U.S. Treasuries hovered just above session lows in reaction to the recent completion of today’s $12 bln 20-yr bond reopening, which met lukewarm demand. The sale drew a high yield of 3.909%, which tailed the when-issued yield by 0.3 bps, while the bid-to-cover ratio (2.53x) and indirect takedown (67.0%) were below their respective 12-auction averages. Equities continue holding solid gains with the S&P 500 (+0.7%) trailing the Nasdaq (+0.9%). The market is positioning for tomorrow’s FOMC meeting, Fed funds futures market now pointing to an 83.4% implied likelihood of a 25-bps increase. The desk gave a C- rating on the auction.
Today’s $12 bln 20-yr bond 0.2 basis point tail indicative of tepid international demand. The desk gave a C- rating on the auction.
- The domestic demand was above its six-month average indicative of normal domestic demand
- International demand (indirect) was comfortably below the six-month average
- Primary dealers were left with just over 11.9% versus normal around 10.9%
Auction Highlights
- Duration: 20 Years
- Amount: $12 billion
- High yield 3.909%
- WI 3.906%
- Tail -0.3 basis points versus six-month average of -0.6 basis points
- Bid-to-cover: 2.53 versus six-month average 2.59
- Directs 21.1% versus six-month average of 17.5%
- Indirects 67.0% versus six-month average of 71.7%
- Dealers 11.9% versus six-month average of 10.9%
Auction grade: C+
Yields after the auction.
- 2-yr: +22 bps to 4.16%
- 3-yr: +17 bps to 3.96%
- 5-yr: +14 bps to 3.71%
- 10-yr: +9 bps to 3.57%
- 30-yr: +6 bps to 3.73%
Prior auction results:
- High yield: 3.977%
- Bid-to-cover: 2.54
- Indirect bid: 75.3%
- Direct bid: 18.0%
Average results of previous 12 auctions:
- High yield: 3.579%
- Bid-to-cover: 2.59
- Indirect bid: 71.7%
- Direct bid: 17.5%
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