25 Nov 2019

Using Treasury Direct API to Look at Treasury Auctions

For my analysis of central bank monetary policy I wanted to look at the impact that higher debt levels and lower yields were having on Treasury auctions.

The go to source for this info is TreasuryDirect.Gov. Like most things the government produces, it is a well-meaning and publicly-accessible good, but it lacks the bells and whistles of a private sector website.

I wanted to get a time series of the bid-to-cover ratio which is the amount of bids submitted in dollars compared to the amount of debt that was being sold. However, I was unable to find this data easy to procure.

The site does have an auction query editor but it is some kind of widget and I found it somewhat difficult to scrape with my rudimentary scraping skills (if you know how to do it, would love to know). Since there’s only ~8k records and you can download 1000 at a time, I thought I would suck it up and do the thing I hate most, a manual process.

I’ve made the list of CUSIPs available here

After downloading and compiling the basic CUSIP data, I wanted to get extended information about each respective auction. Thankfully treasurydirect provides an API for that. The API takes in a CUSIP and issue date and returns the following data:

{'cusip': '9128272D3',
 'issueDate': '1996-12-31T00:00:00',
 'securityType': 'Note',
 'securityTerm': '2-Year',
 'maturityDate': '1998-12-31T00:00:00',
 'interestRate': '5.750000',
 'refCpiOnIssueDate': '',
 'refCpiOnDatedDate': '',
 'announcementDate': '1996-12-11T00:00:00',
 'auctionDate': '1996-12-18T00:00:00',
 'auctionDateYear': '1996',
 'datedDate': '',
 'accruedInterestPer1000': '0E-10',
 'accruedInterestPer100': '',
 'adjustedAccruedInterestPer1000': '',
 'adjustedPrice': '',
 'allocationPercentage': '16.000000',
 'allocationPercentageDecimals': '0',
 'announcedCusip': '',
 'auctionFormat': 'Single-Price',
 'averageMedianDiscountRate': '',
 'averageMedianInvestmentRate': '',
 'averageMedianPrice': '0.000',
 'averageMedianDiscountMargin': '',
 'averageMedianYield': '5.850000',
 'backDated': 'No',
 'backDatedDate': '',
 'bidToCoverRatio': '',
 'callDate': '',
 'callable': 'No',
 'calledDate': '',
 'cashManagementBillCMB': 'No',
 'closingTimeCompetitive': '',
 'closingTimeNoncompetitive': '',
 'competitiveAccepted': '',
 'competitiveBidDecimals': '3',
 'competitiveTendered': '',
 'competitiveTendersAccepted': '',
 'corpusCusip': '',
 'cpiBaseReferencePeriod': '',
 'currentlyOutstanding': '',
 'directBidderAccepted': '',
 'directBidderTendered': '',
 'estimatedAmountOfPubliclyHeldMaturingSecuritiesByType': '',
 'fimaIncluded': '',
 'fimaNoncompetitiveAccepted': '',
 'fimaNoncompetitiveTendered': '',
 'firstInterestPeriod': 'Normal',
 'firstInterestPaymentDate': '1997-06-30T00:00:00',
 'floatingRate': 'No',
 'frnIndexDeterminationDate': '',
 'frnIndexDeterminationRate': '',
 'highDiscountRate': '',
 'highInvestmentRate': '',
 'highPrice': '99.769',
 'highDiscountMargin': '',
 'highYield': '5.8740',
 'indexRatioOnIssueDate': '',
 'indirectBidderAccepted': '',
 'indirectBidderTendered': '',
 'interestPaymentFrequency': 'Semi-Annual',
 'lowDiscountRate': '',
 'lowInvestmentRate': '',
 'lowPrice': '0.000',
 'lowDiscountMargin': '',
 'lowYield': '5.800000',
 'maturingDate': '1996-12-31T00:00:00',
 'maximumCompetitiveAward': '',
 'maximumNoncompetitiveAward': '',
 'maximumSingleBid': '',
 'minimumBidAmount': '',
 'minimumStripAmount': '',
 'minimumToIssue': '',
 'multiplesToBid': '',
 'multiplesToIssue': '',
 'nlpExclusionAmount': '',
 'nlpReportingThreshold': '',
 'noncompetitiveAccepted': '',
 'noncompetitiveTendersAccepted': '',
 'offeringAmount': '18250000000',
 'originalCusip': '',
 'originalDatedDate': '',
 'originalIssueDate': '',
 'originalSecurityTerm': '2-Year',
 'pdfFilenameAnnouncement': '',
 'pdfFilenameCompetitiveResults': '',
 'pdfFilenameNoncompetitiveResults': '',
 'pdfFilenameSpecialAnnouncement': '',
 'pricePer100': '99.769',
 'primaryDealerAccepted': '',
 'primaryDealerTendered': '',
 'reopening': 'No',
 'securityTermDayMonth': '0-Month',
 'securityTermWeekYear': '2-Year',
 'series': 'AN-1998',
 'somaAccepted': '',
 'somaHoldings': '',
 'somaIncluded': '',
 'somaTendered': '',
 'spread': '',
 'standardInterestPaymentPer1000': '28.7500',
 'strippable': '',
 'term': '2-Year',
 'tiinConversionFactorPer1000': '',
 'tips': 'No',
 'totalAccepted': '20575058000',
 'totalTendered': '42958658000',
 'treasuryDirectAccepted': '',
 'treasuryDirectTendersAccepted': '',
 'type': 'Note',
 'unadjustedAccruedInterestPer1000': '',
 'unadjustedPrice': '',
 'updatedTimestamp': '2013-12-12T14:22:36',
 'xmlFilenameAnnouncement': '',
 'xmlFilenameCompetitiveResults': '',
 'xmlFilenameSpecialAnnouncement': ''}

I first loaded the data into a pandas dataframe then transformed each CUSIP/Issue date column into a url format that is required by the API like so: I fed the API a list of CUSIPs that I downloaded

df = pd.read_csv('/treasuries.csv')

def url_gen(cusip,auc_date):
    url = '/securities/{}/{}'.format(cusip,auc_date)
    return url

urls = []
for i in range(0,len(new_df)):
    temp_url = url_gen(new_df['CUSIP'][i],new_df['Issue Date'][i])
    urls.append(temp_url)

Finally, for each url in my list of auction URLs, I utilized the requests library to get the data from each respective url, like so:

base_url = 'http://www.treasurydirect.gov/TA_WS'
treasuries = []

for i in urls:
    final_url = base_url + i
    try:
        ##enter your own data points from the API that you would like to return.
        r = requests.get(final_url).json()
        btc = r['bidToCoverRatio']
        cusip = r['cusip']
        issueDate = r['issueDate']
        #print([cusip,issueDate,btc])
        treasuries.append([cusip,issueDate,btc])

    except:
        pass

With the data stored as a list of lists, the last step is to create the output dataframe upon which further analysis can be done.

output_df = pd.DataFrame(treasuries,columns = ['CUSIP','Date','BTC'])

With this in hand, I was able to create the nice little visual below and chart the bid-to-cover ratio that I was looking for.


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