US Bond Auction Statistics April 12, 2011 | [email protected]

Upcoming Auctions At A Glance 4/13 – 10Y Note (Reopening) 4/14 – 30Y Bond (Reopening) 4/18 – 13 & 26 Week Bill 4/19 – 4 Week Bill 4/21 – 5Y TIPS 4/25 - 13 & 26 Week Bill 4/26 – 2Y Note, 4 Week Bill 4/27 – 5Y Note 4/28 – 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 4/12/2011 2:36 PM using R/Sword [email protected]

Bond Auction Results (Historical) 30 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

4.515

95.669689

37.78

2.67

4.25

4.75

100

43.08

2.51

4.75

4.569

102.929408

40.66

3.02

4.75

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

Min. :3.820

Min. : 95.67

Min. :32.36

Min. :2.310

Min. :3.875

1st Qu.:3.986

1st Qu.: 98.67

1st Qu.:36.43

1st Qu.:2.550

1st Qu.:3.969

Median :4.251

Median :100.20

Median :38.09

Median :2.735

Median :4.250

Mean :4.245

Mean :100.31

Mean :39.73

Mean :2.700

Mean :4.263

3rd Qu.:4.489

3rd Qu.:102.44

3rd Qu.:42.48

3rd Qu.:2.845

3rd Qu.:4.375

Max. :4.750

Max. :105.05

Max. :49.46

Max. :3.020

Max. :4.750

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

BidToCover

Coupon

Historical Information Start Date: [1] "2008-05-08", Last Auction: [1] "2011-03-10" Maximum HighYield 2010-04-08 4.77 IndirBidPercent 2009-07-09 50.21 BidToCover 2011-03-10 3.02 Coupon 2011-02-10 4.75

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.319

2.868

5.149

0.213

0.325

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2009-02-12 3.54 IndirBidPercent 2008-05-08 12.65 BidToCover 2009-02-12 2.02 Coupon 2009-02-12 3.5

10 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

3.388

93.664061

53.56

3.3

2.625

3.665

99.667623

71.29

3.23

3.625

3.499

101.044608

53.02

3.32

3.625

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

Min. :2.475

Min. : 93.66

Min. :40.15

Min. :2.800

Min. :2.625

1st Qu.:2.685

1st Qu.: 99.22

1st Qu.:42.34

1st Qu.:3.002

1st Qu.:2.625

Median :3.180

Median : 99.79

Median :49.42

Median :3.150

Median :2.625

Mean :3.076

Mean : 99.36

Mean :50.27

Mean :3.114

Mean :3.000

3rd Qu.:3.376

3rd Qu.:101.24

3rd Qu.:54.44

3rd Qu.:3.237

3rd Qu.:3.500

Max. :3.665

Max. :103.20

Max. :71.29

Max. :3.320

Max. :3.625

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

BidToCover

Coupon

Historical Information Start Date: [1] "2008-05-07", Last Auction: [1] "2011-03-09" Maximum HighYield 2008-06-12 4.225 IndirBidPercent 2011-02-09 71.29 BidToCover 2010-04-07 3.72 Coupon 2008-08-06 4

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.417

3.178

9.591

0.174

0.486

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2009-01-08 2.419 IndirBidPercent 2008-12-11 12.74 BidToCover 2009-03-11 2.14 Coupon 2010-08-11 2.625

7 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

2.83

99.495202

64.21

2.86

2.75

2.744

99.246792

52.14

2.85

2.625

2.854

99.344326

49.66

2.86

2.75

2.895

99.874094

49.41

2.79

2.875

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

Min. :1.890

Min. :99.25

Min. :42.20

Min. :2.630

Min. :1.875

1st Qu.:2.055

1st Qu.:99.35

1st Qu.:49.47

1st Qu.:2.805

1st Qu.:1.969

Median :2.485

Median :99.51

Median :50.23

Median :2.860

Median :2.438

Mean :2.439

Mean :99.59

Mean :50.80

Mean :2.886

Mean :2.375

3rd Qu.:2.808

3rd Qu.:99.88

3rd Qu.:51.85

3rd Qu.:3.002

3rd Qu.:2.719

Max. :2.895

Max. :99.98

Max. :64.21

Max. :3.060

Max. :2.875

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

BidToCover

Coupon

Historical Information Start Date: [1] "2009-02-26", Last Auction: [1] "2011-03-30" Maximum HighYield 2010-03-25 3.374 IndirBidPercent 2009-06-25 67.17 BidToCover 2010-10-28 3.06 Coupon 2009-05-28 3.25

