US Bond Auction W-Charts - Dec 2010

US Bond Auction Statistics
December 22, 2010
ChiBondKing – laszlochi@gmail.com
Upcoming Auctions At A Glance

12/27 – 2Y Note 13 & 26 Wk Bill
12/28 – 5Y Note
12/29 – 7Y Note
Contents
Upcoming Auctions At A Glance ........................................................................................................................................................1
Bond Auction Results (Historical) ......................................................................................................................................................2

30 Year .......................................................................................................................................................................................... 2
10 Year .......................................................................................................................................................................................... 4
7 Year ............................................................................................................................................................................................ 6
5 Year ............................................................................................................................................................................................ 8
3 Year .......................................................................................................................................................................................... 10
2 Year .......................................................................................................................................................................................... 12
52 Week Bills................................................................................................................................................................................ 14
26 Week Bill ................................................................................................................................................................................. 16

13 Week Bill ................................................................................................................................................................................. 18
4 Week Bill ................................................................................................................................................................................... 20

Cash Management Bills ................................................................................................................................................................ 22
TIPS (All)....................................................................................................................................................................................... 24
Generated on 12/22/2010 9:07 PM using R/Sword

Bond Auction Results (Historical)
30 Year
Last 10 Auctions
HighYield HighPrice IndirBidPercent BidToCover Coupon
4.679 99.128159 23.92 2.89 4.625
4.77 97.692939 36.85 2.73 4.625
4.49 98.114367 32.51 2.6 4.375
4.182 103.270808 36.03 2.87 4.375
4.08 105.053815 37.44 2.89 4.375
3.954 98.619129 46.04 2.77 3.875
3.82 100.97053 36.09 2.73 3.875
3.852 100.397647 32.36 2.49 3.875
4.32 98.829162 38.4 2.31 4.25
4.41 97.349324 49.46 2.74 4.25
Last 10 Auctions Statistics
Min. :3.820 Min. : 97.35 Min. :23.92 Min. :2.310 Min. :3.875
1st Qu.:3.986 1st Qu.: 98.24 1st Qu.:33.39 1st Qu.:2.632 1st Qu.:3.969
Median :4.251 Median : 98.98 Median :36.47 Median :2.735 Median :4.312
Mean :4.256 Mean : 99.94 Mean :36.91 Mean :2.702 Mean :4.250
3rd Qu.:4.470 3rd Qu.:100.83 3rd Qu.:38.16 3rd Qu.:2.845 3rd Qu.:4.375
Max. :4.770 Max. :105.05 Max. :49.46 Max. :2.890 Max. :4.625

Historical Information
Start Date: [1] "2008-05-08", Last Auction: [1] "2010-12-09"
Maximum Minimum
High Yield HighYield HighYield
2010-04-08 4.77 2009-02-12 3.54
Indirect Bid Percent IndirBidPercent IndirBidPercent
2009-07-09 50.21 2008-05-08 12.65
Bid To Cover BidToCover BidToCover
2009-09-10 2.92 2009-02-12 2.02
Coupon Coupon Coupon
2010-02-11 4.625 2009-02-12 3.5
Auction Standard Deviations (Last 10)
0.334 2.522 7.099 0.187 0.289

10 Year
Last 10 Auctions
3.735 99.090493 35.14 3.45 3.625
3.9 97.763192 43.11 3.72 3.625
3.548 99.598723 41.85 2.96 3.5
3.242 102.169092 40.15 3.24 3.5
3.119 103.199671 41.66 3.09 3.5
2.73 99.086655 45.82 3.04 2.625
2.67 99.607796 54.73 3.21 2.625
2.475 101.298742 41.51 2.99 2.625
2.636 99.903856 56.6 2.8 2.625
3.34 94.002822 44.38 2.92 2.625

Maximum Minimum
2008-06-12 4.225 2009-01-08 2.419
2010-11-09 56.6 2008-12-11 12.74
2010-04-07 3.72 2009-03-11 2.14
2008-08-06 4 2010-08-11 2.625
0.498 2.533 6.543 0.275 0.49

7 Year
Last 10 Auctions
3.078 99.512216 40.33 2.98 3
3.374 99.23261 41.87 2.61 3.25
3.21 99.470887 59.5 2.82 3.125
2.815 99.589671 51.11 2.88 2.75
2.575 99.522396 51 3.01 2.5
2.394 99.87815 42.25 2.78 2.375
1.989 99.258493 56.68 2.98 1.875
1.89 99.902081 50.24 3.04 1.875
1.97 99.381826 50.22 3.06 1.875
2.253 99.980673 42.2 2.63 2.25
Min. :1.890 Min. :99.23 Min. :40.33 Min. :2.610 Min. :1.875
1st Qu.:2.055 1st Qu.:99.40 1st Qu.:42.21 1st Qu.:2.790 1st Qu.:1.969
Median :2.485 Median :99.52 Median :50.23 Median :2.930 Median :2.438
Mean :2.555 Mean :99.57 Mean :48.54 Mean :2.879 Mean :2.487

