1year Treasury Bill auction
Re: 1year Treasury Bill auction
The 2year Treasury note auction is open. Auction closes 7/24 and settles 7/31. Vanguard shows indicative yield at 2.591%, and Fidelity shows estimated yield at 2.590%. For comparison, Treasury.gov CMT 2year yield from yesterday was 2.60%.
Using 2.590%, TEY for me would be 2.909%. APY is 2.607%, which would be TEY for me of 2.928%. So this is a yield premium of about 2023 bps/year, depending on whether comparing to most recent 1year Treasury auction or savings account at 2.50%, and whether using bondequivalent yield (BEY) or APY.
Comparing to Andrews FCU 9month CD at 2.75%, the 2year is only maximum of about 17 basis points higher, which is only about 7.8 bps/year of maturity.
Kevin
Using 2.590%, TEY for me would be 2.909%. APY is 2.607%, which would be TEY for me of 2.928%. So this is a yield premium of about 2023 bps/year, depending on whether comparing to most recent 1year Treasury auction or savings account at 2.50%, and whether using bondequivalent yield (BEY) or APY.
Comparing to Andrews FCU 9month CD at 2.75%, the 2year is only maximum of about 17 basis points higher, which is only about 7.8 bps/year of maturity.
Kevin
....... Suggested format for Asking Portfolio Questions (edit original post)
Re: 1year Treasury Bill auction
The 1year (52week) Treasury Bill price at auction today was 97.507611, with investment rate of 2.547%, which for me is TEY of 2.861% and TEYAPY of 2.879%. This is about 38 basis points above my savings account at 2.50%, so quite a nice yield premium for extending maturity by one year.
Although I didn't buy any for myself (kind of wish I had), I bought some in several accounts for which I'm an agent. Bought 10 in one account for 9,750.76, and 20 in another account for 19,501.52.
With the 1year at 2.55%, 2year at 2.76%, and 3year at 2.83%, one might wonder why the SEC yield of ShortTerm Treasury Index Admiral is only 2.57%, since it holds almost entirely notes in the 13 year maturity range, with an average effective maturity of two years. Since SEC yield is a 30day average, I calculated the average of the 2year since 8/13, and it's 2.65%. Subtracting the ER of 0.07% gives 2.58%, so almost equal to the SEC yield.
So I would imagine that the actual fund yield now is close to 2.7%.
Kevin
Although I didn't buy any for myself (kind of wish I had), I bought some in several accounts for which I'm an agent. Bought 10 in one account for 9,750.76, and 20 in another account for 19,501.52.
With the 1year at 2.55%, 2year at 2.76%, and 3year at 2.83%, one might wonder why the SEC yield of ShortTerm Treasury Index Admiral is only 2.57%, since it holds almost entirely notes in the 13 year maturity range, with an average effective maturity of two years. Since SEC yield is a 30day average, I calculated the average of the 2year since 8/13, and it's 2.65%. Subtracting the ER of 0.07% gives 2.58%, so almost equal to the SEC yield.
So I would imagine that the actual fund yield now is close to 2.7%.
Kevin
....... Suggested format for Asking Portfolio Questions (edit original post)
Re: 1year Treasury Bill auction
The 1year (52week) Treasury Bill, price at auction today was 97.391333, with investment rate of 2.668%, which for me is TEY of 2.996%% and TEYAPY of 3.016%. This is about 52 basis points above my savings account at 2.50%, so a very nice yield premium for extending maturity by one year. This bill matures 10/10/2019.
Shortly after the auction close, on the secondary market at Schwab, I bought some of the 1.75% Treasury maturing 9/30/2019 for a yield of 2.680%, so a bit higher yield than the 1year Treasury at auction, with lower duration (shorter maturity + higher coupon rate). Later in the day the yield on this note dropped to 2.6633%.
Kevin
Shortly after the auction close, on the secondary market at Schwab, I bought some of the 1.75% Treasury maturing 9/30/2019 for a yield of 2.680%, so a bit higher yield than the 1year Treasury at auction, with lower duration (shorter maturity + higher coupon rate). Later in the day the yield on this note dropped to 2.6633%.
Kevin
....... Suggested format for Asking Portfolio Questions (edit original post)

 Posts: 581
 Joined: Sun Jun 14, 2015 7:07 am
Re: 1year Treasury Bill auction
Does it pay to sort of roll your own Money Market account with short term treasuries? I've got $150K sitting around in a Capital One 360 @ 1.85% and wondering if I can do better.Kevin M wrote: ↑Tue Oct 09, 2018 7:31 pmThe 1year (52week) Treasury Bill, price at auction today was 97.391333, with investment rate of 2.668%, which for me is TEY of 2.996%% and TEYAPY of 3.016%. This is about 52 basis points above my savings account at 2.50%, so a very nice yield premium for extending maturity by one year. This bill matures 10/10/2019.
