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this month's TIPS auctions
Old 01-02-2007, 04:53 PM   #1
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this month's TIPS auctions


I believe new 10- and 20-year TIPS get auctioned in January.

Does anyone know how/when the coupon rates are determined ?

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Re: this month's TIPS auctions
Old 01-02-2007, 07:53 PM   #2
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Re: this month's TIPS auctions

Quote:
Originally Posted by JohnEyles
I believe new 10- and 20-year TIPS get auctioned in January.

Does anyone know how/when the coupon rates are determined ?
My guess is that the coupon would be chosen so that there will be sufficient demand at par to sell out whatever size issue the treasury wants so make.

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Re: this month's TIPS auctions
Old 01-02-2007, 08:15 PM   #3
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Re: this month's TIPS auctions

To get an indication of where the coupon will be set, you can look at the YTM for currently traded TIPS on Bloomberg. If the auction were held tomorrow the coupon for 10-year or 20-year TIPS would be 2.375%.
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Re: this month's TIPS auctions
Old 01-02-2007, 10:32 PM   #4
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Re: this month's TIPS auctions

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Originally Posted by FIRE'd@51
To get an indication of where the coupon will be set, you can look at the YTM for currently traded TIPS on Bloomberg. If the auction were held tomorrow the coupon for 10-year or 20-year TIPS would be 2.375%.
Because it's rounded to the nearest 1/8'th percent, and the 5-year one with 2.375%
coupon is the one trading closest to par ?

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Re: this month's TIPS auctions
Old 01-02-2007, 11:25 PM   #5
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Re: this month's TIPS auctions

Isn't the coupon determined by the market, i.e. bids submitted to auction?
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Re: this month's TIPS auctions
Old 01-03-2007, 08:00 AM   #6
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Re: this month's TIPS auctions

Quote:
Originally Posted by JohnEyles
Because it's rounded to the nearest 1/8'th percent, and the 5-year one with 2.375%
coupon is the one trading closest to par ?
It's rounded to the nearest 1/8, but the coupon is chosen to get the maturity that is being auctioned as close to par as possible. So, for the auction of the 10-yr, you would look at the YTM of the 10-yr on the yield curve.
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