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.395

0.29

6.387

0.136

0.391

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-09-29 1.89 IndirBidPercent 2009-03-26 28.04 BidToCover 2009-02-26 2.11 Coupon 2010-08-26 1.875

5 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

2.149

99.886797

35.56

2.61

2.125

2.041

99.806052

44.95

2.97

2

2.19

99.693745

34.17

2.69

2.125

2.26

99.952972

42.41

2.79

2.25

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

Min. :1.260

Min. :99.40

Min. :31.50

Min. :2.580

Min. :1.250

1st Qu.:1.383

1st Qu.:99.63

1st Qu.:34.81

1st Qu.:2.660

1st Qu.:1.281

Median :1.895

Median :99.79

Median :40.93

Median :2.805

Median :1.812

Mean :1.781

Mean :99.73

Mean :41.08

Mean :2.796

Mean :1.725

3rd Qu.:2.122

3rd Qu.:99.87

3rd Qu.:46.70

3rd Qu.:2.928

3rd Qu.:2.094

Max. :2.260

Max. :99.95

Max. :50.77

Max. :3.060

Max. :2.250

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

BidToCover

Coupon

Historical Information Start Date: [1] "2008-04-24", Last Auction: [1] "2011-03-29" Maximum HighYield 2008-05-29 3.52 IndirBidPercent 2009-06-24 62.79 BidToCover 2010-07-28 3.06 Coupon 2008-05-29 3.5

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.398

0.198

7.038

0.164

0.407

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-09-28 1.26 IndirBidPercent 2008-05-29 16.46 BidToCover 2008-04-24 1.65 Coupon 2010-08-25 1.25

3 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

1.027

99.920611

39.36

3.06

1

1.349

99.709887

27.59

3.01

1.25

1.298

99.859215

34.36

3.22

1.25

1.28

99.911982

33.7

3.25

1.25

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.5690

Min. :99.67

Min. :27.59

Min. :2.910

Min. :0.500

1st Qu.:0.8035

1st Qu.:99.74

1st Qu.:33.87

1st Qu.:3.022

1st Qu.:0.750

Median :0.9445

Median :99.82

Median :35.83

Median :3.205

Median :0.875

Mean :0.9649

Mean :99.81

Mean :35.91

Mean :3.138

Mean :0.900

3rd Qu.:1.2237

3rd Qu.:99.88

3rd Qu.:40.22

3rd Qu.:3.243

3rd Qu.:1.188

Max. :1.3490

Max. :99.92

Max. :42.36

Max. :3.310

Max. :1.250

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Information Start Date: [1] "2008-11-10", Last Auction: [1] "2011-04-12" Maximum HighYield 2009-06-09 1.96 IndirBidPercent 2009-08-11 62.47 BidToCover 2010-08-10 3.31 Coupon 2009-06-09 1.875

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.286

0.088

4.975

0.142

0.293

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-10-12 0.569 IndirBidPercent 2011-02-08 27.59 BidToCover 2008-12-10 2.15 Coupon 2010-10-12 0.5

2 Year Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

0.74

99.772112

22.57

3.71

0.625

0.65

99.950404

26.97

3.47

0.625

0.745

99.762218

31.34

3.03

0.625

0.789

99.922763

32.97

3.16

0.75

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.4000

Min. :99.76

Min. :22.57

Min. :3.030

Min. :0.3750

1st Qu.:0.5035

1st Qu.:99.77

1st Qu.:29.77

1st Qu.:3.203

1st Qu.:0.4062

Median :0.6575

Median :99.89

Median :32.90

Median :3.440

Median :0.6250

Mean :0.6186

Mean :99.86

Mean :33.46

Mean :3.418

Mean :0.5500

3rd Qu.:0.7395

3rd Qu.:99.94

3rd Qu.:38.84

3rd Qu.:3.643

3rd Qu.:0.6250

Max. :0.7890

Max. :99.96

Max. :41.43

Max. :3.780

Max. :0.7500

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Information Start Date: [1] "2008-04-23", Last Auction: [1] "2011-03-28" Maximum HighYield 2008-06-24 2.922 IndirBidPercent 2009-06-23 68.74 BidToCover 2010-09-27 3.78 Coupon 2008-06-24 2.875

