vaylie wrote: ↑Fri May 19, 2023 1:41 pm
I'm looking at next Monday's 6-month T-Bill, and Fidelity is predicting only 4.755% yield, while the previous week's 6-month T-Bill is yielding over 5%. I know Fidelity tends to underestimate yields, but is there something in the market that would cause the 6-month T-Bills to trend downward for Monday when it's only been going up recently?
Primary dealers have access to the when issued market, which is between the announcement and the auction :
Treasury Market When-Issued Trading Activity (there is a second when issued period from the auction until issuance). The WI market helps with "price discovery" for the auction of new issues.
I assume that Vanguard and Fidelity have access to the WI market as well, and that they are basing their expected yields on that. But apparently they are doing something different with that information, or maybe they don't have access to the WI market.
Bills with maturities of less than 26 weeks trade on the secondary market; e.g., a 13-week auction is a reopening of the 26-week, which trades on secondary. For these, everyone has access to the secondary market, and can use that to guesstimate the auction yield.
I don't know if it's relevant, but as of Thursday (I didn't load quotes on Friday), there was a sharp drop in yield between the 11/16/23 bill (5.91 month, 5.26%) and the 11/30/2023 bill (6.37 months, 4.72%):
The new 26-week matures on 11/24/2023, so between the two mentioned above.
Kevin
If I make a calculation error, #Cruncher probably will let me know.