Bond Market Update

Auction Reaction

• U.S. Treasuries have dipped to fresh lows in the afternoon after a steady retreat from their opening levels. The recent slip to lows took place even though the U.S. Treasury's $58 bln 3-yr note auction met stellar demand, as the high yield (3.810%) stopped through the when-issued yield by 0.2 bps while the bid-to-cover ratio (2.55x vs 2.62x) was a bit below average and indirect takedown (64.4% vs 63.3%) exceeded the prior 12-auction average. With the post-auction selling, the 10-yr yield is now just five basis points below its opening level from Friday while the 2-yr yield hovers near the midpoint of Friday's range.
• Yield Check:
  • 2-yr: +13 bps to 4.01%
  • 3-yr: +13 bps to 3.84%
  • 5-yr: +12 bps to 3.75%
  • 10-yr: +11 bps to 3.90%
  • 30-yr: +10 bps to 4.18%