Maximum Minimum
2010-03-25 3.374 2010-09-29 1.89
2009-06-25 67.17 2009-03-26 28.04
2010-10-28 3.06 2009-02-26 2.11
2009-05-28 3.25 2010-08-26 1.875
0.544 0.266 6.637 0.165 0.529

5 Year
Last 10 Auctions
2.395 99.906254 40.33 2.75 2.375
2.605 99.51073 39.66 2.55 2.5
2.54 99.813289 48.92 2.75 2.5
2.13 99.976355 40.57 2.71 2.125
1.995 99.431646 34.56 2.58 1.875
1.796 99.781106 47.28 3.06 1.75
1.374 99.402797 50.77 2.83 1.25
1.26 99.95169 50.11 2.96 1.25
1.33 99.614432 39.45 2.82 1.25
1.411 99.826792 31.5 2.65 1.375

Maximum Minimum
2008-05-29 3.52 2010-09-28 1.26
2009-06-24 62.79 2008-05-29 16.46
2010-07-28 3.06 2008-04-24 1.65
2008-05-29 3.5 2010-08-25 1.25
0.524 0.215 6.666 0.16 0.528

3 Year
Last 10 Auctions
1.437 99.818589 51.85 3.13 1.375
1.776 99.924368 52.25 3.1 1.75
1.414 99.885991 50.74 3.27 1.375
1.22 99.720987 46.71 3.23 1.125
1.055 99.838004 40.63 3.2 1
0.844 99.722358 40.5 3.31 0.75
0.79 99.881642 42.36 3.21 0.75
0.569 99.795046 28.98 2.95 0.5
0.575 99.777247 35.01 3.26 0.5
0.862 99.669011 36.65 2.91 0.75

Maximum Minimum
2009-06-09 1.96 2010-10-12 0.569
2009-11-09 68.55 2009-01-07 28.01
2009-11-09 3.33 2008-12-10 2.15
2009-06-09 1.875 2010-10-12 0.5
0.4 0.082 7.808 0.135 0.414

2 Year
Last 10 Auctions
0.895 99.960486 53.56 3.33 0.875
1 100 34.78 3 1
1.024 99.952608 31.04 3.03 1
0.769 99.962406 36.22 2.93 0.75
0.738 99.77607 41.43 3.45 0.625
0.665 99.920863 32.82 3.33 0.625
0.498 99.755524 29.25 3.12 0.375
0.441 99.868724 39.04 3.78 0.375
0.4 99.950315 39.98 3.43 0.375
0.52 99.960259 38.26 3.7 0.5
3rd Qu.:0.8635 3rd Qu.: 99.96 3rd Qu.:39.74 3rd Qu.:3.445 3rd Qu.:0.8438

Maximum Minimum
2008-06-24 2.922 2010-10-26 0.4
2009-06-23 68.74 2008-05-28 22.43
2010-09-27 3.78 2008-11-24 2.08
2008-06-24 2.875 2010-08-24 0.375
0.229 0.084 6.856 0.291 0.249

52 Week Bills
Last 10 Auctions
0.485 99.509611 40.97 3.66 0.494
0.42 99.575333 41.23 4.01 0.427
0.365 99.630944 54.07 4.59 0.371
0.32 99.676444 45.04 4.19 0.325
0.295 99.701722 30.25 3.94 0.3
0.26 99.737111 46.47 4.3 0.264
0.265 99.732056 31.59 4.25 0.269
0.225 99.7725 31.39 4.81 0.229
0.28 99.716889 32.84 4.56 0.284
0.295 99.701722 35.74 4.57 0.3

Maximum Minimum
2008-07-01 2.295 2010-10-19 0.225
2009-07-28 68.35 2008-06-03 9.9
2010-10-19 4.81 2008-08-26 2.34
2008-07-01 2.368 2010-10-19 0.229
0.08 0.081 7.932 0.353 0.082

