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5yr Auction Preview
Posted to: Micro News
Wednesday, March 26, 2014 12:58 PM

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MBS are still 6/32nds higher on the day and only 2/32nds off their best levels.  The upcoming 5yr auction at 1pm remains the next potential chance for bigger movement.

Two of the key metrics in assessing the auction's performance are the demand (measured by the 'bid-to-cover' or BTC) and the 'high yield' (which, for the purposes of Treasury auctions is the only one that matters).

The BTC can be measured against past performance.  In that regard, the last auction had the strongest levels of demand since September 2012.  The BTC was 2.98 in February, but as low as 2.42 in December.  The average of the past 4 is 2.65

The yield can be measured against the 1pm yield level of 5yr When-Issued trading.  It's currently at 1.73-1.731, though may change in the next few minutes.  If the high yield is lower than that, it's a net-positive for bond markets in general, and vice versa if it's higher.

More background info on auction watching HERE.

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Mortgage Rates:
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  • 15 Yr FRM 2.92%
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  • Jumbo 30 Year Fixed 3.60%
MBS Prices:
  • 30YR FNMA 4.5 108-30 (-0-02)
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  • 30YR FNMA 5.0 110-22 (0-03)
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  • 30YR FNMA 5.5 111-26 (-0-02)
Recent Housing Data:
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  • Refinance Index 11.33%
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  • Purchase Index 8.43%