STIR: SOFR Midcurve Call Structures
Dec-27 16:42
- +3,000 0QF5/0QH5 96.00/96.12/96.25 call tree strip, 10.5 total (+1 leg 0QF, +2 legs 0QH)
- +2,500 0QH5 96.00/96.50 1x2 call spds, 7.5 vs. 95.995/0.14%
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US TSYS: US TSY 7Y NOTE AUCTION: HIGH YLD 4.183%; ALLOTMENT 70.78%
Nov-27 16:56
- US TSY 7Y NOTE AUCTION: HIGH YLD 4.183%; ALLOTMENT 70.78%
- US TSY 7Y NOTE AUCTION: DEALERS TAKE 9.99% OF COMPETITIVES
- US TSY 7Y NOTE AUCTION: DIRECTS TAKE 25.94% OF COMPETITIVES
- US TSY 7Y NOTE AUCTION: INDIRECTS TAKE 64.08% OF COMPETITIVES
- US TSY 7Y AUCTION: BID/CVR 2.71
US TSYS: US TSY 17W BILL AUCTION: HIGH 4.390%(ALLOT 9.76%)
Nov-27 16:56
- US TSY 17W BILL AUCTION: HIGH 4.390%(ALLOT 9.76%)
- US TSY 17W BILL AUCTION: DEALERS TAKE 37.47% OF COMPETITIVES
- US TSY 17W BILL AUCTION: DIRECTS TAKE 4.80% OF COMPETITIVES
- US TSY 17W BILL AUCTION: INDIRECTS TAKE 57.73% OF COMPETITIVES
- US TSY 17W BILL AUCTION: BID/CVR 2.80
US TSYS/SUPPLY: 7Y Auction Review – Strong Despite Rally Into It
Nov-27 16:41
Treasuries have rallied on the strong 7Y auction, with yields 1.5-2.5bp lower since the bidding deadline as 5s-10s push towards yield lows for the session and 30s are through them. The directs take stepped strongly higher, just as was the case in yesterday’s 5Y in signs of domestic bidding demand vs foreign bidding pulling back.
Treasury sold $44bn of the 7Y at a high yield of 4.183% vs the WI of 4.197% per Bloomberg.
- The 1.4bp stop through follows a strong 2.0bp from Oct vs the five-auction average of 0.5bp.
- Bid-to-cover: 2.71x vs 2.74x in Oct (highest since Mar 2020) and a five-auction average of 2.62x.
- Primary dealer take: 9.99% vs 7.47% in Oct (lowest on record) and a five-auction average of 10.17%.
- Indirects take 64.08% (lowest since Dec 2023) vs 71.96% in Oct and a five-auction average of 72.38%.
- Directs take 25.94% (highest since Mar 2022) vs 20.57% in Oct and a five-auction average of 17.45%.
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