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10-year TIPS auction of 22 September 2011 (reopening)

The 10-year TIPS sold $11.342 billion at a high real yield of 0.078% on , with a bid-to-cover ratio of 2.61.

Coupon
0.625%
Announced
Issued
Matures

Real yield

0.078%

Median real yield 0.010%

Bid-to-cover

2.61

▼ −0.01 since 21 Jul

Sold

$11.34 billion

$11 billion offered

Indirect bidders

30.4%

Of competitive bids accepted

The high real yield was the lowest for a 10-year TIPS of all 49 earlier auctions we hold

Real yield at each 10-year TIPS auction, %

The high real yield was the lowest for a 10-year TIPS of all 49 earlier auctions we hold36 auctions from 9 July 2003 to 22 September 2011; the latest at 0.078%.0.0%1.0%2.0%3.0%20042005200620072008200920102011This auction, 0.078%The high real yield was the lowest for a 10-year TIPS of all 49 earlier auctions we hold36 auctions from 9 July 2003 to 22 September 2011; the latest at 0.078%.0.0%1.0%2.0%3.0%200720082009201020110.078%

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
0.0782.61
0.6392.62
0.8872.66
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

Against its own history

Against the previous 12 auctions of the 10-year TIPS
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.612.739 of 123 of 12
High real yield0.0781.23212 of 120 of 12
Indirect bidders' share30.441.210 of 122 of 12
Direct bidders' share35.73.20 of 1212 of 12
Primary dealers' share33.955.312 of 120 of 12
High minus median, basis points6.88.48 of 124 of 12

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

  • Direct bidders' share: Highest of all 16 earlier 10-year TIPS auctions we hold.
  • Primary dealers' share: Lowest of all 16 earlier 10-year TIPS auctions we hold.

Who bought the 10-year TIPS?

Direct bidders took 35.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 10-year TIPS auction, 21 July 2011

Direct bidders took 35.7% of the competitive bids acceptedIndirect bidders 30.4%, Direct bidders 35.7%, Primary dealers 33.9%Indirect bidders30.4%41.6%Direct bidders35.7%13.7%Primary dealers33.9%44.6%Direct bidders took 35.7% of the competitive bids acceptedIndirect bidders 30.4%, Direct bidders 35.7%, Primary dealers 33.9%Indirect bidders30.4%41.6%Direct bidders35.7%13.7%Primary dealers33.9%44.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders30.441.6
Direct bidders35.713.7
Primary dealers33.944.6

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$29,057,505,800
Sold$11,342,466,800
Competitive bids accepted$10,959,236,000
Non-competitive bids accepted$40,765,300
Federal Reserve (SOMA) add-on$342,465,500
Foreign and international (FIMA) non-competitive$0
Real yield, %0.078
Median rate, %0.010
Low rate, %-0.100
Interest rate (coupon), %0.625
Bids at the high rate filled, %48.46
Bid-to-cover ratio2.61
Indirect bidders accepted$3,327,275,000
Direct bidders accepted$3,916,000,000
Primary dealers accepted$3,715,961,000
Indirect bidders' share, % (ours)30.4
Direct bidders' share, % (ours)35.7
Primary dealers' share, % (ours)33.9
High minus median, basis points (ours)6.8
Treasury real par yield curve, 10-year point, same day, %0.01
High yield minus that point, basis points (ours)6.8

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 ratio2.61Last 24 auctions9 of 2415 of 242.31
Bid-to-cover ratio2.61Since 10 April 20089 of 167 of 162.64
Bid-to-cover ratio2.61All 44 since 29 January 199711 of 4433 of 442.20
High real yield0.078Last 24 auctions24 of 240 of 241.622
High real yield0.078Since 10 April 200816 of 160 of 161.362
High real yield0.078All 49 since 29 January 199749 of 490 of 492.025
Indirect bidders' share30.4All 16 since 10 April 200813 of 163 of 1641.2
Direct bidders' share35.7All 16 since 10 April 20080 of 1616 of 163.2
Primary dealers' share33.9All 16 since 10 April 200816 of 160 of 1655.3
High minus median, basis points6.8Last 24 auctions9 of 2415 of 245.8
High minus median, basis points6.8Since 10 April 20089 of 167 of 168.0
High minus median, basis points6.8All 49 since 29 January 199714 of 4935 of 495.0

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 22 September 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110922_1.pdf. Compiled by 500metrics, "10-year TIPS auction of 22 September 2011 (reopening)", https://500metrics.com/treasury/auctions/10-year-tips/2011-09-22.

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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