Deutsche BankResearchUS Treasury Five-Year Note AuctionBrian LuUS Rates Strategy(212) 250-7434brian-a.lu@db.comAuction date: January 24, 2024IMPORTANT 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: 24/01/2024 12:00:00 GMT7T2se3r0Ot6kwoPa1Deutsche BankResearchAuction date: 1/24/2024, Brian Lu, (212) 250-7434, brian-a.lu@db.comFive-Year Auction StatisticsSource: US Treasury and Deutsche BankSize ($bn)Primary DealersDirect BiddersIndirect BiddersCover RatioStopout Yield1PM WI BidBP TailDirect + Indirect1yr Avg46.8$ 13.1% 18.2%68.8%2.52-0.486.9%Dec-2358.0$ 14.0%15.4%70.6%2.503.8013.814-1.386.0%Nov-2355.0$ 16.9%17.6%65.5%2.464.4204.427-0.783.1%Oct-2352.0$ 19.0%19.5%61.5%2.364.8994.8792.081.0%Sep-2349.0$ 11.3%17.6%71.1%2.524.6594.673-1.488.7%Aug-2346.0$ 13.8%18.3%67.9%2.544.4004.3970.386.2%Jul-2343.0$ 13.5%22.1%64.4%2.604.1704.1650.586.5%Jun-2343.0$ 12.2%19.7%68.1%2.524.0194.0120.787.8%May-2343.0$ 9.3%18.0%72.7%2.583.7493.764-1.590.7%Apr-2343.0$ 13.6%17.3%69.1%2.543.5003.507-0.786.4%Mar-2343.0$ 13.3%18.2%68.5%2.483.6653.675-1.086.7%Feb-2343.0$ 11.1%19.0%69.9%2.484.1094.1070.288.9%Jan-2343.0$ 8.9%15.4%75.7%2.643.5303.554-2.491.1%Dec-2243.0$ 16.9%18.6%64.5%2.463.9733.9700.383.1%Nov-2243.0$ 15.1%18.7%66.2%2.393.9743.9690.584.9%Oct-2243.0$ 16.4%15.6%68.0%2.484.1924.210-1.883.6%Sep-2244.0$ 21.7%18.7%59.6%2.274.2284.2002.878.3%Aug-2245.0$ 20.6%18.2%61.2%2.303.2303.2201.079.4%2Deutsche BankResearchAuction date: 1/24/2024, Brian Lu, (212) 250-7434, brian-a.lu@db.comFive-Year Auction Allotments▪Treasury will auction $61bn of 5yr notes at 1pm today, $3bn more than the December auction. The Fed will not buy any 5yr notes for its SOMA portfolio as add-on at the auction.▪Five-year yields have risen by 25bps from the previous auction stopout to trade around 4.05%.▪Indirect bidder participation increased to 70.6% (vs 65.5% prior) in December, above the 1yr average of 68.8%. On the other hand, direct bidder participation declined slightly to 15.4% (vs 17.6% prior), remaining below the 1yr average of 18.2%.▪Investment funds exhibited strong demand, taking 75.0% of the total allocation (vs 70.6% prior), the highest proportion since June and above the 1yr average of 72.1%.▪The December auction stopped through by 1.3bps, while the November auction stopped through by 0.7bp. The 1yr average tail is -0.4bp.▪Dealer positions in 3-6yr Treasuries were $54.3bn on January 10, slightly lower than the record high in December.* Percentage of Total less SOMASource: US Treasury and Deutsche BankSettle DateTotal less SOMA($B)$B%*$B%*$B%*$B%*$B%*1 Yr Avg472.35%6.814%33.772.1%6.013.0%0.20.5%1/2/2024580.00%9.416%43.575.0%4.98.5%0.20.3%11/30/2023550.61%9.718%38.870.6%6.211.3%0.20.3%10/31/2023520.00%10.721%35.468.0%5.610.8%0.30.6%10/2/2023490.00%6.012%36.173.7%6.613.4%0.30.6%8/31/2023464.810%6.715%34.474.9%4.610.0%0.20.5%7/31/2023430.00%6.615%30.570.9%5.813.4%0.20.3%6/3...
