Thursday's (6/23) 5 yr Tips auction, who is participating?

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Kevin M
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

#Cruncher wrote: Wed Jun 22, 2022 6:50 pm
Kevin M wrote: Wed Jun 22, 2022 3:59 pmIf the unadjusted price is > 100, real yield is negative.
Not necessarily. It just means the yield is lower than the coupon. For instance the 1/8% 5-year Oct 2024 TIPS auctioned 10/19/2017 had an unadjusted price of 100.351378 yet had a positive yield of 0.054%.
And that's why I've updated my signature ;-)

In all the excitement of TIPS calculations, I momentarily forgot one of the most basic bond concepts.

Thanks for the catch.

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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Itster »

I decided to place an order for 10 as well in my Roth, so I won't need to deal with the tax situation.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

#Cruncher wrote: Wed Jun 22, 2022 6:50 pm
You can also find it using the institutional auction query. It is not included by default, but you can add that column, and delete other columns of less interest.

Image

A few years ago I wrote a script to pull the data of interest into a spreadsheet. I include the IR for TIPS, so I just checked it there.

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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

At what time are the results of the auction announced?
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Indicative yield down to .40 this morning. Glad I wasn't too greedy.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by TheTimeLord »

Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Interesting, I am seeing 0.431. Neither of these yields would effect the amount I will purchase today.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

TheTimeLord wrote: Thu Jun 23, 2022 8:02 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Interesting, I am seeing 0.431. Neither of these yields would effect the amount I will purchase today.
I had decided to put the bulk of my Roth into TIPs. Had been investing it in SCHP and VTIP. Had thought about putting 50% in today and the other 50% in on the 10-year in July. Decided to phase in a little more slowly, with 20% in today, probably 20% in the 10-year, then another 20% in the 10-year reopening in Sep, and 20% in the new 5-year in Oct. My bet is that the Fed will have to keep raising rates. If there's a big move up in real rates I'd put more in, but I don't expect the Fed to do that, at least not for awhile. We'll see.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by TheTimeLord »

Fremdon Ferndock wrote: Thu Jun 23, 2022 8:14 am
TheTimeLord wrote: Thu Jun 23, 2022 8:02 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Interesting, I am seeing 0.431. Neither of these yields would effect the amount I will purchase today.
I had decided to put the bulk of my Roth into TIPs. Had been investing it in SCHP and VTIP. Had thought about putting 50% in today and the other 50% in on the 10-year in July. Decided to phase in a little more slowly, with 20% in today, probably 20% in the 10-year, then another 20% in the 10-year reopening in Sep, and 20% in the new 5-year in Oct. My bet is that the Fed will have to keep raising rates. If there's a big move up in real rates I'd put more in, but I don't expect the Fed to do that, at least not for awhile. We'll see.
I am liability matching with my purchases today. I plan to participate in the new 5 yr but haven't decided on what I want to do regarding the July 10 yr.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

I'm not liability matching per se. Don't need the funds in my Roth for that purpose, but want to preserve wealth so that the funds could be applied later in life for health care primarily. Thought about putting it all in the 10-year for that purpose but thought it better to split between the 5 and the 10.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

It will be interesting to see what Tipswatch does today. He said (when yield was at 0.51):
I’ll be a buyer at Thursday’s auction, as long as real yields hold anywhere near their current levels.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by TheTimeLord »

Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Looks like the yield is now under 0.30%.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

TheTimeLord wrote: Thu Jun 23, 2022 9:15 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Looks like the yield is now under 0.30%.
Yikes!
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Looks like the bid is now .37 on the 4/15 at Vanguard.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by CC1E »

Fremdon Ferndock wrote: Thu Jun 23, 2022 9:19 am
TheTimeLord wrote: Thu Jun 23, 2022 9:15 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Looks like the yield is now under 0.30%.
Yikes!
Yeah, not a great day to buy, but better than negative! The market has decided to fight the FED today (stocks up, bond rates down). I guess a 75bps increase didn't send a strong enough message. Maybe the next raise will be 100bps.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