Shortly after the auction close, on the secondary market at Schwab, I bought some of the 1.75% Treasury maturing 9/30/2019 for a yield of 2.680%, so a bit higher yield than the 1year Treasury at auction, with lower duration (shorter maturity + higher coupon rate). Later in the day the yield on this note dropped to 2.6633%.
Kevin
"Compound interest is the most powerful force in the universe."  Albert Einstein
 triceratop
 Moderator
 Posts: 5644
 Joined: Tue Aug 04, 2015 8:20 pm
 Location: la la land
Re: 1year Treasury Bill auction
You could. It would save you 9 basis points.Stormbringer wrote: ↑Tue Oct 09, 2018 8:29 pmDoes it pay to sort of roll your own Money Market account with short term treasuries? I've got $150K sitting around in a Capital One 360 @ 1.85% and wondering if I can do better.Kevin M wrote: ↑Tue Oct 09, 2018 7:31 pmThe 1year (52week) Treasury Bill, price at auction today was 97.391333, with investment rate of 2.668%, which for me is TEY of 2.996%% and TEYAPY of 3.016%. This is about 52 basis points above my savings account at 2.50%, so a very nice yield premium for extending maturity by one year. This bill matures 10/10/2019.
Shortly after the auction close, on the secondary market at Schwab, I bought some of the 1.75% Treasury maturing 9/30/2019 for a yield of 2.680%, so a bit higher yield than the 1year Treasury at auction, with lower duration (shorter maturity + higher coupon rate). Later in the day the yield on this note dropped to 2.6633%.
Kevin
"To play the stock market is to play musical chairs under the chord progression of a bidask spread."
Re: 1year Treasury Bill auction
We were in a similar situation with our EF. We decided to keep 3 months worth of expenses in the Cap One 360 MM fund. For the rest we are building up short term Treasury Ladders (13 weeks Tbills). Once they are setup, they automatically "autoroll." For certain large, known expenses like our semiannual Property Tax Bill in April and December, we just pick a Tbill with the appropriate maturity date (e.g. 26 weeks and 52 weeks in this case) and turnoff autoroll for those individual securities.Stormbringer wrote: ↑Tue Oct 09, 2018 8:29 pmDoes it pay to sort of roll your own Money Market account with short term treasuries? I've got $150K sitting around in a Capital One 360 @ 1.85% and wondering if I can do better.
https://www.fidelity.com/fixedincomeb ... llprogram
However, like triceratop pointed out, it will only save you very, very little to do it yourself. I just like the fun of buying individual treasuries that are tailored towards our cash flow needs.
Re: 1year Treasury Bill auction
You can earn more than 1.85% in a money market fund. VG Prime MM SEC yield is 2.16%.Stormbringer wrote: ↑Tue Oct 09, 2018 8:29 pmDoes it pay to sort of roll your own Money Market account with short term treasuries? I've got $150K sitting around in a Capital One 360 @ 1.85% and wondering if I can do better.
If you pay state income tax, the Treasury MM fund might have a higher taxableequivalent yield (TEY). For me, VG Treasury MM fund with SEC yield at 2.03% has a TEY of 2.28%, and it's safer than Prime. Minimum initial investment is $50K, which you have, but once the fund is open, balance can drop below $50K and you can keep it open.
You can earn a little bit more with short term Treasuries, but of course the liquidity isn't quite as good as with a MM fund.
Kevin
....... Suggested format for Asking Portfolio Questions (edit original post)
Re: 1year Treasury Bill auction
Does it pay to sort of roll your own Money Market account with short term treasuries? I've got $150K sitting around in a Capital One 360 @ 1.85% and wondering if I can do better.
It depends on what you mean by "short term Treasuries". Compared to Treasury MM fund SEC yield of 2.03%, here are yields I saw today at Schwab (better than Vanguard or Fidelity to buy smaller quantities of Treasuries):
2.15%  1month
2.27%  3month
2.45%  6month (I bought some today for myself, and for two others for which I have POA)
The average maturity of the Treasuries in the MM fund is a little less than 60 days, but since the share price is maintained at $1, it might as well be 0 days; i.e., there is no term risk. A rolling ladder of Treasuries with an average maturity of 60 days will fluctuate some in value (a little term risk), and there is a bid/ask spread cost to sell. As long as you mostly can use maturing bills for expenses, you can earn more than 9 basis points more than the MM fund with a little additional term risk.
Kevin
....... Suggested format for Asking Portfolio Questions (edit original post)