26 Week Bill
Last 10 Auctions
0.17 99.914056 38.53 4.79 0.173
0.17 99.914056 44.45 4.65 0.173
0.155 99.921639 48.43 4.86 0.157
0.16 99.919556 34.59 4.62 0.162
0.18 99.909 27.4 3.97 0.183
0.195 99.901958 27.78 4.51 0.198
0.21 99.893833 53.35 4.68 0.213
0.185 99.906472 41.77 4.61 0.188
0.19 99.903944 44.93 4.41 0.193
0.185 99.906472 35.76 4.08 0.188

Historical Data
Maximum Minimum
2008-06-16 2.35 2010-01-11 0.13
2009-09-28 73.15 2009-04-20 17.25
2010-11-01 4.86 2008-04-21 1.98
2008-06-16 2.411 2010-01-11 0.132
0.017 0.008 8.519 0.29 0.017

13 Week Bill
Last 10 Auctions
0.135 99.965875 31.81 4.55 0.137
0.13 99.967139 22.3 4.52 0.132
0.125 99.968403 28.18 4.62 0.127
0.125 99.96875 26.94 4.69 0.127
0.135 99.965875 30.38 4.39 0.137
0.14 99.965 18.23 4.45 0.142
0.175 99.955764 37.03 4.26 0.178
0.145 99.963347 43.54 4.7 0.147
0.14 99.964611 27.09 4.35 0.142
0.13 99.967139 26.39 4.12 0.132

Historical Data
Maximum Minimum
2008-06-16 2.05 2008-12-08 0.005
2009-08-03 60.89 2009-12-28 10.3
2010-08-30 4.95 2008-09-15 2.33
2008-06-16 2.089 2008-12-08 0.005
0.015 0.004 7.162 0.189 0.015

4 Week Bill
Last 10 Auctions
0.135 99.9895 30.27 5.25 0.137
0.13 99.989528 29.05 4.96 0.132
0.125 99.990278 47.95 5.01 0.127
0.105 99.992125 41.63 5.08 0.106
0.125 99.990278 31.02 4.31 0.127
0.15 99.98875 29.21 4.48 0.152
0.175 99.986389 34.75 4.66 0.177
0.08 99.993778 11.75 4.29 0.081
0.085 99.993389 54.24 4.98 0.086
0.07 99.994556 5.82 4.08 0.071
Min. :0.0700 Min. : 99.99 Min. : 5.82 Min. :4.080 Min. :0.0710
Max. :0.1750 Max. : 99.99 Max. :54.24 Max. :5.250 Max. :0.1770

Historical Data
Maximum Minimum
2008-06-10 1.99 2008-12-09 0
2009-10-06 61.23 2010-12-21 5.82
2010-01-12 6.63 2008-07-22 2.35
2008-06-09 1.885 2008-12-09 0
0.033 0.003 14.77 0.4 0.033

Cash Management Bills
Last 10 Auctions
0.15 99.976667 15.15 4.31 0.152
0.145 99.977444 26.33 4.85 0.147
0.095 99.985486 9.4 4.7 0.096
0.125 99.980556 9.52 4.28 0.127
0.16 99.975556 38.21 4.39 0.162
0.155 99.975889 18.28 4.59 0.157
0.14 99.997278 28.07 5.14 0.142
0.125 99.980556 10.84 4.43 0.127
0.125 99.980556 8.46 4.18 0.127
0.13 99.979778 12.43 4.25 0.132
Min. :0.0950 Min. : 99.98 Min. : 8.46 Min. :4.180 Min. :0.0960
1st Qu.:0.1250 1st Qu.: 99.98 1st Qu.: 9.85 1st Qu.:4.287 1st Qu.:0.1270

Historical Data
Maximum Minimum
2008-04-08 2.29 2009-12-30 0
2008-12-30 56.63 2008-09-08 0
2009-12-30 6.66 2008-09-19 1.87
2008-04-08 2.323 2009-12-30 0
0.019 0.006 10.031 0.306 0.019

TIPS (All)
Last 10 Auctions
0.769 104.115658 47.76 3.1 1.25
1.43 99.489212 40.66 2.65 1.375
2.229 97.667212 42.43 2.45 2.125
1.709 97.219605 37.47 3.43 1.375
0.55 99.767648 23.14 3.15 0.5
1.295 99.579194 51.89 2.88 1.25
1.768 109.086149 38.93 2.78 2.125
1.019 102.109188 46.63 2.8 1.25
-0.55 105.508607 39.37 2.84 0.5
0.409 108.103581 57.74 2.91 1.25
Min. :-0.5500 Min. : 97.22 Min. :23.14 Min. :2.450 Min. :0.500
1st Qu.: 0.6048 1st Qu.: 99.51 1st Qu.:39.04 1st Qu.:2.785 1st Qu.:1.250
Median : 1.1570 Median :100.94 Median :41.55 Median :2.860 Median :1.250
Mean : 1.0628 Mean :102.26 Mean :42.60 Mean :2.899 Mean :1.300
3rd Qu.: 1.6393 3rd Qu.:105.16 3rd Qu.:47.48 3rd Qu.:3.053 3rd Qu.:1.375
Max. : 2.2290 Max. :109.09 Max. :57.74 Max. :3.430 Max. :2.125