CC1E wrote: Thu Jun 23, 2022 9:37 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 9:19 am
TheTimeLord wrote: Thu Jun 23, 2022 9:15 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 7:55 am Indicative yield down to .40 this morning. Glad I wasn't too greedy.
Looks like the yield is now under 0.30%.
Yikes!
Yeah, not a great day to buy, but better than negative! The market has decided to fight the FED today (stocks up, bond rates down). I guess a 75bps increase didn't send a strong enough message. Maybe the next raise will be 100bps.
Well, at least most of my powder is still dry. Now I realize I probably should have kept it in SCHP just to hedge my TIP buy today. Won't make that mistake again.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by jimkitt »

yeah my problem was I didn't have a way to get money into my Fidelity account. Does the kill or cancel work for TIPS?
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Just picked up some SCHP in my Roth to hedge my next expected TIPS purchase in July. Should have done that for this one too.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Bid now .379 Ask .408
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by AerialWombat »

I’ve decided against further complicating my already complex tax planning. Going to sit this one out after all.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Bid .393 Ask .423 as of 12:20 on secondary market.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by TLC »

Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

TLC wrote: Thu Jun 23, 2022 11:27 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
Thanks,
Noncompetitive results will be available approximately 15 minutes before the competitive auction close.
So I guess we'll know at 12:45 Eastern - about 10 minutes? Should be around .40 if the secondary is any guide.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Carl53 »

TLC wrote: Thu Jun 23, 2022 11:27 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
Anyone care to interpret?
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Is the "high yield" what non-comp gets? That's 0.362
Median yield was 0.30
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Pam01 »

Fremdon Ferndock wrote: Thu Jun 23, 2022 12:13 pm Is the "high yield" what non-comp gets? That's 0.362
Median yield was 0.30
Yes, high yield is what every auction participant, both competitive and noncompetitive, gets.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Pam01 »

Carl53 wrote: Thu Jun 23, 2022 12:06 pm
TLC wrote: Thu Jun 23, 2022 11:27 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
Anyone care to interpret?
The auction participants get a real yield of 0.362 above the inflation if these bonds are held to maturity. Total cost per $1000 face value appears to be $1012.51 (= adjusted price * 10 + adjusted accrued interest per 1000).

I am sure others more knowledgeable than me correct whatever mistakes I have made in interpreting these results.
Last edited by Pam01 on Thu Jun 23, 2022 12:44 pm, edited 1 time in total.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by dual »

I think noncompetitive gets the high accepted yield 0.362%

https://www.treasurydirect.gov/instit/ ... 623_3.pdf

Putting on my glass have full hat, 😇, we have to keep a mathematical perspective. One basis point .01% is only $1 per year more interest on $10,000 face value bonds. So 14 basis points from the yield today to the 0.5% of a few days ago is $14 a year less interest. On the other hand, the inflation adjustment is going to be about 8% this year, about $800 on the $10,000 of bonds.
Last edited by dual on Thu Jun 23, 2022 12:57 pm, edited 1 time in total.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

This has been an interesting process. Hopefully I have a better understanding of how these auctions work. Now let's get ready for the 10-year in July.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by TheTimeLord »

Treasury rates across the board seemed to fall today. :annoyed Would have liked to have gotten a higher rate (always) but liability matched 6 months of expenses so I check that box in the plan. :beer
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Pam01 wrote: Thu Jun 23, 2022 12:24 pm
Carl53 wrote: Thu Jun 23, 2022 12:06 pm
TLC wrote: Thu Jun 23, 2022 11:27 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
Anyone care to interpret?
The auction participants get a real yield of 0.362 above the inflation if these bonds are held to maturity. Total cost per $1000 face value appears to be $1012.51 (= adjusted price * 10 + adjusted accrued interest per 1000).

