirect bid: 70.0%
- Direct bid: 17.8%
Auction Measure Definitions
- Directs a measure of domestic demand
- Indirects a measure of international demand
- Dealers take the balance
Live From the Pit
From The TradersCommunity US News Desk