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5-year note auction of 27 June 2012 (new issue)

The 5-year note sold $35.357 billion at a high yield of 0.752% on , with a bid-to-cover ratio of 2.61.

Coupon
0.750%
Announced
Issued
Matures

High yield

0.752%

Median yield 0.699%

Bid-to-cover

2.61

▼ −0.38 since 23 May

Sold

$35.36 billion

$35 billion offered

Indirect bidders

35.1%

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 29 July 2009 to 27 June 2012; the latest at 0.752%.0.5%1.0%1.5%2.0%2.5%3.0%2009201020112012This auction, 0.752%High yield at the last 36 5-year note auctions36 auctions from 29 July 2009 to 27 June 2012; the latest at 0.752%.0.5%1.0%1.5%2.0%2.5%2010201120120.752%

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
0.7522.61
0.7482.99
0.8873.09
1.0402.85
0.9002.89
0.8993.17
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

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.612.9011 of 121 of 12
High yield0.7520.97611 of 121 of 12
Indirect bidders' share35.143.012 of 120 of 12
Direct bidders' share10.710.96 of 126 of 12
Primary dealers' share54.144.60 of 1212 of 12
High minus median, basis points5.34.93 of 129 of 12

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

  • Indirect bidders' share: Lowest for a 5-year note since 23 February 2011 (15 auctions in between).
  • Primary dealers' share: Highest for a 5-year note since 23 February 2011 (15 auctions in between).

Who bought the 5-year note?

Primary dealers took 54.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 23 May 2012

Primary dealers took 54.1% of the competitive bids acceptedIndirect bidders 35.1%, Direct bidders 10.7%, Primary dealers 54.1%Indirect bidders35.1%42.6%Direct bidders10.7%6.5%Primary dealers54.1%50.9%Primary dealers took 54.1% of the competitive bids acceptedIndirect bidders 35.1%, Direct bidders 10.7%, Primary dealers 54.1%Indirect bidders35.1%42.6%Direct bidders10.7%6.5%Primary dealers54.1%50.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders35.142.6
Direct bidders10.76.5
Primary dealers54.150.9

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$91,603,451,900
Sold$35,357,341,900
Competitive bids accepted$34,949,760,000
Non-competitive bids accepted$25,241,800
Federal Reserve (SOMA) add-on$357,340,100
Foreign and international (FIMA) non-competitive$25,000,000
High yield, %0.752
Median rate, %0.699
Low rate, %0.620
Interest rate (coupon), %0.750
Bids at the high rate filled, %38.63
Bid-to-cover ratio2.61
Indirect bidders accepted$12,284,370,000
Direct bidders accepted$3,744,500,000
Primary dealers accepted$18,920,890,000
Indirect bidders' share, % (ours)35.1
Direct bidders' share, % (ours)10.7
Primary dealers' share, % (ours)54.1
High minus median, basis points (ours)5.3
Treasury par yield curve, 5-year point, same day, %0.73
High yield minus that point, basis points (ours)2.2

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 ratio2.61Last 24 auctions21 of 242 of 242.86
Bid-to-cover ratio2.61Since 24 April 200827 of 5022 of 502.64
Bid-to-cover ratio2.61All 127 since 28 September 199444 of 12780 of 1272.47
High yield0.752Last 24 auctions23 of 241 of 241.352
High yield0.752Since 24 April 200849 of 501 of 502.076
High yield0.752All 223 since 24 January 1991222 of 2231 of 2234.785
Indirect bidders' share35.1Last 24 auctions21 of 243 of 2442.5
Indirect bidders' share35.1All 50 since 24 April 200836 of 5014 of 5041.8
Direct bidders' share10.7Last 24 auctions11 of 2413 of 2410.5
Direct bidders' share10.7All 50 since 24 April 200818 of 5032 of 509.0
Primary dealers' share54.1Last 24 auctions3 of 2421 of 2445.4
Primary dealers' share54.1All 50 since 24 April 200816 of 5034 of 5047.8
High minus median, basis points5.3Last 24 auctions9 of 2415 of 244.9
High minus median, basis points5.3Since 24 April 200828 of 5022 of 505.9
High minus median, basis points5.3All 223 since 24 January 199133 of 223189 of 2232.9

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 27 June 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120627_1.pdf. Compiled by 500metrics, "5-year note auction of 27 June 2012 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2012-06-27.

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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