500metrics

All sources checked Checked

5-year note auction of 26 September 2012 (new issue)

The 5-year note sold $35 billion at a high yield of 0.647% on , with a bid-to-cover ratio of 3.06.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.647%

Median yield 0.619%

Bid-to-cover

3.06

▲ +0.14 since 29 Aug

Sold

$35.00 billion

$35 billion offered

Indirect bidders

42.0%

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 28 October 2009 to 26 September 2012; the latest at 0.647%.0.0%1.0%2.0%3.0%2009201020112012This auction, 0.647%High yield at the last 36 5-year note auctions36 auctions from 28 October 2009 to 26 September 2012; the latest at 0.647%.0.5%1.0%1.5%2.0%2.5%201120120.647%

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
0.6473.06
0.7082.92
0.5842.71
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

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.062.913 of 129 of 12
High yield0.6470.89311 of 121 of 12
Indirect bidders' share42.043.08 of 124 of 12
Direct bidders' share10.710.65 of 127 of 12
Primary dealers' share47.245.24 of 128 of 12
High minus median, basis points2.84.211 of 121 of 12

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

Who bought the 5-year note?

Primary dealers took 47.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 29 August 2012

Primary dealers took 47.2% of the competitive bids acceptedIndirect bidders 42.0%, Direct bidders 10.7%, Primary dealers 47.2%Indirect bidders42.0%39.7%Direct bidders10.7%11.0%Primary dealers47.2%49.4%Primary dealers took 47.2% of the competitive bids acceptedIndirect bidders 42.0%, Direct bidders 10.7%, Primary dealers 47.2%Indirect bidders42.0%39.7%Direct bidders10.7%11.0%Primary dealers47.2%49.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders42.039.7
Direct bidders10.711.0
Primary dealers47.249.4

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$107,078,012,600
Sold$35,000,024,600
Competitive bids accepted$34,979,612,000
Non-competitive bids accepted$20,412,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
High yield, %0.647
Median rate, %0.619
Low rate, %0.568
Interest rate (coupon), %0.625
Bids at the high rate filled, %39.89
Bid-to-cover ratio3.06
Indirect bidders accepted$14,707,832,000
Direct bidders accepted$3,750,000,000
Primary dealers accepted$16,521,780,000
Indirect bidders' share, % (ours)42.0
Direct bidders' share, % (ours)10.7
Primary dealers' share, % (ours)47.2
High minus median, basis points (ours)2.8
Treasury par yield curve, 5-year point, same day, %0.63
High yield minus that point, basis points (ours)1.7

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 ratio3.06Last 24 auctions4 of 2420 of 242.86
Bid-to-cover ratio3.06Since 24 April 20084 of 5348 of 532.65
Bid-to-cover ratio3.06All 130 since 28 September 19946 of 130122 of 1302.48
High yield0.647Last 24 auctions23 of 241 of 241.048
High yield0.647Since 24 April 200852 of 531 of 531.995
High yield0.647All 226 since 24 January 1991225 of 2261 of 2264.752
Indirect bidders' share42.0Last 24 auctions13 of 2411 of 2442.3
Indirect bidders' share42.0All 53 since 24 April 200825 of 5328 of 5341.8
Direct bidders' share10.7Last 24 auctions11 of 2413 of 2410.6
Direct bidders' share10.7All 53 since 24 April 200819 of 5334 of 539.1
Primary dealers' share47.2Last 24 auctions11 of 2413 of 2446.6
Primary dealers' share47.2All 53 since 24 April 200828 of 5325 of 5348.8
High minus median, basis points2.8Last 24 auctions23 of 241 of 244.7
High minus median, basis points2.8Since 24 April 200851 of 532 of 535.5
High minus median, basis points2.8All 226 since 24 January 1991116 of 226106 of 2262.9

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 26 September 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120926_1.pdf. Compiled by 500metrics, "5-year note auction of 26 September 2012 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2012-09-26.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.