December 10, 2022

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U.S. Treasury auctioned off $61 billion of 10 year notes at a high yield of 0.788%

1 min read

WI at time of auction was at 0.794%

  • High yield 0.788%.
  • WI at time of auction 0.794%.. Tail -0.6 bps
  • Bid to cover 2.49x. Six month average 2.34 times
  • Dealers 20.78%. Six month average 26.3%. Smallest amount since September 2020
  • Indirects 64.4%.  Six month average 57.9%
  • Directs 14.9%. Six month average 15.8%

Grade: B+/A-

  • Yield was below the WI level at the time of auction by -0.6 basis point
  • Dealers are saddled with much less than the average at 20.78% versus 26.3%
  • The foreign demand as measured by indirect bidders shows strong demand at 64.4% versus 57.9%.
  • Bid to cover was comfortably above the six month average as well at 2.49x vs 2.34x 

The cycle high in the five year yield reach 0.988% back in April. The low move down to 0.89% (that was the all-time low yield). The yield remains above its rising 100 hour moving average at 0.699%. 

Rick Santelli on CNBC David a grade of A-

US five year yield

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