20Y Preview – A Test For Duration After Mixed Recent Results

• $13bn of 20-year supply in the re-opening at 1300ET, an interesting test ahead of of tomorrow’s FOMC and also for foreign demand after last night's BoJ decision.
• 20Y yields are trading more than 25bps above Mar 7 lows and have faded the rally seen at shorter tenors after fresh YTD highs for 2s and 5s and coming close in 10s yesterday.
• However, 20Y yields are only back to a similar level to where they were ahead of the Feb 21 auction and its particularly large 3.3bp tail.
• Last week’s large 2.2bp stop through for the 30Y suggests recent demand for the longer-end, but the 10s/20s/30s cash butterfly has only recently lifted off richest levels for the year-to-date (2bps higher at 36.3bps vs 41bps prior to the Feb 20Y auction).

Recent stats:

• Last stopped through in Nov auction. 3.3bp tail in Feb, five-auction average tail of 0.7bp.
• Bid-to-cover slumped to 2.39x in Feb, five-auction average is 2.53x.
• Primary dealer take jumped to 21.2% in Feb, five-auction average is 14.6%.
• Indirect take fell to 59.1% in Feb, five-auction average is 66.9%.
• Directs fell to 19.7% in Feb and five-auction average of 18.5%.