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New Lows and Reprice Risk Following 5yr Auction
Posted to: Micro News
Wednesday, December 18, 2013 11:37 AM

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The 5yr Treasury auction has drawn out a good amount of volume and volatility. The demand for the Notes was much weaker with the bid-to-cover ratio coming in at 2.42 compared to 2.61 at the last auction.

More importantly, the high yield of 1.60 at auction is significantly higher than the 1.576 "when-issued" yield at the 11:30am cut-off. Taken together, this makes the auction about a "D" in terms of a letter grade and is sapping bond prices, even ahead of the Fed Announcement this afternoon.

Some lenders may reprice for the worse at current levels. Fannie 4's are down a quarter of a point (8 ticks) at 103-09. This is only about 3 ticks weaker than pre-auction levels though. 10yr yields are up a quick 1.5 bps to 2.894.




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