knowing Treasury yields when buying at auction?

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btownguy
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knowing Treasury yields when buying at auction?

Post by btownguy » Thu May 28, 2009 3:55 pm

How closely can you know what yield you will be getting on a Treasury bill/note/bond when you buy at non-competitive auction? Can you simply look in the WSJ at the previous day's yield and guess that the yield at auction will be pretty darn close?

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HueyLD
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Post by HueyLD » Thu May 28, 2009 5:10 pm

Try this one. It will give you more up-to-date data.
http://www.bloomberg.com/markets/rates/index.html

walkinwood
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Post by walkinwood » Fri May 29, 2009 10:17 am

Does the same hold true for TIP auctions? Or is there more information to be had or guessed at?

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tarnation
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Post by tarnation » Fri May 29, 2009 10:29 am

walkinwood wrote:Does the same hold true for TIP auctions? Or is there more information to be had or guessed at?
IMO, this is the most accurate estimate for TIPS auctions.
http://www.ustreas.gov/offices/domestic ... ield.shtml
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stratton
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Post by stratton » Fri May 29, 2009 5:26 pm


btownguy
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Post by btownguy » Fri May 29, 2009 10:45 pm

I guess the question boils down to this. When there is an auction, can you expect the yield to be reasonably close to whatever you see on an intra-day chart? Or can it vary wildly?

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tarnation
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Post by tarnation » Fri May 29, 2009 11:47 pm

btownguy wrote:I guess the question boils down to this. When there is an auction, can you expect the yield to be reasonably close to whatever you see on an intra-day chart? Or can it vary wildly?
Check out the end of the last auction thread and see who's estimate was closest to the auction yield. :)
http://www.bogleheads.org/forum/viewtopic.php?t=36478
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Doc
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Post by Doc » Sat May 30, 2009 10:22 am

The fed chart is a constant yield curve. Meaning that it is a calculation of a fictitious note of a given fixed maturity like ten years. The calculation is based on real notes and for TIPS there was a change last year that made the curve "exact" for the on the run issues. Since the quotes from say Bloomberg or Fidelity are based on real notes there is some time "error". Note also that Bloomberg or WSJ are wholesale quotes but Fidelity is retail.

So except for times when rates are rapidly changing - like hourly- the Fed charts should give better estimates of auction results.
A scientist looks for THE answer to a problem, an engineer looks for AN answer and lawyers ONLY have opinions. Investing is not a science.

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