After yesterday's strong 10Y auction few were expecting ugliness in today's final for this week 30Y issuance: after all with markets crashing, the flight to safety and duration surely would mean strong demand for the long-end of the curve. Only that wasn't the case.
Yes, the high yield of 2.50% (allotted 37.52% at the high) was the lowest since January 2015, but this came at a huge concession to the 2.467% When Issued, which resulted in a whopping 3.3 bps tail, the biggest in over three years. Furthermore, the Bid to Cover, plunged to just 2.092, down from the 2.288 last month, and the lowest going back to May 2014, as well as one of the lowest on record.
Perhaps the saving grace was that both Directs and Indirects took down a comparable amount of the final allotment as they did last month, at 10.3% and 31.7% respectively. This means that despite the weakness on the top, the Indirects ended up with a very strong 58%, which as can be seen in the red bar on the chart below, was quite respectable despite the overall poor tone to the auction.
All that said, if indeed the Fed proceeds to unleash NIRP, a yield of 2.50% will seem like an unprecedented bargin in one year, when the same CUSIP will likely be trading in the low to mid 1% range, if not lower.