3 bps...Not that it explains it, but the seasonally adjusted yield of the Feb 2040 is 3 basis points lower than the quoted yield as of today, while since we're only a day away from Jan 15, the quoted and SA yields of the Jan maturities are almost equal. Of course the Jan 2032 would have much more weight than the 2040 in covering the Jan 2034.Looking at yields today, the January 2034 yield is still about 5 bp above the weighted average of the 2032/2040 bracket years, so seasonality shouldn't explain the difference.
We're getting into 'how many angels can dance on the head of a pin' territory.
Statistics: Posted by watchnerd — Thu Jan 16, 2025 2:57 pm