Historical Data
Maximum Minimum
2008-10-27 3.27 2010-10-25 -0.55
2010-11-04 57.74 2010-04-26 23.14
2010-04-05 3.43 2008-07-22 1.58
2009-01-26 2.5 2010-04-26 0.5
0.806 4.247 9.375 0.274 0.544

5Y TIPS Detail
0.745 99.5609 32.63 2.2 0.625
3.27 92.380436 23.7 1.81 0.625
1.278 100.113235 26.55 2.66 1.25
0.769 104.115658 47.76 3.1 1.25
0.55 99.767648 23.14 3.15 0.5
-0.55 105.508607 39.37 2.84 0.5
10Y TIPS Detail
1.25 104.353623 29.49 2.11 1.625
1.485 98.981282 36.95 1.83 1.375
2.85 89.111177 47.53 2.22 1.375
2.245 98.930505 47.26 2.48 2.125
1.589 103.325496 26.15 2.25 2.125
1.92 99.592335 49.67 2.51 1.875
1.51 104.288697 44.01 3.12 1.875
1.43 99.489212 40.66 2.65 1.375
1.709 97.219605 37.47 3.43 1.375
1.295 99.579194 51.89 2.88 1.25
1.019 102.109188 46.63 2.8 1.25
0.409 108.103581 57.74 2.91 1.25

20Y TIPS Detail
2.219 95.749964 43.06 1.58 1.75
2.5 99.063837 53.99 1.92 2.5
2.387 101.340316 47.81 2.27 2.5
30Y TIPS Detail
2.229 97.667212 42.43 2.45 2.125
1.768 109.086149 38.93 2.78 2.125
The information contained in this document should not be considered investment advice or an offer to buy or sell any
security. For informational purposes only. While the data is obtained from sources believed to be accurate, the author is not
responsible for errors or omissions.

30Y Bond Auction Results
50
Indirect Bidder Rate
40
30
20
May 08 Feb 09 Jun 09 Sep 09 Dec 09 Mar 10 Jun 10 Sep 10 Dec 10

2.8
Bid To Cover Ratio
2.6
2.4
Legend
2.2
Current
Previous Avg.
2.0
May 08 Feb 09 Jun 09 Sep 09 Dec 09 Mar 10 Jun 10 Sep 10 Dec 10

50
40
30
20
May 08 Jan 09 Jul 09 Jan 10 Jul 10 Dec 10

3.5
Bid To Cover Ratio
3.0
Legend
2.5
Current
Previous Avg.
May 08 Jan 09 Jul 09 Jan 10 Jul 10 Dec 10

60
50
40
30
Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10 Aug 10 Nov 10

3.0
Bid To Cover Ratio
2.8
2.6
2.4
Legend
Current
2.2
Previous Avg.
Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10 Aug 10 Nov 10

60
50
40
30
20
Apr 08 Jan 09 Jul 09 Jan 10 Jul 10 Nov 10

2.8
Bid To Cover Ratio
2.4
Legend
2.0
Current
Previous Avg.
1.6

70
60
50
40
30
Nov 08 Feb 09 Jun 09 Sep 09 Dec 09 Apr 10 Jul 10 Oct 10

3.2
Bid To Cover Ratio
3.0
2.8
2.6
Legend
2.4
Current
Previous Avg.
2.2
Nov 08 Feb 09 Jun 09 Sep 09 Dec 09 Apr 10 Jul 10 Oct 10

70
60
50
40
30

3.5
Bid To Cover Ratio
3.0
Legend
2.5
Current
Previous Avg.

52WK Bond Auction Results
70
60
50
40
30
20
10
Jun 08 Jan 09 Jul 09 Jan 10 Jul 10 Dec 10

4.5
Bid To Cover Ratio
4.0
3.5
Legend
3.0
Current
Previous Avg.
2.5
Jun 08 Jan 09 Jul 09 Jan 10 Jul 10 Dec 10

70
60
50
40
30
20
2008-04-14 2009-01-05 2009-07-06 2010-01-11 2010-12-20

4.5
Bid To Cover Ratio
4.0
3.5
3.0
Legend
2.5
Current
Previous Avg.
2.0
2008-04-14 2009-01-05 2009-07-06 2010-01-11 2010-12-20

