Good morning,
Attached is how I estimate the predicted Ten-Year yield daily. I am confused as to why it ended below my expectations EOD Friday the 14th.
Issuance 91282CCB5 was announced with a coupon of 1.625 derived from last weeks auction...
I expected the IRR of 91282CCB5's accrued interest, the price, and the payments owed to the bond holders to square up with expected yield from last Friday.
Then mentioned IRR was much higher than Friday's Ten-Year yield figure. One would expect after an auction that did not completely sell out, the next issuance to be at a higher coupon rate, which would lead to a higher Ten-Year yield than mentioned IRR.
I attached my calculations as well as my expected ten-year rate path if there is a new issuance in August with the same coupon rate. In addition is a projected rate path that contemplates the issuance at .125 higher.
Also included is a table that allows one to plug in the ^TNX rate for each day. with that information, the table will estimate the next coupon rate for then Ten-Year issuance. It assumes demand will increases for 91282CCB5 prior to Next August.
Does anyone see any errors with my calculations?
Warmest Regards,
Opmerkingen