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Preview Tsy $60B 2Y Note Auction

US TSYS/SUPPLY

WI running 0.255% / 0.245% ahead today's $60B 2Y Note auction (91282CCU3) -- appr 3.7bp cheap to last month's auction. Average high yield has averaged 0.188% over the last 5 auctions, compares to 0.119% low on Feb 23.

  • Review: the July 26 auction: Small stop -- Tsy futures bounce slightly off lows/narrow range after the $60B 2Y (91282CCN9) drew 0.213% high yld vs. 0.215% WI.
  • Bid-to-cover: 2.47x was shy of the 5 month average of 2.52x.
  • Indirect take-up climbed to 52.76% from 50.63% in June (51.85% 5M avg); direct bidder take-up of 21.26% continues to outpace the 5M avg of 16.92%; primary dealer take-up recedes to 25.98% vs. 5-month average of 31.23%.

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