The U.S. Treasury will conduct the second coupon auction of the week, when they sell $39 billion of 10-year notes at 1 PM ET.

The note auctions will be graded (and impactful on markets) on its merits compared to the six-month averages of the major components tracked for the auctions. A snapshot of those components shows:

  • Tail (the difference between the WI level at the time of the auction and the high yield): previous -2.0 bps, six-auction average 0.4 bps
  • Bid-to-Cover (the number of bids vs the auction amount): previous 2.67x, six-auction average 2.52x
  • Dealers (the dealers provide liquidity and take the balance when demand from domestic and international buyers are not strong): previous 11.6%, six-auction average 16.1%
  • Directs (the % of domestic buyers): previous 13.8%, six-auction average 16.7%
  • Indirects (the % of the international buyers): previous 74.6%, six-auction average 67.2%

Last month the high yield was at 4.438%, with the six-auction average 4.294%. The current yield is 4.284%, down 1.6 basis points on the day.