3M T-Bill Observations

yogibearbull · September 2023

While 2Y, 5Y, 10Y yields continue to rise, 3M yields have flattened.
https://stockcharts.com/h-sc/ui?s=$IRX&p=D&b=5&g=0&id=p27637493828

In fact, last three 3M T-Bill Auctions (9/5/23, 9/11/123, 9/18/23) were at the SAME discounted price of 98.656486 (matching 6 decimal digits!). I have seen same prices for 2 Auctions, but for three Auctions? Stockcharts for 3M yields shows flattening but not to this extent.

I watch 2-yr FRN index and it hasn't moved since 9/6/23 (good to 9/25/23) and is STUCK at 5.387380201 (that is 9 decimal digits!). It is supposed to adjust weekly based on 3M Auctions, so I looked at recent 3M Auctions.

Another observation for FIDO: In a cash-account (without margin), Fidelity didn't allow purchase for 3M T-Bill Auction on Monday when a 3M T-Bill was also maturing on the following Thursday; in theory, both could settle normally on Thursday. I didn't call Fido. In hindsight, all my Treasury purchases had been in accounts with margin (or with sufficient funds in the core account), and then this hasn't been an issue.

yogibearbull · September 2023

9/25/23 3m T-Bill Auction was at a discounted price of 98.652694.

So, finally some changes after the 2nd decimal place. Looks like the short end of the yield-curve is anchored/stable and the long end is pivoting about the short end.
https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230925_1.pdf

hondo · October 2023

Thanks YBB

Dave · October 2023

I don't tend to track these things at the micro-level this 3-month review has, but I'm curious how the 6-month T-Bills have been tracking... [ The 6-month is my sweet-spot. ]

yogibearbull · October 2023

6m T-bill rate isn't moving much either; 3m rate in the bottom panel.
https://stockcharts.com/h-sc/ui?s=$UST6M&p=D&yr=1&mn=0&dy=0&id=p17985575719

teapot · October 2023

https://www.ustreasuryyieldcurve.com/ provides more intuitive picture. You can see the historic curve on selected dates and compare them.

AndyJ · October 2023

The 20y is a pretty interesting outlier at 5%. Bought at that rate, could be a future cap gain opportunity.

Tarwheel · October 2023

AndyJ said:
The 20y is a pretty interesting outlier at 5%. Bought at that rate, could be a future cap gain opportunity.

I doubt if I will live 20 more years, but it’s good to be optimistic.

AndyJ · October 2023

Tarwheel said:

AndyJ said:
The 20y is a pretty interesting outlier at 5%. Bought at that rate, could be a future cap gain opportunity.
I doubt if I will live 20 more years, but it’s good to be optimistic.

20y is almost for sure past my expiry date, but I wouldn't be buying it to hold to maturity. That's what I meant by a capital gain opp. I doubt I'll buy in, tho, unless it moves even higher.

Old_Joe · October 2023

I'm already past my "best used by" date, and working towards my expiry date.

AndyJ · October 2023

So you won't be buying & holding the 20y either, eh @Old_Joe? I s'pose our heirs might be happy with it.

Tarwheel · October 2023

On the other hand, buying a 20-year Treasury would probably yield comparable to an annuity, and it would still be worth something when I die!

AndyJ · October 2023

Tarwheel said:
On the other hand, buying a 20-year Treasury would probably yield comparable to an annuity, and it would still be worth something when I die!

Well yeah, and the original investment would still be there to fall back on in case of running out of $ very late in life.

carew388 · October 2023

Or buy EDV for large capital gains.... or losses !

yogibearbull · October 2023

3m T-Bill yields have been flatlined for weeks. However, 5y, 10y, 30y yields continue to rise due to the activities of bond vigilantes.
https://stockcharts.com/h-sc/ui?s=$IRX&p=D&yr=1&mn=0&dy=0&id=p75815768413

Similar for 6m, https://stockcharts.com/h-sc/ui?s=$UST6M&p=D&yr=1&mn=0&dy=0&id=p70310329310

This means that m-mkt funds and ultra-ST funds have all caught up with T-Bills. So, starting this week I am discontinuing T-Bill rolls and parking money into m-mkt funds, ultra-ST funds (USFR, ICSH), or extend maturities in some other ways (e.g multisector or HY). It may be a bit early, but my T-Bills will continue to roll off into 2024, and not all would happen right away.

sma3 · October 2023

quick look at MMF rates SWVXX 5.23 SNOXX 5.05 SNSXX 5.078

SPAXX 4.99

VMFXX 5.3

I was a bit surprised to see Fido lag

yogibearbull · October 2023

Fido SPAXX is among its core/settlement choices. It has zillion other m-mkt funds with higher rates and min.

SWVXX is prime-retail, although with gates vanishing, there won't be much difference between government vs prime-retail m-mkt.

Derf · October 2023

@yogibearbull I was wondering if you hold any T=Notes ?

yogibearbull · October 2023

@Derf, only some 2-yr FRNs (those reset to 3m yield weekly) and some 5-yr TIPS (for CPI play).

But basically, my rolling into T-Bills is over.

sma3 · October 2023

@yogibearbull

Are you increasing duration ?

Anybody thinking about a bond ladder? what rungs are you using?

Ishares has ETFs that mature at the end of every year A ten year ladder yields 4.91%

yogibearbull · October 2023

@sma3, gradually increasing duration as T-Bills roll off. A mix of m-mkt, ultra-ST, HY & multisector.

Level5 · October 2023

We’re continuing to rotate VG short-term corporates and treasury funds into 6-month t-bills at 5%+ and Mmkt at 5.3%. Got tired of watching increasing interest rates eat away at total return on funds.

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3M T-Bill Observations

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