At the top of the hour, the US will raise $61 billion in a 5-year Treasury auction. This is a new sale, not a reopening and is trading at 0.835%/0.845% on the bid/ask in the when issued market.

Last month, the sale of 5s followed by 7s the next day caused a puke out in bonds that reverberated through markets. The WI today is about 21 bps above those levels, which wipes out quite a bit of the return for last month’s buyers. Why not average down?

In any case, there are some real jitters ahead of this sale. Results will be out just after the top of the hour.