UST AUCTION PREVIEW: 5Y May Draw Highest Yield Since 2011
(Bloomberg) -- Current 5Y yield little changed at 2.053% ahead of $34b auction at 1pm ET; WI yield around 2.068%, above 5Y auction stops since April 2011.
- Positives for the sale include outright yield and expectations that USTs will benefit this week from month-end index extensions and quarter-end rebalancing that favors bonds vs equities
- Negatives include sector’s sensitivity to Fed rate increases; low foreign demand “remains a material impediment and money managers will need to step up for a strong auction,” BMO strategist Aaron Kohli says in note
- Auction also may benefit from concession on curve since Dec. 14 FOMC meeting caused market to price in 2 rate hikes in 2017; 5s30s is near YTD lows, 3s5s10s fly highest since mid-2015
- Past three 5Y auctions stopped within 0.2bp of WI yield at bidding deadline; Dec. 2015 sale tailed 1.2bp, produced then-record low 2.32 bid-to-cover ratio
- Yesterday’s $26b 2Y auction was soft, tailing 0.5bp with lowest bid-to-cover since Dec. 2008
- 6-auction averages:
- Bid-to-cover: 2.40 (low 2.27, high 2.54)
- Dealer award: 35.2% (low 25.1%, high 41.7%)
- Direct award: 4.73% (low 3.7%, high 6.2%)
- Indirect award: 60.1% (low 53.6%, high 68.7%)
- Primary dealers’ position in 3yr-6yr sector was net long $13b in week ended Dec. 14 vs $16.9b avg net long over past year
Alert:
HALISTER1Source: BFW (Bloomberg First Word)
People Aaron Kohli (Bank of Montreal)
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