Two Year Note Result

April 22nd, 2014 1:20 pm | by John Jansen |

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…

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