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5-year note auction of 28 June 2011 (new issue)

The 5-year note sold $36.127 billion at a high yield of 1.615% on , with a bid-to-cover ratio of 2.59.

Coupon
1.500%
Announced
Issued
Matures

High yield

1.615%

Median yield 1.550%

Bid-to-cover

2.59

▼ −0.61 since 25 May

Sold

$36.13 billion

$35 billion offered

Indirect bidders

37.6%

Of competitive bids accepted

High yield at the last 36 5-year note auctions

High yield at each 5-year note auction, %

High yield at the last 36 5-year note auctions36 auctions from 24 July 2008 to 28 June 2011; the latest at 1.615%.1.0%2.0%3.0%4.0%2008200920102011This auction, 1.615%High yield at the last 36 5-year note auctions36 auctions from 24 July 2008 to 28 June 2011; the latest at 1.615%.1.0%1.5%2.0%2.5%3.0%2009201020111.615%

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

The 36 auctions as a table
High yield and bid-to-cover of the last 36 5-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
1.6152.59
1.8133.20
2.1242.77
2.2602.79
2.1902.69
2.0412.97
2.1492.61
1.4112.65
1.3302.82
1.2602.96
1.3742.83
1.7963.06
1.9952.58
2.1302.71
2.5402.75
2.6052.55
2.3952.75
2.3702.80
2.6652.59
2.1752.81
2.3882.63
2.4702.40
2.4942.51
2.6891.92
2.7002.58
2.3102.32
1.9402.22
1.8492.02
1.9852.21
1.8201.98
1.5392.06
2.1102.44
2.8252.28
3.1291.91
3.1292.14
3.4402.46

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.592.8011 of 121 of 12
High yield1.6151.9048 of 124 of 12
Indirect bidders' share37.641.28 of 124 of 12
Direct bidders' share10.210.16 of 126 of 12
Primary dealers' share52.147.64 of 128 of 12
High minus median, basis points6.55.03 of 129 of 12

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

Who bought the 5-year note?

Primary dealers took 52.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 25 May 2011

Primary dealers took 52.1% of the competitive bids acceptedIndirect bidders 37.6%, Direct bidders 10.2%, Primary dealers 52.1%Indirect bidders37.6%47.1%Direct bidders10.2%8.9%Primary dealers52.1%44.0%Primary dealers took 52.1% of the competitive bids acceptedIndirect bidders 37.6%, Direct bidders 10.2%, Primary dealers 52.1%Indirect bidders37.6%47.1%Direct bidders10.2%8.9%Primary dealers52.1%44.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.647.1
Direct bidders10.28.9
Primary dealers52.144.0

About these figures

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

Treasury's published result

FieldValue
Offered as5-Year, new issue
Offering amount$35,000,000,000
Bids received$91,727,962,000
Sold$36,126,842,000
Competitive bids accepted$34,962,151,000
Non-competitive bids accepted$37,884,800
Federal Reserve (SOMA) add-on$1,126,806,200
Foreign and international (FIMA) non-competitive$0
High yield, %1.615
Median rate, %1.550
Low rate, %1.470
Interest rate (coupon), %1.500
Bids at the high rate filled, %35.97
Bid-to-cover ratio2.59
Indirect bidders accepted$13,153,226,000
Direct bidders accepted$3,580,000,000
Primary dealers accepted$18,228,925,000
Indirect bidders' share, % (ours)37.6
Direct bidders' share, % (ours)10.2
Primary dealers' share, % (ours)52.1
High minus median, basis points (ours)6.5
Treasury par yield curve, 5-year point, same day, %1.62
High yield minus that point, basis points (ours)-0.5

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

How to read this result

The high 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 par yield curve comparison sets the high yield against Treasury's own par yield curve on the auction day, at the point nearest this security's maturity (5-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 5-year note auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio2.59Last 24 auctions17 of 246 of 242.73
Bid-to-cover ratio2.59Since 24 April 200817 of 3820 of 382.58
Bid-to-cover ratio2.59All 115 since 28 September 199439 of 11575 of 1152.40
High yield1.615Last 24 auctions20 of 244 of 242.182
High yield1.615Since 24 April 200833 of 385 of 382.225
High yield1.615All 211 since 24 January 1991206 of 2115 of 2114.904
Indirect bidders' share37.6Last 24 auctions19 of 245 of 2444.4
Indirect bidders' share37.6All 38 since 24 April 200821 of 3817 of 3839.8
Direct bidders' share10.2Last 24 auctions12 of 2412 of 2410.1
Direct bidders' share10.2All 38 since 24 April 200813 of 3825 of 387.5
Primary dealers' share52.1Last 24 auctions5 of 2419 of 2444.4
Primary dealers' share52.1All 38 since 24 April 200818 of 3820 of 3849.6
High minus median, basis points6.5Last 24 auctions10 of 2413 of 246.2
High minus median, basis points6.5Since 24 April 200817 of 3820 of 386.2
High minus median, basis points6.5All 211 since 24 January 199118 of 211192 of 2112.8

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 28 June 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110628_3.pdf. Compiled by 500metrics, "5-year note auction of 28 June 2011 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2011-06-28.

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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