Solid 10Y Auction Despite Modest Tail As Shorts Cover Into 1pm Deadline
Similar to yesterday’s 3Y TSY action, the 10Y note was trading special in repo overnight ahead of today’s $36BN auction.
However, unlike yesterday’s 3Y auction, which stopped through generously, today’s 10Y auction did not do as expected and tailed modestly, as yields dropping sharply seconds after our tweet…
… expecting a big stop through did not help.
Expect another stellar, stop through 10Y auction. Why? Shorts are scrambling, with ON repo rate down to -0.15% pic.twitter.com/rpndTYyYFz
— zerohedge (@zerohedge) December 8, 2021
Instead, and contrary to expectations, today’s 10Y auction actually tailed the 1.514% When Issued (which however was 1.52% just moments earlier), printing at 1.518%, a 0.4bps tail, and some 7.5bps higher than the November high yield of 1.444%.
The bid to cover rose from November’s 2.35 to 2.43, if slightly below the 2.52 six auction average.
The internals were also mediocre with Indirects taking down 68.8%, down from 71.0% last month, and with Directs taking down 17.8%, or well above the recent average, Dealers were left holding 13.4% or about 1% below the six-auction avg of 14.4%
Overall, a solid auction, which saw a big concession going into today’s 1pm deadline, and despite the modest tail, the yield is now about 1basis point below the auction high yield.
Wed, 12/08/2021 – 13:14