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Jericho
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Posts: 25
Joined: August 22nd, 2007, 3:14 pm

When Issued Bonds (Pre-Auction Pricing)

February 26th, 2023, 3:21 pm

Hi All,

Has anyone ever come across When - Issued Bonds (those securities which are traded pre-auction and only trade on a yield).  If so, how would they be PRICED, pre-auction?

Once the auction is set and the coupon is set, then the pricing becomes straight forward, but how about pre-auction - we only have a yield and perhaps an assumed coupon but how we can get this pricing correctly/ more -accurately - any formulaic we can use?

Thanks v much

J!
 
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DavidJN
Posts: 242
Joined: July 14th, 2002, 3:00 am

Re: When Issued Bonds (Pre-Auction Pricing)

February 27th, 2023, 11:03 pm

I found this old text by Kenneth Garbade (at Bankers Trust at the time) to be really good on US Treasuries. Can't find my copy but I'm certain when-issueds are covered. 
https://mitpress.mit.edu/9780262525572/ ... analytics/
 
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riskneutralprob
Posts: 23
Joined: December 16th, 2005, 5:16 pm

Re: When Issued Bonds (Pre-Auction Pricing)

August 22nd, 2023, 4:20 am

Aren't they just issued at par on auction date and the WI period trades are just indications for the coupon?    I'm ignoring re-issues and re-openings.