60
50
40
30
20
10
2008-04-07 2009-01-05 2009-07-06 2010-01-04 2010-07-06

5.0
4.5
Bid To Cover Ratio
4.0
3.5
Legend
3.0
Current
Previous Avg.
2.5
2008-04-07 2009-01-05 2009-07-06 2010-01-04 2010-07-06

60
50
40
30
20
10
2008-04-08 2009-01-06 2009-07-07 2010-01-05 2010-12-21

6
Bid To Cover Ratio
5
4
Legend
Current
3
Previous Avg.
2008-04-08 2009-01-06 2009-07-07 2010-01-05 2010-12-21

CM Bills Bond Auction Results
50
40
30
20
10
0
2008-04-08 2009-01-07 2010-02-03 2010-07-07 2010-12-22

6
Bid To Cover Ratio
5
4
Legend
3
Current
Previous Avg.
2
2008-04-08 2009-01-07 2010-02-03 2010-07-07 2010-12-22

US Bond Auction W-Charts - Dec 2010

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US Bond Auction Statistics

December 22, 2010

Upcoming Auctions At A Glance

Bond Auction Results (Historical) ......................................................................................................................................................2

26 Week Bill ................................................................................................................................................................................. 16

4 Week Bill ................................................................................................................................................................................... 20

Generated on 12/22/2010 9:07 PM using R/Sword

HighYield HighPrice IndirBidPercent BidToCover Coupon

4.679 99.128159 23.92 2.89 4.625

4.77 97.692939 36.85 2.73 4.625

4.49 98.114367 32.51 2.6 4.375

4.182 103.270808 36.03 2.87 4.375

4.08 105.053815 37.44 2.89 4.375

3.954 98.619129 46.04 2.77 3.875

3.82 100.97053 36.09 2.73 3.875

3.852 100.397647 32.36 2.49 3.875

4.32 98.829162 38.4 2.31 4.25

4.41 97.349324 49.46 2.74 4.25

Last 10 Auctions Statistics

HighYield HighPrice IndirBidPercent BidToCover Coupon

Generated on 12/22/2010 9:07 PM using R/Sword

Start Date: [1] "2008-05-08", Last Auction: [1] "2010-12-09"

Auction Standard Deviations (Last 10)

HighYield HighPrice IndirBidPercent BidToCover Coupon

0.334 2.522 7.099 0.187 0.289

Generated on 12/22/2010 9:07 PM using R/Sword

HighYield HighPrice IndirBidPercent BidToCover Coupon

3.735 99.090493 35.14 3.45 3.625

3.9 97.763192 43.11 3.72 3.625

3.548 99.598723 41.85 2.96 3.5

3.242 102.169092 40.15 3.24 3.5

3.119 103.199671 41.66 3.09 3.5

2.73 99.086655 45.82 3.04 2.625

2.67 99.607796 54.73 3.21 2.625

2.475 101.298742 41.51 2.99 2.625

2.636 99.903856 56.6 2.8 2.625

3.34 94.002822 44.38 2.92 2.625

Last 10 Auctions Statistics

HighYield HighPrice IndirBidPercent BidToCover Coupon

Generated on 12/22/2010 9:07 PM using R/Sword

Start Date: [1] "2008-05-07", Last Auction: [1] "2010-12-08"

Auction Standard Deviations (Last 10)

HighYield HighPrice IndirBidPercent BidToCover Coupon

0.498 2.533 6.543 0.275 0.49

Generated on 12/22/2010 9:07 PM using R/Sword

HighYield HighPrice IndirBidPercent BidToCover Coupon

3.078 99.512216 40.33 2.98 3

3.374 99.23261 41.87 2.61 3.25

3.21 99.470887 59.5 2.82 3.125

2.815 99.589671 51.11 2.88 2.75

2.575 99.522396 51 3.01 2.5

2.394 99.87815 42.25 2.78 2.375

1.989 99.258493 56.68 2.98 1.875

1.89 99.902081 50.24 3.04 1.875

1.97 99.381826 50.22 3.06 1.875

2.253 99.980673 42.2 2.63 2.25

Last 10 Auctions Statistics

HighYield HighPrice IndirBidPercent BidToCover Coupon

Generated on 12/22/2010 9:07 PM using R/Sword

Auction Standard Deviations (Last 10)

HighYield HighPrice IndirBidPercent BidToCover Coupon

0.544 0.266 6.637 0.165 0.529

Generated on 12/22/2010 9:07 PM using R/Sword

HighYield HighPrice IndirBidPercent BidToCover Coupon