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10-year TIPS auction of 24 March 2011 (reopening)

The 10-year TIPS sold $11.493 billion at a high real yield of 0.920% on , with a bid-to-cover ratio of 2.97.

Coupon
1.125%
Announced
Issued
Matures

Real yield

0.920%

Median real yield 0.870%

Bid-to-cover

2.97

▲ +0.60 since 20 Jan

Sold

$11.49 billion

$11 billion offered

Indirect bidders

25.2%

Of competitive bids accepted

Real yield at the last 36 10-year TIPS auctions

Real yield at each 10-year TIPS auction, %

Real yield at the last 36 10-year TIPS auctions36 auctions from 10 July 2002 to 24 March 2011; the latest at 0.920%.0.0%1.0%2.0%3.0%4.0%200320042005200620072008200920102011This auction, 0.920%Real yield at the last 36 10-year TIPS auctions36 auctions from 10 July 2002 to 24 March 2011; the latest at 0.920%.0.0%1.0%2.0%3.0%2006200720082009201020110.920%

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

The 36 auctions as a table
Real yield and bid-to-cover of the last 36 10-year TIPS auctions, newest first
AuctionReal yield, %Bid-to-cover
0.9202.97
1.1702.37
0.4092.91
1.0192.80
1.2952.88
1.7093.43
1.4302.65
1.5103.12
1.9202.51
1.5892.25
2.2452.48
2.8502.22
1.4851.83
1.2502.11
1.6551.90
2.3602.05
2.7491.97
2.2841.88
2.4491.67
2.4262.09
2.5501.76
2.4091.95
2.0251.85
1.9792.11
1.9391.68
1.7501.97
1.7251.88
1.8852.44
2.0201.89
1.8091.78
2.0191.95
2.2292.25
1.9992.18
2.3402.22
2.2601.36
3.0992.43

Against its own history

Against the previous 12 auctions of the 10-year TIPS
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.972.582 of 1210 of 12
High real yield0.9201.49811 of 121 of 12
Indirect bidders' share25.245.312 of 120 of 12
Direct bidders' share7.12.92 of 1210 of 12
Primary dealers' share67.753.61 of 1211 of 12
High minus median, basis points5.08.610 of 122 of 12

The table scrolls sideways; the first column stays in place.

  • Indirect bidders' share: Lowest of all 13 earlier 10-year TIPS auctions we hold.

Who bought the 10-year TIPS?

Primary dealers took 67.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 10-year TIPS auction, 20 January 2011

Primary dealers took 67.7% of the competitive bids acceptedIndirect bidders 25.2%, Direct bidders 7.1%, Primary dealers 67.7%Indirect bidders25.2%37.9%Direct bidders7.1%3.2%Primary dealers67.7%58.8%Primary dealers took 67.7% of the competitive bids acceptedIndirect bidders 25.2%, Direct bidders 7.1%, Primary dealers 67.7%Indirect bidders25.2%37.9%Direct bidders7.1%3.2%Primary dealers67.7%58.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders25.237.9
Direct bidders7.13.2
Primary dealers67.758.8

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as9-Year 10-Month, reopening
Offering amount$11,000,000,000
Bids received$33,181,748,800
Sold$11,493,334,800
Competitive bids accepted$10,931,886,000
Non-competitive bids accepted$68,150,400
Federal Reserve (SOMA) add-on$493,298,400
Foreign and international (FIMA) non-competitive$0
Real yield, %0.920
Median rate, %0.870
Low rate, %0.490
Interest rate (coupon), %1.125
Bids at the high rate filled, %77.76
Bid-to-cover ratio2.97
Indirect bidders accepted$2,754,550,000
Direct bidders accepted$773,440,000
Primary dealers accepted$7,403,896,000
Indirect bidders' share, % (ours)25.2
Direct bidders' share, % (ours)7.1
Primary dealers' share, % (ours)67.7
High minus median, basis points (ours)5.0
Treasury real par yield curve, 10-year point, same day, %0.95
High yield minus that point, basis points (ours)-3.0

Treasury's own files: announcement (PDF) · results (PDF)

How to read this result

The high real yield is the highest rate Treasury accepted; every winning bidder gets it. The bid-to-cover ratio is bids received divided by the amount sold. Shares are of competitive bids accepted. High minus median shows how far the accepted cut-off sat above the middle accepted bid; it is not the market's auction tail, which needs a when-issued price that is not public.

The real par yield curve comparison sets the high yield against Treasury's own real par yield curve on the auction day, at the point nearest this security's maturity (10-year). Treasury fixes that curve from market quotes in the late afternoon, after the auction closed, so the gap mixes the auction's pricing with the afternoon's market move. It is not the auction tail either.

What this number cannot tell you

  • Why it sold where it did. Results show what was bid and accepted, not the reasons behind any bid.
  • The auction tail as markets quote it. That compares the high yield with the when-issued yield just before bids closed, a market price that is not public; we show high minus median instead, a different measure.
  • Who the bidders are. Indirect bidders include foreign and international accounts bidding through the New York Fed and investors bidding through dealers; Treasury does not publish names.
  • Demand on another day. A bid-to-cover ratio counts bids at one auction against the amount offered, and the amount offered changes from auction to auction.

The longer windows

Each measure against earlier 10-year TIPS auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio2.97Last 24 auctions2 of 2422 of 242.11
Bid-to-cover ratio2.97Since 10 April 20082 of 1311 of 132.51
Bid-to-cover ratio2.97All 41 since 29 January 19974 of 4137 of 412.11
High real yield0.920Last 24 auctions23 of 241 of 241.930
High real yield0.920Since 10 April 200812 of 131 of 131.485
High real yield0.920All 46 since 29 January 199745 of 461 of 462.237
Indirect bidders' share25.2All 13 since 10 April 200813 of 130 of 1344.0
Direct bidders' share7.1All 13 since 10 April 20082 of 1311 of 133.2
Primary dealers' share67.7All 13 since 10 April 20081 of 1312 of 1355.0
High minus median, basis points5.0Last 24 auctions13 of 2410 of 245.8
High minus median, basis points5.0Since 10 April 200810 of 132 of 138.0
High minus median, basis points5.0All 46 since 29 January 199721 of 4623 of 465.0

The table scrolls sideways; the first column stays in place.

Sources

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

Shares of competitive bids, grades against earlier auctions and the high-minus-median spread are computed by 500metrics from Treasury's published fields; how.

Source: U.S. Treasury, Daily Treasury par yield curve rates. Observed .

How to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 24 March 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110324_1.pdf. Compiled by 500metrics, "10-year TIPS auction of 24 March 2011 (reopening)", https://500metrics.com/treasury/auctions/10-year-tips/2011-03-24.

Sources and licence

Sources and licence

  • U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data (source). Licence: Public domain, a work of the US federal government
  • U.S. Treasury, daily par yield curve rates (source). Licence: Public domain, a work of the US federal government

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