I am sure others more knowledgeable than me correct whatever mistakes I have made in interpreting these results.
Looks spot on. That's what my order confirmation on Vanguard shows.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by marco1910 »

If I purchased today's 5-year TIPS and held it till maturity would it beat inflation when it matures?
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Pam01 »

marco1910 wrote: Thu Jun 23, 2022 10:13 pm If I purchased today's 5-year TIPS and held it till maturity would it beat inflation when it matures?
Yes, before taxes. Because the yield is real and positive.
In case of deflation, you will get the higher of the deflation adjusted principal or the face value.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by marco1910 »

Thanks
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Carl53 »

Fremdon Ferndock wrote: Thu Jun 23, 2022 2:13 pm
Pam01 wrote: Thu Jun 23, 2022 12:24 pm
Carl53 wrote: Thu Jun 23, 2022 12:06 pm
TLC wrote: Thu Jun 23, 2022 11:27 am
Fremdon Ferndock wrote: Thu Jun 23, 2022 11:15 am I guess the competitive bids close at 1 pm Eastern. That's about 45 minutes from now. Where are the results posted?
https://www.treasurydirect.gov/instit/a ... esults.htm
Anyone care to interpret?
The auction participants get a real yield of 0.362 above the inflation if these bonds are held to maturity. Total cost per $1000 face value appears to be $1012.51 (= adjusted price * 10 + adjusted accrued interest per 1000).

I am sure others more knowledgeable than me correct whatever mistakes I have made in interpreting these results.
Looks spot on. That's what my order confirmation on Vanguard shows.
I see the 0.362 high yield on the competitive release. https://www.treasurydirect.gov/instit/a ... 0623_3.pdf Also,I understand that that high yield reflects the rate for noncompetitive bids. However, when the discussion above was noting that noncompetitive results would be known 15 minutes prior to the competitive I looked and found this. https://www.treasurydirect.gov/instit/a ... 0623_3.pdf

I was expecting to see something about rates and just see volume and was wondering how to interpret this information.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

So, I don't understand the way Vanguard is listing the TIPS I bought yesterday in my brokerage account holdings:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

The quantity is correct, but I paid $1012.51 for 25 bonds, which cost a total of $25,312.75 at purchase. The bonds have actually increased in price this morning so why are they shown as being worth $25,217.51, which is less than what I paid? Is this absent accumulated interest, and why?

Plus, the quantity X price doesn't compute to the current balance. Can someone interpret?

Here's what my purchase confirmation shows:

Quantity 25,000
Price 98.87
Principal -25,306.08
Total -25.312.70
Interest 6.64

I don't get how 25,000 @ 98.87 computes to $25,306.08. This stuff is just a mystery.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Svensk Anga »

Fremdon Ferndock wrote: Fri Jun 24, 2022 8:52 am So, I don't understand the way Vanguard is listing the TIPS I bought yesterday in my brokerage account holdings:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

The quantity is correct, but I paid $1012.51 for 25 bonds, which cost a total of $25,312.75 at purchase. The bonds have actually increased in price this morning so why are they shown as being worth $25,217.51, which is less than what I paid? Is this absent accumulated interest, and why?

Plus, the quantity X price doesn't compute to the current balance. Can someone interpret?

Here's what my purchase confirmation shows:

Quantity 25,000
Price 98.87
Principal -25,306.08
Total -25.312.70
Interest 6.64

I don't get how 25,000 @ 98.87 computes to $25,306.08. This stuff is just a mystery.
You need quantity x price x inflation factor to get to the current market value. The inflation factor yesterday was 1.022. It adjusts every day.

In my experience, Vanguard updates TIPS values once per day, so you are likely seeing yesterday’s closing price. I think you will not see Friday’s price reflected in your account balance until Saturday am.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Svensk Anga wrote: Fri Jun 24, 2022 10:11 am
Fremdon Ferndock wrote: Fri Jun 24, 2022 8:52 am So, I don't understand the way Vanguard is listing the TIPS I bought yesterday in my brokerage account holdings:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

The quantity is correct, but I paid $1012.51 for 25 bonds, which cost a total of $25,312.75 at purchase. The bonds have actually increased in price this morning so why are they shown as being worth $25,217.51, which is less than what I paid? Is this absent accumulated interest, and why?

Plus, the quantity X price doesn't compute to the current balance. Can someone interpret?

Here's what my purchase confirmation shows:

Quantity 25,000
Price 98.87
Principal -25,306.08
Total -25.312.70
Interest 6.64

I don't get how 25,000 @ 98.87 computes to $25,306.08. This stuff is just a mystery.
You need quantity x price x inflation factor to get to the current market value. The inflation factor yesterday was 1.022. It adjusts every day.

