What are the recent auction averages for the key auction components

The U.S. Treasury will auction $27 billion the five year bonds at the top of the hour. The current 6 month averages for key components show:

  • Bid to cover: 2.34X
  • Directs 18.7%
  • Indirects (proxy for foreign demand) 59.0%
  • Dealers 22.3%

The last auction yield came in at 1.89% with a tail of 1.2 basis points.

For your guide, the best auctions are ones where

  • the bid to cover is above the average,
  • the high yield auction levels is below the WI or when-issued yield at the time of the auction
  • The demand is higher than the 6 month averages for indirects and directs
  • The dealers demand is lower than the 6 month average (the distribution is to foreign and domestic purchasers).