With the election front and center on everyone's attention, today's sale of $24 billion in 3 Year paper was expected to slide under the radar as an afterthought, and perhaps that's a good thing because it was quite ugly. While the high yield of 1.034% stopped through the When Issued of 1.036%, the result of the notable selloff today across the curve as a result of early polling "data" which shows Hillary in the lead across battleground states, the internals were atrocious.
The Bid to Cover of 2.69 matched that of July 2016, and was also tied for the lowest since July 2009. As a result of the lack of bidding interest, Dealers had to step in in size, taking down a whopping 49.7%, which was the highest since June of 2014, when Dealer soaked up more than half the amount on offer. Obviously, Indirects pulled away, taking down only 42.6%, the lowest since February 2016, and leaving just 7.6% to Direct bidders.
Overall, a poor auction, which should probably not come as a surprise now that the Fed is expected to hike rates in just over one month time.