In my experience, Vanguard updates TIPS values once per day, so you are likely seeing yesterday’s closing price. I think you will not see Friday’s price reflected in your account balance until Saturday am.
The quantity X price currently would be $25,000 X $98.656, which is way more than it should be. Are they multiplying 25,000 by .98656? I don't understand the math.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

Fremdon Ferndock wrote: Fri Jun 24, 2022 8:52 am So, I don't understand the way Vanguard is listing the TIPS I bought yesterday in my brokerage account holdings:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

The quantity is correct, but I paid $1012.51 for 25 bonds, which cost a total of $25,312.75 at purchase. The bonds have actually increased in price this morning so why are they shown as being worth $25,217.51, which is less than what I paid? Is this absent accumulated interest, and why?

Plus, the quantity X price doesn't compute to the current balance. Can someone interpret?
Yeah, that price is stale. Looking at Vanguard now, I see a bid price (what you'd get if you sold) for qty 25 at 98.890. See next answer for the amount calculation.
Fremdon Ferndock wrote: Fri Jun 24, 2022 8:52 am Here's what my purchase confirmation shows:

Quantity 25,000
Price 98.87
Principal -25,306.08
Total -25.312.70
Interest 6.64

I don't get how 25,000 @ 98.87 computes to $25,306.08. This stuff is just a mystery.
From the auction results:

Unadjusted price 98.874965
Index Ratio 1.02376
Adjusted price 101.224234

Checking the math for the adjusted price:

98.874965 * 1.02376 = 101.224234

Amount for quantity 25:

25 * 101.224234 * 10 = 25,306.06.

The factor of 10 is to adjust for amount per 1,000 of face value. I can't explain the difference of $0.02, but at least this shows how the calculation is done.

Kevin
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Thanks for your illustration, Kevin. Using the figures for yesterday's close:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

Using your calculations, I get 101.000067 for the adjusted price using the inflation factor you gave and $98.656 for price. This yields $25,250.01 as the current balance, but they show $25.217.51. Wonder why the difference. I realize this was yesterday's closing.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by FactualFran »

Carl53 wrote: Fri Jun 24, 2022 4:31 am I see the 0.362 high yield on the competitive release. https://www.treasurydirect.gov/instit/a ... 0623_3.pdf Also,I understand that that high yield reflects the rate for noncompetitive bids. However, when the discussion above was noting that noncompetitive results would be known 15 minutes prior to the competitive I looked and found this. https://www.treasurydirect.gov/instit/a ... 0623_3.pdf

I was expecting to see something about rates and just see volume and was wondering how to interpret this information.
The 0.362 high yield reflects the competitive bids, which specified the minimum yield that is acceptable to the bidder. According to the How Treasury Auctions Work web page:
At the close of an auction, Treasury awards all noncompetitive bids that comply with the auction rules and then accepts competitive bids in ascending order of their rate, yield, or discount margin (lowest to highest) until the quantity of awarded bids reaches the offering amount. All bidders will receive the same rate, yield, or discount margin at the highest accepted bid.
The auction results are not known until after the competitive bids that had been submitted by the deadline have been processed.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

Fremdon Ferndock wrote: Fri Jun 24, 2022 12:17 pm Thanks for your illustration, Kevin. Using the figures for yesterday's close:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

Using your calculations, I get 101.000067 for the adjusted price using the inflation factor you gave and $98.656 for price. This yields $25,250.01 as the current balance, but they show $25.217.51. Wonder why the difference. I realize this was yesterday's closing.
The index ratio (aka inflation factor) changes daily. The IR for the auction is for the settlement date, 6/30/2022.

There are different ways to get the index ratio, but an easy way for me is to look at the bond details for the quote at Fidelity. For the 4/15/2027, IR for this issue bought today is 1.02319 (this is for settlement Monday 6/27), and the historical IR, which Fidelity says is for yesterday, is 1.02244. Using the IR from yesterday I get adjusted price of 100.869841, and amount of 25,217.46, so within a few cents of number you show.

A complete source for IRs can be found here: http://eyebonds.info/tips/index.html. Using this, I verified that the IR for yesterday (6/23/2022) is 1.02244. Using the value for today, 1.02263, results in a larger difference than what you show, so I think yesterday's IR is what they're using.

