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2Y Auction Preview: Following Recently Stronger 2Y Auctions

US TSYS/SUPPLY
  • 2s are paring some of their latest losses ahead of the upcoming auction but still approach it with yields +4.7bps on the day at 4.885% having more firmly pushed above the circa 4.85% seen just before the US CPI miss on Jul 12.
  • The prior five auctions have seen an average tail of 0.5bps although that’s skewed by March’s 3.9bp tail, with the Jun and May auctions trading through by 1bp and 1.5bp respectively.
  • Bid-to-cover has averaged 2.70 but was higher in June at 2.86.
  • 5-auction average takes: Primary dealer 17.29%, Indirect 62.55%, Direct 20.16%. Again, that indirect take average is skewed lower by the March 52.8% with June seeing 68.49%.
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