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2Y Auction – Stronger Than Average But Weaker Than June

  • The $42B 2Y auction sees a small 0.3bp tail (high yield 4.823% vs when-issued 4.820%), after some volatility in 2s having pared some flow-led losses all within an hour of the auction. Only limited further reaction in 2s, currently +4.3bps on the day.
  • It’s similar to the 0.5bp tail averaged over the past five auctions but that was skewed by March’s 3.9bp tail, with the Jun and May auctions trading through by 1bp and 1.5bp respectively.
  • Bid-to-cover 2.78 is above the five-auction average 2.70 but below June’s 2.86.
  • Indirect take 65.45% vs five-auction average 62.55% but below June’s 68.49%
  • Primary dealer take 13.79% vs five-auction average 17.29% and June’s 13.34%
  • Direct take 20.77% vs five-auction average 20.16% and June’s 18.17%.

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