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Another Short Squeeze Results In Strong 10 Year Auction, Highest Bid To Cover Of 2015
Just like yesterday, when the 3Y auction issued $24 billion in paper on substantially better terms than many feared, so today's 10 year auction was even stronger, pricing at 2.461%, 1.3 bps through the When Issued of 2.474%, at a 2.461 Bid to Cover, far better than last month's 2.2370 and the highest since December 2014.
The internal were less notable, with Indirects holdings 57.9%, Directs left with 12.1% and Dealers holding precisely 30%.
Why the strong auction? Same reason why yesterday's 3Y was also strong. Same reason why every other auction coming on days when there is a substantial short overhang into the auction is strong: shorts were squeezed. As ICAP reported this morning, the repo rateon the OTR 10Y was -0.55% hinting that today's auction would be pleasant to quite pleasant.
To those curious how tomorrow's 30Y auction will do: look at the repo rate on 30Y paper in the morning. If very negative, expect 3 out of 3 impressive auctions for the week.
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I'm going to sound stupid, but what is a 10 yr auction?
the bond market is royall F'ckd.. the 30 year yield slides around like a drunk whore in church.. and that is just one hour!
http://hedgeaccordingly.com/2015/06/lyxor-notes-illiquid-bond-market-forecasts-winners-in-forthcoming-market-environment.html
Ah, thanks. I've never been into bond markets, basically what I've learned here, which is basically that in the last month or so they are fucked.
biggest thing here is.. the fact that the UST market across the entire curve used to be liquid and strong.. now their markets are thin. easily cancelled and price slips around .. and obviously when the price moves around yields do as well.. moving up and down 15-25 basis points in hours is crazy as it used to take days and weeks to move that much years if not months ago.. the HFT type automated trading programs have now taking the place of traditional BANK market market makers who have had trading operations, now with the banking regulations they do not participate leaving the bond market a pile of utter shit ready to explode...
biggest thing here is.. the fact that the UST market across the entire curve used to be liquid and strong.. now their markets are thin. easily cancelled and price slips around .. and obviously when the price moves around yields do as well.. moving up and down 15-25 basis points in hours is crazy as it used to take days and weeks to move that much years if not months ago.. the HFT type automated trading programs have now taking the place of traditional BANK market market makers who have had trading operations, now with the banking regulations they do not participate leaving the bond market a pile of utter shit ready to explode...
It's a car auction held every 10 years.....