WI level was at 0.612%

  • High yield 0.623%
  • WI level at the time of the auction was 0.612%
  • Tail 1.1 bp
  • Bid to cover 2.36X vs 6 month average of 2.56X
  • Directs 17.7% vs six month average of 20.5%
  • Indirects 45.62% vs six month average of 54.1%
  • Dealers 37.21% vs six month average of 25.4%

Not good.

Auction grade: D


  • There are no highlights from the auction of 2 year notes. It may be the holiday week. It may also be the more hawkish Fed stance
  • Negatives include a tail over 1 basis points. Low demand from domestic (directs) and international (indirects). Dealers are saddled with over 37% of the issue.

Could have been a lower grade but given the "holiday" week, the grade was curved a bit, but make no mistake, this was UGLY.

The US treasury will auction off $59B of 5 year notes at 1 PM. The 6 months averages shows:

  • Bid to cover, 2.41X
  • Directs, 17.6%
  • Indirects, 60.3%
  • Dealers 22.1%

The last auction came in at a high yield of 1.157%. Rates in the 5 year are higher this month at 1.29%.