Deutsche BankResearchUS Treasury Seven-Year Note AuctionAuction date: December 28, 2023Brian LuUS Rates Strategy(212) 250-7434brian-a.lu@db.comIMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. MCI (P) 041/10/2023. UNTIL 19th MARCH 2021 INCOMPLETE DISCLOSURE INFORMATION MAY HAVE BEEN DISPLAYED, PLEASE SEE APPENDIX 1 FOR FURTHER DETAILS.Distributed on: 28/12/2023 12:00:00 GMT7T2se3r0Ot6kwoPa1Deutsche BankResearchAuction date: 12/28/2023, Brian Lu, (212) 250-7434, brian-a.lu@db.comSeven-Year Auction Statistics Source: US Treasury and Deutsche BankSize ($bn)Primary DealersDirect BiddersIndirect BiddersCover RatioStopout Yield1PM WI BidBP TailDirect + Indirect1yr Avg35.8$ 12.8%17.9%69.2%2.540.287.2%Nov-2339.0$ 20.3%15.8%63.9%2.444.3994.3782.179.7%Oct-2338.0$ 11.0%18.4%70.6%2.704.9084.912-0.489.0%Sep-2337.0$ 14.6%19.9%65.5%2.474.6734.6680.585.4%Aug-2336.0$ 9.7%15.0%75.3%2.664.2124.230-1.890.3%Jul-2335.0$ 14.3%15.9%69.8%2.484.0874.0751.285.7%Jun-2335.0$ 8.1%16.6%75.3%2.653.8393.848-0.991.9%May-2335.0$ 10.4%17.3%72.3%2.613.8273.835-0.889.6%Apr-2335.0$ 14.8%21.1%64.1%2.413.5633.5501.385.2%Mar-2335.0$ 15.4%21.4%63.2%2.393.6263.6131.384.6%Feb-2335.0$ 13.7%20.8%65.5%2.494.0624.0481.486.3%Jan-2335.0$ 6.1%16.8%77.1%2.693.5173.539-2.293.9%Dec-2235.0$ 15.7%16.2%68.1%2.453.9213.9101.184.3%Nov-2235.0$ 21.3%16.8%61.9%2.333.8903.8632.778.7%Oct-2235.0$ 14.1%22.7%63.2%2.434.0274.0151.285.9%Sep-2236.0$ 12.8%24.7%62.5%2.573.8983.903-0.587.2%Aug-2237.0$ 8.6%15.7%75.7%2.653.1303.157-2.791.4%Jul-2238.0$ 10.6%18.4%70.9%2.602.7302.734-0.489.4%Jun-2240.0$ 17.7%20.4%61.9%2.483.2803.2602.082.3%May-2242.0$ 6.4%15.8%77.9%2.692.7772.801-2.493.6%2Deutsche BankResearchAuction date: 12/28/2023, Brian Lu, (212) 250-7434, brian-a.lu@db.comSeven-Year Auction Allotments•Treasury will auction $40bn of 7yr notes at 1pm today, $1bn more than the November auction. The Fed will not buy any 7yr notes for the SOMA portfolio as add-on at the upcoming auction.•Seven-year yields have fallen by 59bps from the previous auction stopout to trade around 3.81%.•End-user demand fell to 79.7% in November, the lowest level since November 2022 as indirect bidder participation fell to 63.9% from 70.6% in the previous month. Direct bidder participation also remained weak (15.8% vs. 17.9% 1yr average). Investment funds took 62.0% of the total allocation (vs 75.0% prior), below the 1yr average of 71.7% and the lowest level since January.•The November auction tailed by 2.1bp and the bid-to-cover ratio declined to 2.44 from 2.70 in the previous month.•Dealer positions in 6-7yr Treasuries were $16.4bn on December 13 (64th percentile vs. last 3m history).* Percentage of Total less SOMASource: US Treasury and Deutsche BankSettle DateTotal less SOMA($B)$B%*$B%*$B%*$B%*$B%*1 Yr Avg361.85%5.315%25.771.7%4.813.3%0.20.5%11/30/2023390.41%8.923%24.262.0%5.514.2%0.40.9%10/31/2023380.00%4.813%28.575.0%4.411.6%0.30.7%10/2/2023370.00%5.916%26.170.7%4.813.0%0.20.5%8/31/2023363.710%3.911%29.180.7%3.08.3%0.10.3%7/31/2023350.00%5.616%24.068.5%5.214.9%0.20.5%6/30/20...
