If there is one word to describe today's 3 Year $32 [4]billion auction it would be atrocious. With the When Issued stopped at 0.577%, the closing high yield tailed notably at 0.581%, a dramatic spike from last month's 0.354% and the highest yield since July 2011, indicating substantial turbulence on the surface. Beneath the surface it was the same story, with the Bid To Cover plunging from 3.38 to just 2.95, the lowest since December 2010, driven by a crash in Direct Bidder take down to just 8.4% from 14.6% and a TTM average of 12.9%: this was the lowest Direct interest since August. The result was that Indirects were left with a sizable 33.1% of the auction well above the 26.3% TTM average, and Dealers had to absorb the remainder, or 58.4% of the auction. All in all, a very ugly auction although with investors still demanding only 0.5% to hold 3 year paper it would appear that any fears of an imminent hike in rates (regardless what the Fed does with the longer-end of the curve), is still far away.
[5]