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5-year note auction of 20 December 2011 (new issue)

The 5-year note sold $36.133 billion at a high yield of 0.880% on , with a bid-to-cover ratio of 2.86.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.880%

Median yield 0.820%

Bid-to-cover

2.86

▼ −0.29 since 22 Nov

Sold

$36.13 billion

$35 billion offered

Indirect bidders

50.6%

Of competitive bids accepted

The high yield was the lowest for a 5-year note of all 217 earlier auctions we hold

High yield at each 5-year note auction, %

The high yield was the lowest for a 5-year note of all 217 earlier auctions we hold36 auctions from 29 January 2009 to 20 December 2011; the latest at 0.880%.0.5%1.0%1.5%2.0%2.5%3.0%200920102011This auction, 0.880%The high yield was the lowest for a 5-year note of all 217 earlier auctions we hold36 auctions from 29 January 2009 to 20 December 2011; the latest at 0.880%.0.5%1.0%1.5%2.0%2.5%3.0%201020110.880%

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
0.8802.86
0.9373.15
1.0552.90
1.0153.04
1.0292.71
1.5802.62
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

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.862.785 of 127 of 12
High yield0.8801.71412 of 120 of 12
Indirect bidders' share50.642.30 of 1212 of 12
Direct bidders' share9.110.39 of 123 of 12
Primary dealers' share40.345.912 of 120 of 12
High minus median, basis points6.05.24 of 128 of 12

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

  • Indirect bidders' share: Highest for a 5-year note since 25 August 2010 (15 auctions in between).
  • Primary dealers' share: Lowest for a 5-year note since 28 April 2010 (19 auctions in between).

Who bought the 5-year note?

Indirect bidders took 50.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 22 November 2011

Indirect bidders took 50.6% of the competitive bids acceptedIndirect bidders 50.6%, Direct bidders 9.1%, Primary dealers 40.3%Indirect bidders50.6%45.3%Direct bidders9.1%9.6%Primary dealers40.3%45.1%Indirect bidders took 50.6% of the competitive bids acceptedIndirect bidders 50.6%, Direct bidders 9.1%, Primary dealers 40.3%Indirect bidders50.6%45.3%Direct bidders9.1%9.6%Primary dealers40.3%45.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders50.645.3
Direct bidders9.19.6
Primary dealers40.345.1

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$101,222,585,400
Sold$36,133,437,400
Competitive bids accepted$34,966,762,000
Non-competitive bids accepted$33,250,600
Federal Reserve (SOMA) add-on$1,133,424,800
Foreign and international (FIMA) non-competitive$0
High yield, %0.880
Median rate, %0.820
Low rate, %0.787
Interest rate (coupon), %0.875
Bids at the high rate filled, %98.48
Bid-to-cover ratio2.86
Indirect bidders accepted$17,684,410,000
Direct bidders accepted$3,182,696,000
Primary dealers accepted$14,099,656,000
Indirect bidders' share, % (ours)50.6
Direct bidders' share, % (ours)9.1
Primary dealers' share, % (ours)40.3
High minus median, basis points (ours)6.0
Treasury par yield curve, 5-year point, same day, %0.88
High yield minus that point, basis points (ours)0.0

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 ratio2.86Last 24 auctions7 of 2417 of 242.76
Bid-to-cover ratio2.86Since 24 April 20087 of 4437 of 442.60
Bid-to-cover ratio2.86All 121 since 28 September 199413 of 121107 of 1212.46
High yield0.880Last 24 auctions24 of 240 of 241.904
High yield0.880Since 24 April 200844 of 440 of 442.140
High yield0.880All 217 since 24 January 1991217 of 2170 of 2174.830
Indirect bidders' share50.6Last 24 auctions2 of 2422 of 2442.3
Indirect bidders' share50.6All 44 since 24 April 20086 of 4438 of 4440.2
Direct bidders' share9.1Last 24 auctions18 of 246 of 2411.0
Direct bidders' share9.1All 44 since 24 April 200820 of 4424 of 448.7
Primary dealers' share40.3Last 24 auctions22 of 242 of 2445.3
Primary dealers' share40.3All 44 since 24 April 200840 of 444 of 4448.8
High minus median, basis points6.0Last 24 auctions8 of 2415 of 245.1
High minus median, basis points6.0Since 24 April 200822 of 4421 of 446.0
High minus median, basis points6.0All 217 since 24 January 199123 of 217191 of 2172.8

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 20 December 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111220_2.pdf. Compiled by 500metrics, "5-year note auction of 20 December 2011 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2011-12-20.

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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