USD Swaps: 20y auction tails, but USTs end at highs

Chart 24 Nov 2021
Softer PMIs proved to be a stumbling block and knocked yields off yesterday's highs. Swap spreads widened a bit, despite 5y SSA issuance. 20y tails.

Start a free trial to read this article

Join today to access all  Total Derivatives content and breaking news. Already a subscriber? Please Log In to continue reading.

Or contact our Sales Team to discuss subscription options.

Get in Touch
Blurred image of Total Derivatives article content


  • 20y auction tails, but USTs end at highs

  • New issues


    20y auction tails, but USTs end at highs  

    Treasuries are ending the session near the highs of the day, having achieved a double digit rebound off the back of softer PMI data. The 10y note yield is last 14.4bps lower at 4.188%, after hitting a high of 4.3618% just yesterday. 2s10s is 5.67bps lower at -78.3bps while 5s30s is last 1.5bps lower at -10.3bps. Equities are closing higher (DJIA +0.46%, S&P +1.14% and Nasdaq +1.72%).


    Earlier, the $16bn 20y auction came with a 1bp tail versus the 1pm bid side, drawing a rate of 4.499%. Both directs (20.2%) and indirects (68.4%) dropped, giving primary dealers high allocation of 11.4%. The bid-to-cover of 2.56x was lower than July.


    One source thought that going into this week that today’s PMI data could be a stumbling block in a relatively light data week ahead of Jackson Hole, but added should durable goods and cap goods tomorrow come in stronger than expected then the narrative could “just as easily swing back” to the bear steepening momentum.


    Underlying all the gyrations is that the market is easily pushed around, with not a lot of conviction and each data point another crumb in the data-dependence trail through the economic woods.


    Swap spreads did not see much movement amid the underlying rally but overall volumes were decent, and spreads generally widened off the overnight lows. SSA issuance hit the 5y sector with little impact despite the overall size ($5bn ADB and $1.25bn Kommunalbanken), suggesting that, if swapped, the deals were easily absorbed.


    IG new issuance (ex-SSA) recorded only a $600m Pacific Life 3y FA-backed note. Weekly total volumes are now $3.45bn – still shy of the modest $5bn expected for the week.


    2s -12.5bps (-0.125bps), 3s -16bps (-0.125bps), 5s -21.5bps (-0.25bps), 7s -29.375bps (unch), 10s -26.875bps (-0.125bps), 20s -65.125bps (-0.625bps), 30s -67bps (+0.25bps).



    New issues


    • JFM is preparing a USD 3y at around swaps +66bps. Leads are Barclays (B&D), BNPP, Daiwa and GS. Expected to price Thursday. 


    • Pacific Life Global Funding II priced a $600m 3y FA-backed note. Leads GS, JPM, MS and WFS.  Aa3/AA-/AA-. +88bps.


    • Kommunalbanken priced a $1.25bn 5y at mid swaps +44bps. Leads are BMO, Nomura, Scotia and TD.


    • ADB priced a $4bn 5y Global at swaps +35bps via Barclays, BofA, Citi and JPM.


    • Bank of Communications HK priced a $500m 3y Green FRN at SOFR +60bps. Leads Bank of Comms, CA and HSBC.