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7 Year Treasury Auction Prices At Lowest Bid To Cover Since May 2009

Tyler Durden's picture




 

If yesterday's auction started off as a 5 Year and ended up as a 7 Year reopening, today's 7 Year was just a 7 Year. That said, it was not pretty. Pricing at 2.221%, it was right on top of the When Issued, and yet it was another 18 bps higher than the 2.03% in July, and the widest since July 2011 or right before the first debt ceiling crisis. As the chart below shows, the black line is steepening quite a bit over the past 5 months as expected thanks to the Taper talk. But it was the Bid To Cover that was the real story, having rolled over a long time ago, peaking in mid-2011, and dropping moments ago to just 2.43. This was below the 2.54 from last month., well below the 2.66 TTM average, and the lowest Bid To Cover since the 2.26 in May of 2009.

The internals were unremarkable: Directs got 22.4%, above the 16.56% from last month, and just above the 18.8% TTM average, Indirects ended up with 40.81%, or in line with the last year's 39.4% take down, and Dealers ended up with 36.8%, just modestly higher than the 34.87% from last month.

Overall, the trend of declining Bids to Cover, and increasing rates continues, even if the final distribution remains the same.

 

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