What a difference 24 hours makes: if yesterday's 2 Year bond auction [6]was weak from beginning to end, today's 5 Year showed that any fears of a "great vortexing" in the market can be largely forgotten. The 5 Year, which was expected to price 0.1 bps over 1.05%, and whose WI was trading at 1.048% at 1 pm, just priced at a stop through high yield of 1.045% - quite better than many had feared. The Bid to Cover also was hardly disappointing, coming at 2.79, just shy of the TTM average of 2.83. But the most notable component was the Dealer take down: if yesterday Dealers couldn't get their hands on enough bonds in the final allocation, today it was the Directs and Indirects that took down a combined 67.4% of the auction, leaving just 32.6% for Primary Dealers, the lowest in our dataset, and likely ever. Something tells us Dealers are very eager to load up on as many repoable bonds as they could yet failed: earlier today, the OTR 10Y CUSIP was among the Fed's exclusions in today's POMO, which brings the question - is the TSY collateral shortage starting to spread?
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