US TSYS/SUPPLY: 5Y Auction Review - Domestic Bidders Return Strongly

Treasuries are little changed after the 5Y auction stopped through by 0.2bp, with 5Y yields 0.5bp lower since the bidding deadline for +3.0bp on the day. The bid-to-cover and primary dealer stats point to a stronger auction after the weak October showing, whilst the non-dealer split points to domestic bidders surging back to a fill a hole left by foreign institutions. 

• Treasury sold $70bn of the 2Y at a high yield of 4.197% vs WI 4.199%.
• The 0.2bp stop through is the first stop through since June.
• The bid-to-cover was 2.43x vs 2.39x in both Oct and the five-auction average.
• Primary dealer take: 11.30% vs 14.17% in Oct (highest since May) and a five-auction average of 13.2%.
• Some further unusual swings in differences between indirect and direct takes:
• Indirects take 64.12% vs 76.35% in Oct and a five-auction average of 70.67%. That’s the lowest since February after what was the highest in our tracking back to 2011.
• Directs take: 24.58% after a very low 9.47% in Oct and a five-auction average of 16.09%. That’s the highest since Jul 2014.