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10-Yr Auction Preview: Caught Between Two Data Extremes

US TSYS/SUPPLY

An interesting backdrop for the first 10-Yr auction of the quarter's refunding schedule ($41B on offer) - with the past week seeing the biggest-ever downside miss to payrolls data followed by the biggest-ever upside miss to inflation.

  • The latter of course has provided a pretty decent concession going into the auction, with the 10-Yr yield rising from just around 1.61% at 0815ET this morning pre-data, to above 1.68% two-and-a-half hours later post-CPI.
  • That puts it toward the higher end of recent ranges: the post-payrolls knee-jerk low was 1.4643%. 1.686% was the recent April 29 high; 1.7742% the March 30 post-pandemic high.
  • The last two auctions saw modest tails (see table below).
  • BMO points out that May carries positive seasonal factors, w 9 of the past 16 May 10-Yr auctions stopping through, 1 on the screws, and 6 tailing.
High yieldWhen-issued yieldTrade through (tail)High - Median SpreadBid-to-coverPrimary Dealer PercentIndirect PercentDirect PercentOffering Amount ($bn)
5 auction average1.295%1.294%0.05.12.3822.60%60.29%17.07%38.6
12-Apr-211.680%1.677%-0.36.02.3624.17%59.58%16.21%38
10-Mar-211.523%1.520%-0.35.62.3825.39%56.76%17.76%38
10-Feb-211.155%1.156%0.15.02.3720.46%60.58%18.91%41
12-Jan-211.164%1.172%0.84.42.4719.98%62.23%17.76%38
09-Dec-200.951%0.947%-0.44.72.3322.99%62.30%14.70%38
BulletMarketsFixed Income Bullets
BulletMarketsFixed Income Bullets

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