Treasury Bills, Notes, and Bonds Discussion

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At this point 4 week t-bill is trading around 2.244% as of 11:15am ET this morning. Rate up by 0.040.

Schwab deadline for entering same day auction orders was 9:30am. The US Treasury has an 11:00am deadline for non-competitive orders for the auction, and competitive bidders must have their bids in by 11:30am.

So at this point we can wait for the auction results to be published.

This is EXCITING!

For even more fun I added a sheet to my portfolio tracking spreadsheet to keep my T-bill purchase info. As of now, four purchases, weighted average YTM 3.01%, current weighted days to maturity (as of today) 140.3 days, first maturity 10/4/22.

 

[audreyh1]

Auction closed at 2.50%. Waiting for the auction paid off.

Thanks much. Sho ‘nuff.

Auction closed at 2.500% or 2.540% investment rate which is quite a bit higher than the secondary market was trading shortly before.

I’ll grab a snap shot of the secondary market 1 day trading chart later today.

 

[audreyh1]

BTW secondary market hasn’t budged much even after the auction which gave buyers a higher yield. This quote is from 11:44am, which is after Financebuff posted the auction result above. Still around 2.231%.

 

[MBSC]

Auction closed at...2.540% investment rate which is quite a bit higher than the secondary market was trading shortly before.

At 9:05am, Fidelity secondary market availability was:

CUSIP 912796YD5 Maturity 10/11/22
2.402% YTW/YTM (100 min)

Same CUSIP as today's 4-week auction. Treasury re-opens current issues when maturity dates align. However, the original issue was a Cash Management Bill (CMB). Think of a CMB as being an off-schedule T-bill. They are less common so the secondary yield is typically higher to attract attention. Otherwise, the best match was:

CUSIP 912796V55 Maturity 10/13/22 (2 additional days)
2.291% YTW/YTM (100 min)
2.286% YTW/YTM (1 min)

The auction was the better choice this morning for Fidelity clients.

 

[audreyh1]

I think what CNBC app is posting for given t-bills and notes durations is what the the most recently auctioned issue is trading on the secondary market. So that’s what I was using to compare. That is also what the treasury posts on their page for treasury daily prices (their 3:30pm snapshot). https://home.treasury.gov/resource-..._bill_rates&field_tdr_date_value_month=202209

Yes, there are a wider range of bills and notes available at similar maturity dates on the secondary market. Thanks for adding that info.

 

[jazz4cash]

BTW secondary market hasn’t budged much even after the auction which gave buyers a higher yield. This quote is from 11:44am, which is after Financebuff posted the auction result above. Still around 2.231%.

Where are those snapshots from? The font looks like the CNBC app but I don’t get that particular image.

 

[audreyh1]

CNBC app watchlist on my iPad. US 1-MO is their ticker for the US 1-month (4 week) treasury. You can find it by just searching on US 1 month treasury or some such, and add it to a watchlist.

 

[Maximus]

Auction closed at 2.50%. Waiting for the auction paid off.

Whether you purchase the Treasury the first day it is available or wait till 9:15am the day the auction closes your YTM is the same. Is that correct? Learning a lot here.

 

[JoeWras]

Whether you purchase the Treasury the first day it is available or wait till 9:15am the day the auction closes your YTM is the same. Is that correct? Learning a lot here.

Yes. Everybody, even the "competitive" bidders, get the same yield.

 

[jazz4cash]

CNBC app watchlist on my iPad. US 1-MO is their ticker for the US 1-month (4 week) treasury. You can find it by just searching on US 1 month treasury or some such, and add it to a watchlist.

Thanks

 

[audreyh1]

Whether you purchase the Treasury the first day it is available or wait till 9:15am the day the auction closes your YTM is the same. Is that correct? Learning a lot here.

Yes, you are basically ordering ahead of the auction, and we all get the same price and thus yield at the auction. You don’t actually purchase the Treasury until the auction happens.

 

[Dash man]

I bought a t-bill in the secondary market that matures 12/27/2022 yielding 3.1%.

 

[audreyh1]

OK, final post regarding the 4 week t-bill auction. It was a quiet day of trading with the prior T-bill remaining in the 2.223-4% range most of the day. Meanwhile folks who bought the 4-week T-bill at auction this morning got a 2.540% yield (investment rate).

MBSC pointed out that more than prior 4 week bills are offered on the secondary market. Any treasury that is maturing in around 4 weeks no matter the original duration may be interesting to someone buying and the MBSC post gave some comparisons to the auction:

At 9:05am, Fidelity secondary market availability was:

CUSIP 912796YD5 Maturity 10/11/22
2.402% YTW/YTM (100 min)

Same CUSIP as today's 4-week auction. Treasury re-opens current issues when maturity dates align. However, the original issue was a Cash Management Bill (CMB). Think of a CMB as being an off-schedule T-bill. They are less common so the secondary yield is typically higher to attract attention. Otherwise, the best match was:

CUSIP 912796V55 Maturity 10/13/22 (2 additional days)
2.291% YTW/YTM (100 min)
2.286% YTW/YTM (1 min)

The auction was the better choice this morning for Fidelity clients.

