this month's TIPS auctions

[JohnEyles]

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

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

[haha]

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.

Ha

[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%.

[JohnEyles]

Quote:

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 ?

[jazz4cash]

Isn't the coupon determined by the market, i.e. bids submitted to auction?

[FIRE'd@51]

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.