Bond Market Update

Auction Reaction

• U.S. Treasuries have risen off their morning lows and they now trade a bit above their starting marks, though the entire complex remains in negative territory due to sharp opening slump. The market's bounce has received some fuel from the just completed $25 bln 30-yr bond auction, which met strong demand, as the high yield stopped through the when-issued yield by 2.2 basis points while the bid-to-cover ratio (2.64x) was well above the prior 12-auction average (2.39x). Indirect takedown (62.7% vs 67.0%) was a touch below average, which was also the case at yesterday's 10-yr note offering.
• Yield Check:
  • 2-yr: +5 bps to 4.26%
  • 3-yr: +7 bps to 4.23%
  • 5-yr: +9 bps to 4.26%
  • 10-yr: +13 bps to 4.41%
  • 30-yr: +15 bps to 4.60%