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.142

0.088

6.181

0.261

0.134

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-10-26 0.4 IndirBidPercent 2008-05-28 22.43 BidToCover 2008-11-24 2.08 Coupon 2010-08-24 0.375

52 Week Bills Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

0.275

99.721944

32.66

5.34

0.279

0.305

99.691611

22.36

4.72

0.31

0.26

99.737111

39.15

4.89

0.265

0.28

99.716889

8.5

3.7

0.285

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.2250

Min. :99.69

Min. : 8.50

Min. :3.700

Min. :0.2290

1st Qu.:0.2612

1st Qu.:99.71

1st Qu.:30.54

1st Qu.:4.263

1st Qu.:0.2660

Median :0.2775

Median :99.72

Median :32.12

Median :4.565

Median :0.2815

Mean :0.2740

Mean :99.72

Mean :31.09

Mean :4.508

Mean :0.2785

3rd Qu.:0.2913

3rd Qu.:99.74

3rd Qu.:35.02

3rd Qu.:4.787

3rd Qu.:0.2963

Max. :0.3050

Max. :99.77

Max. :46.47

Max. :5.340

Max. :0.3100

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Information Start Date: [1] "2008-06-03", Last Auction: [1] "2011-04-05" Maximum HighYield 2008-07-01 2.295 IndirBidPercent 2009-07-28 68.35 BidToCover 2011-01-11 5.34 Coupon 2008-07-01 2.368

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.023

0.023

10.09

0.479

0.023

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-10-19 0.225 IndirBidPercent 2011-04-05 8.5 BidToCover 2008-08-26 2.34 Coupon 2010-10-19 0.229

26 Week Bill Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.175

99.911528

37

4.61

0.178

0.165

99.916583

25.9

4.72

0.167

0.155

99.921639

34.02

4.29

0.157

0.17

99.914056

45.31

4.52

0.173

0.155

99.921639

30.4

4.55

0.158

0.135

99.93175

20.44

4.51

0.137

0.15

99.924167

33.63

4.61

0.153

0.17

99.914056

48.34

4.69

0.173

0.13

99.934278

27.57

4.4

0.132

0.11

99.944389

43.66

4.45

0.112

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.1100

Min. :99.91

Min. :20.44

Min. :4.290

Min. :0.1120

1st Qu.:0.1388

1st Qu.:99.91

1st Qu.:28.28

1st Qu.:4.465

1st Qu.:0.1410

Median :0.1550

Median :99.92

Median :33.83

Median :4.535

Median :0.1575

Mean :0.1515

Mean :99.92

Mean :34.63

Mean :4.535

Mean :0.1540

3rd Qu.:0.1688

3rd Qu.:99.93

3rd Qu.:41.99

3rd Qu.:4.610

3rd Qu.:0.1715

Max. :0.1750

Max. :99.94

Max. :48.34

Max. :4.720

Max. :0.1780

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Data Start Date: [1] "2008-04-14", Last Auction: [1] "2011-04-11" Maximum HighYield 2008-06-16 2.35 IndirBidPercent 2009-09-28 73.15 BidToCover 2011-01-24 5.16 Coupon 2008-06-16 2.411

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.021

0.011

9.042

0.132

0.021

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2011-04-11 0.11 IndirBidPercent 2009-04-20 17.25 BidToCover 2008-04-21 1.98 Coupon 2011-04-11 0.112

