The U.S. Treasury will auction off $40 billion a 3 or notes at the top of the hour. The six-month averages of the major components shows:
- Bid to cover 2.60X. The bid to cover measures the number of bids vs the auction amount. With 40 billion being auctioned, a bid to cover 2.6 would imply total bids of $104B (2.6 x $40B = $104B).
- Tail -0.1 basis points. Tail compares the high yield vs the WI level at the auction cutoff time. The WI level is the trading yield of pre-auctioned issues.
- Directs (a measure of domestic demand) 18.9%
- Indirects (a measure of international demand) 62.7%
- Dealers (they take the balance) 18.4%
The last auction came in at a high yield of 3.81%. The yield is marginally lower from that level.