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Bad 5 Year Auction; Weakest Levels; More Reprice Risk

Long story short, the auction stunk and bonds are pushing into their weakest levels of the day.  Negative reprices are incrementally more possible now.  The early crowd (lenders who typically reprice before the others) are now likely to reprice, and it's quickly becoming a possibility for everyone else.

More details:

The 5yr Treasury Auction was not well-received.  Bid-to-cover (how much investors bid vs the total auction amount) was at the low end of its range (higher is better).  The high yield came in a lofty 1.5bps above the consensus (determined by the 1pm "when-issued" yield--in this case, 1.77 vs an actual high yield of 1.785).

MBS / Treasury Market Data

UMBS 5.5
99.48
-0.17
UMBS 6.0
100.94
-0.08
2 YR
4.6221
+0.0541
10 YR
4.2008
+0.0128
Pricing as of: 3/28 2:15PM EST
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