Technical Analysis

U.S. Treasury auctions of $32 billion a 10 year note that a high yield of 3.575%


  • WI level at the time the option 3.58%
Greg Michalowski

  • High yield 3.575%
  • WI level at the time of the auction 3.58%
  • Tail -0.5 bps vs 6 month average of 2.0 bps
  • Bid to cover 2.53X vs. 6 month average of 2.35X
  • Directs (a measure of domestic demand) 17.92% vs. 6 month average of 18.6%
  • Indirects (a measure of international demand) 67.02% vs. 6 month average of 62.0%
  • Dealers (they are stuck with the residual) 15.06% vs. 6 month average of 19.4%

Auction Grade: B+

The international demand once again save the day as they took 67.02% of the auction versus the city average of 62%. The domestic demand was a bit light at 17.92 versus 18.6% average. Dealers were saddled with less than average at 15.06%.

The auction had a negative tail -0.5 basis points. That is much better than the 2.0 positive tail seen over the last six months. The bid to cover was comfortably above the 2.35X 6 month average (at 2.53X).

Like the three year note auction yesterday, the only disappointment is the domestic demand.

The treasury will auction off 30 year bonds tomorrow.

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