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Preview 5Y Note Auction: Moving Swiftly On...

US TSYS/SUPPLY

Today's 5Y Note auction in just over an hour (1300ET) is a test for demand in the Treasury curve belly. It remains to be seen whether even a considerable concession vs the last auction (yield up around 67bp since then) will be sufficiently attractive, especially after a weak 2Y sale earlier.

  • 5Y yields touched their highest levels since 2018 intraday today (2.6692%) before edging lower), and the curve has seen accelerated flattening of late including 5s30s going into negative territory this morning for the first time since 2006.
  • The last auction on Feb 23, of $53B, was fairly nondescript in terms of the overall stats, with a modest 0.2bp trade-through (high yield 1.88%) and 2.49x cover (vs a 5-auction avg of 2.46x).
  • As with the prior 2Y auction, the last time out, 5Y saw an unusually low primary dealer takeup last time (13.8% vs 18.7% 5-auction average).


High yieldWhen-issued yieldTrade through (tail)High - Median SpreadBid-to-coverPrimary Dealer PercentIndirect PercentDirect PercentOffering Amount
5-Auction Avg1.43%1.44%0.55.22.4618.66%64.77%16.57%57
23-Feb-221.88%1.88%0.252.4913.76%67.81%18.43%53
25-Jan-221.53%1.55%1.44.82.514.80%68.72%16.48%55
28-Dec-211.26%1.26%-0.65.32.4120.02%65.66%14.32%57
22-Nov-211.32%1.31%-16.92.3426.88%56.88%16.24%59
27-Oct-211.16%1.18%2.33.82.5517.85%64.78%17.37%61
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