 

[audreyh1]

FWIW the treasury site tracking daily the most recent tranch t-bill issues trading on the secondary market showed the auction results for 4 week and 8 week for today instead. https://home.treasury.gov/resource-..._bill_rates&field_tdr_date_value_month=202209

The 13 week, 26 week and 52 week bills match the CNBC tickers almost exactly.

 

[JoeWras]

Yes, there's always the person with a 3 year note ready to mature in 21 days that absolutely needs the money today to close on a house.

 

[Graybeard]

I bought T bills twice this week on the secondary market, yesterday and today, and got lower yields than today's 4 week bill. The bills I bought mature in 33 days so I viewed them as basically a 4 week and they had better YTM than the 4 week had been... until the auction. Not so happy but it is what it is.

 

[audreyh1]

FWIW the treasury site tracking daily the most recent tranch t-bill issues trading on the secondary market showed the auction results for 4 week and 8 week for today instead. https://home.treasury.gov/resource-..._bill_rates&field_tdr_date_value_month=202209

The 13 week, 26 week and 52 week bills match the CNBC tickers almost exactly.

Interestingly too, the after market trading tonight is also reflecting the newly auctioned issue. Investment rate at auction was 2.540%, and it’s trading tonight at 2.578% +0.038 from 2.540%.

 

[Graybeard]

I bought some T bills today on the secondary market. I don't understand the yield. Here's the specs:

The bill listed the YTM/YTW as 2.375% which I thought was OK. I bought them immediately, this was around 3:30 ET and when it was done I ran the details through the calculator Audreyh1 posted a link and I got a yield of 2.30%.

I'm pretty sure I entered the correct info into the calculator.

24 T bills
the cost was $23,950.12
they mature in 33 days

This is the calculator. https://goodcalculators.com/treasury-bills-calculator/

Is it possible that the Vanguard screen that lists the secondary market treasuries refreshes every 15 minutes or longer? Maybe the yield changed and I did not know when I bought them?

I know there is a bid and ask spread, the yield I am quoting was the ask, the bid was about 10 bp higher. I thought I was getting 2.375%.

 

[jazz4cash]

This is fascinating. Where do aftermarket trades occur?

 

[audreyh1]

This is fascinating. Where do aftermarket trades occur?

Well the NYSE has early and late trading in addition to their “core trading” hours of 8am to 5pm weekdays. https://www.nyse.com/markets/bonds/market-info

But I’m seeing trades quoted on CNBC that are even out of their time range. I do know that US Treasuries are traded in London and Tokyo as well as New York.

I don’t know what all exchanges are involved or how brokerages see each other’s offerings on the secondary market.

Maybe someone will come along and enlighten us.

 

[MBSC]

I bought some T bills today on the secondary market. I don't understand the yield. Here's the specs:

The bill listed the YTM/YTW as 2.375% which I thought was OK. I bought them immediately, this was around 3:30 ET and when it was done I ran the details through the calculator Audreyh1 posted a link and I got a yield of 2.30%.

I'm pretty sure I entered the correct info into the calculator.

24 T bills
the cost was $23,950.12
they mature in 33 days

This is the calculator. https://goodcalculators.com/treasury-bills-calculator/

Secondary market purchases take one day to settle so there will be 32 days til maturity. Selecting 9 decimal places FIRST, then entering data says 2.3755%.

 

[JoeWras]

The secondary market influences the auction and the auction influences the secondary. Both are important to the liquidity of the market. The auction can surprise either up or down, all depends on the stack of bids.

 

[Graybeard]

Secondary market purchases take one day to settle so there will be 32 days til maturity. Selecting 9 decimal places FIRST, then entering data says 2.3755%.

Thanks MBSC. I know this settles on the following day and I counted 33 days but you are correct, the calculator does give the yield that I expected when purchased using 32 days. I guess I counted incorrectly. At least I now know that the ask is the correct yield. I'm getting pretty comfortable buying either in auction or secondary market after a few buys and questions so thanks to all who helped me understand this.

Does anyone know if the specs on Vanguard's page of secondary treasuries is updated in real time or every X minutes? I assume real time but maybe not.

 

[audreyh1]

Well, OK, one more thing.

It is really interesting to see what happens after auction.

The US Treasury site started tracking the new issue right away yesterday, even though it hasn’t settled yet.

The CNBC app also started tracking the new issue after yesterday’s 5pm bond market close. I show todays 5 day chart, you can see that at the 8am open today that the rate jumped up to the 2.5x% level and traded from there. So clearly the ticker switched to this most recent issue.

This has got me scratching my head a bit - if this auction purchase does not settle until next week (Tuesday 9/13), how can it be trading already

I learned a lot from this exercise. I hope you did too.

Treasury tracking site for the most recent issue t-bills: https://home.treasury.gov/resource-..._bill_rates&field_tdr_date_value_month=202209

 

[Graybeard]

That is a huge move from 9/7 to 9/8 for the 4 week bill - 33 bp!