13 Week Bill Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.15

99.962083

38.7

4.72

0.152

0.13

99.967139

27.35

4.56

0.132

0.11

99.972194

24.63

4.14

0.112

0.145

99.963347

27.08

4.18

0.147

0.11

99.972194

44.52

4.43

0.112

0.09

99.97725

15.6

4.38

0.092

0.095

99.975986

21.04

4.54

0.097

0.1

99.974722

29.2

4.44

0.102

0.05

99.987361

26.28

4.34

0.051

0.05

99.987361

14.17

4.18

0.051

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.05000

Min. :99.96

Min. :14.17

Min. :4.140

Min. :0.05100

1st Qu.:0.09125

1st Qu.:99.97

1st Qu.:21.94

1st Qu.:4.220

1st Qu.:0.09325

Median :0.10500

Median :99.97

Median :26.68

Median :4.405

Median :0.10700

Mean :0.10300

Mean :99.97

Mean :26.86

Mean :4.391

Mean :0.10480

3rd Qu.:0.12500

3rd Qu.:99.98

3rd Qu.:28.74

3rd Qu.:4.515

3rd Qu.:0.12700

Max. :0.15000

Max. :99.99

Max. :44.52

Max. :4.720

Max. :0.15200

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Data Start Date: [1] "2008-04-07", Last Auction: [1] "2011-04-11" Maximum HighYield 2008-06-16 2.05 IndirBidPercent 2009-08-03 60.89 BidToCover 2010-08-30 4.95 Coupon 2008-06-16 2.089

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.034

0.009

9.338

0.188

0.035

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2008-12-08 0.005 IndirBidPercent 2009-12-28 10.3 BidToCover 2008-09-15 2.33 Coupon 2008-12-08 0.005

4 Week Bill Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.135

99.9895

22.26

4.47

0.137

0.1

99.992222

22.88

4.55

0.101

0.12

99.990667

19.07

4.15

0.122

0.135

99.9895

16.83

4.22

0.137

0.07

99.994556

22.31

3.82

0.071

0.06

99.995333

22.84

4.46

0.061

0.075

99.994167

10.83

4.14

0.076

0.045

99.9965

26.89

4.03

0.046

0.05

99.996111

38.15

3.97

0.051

0.025

99.998056

41.15

4.55

0.025

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.0250

Min. : 99.99

Min. :10.83

Min. :3.820

Min. :0.0250

1st Qu.:0.0525

1st Qu.: 99.99

1st Qu.:19.87

1st Qu.:4.058

1st Qu.:0.0535

Median :0.0725

Median : 99.99

Median :22.57

Median :4.185

Median :0.0735

Mean :0.0815

Mean : 99.99

Mean :24.32

Mean :4.236

Mean :0.0827

3rd Qu.:0.1150

3rd Qu.:100.00

3rd Qu.:25.89

3rd Qu.:4.468

3rd Qu.:0.1168

Max. :0.1350

Max. :100.00

Max. :41.15

Max. :4.550

Max. :0.1370

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Data Start Date: [1] "2008-04-08", Last Auction: [1] "2011-04-12" Maximum HighYield 2008-06-10 1.99 IndirBidPercent 2009-10-06 61.23 BidToCover 2010-01-12 6.63 Coupon 2008-06-09 1.885

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.039

0.003

9.185

0.259

0.04

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2008-12-09 0 IndirBidPercent 2010-12-21 5.82 BidToCover 2008-07-22 2.35 Coupon 2008-12-09 0

