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New Data: U.S. - 8-week T-bill [UPDATED]
Friday, 11 Jan 2019 17:12 ET
By Phillip Thorne
Summary
October 2018 -- This month, the U.S. Department of the Treasury inaugurated a new maturity of U.S. government security, the 8-week Treasury bill. We will be adding an extract to Data Buffet. [Updated 10 January 2019.]
Detail

On 1 August, the source wrote (citation):

Per guidance at the May 2018 Quarterly Refunding, Treasury is announcing today its intention to begin auctioning a new benchmark 2-month (8-week) bill starting in October 2018.  Unlike Treasury’s traditional bill settlement day of Thursday, the new 2-month bill will settle on Tuesday.  The first auction for the 2-month bill will be announced on October 15, 2018.

And later (citation):

Effective Tuesday, October 16, 2018, with the inaugural auction of the new benchmark 8-week Treasury bill, Treasury plans to include 8-week bill rates in its input data set for the daily Treasury yield curve. Treasury also plans to add a 2-month CMT to the Daily Treasury Yield Curve Rates and 8-week bill rates to the Daily Treasury Bill Rates that it publishes.

With this addition, the maturity-spectrum of U.S. government debt (including CMTs, FRNs and TIPS) is 1, 2, 3, and 6 months, and 1, 2, 3, 5, 7, 10, 20 and 30 years, plus cash management bills (CMB) of varied maturity. All Data Buffet time series describing auction results have a native frequency of daily, regardless of the typical issuance cadence.

The inaugural issue (CUSIP 912796UD9) has a specific term of 54 days. It was announced on 15 October, auctioned on Tuesday 16 October, issued on 18 October, and matured on 11 December. Subsequent issues will be auctioned weekly on Thursday.

Dataset properties:

  • Measurements:
    • Thousands of U.S. dollars (Ths. USD)
    • Percent per annum (% p.a.)
    • Allotted percentage (%)
    • Days of maturity (Days)
    • Ratio (Ratio)
  • Adjustment: Not seasonally adjusted (NSA)
  • Native frequency: Business-daily
  • Sparse: Yes
  • Start date: 16 October 2018

The series reside in the historical catalog (United States » Financial » Federal government financing » Treasury auctions » 8-week T-bills) and include, for example:

  • PTBTTT8WD.IUSA = Treasury bills: 8-week - Total tendered - Competitive and non-competitive, (Ths. USD, NSA)
  • PTBPDA8WD.IUSA = Primary dealer - Accepted, (Ths. USD, NSA)
  • PTBDY8WD.IUSA  = Term, (Days, NSA)
  • PTBP8WD.IUSA   = Price per 100 USD, (USD, NSA)
  • IRTBIR8WD.IUSA = Investment rate, (% p.a., NSA)

Because catalog locations are subject to change, the upper-right search box on DataBuffet.com provides a "find in catalog" mode that accepts a mnemonic.

About our extract

U.S. Treasury securities are auctioned on a schedule that is usually, but not entirely, periodic; to record extra auctions of those tenors (for example, 13 instead of 12 within one year) we necessarily use a business-daily frequency, and for consistency we use that frequency across all tenors. You can reduce the series to a lower frequency using Data Buffet's controls, but because the time series are sparse, activate the "ignore missing periods" option.

References

See also

Updates

  • 22 Oct 2018 - Initial version
  • 10 Jan 201 - Regular harvest begins
Other
Related ReleaseTreasury auctions - 8-week T-Bills
SourceU.S. Bureau of Public Debt
FrequencyBusiness Daily
GeographyUnited States
Upcoming
Release DateReference date
27 Jun 201927 Jun 2019
03 Jul 201903 Jul 2019
11 Jul 201911 Jul 2019
18 Jul 201918 Jul 2019
25 Jul 201925 Jul 2019