If today's 2 Year auction was supposed to telegraph what the bond market thinks of Janet Yellen's Jackson Hole statement, then the message is clear: there won't even be a sliver of hawkishness, because while the When Issued market was expecting the note to price at 0.771%, it stopped through the When Issued by 1.1bps, printing at 0.76%, which incidentally is where the July 2 Year auction priced as well, only that particular auction tailed by 1.2 bps.

The internals were strong, with the Bid to Cover jumping from last month's multi year low of 2.52 to a far more stable 2.831, the second highest since February. Dealers took down 29%, the lowest since July 2014, offset by an unexpcted surge in Direct bids which were allotted 25.2% of the final paper, up solidly from last month's 10.3%. This meant Indirects were left holding 45.8% of the paper.

And while foreign central banks were somewhat leery to bid today, the key message from this auction is that 3 days ahead of Janet Yellen's speech on Friday, the bond market is convinced: there won't even be a trace of hawkishness when the Fed Chair speaks on Friday.