The US treasury auctioned off $45 billion of of two-year notes at a high yield of 3.015%

  • WI level at the time of auction 3.021%
  • tail -0.6 basis points vs. six-month average of -0.4 basis points
  • bid to cover 2.58X vs. six-month average of 2.63X
  • dealers 17.95% vs. six-month average 18.5%
  • directs 20.01% vs. six-month average 20.4%
  • indirects 62.04% vs six-month average 61.1%

Auction grade: B

The 2 year note auction was a little better than average. There was a negative tail -0.6 basis points which was better than the six-month average. The bid to cover was a little bit worse than the six-month average. Directs (domestic demand) was a little less than the average while indirects (international demand) was a little bit more. Dealer participation was a little less than average which is indicative of the slightly better demand.

Overall, the grade wasn't an A but it was better than a C.