Bond Market Update

2-yr Note Auction Reaction

• U.S. Treasuries have risen off their intraday lows, but they continue trading a bit below their starting levels. The 2-yr note has been at the forefront of the early slip from highs, but it has also led the recent bounce off lows. The market is holding steady in immediate reaction to the just-completed $69 bln 2-yr note sale, which met decent, but not great, demand. The auction drew a high yield of 4.211%, which slightly tailed the when-issued yield of 4.210%, while indirect takedown (65.0% vs 67.6% average) was a bit shy of the average. However, the bid-to-cover ratio (2.66x) was a touch above average (2.63x). This sale will be followed by a $70 bln 5-yr note auction at 13:00 ET.
• Yield Check:
  • 2-yr: -6 bps to 4.21%
  • 3-yr: -6 bps to 4.27%
  • 5-yr: -7 bps to 4.36%
  • 10-yr: -8 bps to 4.55%
  • 30-yr: -6 bps to 4.79%