Cash Management Bills Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.125

99.980556

8.46

4.18

0.127

0.13

99.979778

12.43

4.25

0.132

0.12

99.981333

17.58

4.67

0.122

0.14

99.978222

9.93

4.66

0.142

0.155

99.975889

7.01

4.63

0.157

0.16

99.975111

19.59

4.65

0.162

0.16

99.975111

8.74

4.75

0.162

0.125

99.982986

21.62

4.75

0.127

0.125

99.982986

34.32

5.11

0.127

0.055

99.991444

7.51

6.79

0.056

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :0.0550

Min. : 99.98

Min. : 7.01

Min. :4.180

Min. :0.0560

1st Qu.:0.1250

1st Qu.: 99.98

1st Qu.: 8.53

1st Qu.:4.635

1st Qu.:0.1270

Median :0.1275

Median : 99.98

Median :11.18

Median :4.665

Median :0.1295

Mean :0.1295

Mean : 99.98

Mean :14.72

Mean :4.844

Mean :0.1314

3rd Qu.:0.1512

3rd Qu.: 99.98

3rd Qu.:19.09

3rd Qu.:4.750

3rd Qu.:0.1532

Max. :0.1600

Max. : 99.99

Max. :34.32

Max. :6.790

Max. :0.1620

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Data Start Date: [1] "2008-04-08", Last Auction: [1] "2011-03-23" Maximum HighYield 2008-04-08 2.29 IndirBidPercent 2008-12-30 56.63 BidToCover 2011-03-23 6.79 Coupon 2008-04-08 2.323

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.03

0.005

8.681

0.732

0.031

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2009-12-30 0 IndirBidPercent 2008-09-08 0 BidToCover 2008-09-19 1.87 Coupon 2009-12-30 0

TIPS (All) Last 10 Auctions

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

1.17

99.599898

37.94

2.37

1.125

2.19

98.655406

55.21

2.54

2.125

0.92

102.58455

25.2

2.97

1.125

Last 10 Auctions Statistics

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

Min. :-0.5500

Min. : 97.22

Min. :23.14

Min. :2.370

Min. :0.500

1st Qu.: 0.6425

1st Qu.: 99.58

1st Qu.:37.59

1st Qu.:2.785

1st Qu.:1.125

Median : 1.0945

Median :100.94

Median :39.15

Median :2.860

Median :1.250

Mean : 1.0480

Mean :102.22

Mean :41.35

Mean :2.867

Mean :1.262

3rd Qu.: 1.6055

3rd Qu.:104.78

3rd Qu.:50.58

3rd Qu.:2.955

3rd Qu.:1.344

Max. : 2.1900

Max. :109.09

Max. :57.74

Max. :3.430

Max. :2.125

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Historical Data Start Date: [1] "2008-04-10", Last Auction: [1] "2011-03-24" Maximum HighYield 2008-10-27 3.27 IndirBidPercent 2010-11-04 57.74 BidToCover 2010-04-05 3.43 Coupon 2009-01-26 2.5

High Yield Indirect Bid Percent Bid To Cover Coupon

Auction Standard Deviations (Last 10)

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

0.786

4.086

11.684

0.294

0.548

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

Minimum HighYield 2010-10-25 -0.55 IndirBidPercent 2010-04-26 23.14 BidToCover 2008-07-22 1.58 Coupon 2010-04-26 0.5

5Y TIPS Detail

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

1.17

99.599898

37.94

2.37

1.125

0.92

102.58455

25.2

2.97

1.125

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

20Y TIPS Detail

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

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

HighYield

HighPrice

IndirBidPercent

BidToCover

Coupon

2.229

97.667212

42.43

2.45

2.125

1.768

109.086149

38.93

2.78

2.125

2.19

98.655406

55.21

2.54

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.

Generated on 4/12/2011 2:36 PM using R/Sword [email protected]

