RSS US sells 5 year TIPS at 2.121% vs WI at 2.065% at the time of the auction

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 RSS US sells 5 year TIPS at 2.121% vs WI at 2.065% at the time of the auction

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High Yield: 2.121%

  • Compared to the previous auction's yield of 1.67%.
  • Higher than the six-auction average of 1.99%.

Tail: 5.6 basis points

  • Lower than the previous auction's tail of 15 basis points.
  • Lower than the six-auction average of 9.0 basis points.
  • Note: The 5-year TIPS traded at 2.065% at 1:00 PM EST.

Bid-to-Cover Ratio: 2.10x

  • Lower than the previous auction’s ratio of 2.40x.
  • Also lower than the six-auction average of 2.50x.

Dealer Allocation: 25.42%

  • Slightly lower than the previous 25.79%.
  • Below the six-auction average of 5.55%.

Direct Allocation: 23.15%

  • Higher than the previous auction’s 17.30%.
  • Exceeds the six-auction average of 16.73%.

Indirect Allocation: 51.43%

  • Lower than the previous auction’s 74.84%.
  • Below the six-auction average of 77.7%.

US yields show lower short term yields but sharply higher yields out the curve.

  • 2 year 4.318%, down -3.6 bps
  • 5 year 4.432% up 4.9 bps
  • 10 year 4.588%, up 8.8 bps
  • 30 year 4.768%, up 10.8 bps

The 2-10 year spread is up to 27 bps. It was near flat on November. The 50% midpoint of the move down from the 2021 high comes in right around that level at 26.7 bps.

This article was written by Greg Michalowski at www.forexlive.com.
 
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