Oct 12, 2022
VOT Research Desk
Market Insights and Analysis
Treasury Econometric Rundown
- The WI rate at the time of the auction was 3.914%.
- High output 3.93%
- 3.914% is the WI level.
- six-month average of 1.6 basis points versus the tail’s 1.6 basis points
- offer to cover 2.34X as opposed to the average of 2.47X
- Directs (a measure of domestic demand) (a measure of domestic demand) 23.51% compared to the six-month average of 17.3%
- Indirects (a measure of international demand) (a measure of international demand) 56.79% compared to the six-month average of 66.1%
- Dealers (they take the remainder) (they take the rest) 19.7% compared to a six-month average of 16.3%
- C- (Santelli of CNBC graded the auction a D+).
High and low pointers
- The six-month average is consistent with the tail of 1.6 basis points.
- Did to cover fell short of the six-month median.
- Strong domestic demand (direct bidders)
- There was little indirect global demand.
- Dealers were burdened with more since domestic demand was strong while overseas demand was weaker.
- Despite a slight decline, US stocks are still up for the day:
The Dow Jones (vs. 123 points just before the auction results)
Compared to +9.61 points prior to the auction, the S&P index is up 6.72 points.
The NASDAQ index is up 23 points compared to the auction’s +30.36 point gain.
With the 10 year yield currently trading at 3.931%, the auction outcome is not significantly different.
