500metrics

All sources checked Checked

5-year note auction of 28 November 2012 (new issue)

The 5-year note sold $35 billion at a high yield of 0.641% on , with a bid-to-cover ratio of 2.89.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.641%

Median yield 0.618%

Bid-to-cover

2.89

▲ +0.16 since 24 Oct

Sold

$35.00 billion

$35 billion offered

Indirect bidders

45.4%

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 December 2009 to 28 November 2012; the latest at 0.641%.0.0%1.0%2.0%3.0%201020112012This auction, 0.641%High yield at the last 36 5-year note auctions36 auctions from 29 December 2009 to 28 November 2012; the latest at 0.641%.0.5%1.0%1.5%2.0%2.5%201120120.641%

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
0.6412.89
0.7742.73
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

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.892.906 of 125 of 12
High yield0.6410.82711 of 121 of 12
Indirect bidders' share45.442.52 of 1210 of 12
Direct bidders' share15.910.70 of 1212 of 12
Primary dealers' share38.846.012 of 120 of 12
High minus median, basis points2.34.212 of 120 of 12

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

  • Direct bidders' share: Highest of all 55 earlier 5-year note auctions we hold.
  • Primary dealers' share: Lowest for a 5-year note since 28 April 2010 (30 auctions in between).
  • High minus median, basis points: Lowest for a 5-year note since 25 November 2008 (47 auctions in between).

Who bought the 5-year note?

Indirect bidders took 45.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 24 October 2012

Indirect bidders took 45.4% of the competitive bids acceptedIndirect bidders 45.4%, Direct bidders 15.9%, Primary dealers 38.8%Indirect bidders45.4%42.3%Direct bidders15.9%15.5%Primary dealers38.8%42.2%Indirect bidders took 45.4% of the competitive bids acceptedIndirect bidders 45.4%, Direct bidders 15.9%, Primary dealers 38.8%Indirect bidders45.4%42.3%Direct bidders15.9%15.5%Primary dealers38.8%42.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders45.442.3
Direct bidders15.915.5
Primary dealers38.842.2

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$101,119,472,500
Sold$35,000,027,500
Competitive bids accepted$34,974,605,000
Non-competitive bids accepted$25,422,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
High yield, %0.641
Median rate, %0.618
Low rate, %0.560
Interest rate (coupon), %0.625
Bids at the high rate filled, %79.66
Bid-to-cover ratio2.89
Indirect bidders accepted$15,864,050,000
Direct bidders accepted$5,556,000,000
Primary dealers accepted$13,554,555,000
Indirect bidders' share, % (ours)45.4
Direct bidders' share, % (ours)15.9
Primary dealers' share, % (ours)38.8
High minus median, basis points (ours)2.3
Treasury par yield curve, 5-year point, same day, %0.64
High yield minus that point, basis points (ours)0.1

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 ratio2.89Last 24 auctions10 of 2413 of 242.86
Bid-to-cover ratio2.89Since 24 April 200812 of 5542 of 552.69
Bid-to-cover ratio2.89All 132 since 28 September 199418 of 132113 of 1322.48
High yield0.641Last 24 auctions23 of 241 of 241.022
High yield0.641Since 24 April 200854 of 551 of 551.985
High yield0.641All 228 since 24 January 1991227 of 2281 of 2284.728
Indirect bidders' share45.4Last 24 auctions5 of 2419 of 2442.2
Indirect bidders' share45.4All 55 since 24 April 200815 of 5540 of 5541.9
Direct bidders' share15.9Last 24 auctions0 of 2424 of 2410.7
Direct bidders' share15.9All 55 since 24 April 20080 of 5555 of 559.4
Primary dealers' share38.8Last 24 auctions24 of 240 of 2446.6
Primary dealers' share38.8All 55 since 24 April 200852 of 553 of 5548.8
High minus median, basis points2.3Last 24 auctions24 of 240 of 244.7
High minus median, basis points2.3Since 24 April 200854 of 551 of 555.4
High minus median, basis points2.3All 228 since 24 January 1991140 of 22884 of 2282.9

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 28 November 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20121128_1.pdf. Compiled by 500metrics, "5-year note auction of 28 November 2012 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2012-11-28.

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

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