Bond Market Update

Auction Reaction

• U.S. Treasuries are holding just below session highs that were reached about 30 minutes ago with shorter tenors maintaining their relative strength. The U.S. Treasury just sold $16 bln in 20-yr bonds, but the auction did not create any significant shockwaves in the market. The sale drew a high yield of 4.160%, which stopped through the when-issued yield by 0.1 bps while the bid-to-cover ratio (2.54x) was a touch below the prior 12-auction average (2.62x). Indirect takedown (71.0%), however, was above average (70.2%).
• Yield Check:
  • 2-yr: -6 bps to 3.93%
  • 3-yr: -7 bps to 3.73%
  • 5-yr: -6 bps to 3.64%
  • 10-yr: -3 bps to 3.78%
  • 30-yr: -1 bp to 4.06%