Via RBS Securities:
Treasury auctioned $32bn in new 2yr notes at 0.447% versus a 1:00pm level of 0.445% so the auction came with a 0.2bp tail.
0.2bp tail (6-auction average 0.2bp thru)
Bid/Cover 3.35X (6-auction average 3.46X) *below average*
Indirects 23.4% (6-auction average 29.5%) *below average
Directs 19.0% (6-auction average 25.3%) *below average
Dealers 57.7% (6-auction average 45.3%) * highest since May 2013
2yr notes had a lot going for them in auction today: 1) one of the highest yields at auction time in 3yrs, 2) huge demand last month from domestic funds at similar yields, 3) 9 months of 2yr auctions without a tail and 4) Yellen’s recent comforting words for the front end generally. We deemed a through bid as much more likely than a tail in today’s auction. But a tail we got since every auction statistic was weak or below average. Disappointing auction given that 2y auctions have been so robust in recent months…