30 Year Auction

7 Year Auction ●

2.4

● ● ●

3.2

●

3.0

●

● ●

● ●

●

● ●

2.2

●

● ● ●

●

●

2.2

●

2.2

●

● ●

●

●

4.0

4.2

4.4

4.6

4.8

2.0

●

2.5

3.0

0.6

0.8

1.0

1.2

1.4

1.6

Yield

Yield

Yield

10 Year Auction

5 Year Auction

2 Year Auction

●

● ●

●

●

●

● ●

●

●

●● ● ● ● ●

● ● ● ● ●●

● ●

●

● ● ●

●

● ●

● ●

●

● ● ●

● ●● ●

●

● ● ●

● ● ●

● ●

1.8

●

●

● ●

2.5

●

2.0

●

●

●

●

● ●

●

●

●

3.0

2.6

●

● ●

●

●

●

2.4

● ●

●

3.5

●

2.2

●

●

● ●●

●

Bid To Cover

●

2.0

●

●

●

●

● ●

●

●

● ● ●

●

2.8

●

1.8

● ●

Bid To Cover

3.5

3.0

●

2.5

● ●

2.4

●

2.0

● ● ●

●

●

3.8

● ●

2.4

●

●

●

●

●

2.6

Bid To Cover

2.6

●

●

●

●

●

● ●

●

●

●

●

3.6

●

● ●

2.8

● ● ●

●

3.0

●

2.6

●

● ●●

●

2.8

●

●

● ● ●

●

●

●

●

●

●

1.6

Bid To Cover

●

●

● ●

Bid To Cover

2.8

●

●

●

●

Bid To Cover

● ●

●

● ●

● ●

3.0

3.0

●

3 Year Auction

2.5

3.0

3.5

Yield

4.0

1.5

2.0

2.5

Yield

3.0

3.5

0.5

1.0

1.5

Yield

2.0

2.5

3.0

13 Week Auction 5

52 Week Auction

●

●● ●

●

●

● ●

● ● ●

●

●

● ●●

3.0

3

● ●● ●

●

● ● ● ● ●● ● ● ● ● ● ●● ● ● ●●● ● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ● ●● ● ● ● ● ● ● ●● ● ●● ● ●●●● ● ● ●● ● ●● ● ● ● ●● ●● ● ●● ● ● ● ●● ● ● ● ● ●● ● ● ● ● ●● ● ● ●● ●●● ●● ● ●● ● ● ● ● ● ●● ● ● ● ● ● ● ●

●

●

●

●

● ●

●

● ●

●

● ●

● ●

●

●

● ●

●

●

● ●● ● ●● ●

● ●● ● ●

●

●

2

4.0

●

4

● ●● ● ● ●

3.5

Bid To Cover

4.5

●

Bid To Cover

5.0

●

● ●

2.5

●

● ●

0.5

1.0

1.5

1

●

2.0

0.0

0.5

1.0

1.5

Yield

Yield

26 Week Auction

4 Week Auction ●

●

● ● ● ● ● ●

●

● ●●● ● ● ● ● ● ●● ● ● ●

● ● ● ●

0.5

1.0

1.5

Yield

●

●

● ●

●

3

●● ● ● ● ●● ● ● ●● ● ●●● ●● ● ● ●● ● ● ● ● ● ●●●● ●● ● ●

5

6 ●

4

Bid To Cover

4.0 3.5 3.0 2.5

● ●● ● ● ●● ● ● ● ● ● ● ● ● ● ● ● ●● ●● ●● ● ● ●●● ● ●● ● ● ● ● ● ●● ●● ● ● ● ● ● ● ●● ●● ● ●● ● ● ●● ● ● ●● ●●● ●● ● ● ● ●● ●●● ● ● ●● ●● ●●●

2.0

Bid To Cover

4.5

5.0

●

2.0

●

2.0

●● ●● ● ● ●● ● ●● ● ● ●● ● ● ● ● ●● ● ●● ● ● ● ●● ● ● ● ● ● ●● ● ● ●● ● ● ● ● ●● ●● ●●●● ● ● ● ●●●●● ● ● ●● ●● ● ● ● ● ●● ●● ● ●● ●● ● ● ● ● ●● ●●●●● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ● ●●●● ● ● ● ● ● ● ● ● ●

0.0

● ●

● ●

● ● ● ●● ●

●

● ●

0.5

●

1.0

Yield

●

1.5

● ● ● ●

● ●● ● ● ●

● ●

2.0

40 30 20

Indirect Bidder Rate

50

30Y Bond Auction Results

Mar 09

Aug 09

Dec 09

Apr 10 Jul 10 Oct 10

Feb 11

2.8 2.6 2.4 2.2

Legend Current Previous Avg.

2.0

Bid To Cover Ratio

3.0

May 08

May 08

Mar 09

Aug 09

Dec 09

Apr 10 Jul 10 Oct 10

Feb 11

60 50 40 30 20

Indirect Bidder Rate

70

10Y Bond Auction Results

Jul 09

Jan 10

Jul 10

Jan 11

3.0

3.5

Jan 09

Legend

2.5

Bid To Cover Ratio

May 08

Current Previous Avg.

