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Preview $63B 2Y Note Auction

US TSYS/SUPPLY
  • Tsy futures hold modestly weaker levels ahead this morning's $63B 2Y note auction (91282CKB6) at 1130ET. WI is currently running at 4.692%, 32.7bp cheap to last month's auction.
  • January recap: The $60B 2Y auction sees a high yield of 4.365% vs WI 4.365%. Coming in on the screws and in line with the five-auction average of 0.0bps and after stopping through by 0.6bps in Dec.
  • The bid-to-cover is on the low side at 2.57x, compares to 2.68x from Dec and a five-auction average of 2.70x. Lowest since Nov and before that March.
  • However, dealer take also on the low side: 14.83% (lowest since Sep) vs 18.6% Dec and five-auction av 16.8%. Indirects take: 65.30% (highest since July) vs 61.85% Dec and five-auction av 62.3%. Directs take: 19.87% vs 19.5% Dec and five-auction av 20.9%
  • The $60B sale is the largest since Oct’21. Ahead of next week’s quarterly refunding announcement, consensus is aligned on a further $3B monthly upsizing for the upcoming quarter.
  • Timing: Results for the latest 2Y note sale will be available shortly after the competitive auction close at 1130ET. Tsy $42B 5Y note sale at 1300ET
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