Kevin
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Fremdon Ferndock
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

Kevin M wrote: Fri Jun 24, 2022 12:54 pm
Fremdon Ferndock wrote: Fri Jun 24, 2022 12:17 pm Thanks for your illustration, Kevin. Using the figures for yesterday's close:

Quantity 25,000.000
Price $98.656
Current Balance $25,217.51

Using your calculations, I get 101.000067 for the adjusted price using the inflation factor you gave and $98.656 for price. This yields $25,250.01 as the current balance, but they show $25.217.51. Wonder why the difference. I realize this was yesterday's closing.
The index ratio (aka inflation factor) changes daily. The IR for the auction is for the settlement date, 6/30/2022.

There are different ways to get the index ratio, but an easy way for me is to look at the bond details for the quote at Fidelity. For the 4/15/2027, IR for this issue bought today is 1.02319 (this is for settlement Monday 6/27), and the historical IR, which Fidelity says is for yesterday, is 1.02244. Using the IR from yesterday I get adjusted price of 100.869841, and amount of 25,217.46, so within a few cents of number you show.

A complete source for IRs can be found here: http://eyebonds.info/tips/index.html. Using this, I verified that the IR for yesterday (6/23/2022) is 1.02244. Using the value for today, 1.02263, results in a larger difference than what you show, so I think yesterday's IR is what they're using.

Kevin
Thank you for your help. I figured it had to be the IR value that was being used. I just wanted to understand how Vanguard is arriving at the Current Balance they are showing. It looks like that is similar to the mutual fund balances, which are updated at the end of the day. With TIPs, balances will probably not be updated until the next day, I'm guessing but I'll look at the end of today to see how much lag there is.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

Fremdon Ferndock wrote: Fri Jun 24, 2022 1:12 pm Thank you for your help. I figured it had to be the IR value that was being used. I just wanted to understand how Vanguard is arriving at the Current Balance they are showing. It looks like that is similar to the mutual fund balances, which are updated at the end of the day. With TIPs, balances will probably not be updated until the next day, I'm guessing but I'll look at the end of today to see how much lag there is.
You're welcome.

I don't even look at account the balances for individual securities, including TIPS. If I want to know how much I could actually get for my holding, I'd just look up the bid price for that issue, like I did in helping you figure it out. Otherwise, I know I'll get back 100 times the IR for the maturity date when it matures.

Kevin
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Fremdon Ferndock
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Fremdon Ferndock »

I see the real YTM of this issue has now dropped below 0.3% I picked up some more a day or two ago at around 0.4% a tad better than the auction. If real yields keep heading down, guess I'll shelve my plans to buy the 10-year at auction.
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

Fremdon Ferndock wrote: Fri Jul 01, 2022 10:26 am I see the real YTM of this issue has now dropped below 0.3% I picked up some more a day or two ago at around 0.4% a tad better than the auction. If real yields keep heading down, guess I'll shelve my plans to buy the 10-year at auction.
Here is the yield history for the 5-year CMT for the last 30 days through yesterday:

Image

Currently I'm seeing 0.228% ask yield 0.283% bid yield for min qty 10 (best yield) for the 4/15/2027 TIPS. I would expect the Treasury CMT yield to be about 0.28% today, since CMT yields are based on bid prices for most recently auctioned securities. That would be a 1-day drop of 15 basis points.

The bond market closed early today, so I believe the quote from above is the closing quote.

Kevin
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Re: Thursday's (6/23) 5 yr Tips auction, who is participating?

Post by Kevin M »

Kevin M wrote: Fri Jul 01, 2022 1:27 pm <snip>
Currently I'm seeing 0.228% ask yield 0.283% bid yield for min qty 10 (best yield) for the 4/15/2027 TIPS. I would expect the Treasury CMT yield to be about 0.28% today, since CMT yields are based on bid prices for most recently auctioned securities. That would be a 1-day drop of 15 basis points.
And the 5 Yr CMT real rate for today is ... drum roll ... 0.28%.
If I make a calculation error, #Cruncher probably will let me know.
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