May 08

Jan 09

Jul 09

Jan 10

Jul 10

Jan 11

60 50 40 30

Indirect Bidder Rate

7Y Bond Auction Results

Jun 09 Sep 09

Jan 10 Apr 10

Jul 10

Oct 10 Jan 11

2.8 2.6 2.4

Legend

2.2

Bid To Cover Ratio

3.0

Feb 09

Current Previous Avg.

Feb 09

Jun 09 Sep 09

Jan 10 Apr 10

Jul 10

Oct 10 Jan 11

50 40 30 20

Indirect Bidder Rate

60

5Y Bond Auction Results

Jul 09

Jan 10

Jul 10

Jan 11

2.4

2.8

Jan 09

2.0

Legend Current Previous Avg.

1.6

Bid To Cover Ratio

Apr 08

Apr 08

Jan 09

Jul 09

Jan 10

Jul 10

Jan 11

55 50 45 40 35 30

Indirect Bidder Rate

60

3Y Bond Auction Results

Jul 09

Dec 09

Apr 10

Aug 10

Dec 10

Apr 11

2.6

2.8

3.0

3.2

Mar 09

2.4

Legend Current Previous Avg.

2.2

Bid To Cover Ratio

Nov 08

Nov 08

Mar 09

Jul 09

Dec 09

Apr 10

Aug 10

Dec 10

Apr 11

60 50 40 30

Indirect Bidder Rate

70

2Y Bond Auction Results

Jul 09

Jan 10

Jul 10

Jan 11

3.0

3.5

Jan 09

Legend

2.5

Bid To Cover Ratio

Apr 08

Current Previous Avg.

Apr 08

Jan 09

Jul 09

Jan 10

Jul 10

Jan 11

60 50 40 30 20 10

Indirect Bidder Rate

70

52WK Bond Auction Results

Jul 09

Jan 10

Jul 10

Jan 11

3.5

4.0

4.5

5.0

Jan 09

3.0

Legend Current Previous Avg.

2.5

Bid To Cover Ratio

Jun 08

Jun 08

Jan 09

Jul 09

Jan 10

Jul 10

Jan 11

60 50 40 30 20

Indirect Bidder Rate

70

26WK Bond Auction Results

2009-01-05

2010-01-11

2.0 2.5 3.0 3.5 4.0 4.5 5.0

Bid To Cover Ratio

2008-04-14

2011-01-03

Legend Current Previous Avg.

2008-04-14

2009-01-05

2010-01-11

2011-01-03

50 40 30 20

2009-01-05

2010-01-04

2011-01-03

3.5

4.0

4.5

2008-04-07

3.0

Legend Current Previous Avg.

2.5

Bid To Cover Ratio

5.0

10

Indirect Bidder Rate

60

13WK Bond Auction Results

2008-04-07

2009-01-05

2010-01-04

2011-01-03

50 40 30 20 10

Indirect Bidder Rate

60

4WK Bond Auction Results

2010-01-05

2011-01-04

4

5

6

2009-01-06

Legend Current Previous Avg.

3

Bid To Cover Ratio

2008-04-08

2008-04-08

2009-01-06

2010-01-05

2011-01-04

50 45 40 35 30

Jul 08

Jan 09 Apr 09

Oct 09 Feb 10

Jul 10

Oct 10 Feb 11

2.5

3.0

Apr 08

Legend

2.0

Bid To Cover Ratio

3.5

25

Indirect Bidder Rate

55

US TIPS - ALL Bond Auction Results

Current Previous Avg.

Apr 08

Jul 08

Jan 09 Apr 09

Oct 09 Feb 10

Jul 10

Oct 10 Feb 11

40 30 20 10 0

Indirect Bidder Rate

50

CM Bills Bond Auction Results

2010-02-03

2011-01-05

4

5

6

2009-01-07

3

Legend Current Previous Avg.

2

Bid To Cover Ratio

2008-04-08

2008-04-08

2009-01-07

2010-02-03

2011-01-05