On Tuesday 12 May 2020, Treasury Direct (the sales office of the Bureau of the Fiscal Service of the U.S. Department of the Treasury) conducted auctions for two separate issues of cash management bill-type federal securities (with 42- and 119-day terms), and on 13 May conducted another two auctions (with 105- and 154-day terms). This defies the structure of Data Buffet's time series, which make the simplifying assumption that there will be zero or one auctions per business day.
In response, we have displaced two of the four auction results to adjacent days that are otherwise blank. This allows you to retrieve and examine the results for each issue, and to perform a frequency conversion to condense applicable data. (Some of the auction metrics (viz., dollar amounts tendered and accepted) can be summed, but others (viz., term in days, interest rates) cannot.)
The week of 25 May featured five auctions held on three days, which necessitated more drastic displacement.
| Auction date | Displaced date | Term (days) | CUSIP | Remark |
|---|
| 12 May (Tue) |
11 May (Mon) |
42 |
912796 UA5 |
|
| " |
12 May (Tue) |
119 |
912796 TJ8 |
|
| 13 May (Wed) |
13 May (Wed) |
105 |
912796 3R8 |
|
| " |
14 May (Thu) |
154 |
912796 4J5 |
|
| |
|
|
|
|
| 19 May (Tue) |
18 May (Mon) |
42 |
912796 UB3 |
|
| " |
19 May (Tue) |
119 |
912796 2G3 |
|
| 20 May (Wed) |
20 May (Wed) |
105 |
912796 3X5 |
|
| " |
21 May (Thu) |
154 |
912796 4K2 |
|
| |
|
|
|
|
| 26 May (Tue) |
25 May (Mon) |
42 |
912796 WW5 |
|
| 27 May (Wed) |
26 May (Tue) |
105 |
912796 3Y3 |
|
| " |
27 May (Wed) |
119 |
912796 2H1 |
|
| " |
29 May (Fri) |
273 |
912796 XE4 |
Originally 28 May |
| 28 May (Thu) |
28 May (Thu) |
154 |
912796 4Q9 |
Originally 29 May |
| |
|
|
|
|
| 2 Jun (Tue) |
1 Jun (Mon) |
42 |
912796 SZ3 |
|
| " |
2 Jun (Tue) |
119 |
912796 2J7 |
|
| 3 Jun (Wed) |
3 Jun (Wed) |
105 |
912796 3Z0 |
|
| " |
4 Jun (Thu) |
154 |
912796 4R7 |
|
| |
|
|
|
|
| 9 Jun (Tue) |
8 Jun (Mon) |
42 |
912796 WX3 |
|
| " |
9 Jun (Tue) |
119 |
912796 TN9 |
|
| 10 Jun (Wed) |
10 Jun (Wed) |
105 |
912796 4A4 |
|
| " |
11 Jun (Thu) |
154 |
912796 4S5 |
|
| |
|
|
|
|
| 16 Jun (Tue) |
15 Jun (Mon) |
42 |
912796 WY1 |
|
| " |
16 Jun (Tue) |
119 |
912796 2R9 |
|
| 17 Jun (Wed) |
17 Jun (Wed) |
105 |
912796 4G1 |
|
| " |
18 Jun (Thu) |
154 |
912796 4T3 |
|
| |
|
|
|
|
| 23 Jun (Tue) |
22 Jun (Mon) |
42 |
912796 WZ8 |
|
| " |
23 Jun (Tue) |
119 |
912796 2S7 |
|
| 24 Jun (Wed) |
24 Jun (Wed) |
105 |
912796 4H9 |
|
| " |
25 Jun (Thu) |
154 |
912796 4U0 |
|
| 23 Jun (Tue) |
26 Jun (Fri) |
273 |
912796 2F5 |
Displaced by three days |
| ... |
|
|
|
|
| 17 Aug (Tue) |
|
42 |
912796 F61 |
|
| 17 Aug (Tue) |
16 Aug (Mon) |
57 |
912796 ZB8 |
Atypical tenor |
| 18 Aug (Wed) |
|
119 |
912796 P78 |
|
| 24 Aug (Tue) |
|
42 |
|
Omitted |
| 24 Aug (Tue) |
|
67 |
912796 ZC6 |
Atypical tenor |
| 25 Aug (Wed) |
|
119 |
912796 PB6 |
|
This manner of displacement was previously necessary in October 2008, April 2009, June 2009, and August 2010.
As of the third week of June, it appears that the auction schedule (days and terms) for CMBs has stabilized, so we will continue this storage policy as long as necessary. The upcoming auction schedule is announced weekly on Friday, and is relevant specifically to CMBs, since the other instruments have a regular cadence and are listed on an ARC with a five-month horizon.
As of the fourth week of June, there's another wrinkle, that of a 273-day issue auctioned on Tuesday instead of Wednesday. There's no room at the start of week, so we have displaced it to Friday, and retroactively shuffled the fourth week of May to use the same order.
As of the fourth week of July, it's become apparent that the auction cadence includes a 273-day CMB in the fourth week of each month (beyond the 42-, 105-, 119- and 154-day issues). Expect the five-day displacement pattern shown above to repeat.
Update, 17 March 2021 (Wednesday)
As of 16 February, the auction schedule has been reduced. CMBs with 105- and 154-day terms have ceased, but 42- and 119-day on Tuesday and Wednesday, respectively, continue unchanged. This pattern has held for five weeks to date.
The 273-day term was issued only in May, June and July 2020.
Update, 17 August 2021 (Tuesday)
Since mid-February there has been a regular pattern of two CMB auctions per week: 42- and 119-day bills on Tuesday and Wednesday, respectively.
Today there was a second auction, an unusual 57-day bill. For storage, we have displaced it to Monday.
Update, 25 August 2021 (Wednesday)
This week, the typical Tuesday auction of a 42-day bill was replaced by a 67-day bill.
References
Updates
- 13 May 2020 - Initial version of article.
- 19 May - In Data Buffet, swapped values for 13 and 14 May, so treatment of terms (shorter first) is consistent. Added storage-schedule for auctions held on 19 and 20 May.
- 26 May - Added storage-schedule for auctions held on 26, 27 and 28 May.
- 2 June - Added 2 and 3 June.
- 10 June - Added 9 and 10 June.
- 18 June - Added 16 and 17 June; weekly schedule announcement.
- 23 June - Swapped values 28 and 29 May, so treatment of terms is consistent with the fourth week of June.
- 22 July - 273-day CMB is a regular monthly event.
- 17 Mar 2021 - In February, the auction schedule was reduced to two CMBs per week.
- 17 Aug - Unusual 57-day CMB.
- 25 Aug - Unusual 67-day CMB.