Big Jump in Foreign Buyers at Latest Treasury Auction Is a ‘Hint’

[Eurokopek]

In theory, there are all sorts of stats that you could try and interpret, like the proportion of "direct" bids, etc. However, the only thing that really matters is the "tail", i.e. the difference between the auction yield and the yield prevailing just prior.

why does it matter so much? Iirc the 30y bond has average tail or average stop-through around 1.5bps, which really is a fraction of daily vol, a third of a standard deviation?

 

[Martinghoul]

why does it matter so much? Iirc the 30y bond has average tail or average stop-through around 1.5bps, which really is a fraction of daily vol, a third of a standard deviation?

Well, you could argue that it's your only instantaneous indication of actual investor demand... So, of course, mkt participants extrapolate, rightly or wrongly. This happens regardless of the context, such as you mention. Whether it makes sense, I couldn't possibly tell you.

 

[nitro]

I dunno of any, tbh... In general, if you have access to a basic trading platform which allows you to see where treasuries are trading (ideally including the "when issued" bonds), you can do this yourself.

Ok. Thanks.