After yesterday's stronger than expected 2Year auction, there was speculation that with the repo market normalizing overnight, that the omni-present short squeeze on auction days would be absent today, and predictably, moments ago the Treasury sold $34 billion in 5 Year paper in a rather poor, tailing auction, which priced at 1.936%, tailing the When Issued 1.931% by 0.6bps.
Internals were just as poor, with the Bid to Cover dropping to 2.29, the lowest since last July, below the 6MMA of 2.49, while the Indirect take down slumped to only 58.2%, also below the 64.1% 6 month average, and the lowest once again going back to July. Directs took down 8.4% of the allotment, leaving 33.3% to Primary Dealers.
As a result of the poor auction, there entire Treasury curve has accelerated its intraday selloff on the day, although it is not yet bad enough to send the S&P into the green.
Comments
Log in or sign up to join the conversation.