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5-year note auction of 27 September 2016 (new issue)

The 5-year note sold $36.073 billion at a high yield of 1.129% on , with a bid-to-cover ratio of 2.39.

Coupon
1.125%
Announced
Issued
Matures

High yield

1.129%

Median yield 1.090%

Bid-to-cover

2.39

▼ −0.15 since 24 Aug

Sold

$36.07 billion

$34 billion offered

Indirect bidders

61.4%

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 26 March 2014 to 27 September 2016; the latest at 1.129%.0.5%1.0%1.5%2.0%201420152016This auction, 1.129%High yield at the last 36 5-year note auctions36 auctions from 26 March 2014 to 27 September 2016; the latest at 1.129%.0.5%1.0%1.5%2.0%201520161.129%

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
1.1292.39
1.1252.54
1.1802.27
1.2182.29
1.3952.60
1.4102.41
1.3352.38
1.1692.44
0.7522.91
1.4962.44
1.7852.32
1.6702.52
0.8243.01
1.4152.43
1.4672.57
0.6993.27
1.4632.34
0.6633.16
1.6252.58
1.7102.39
1.5602.46
0.6483.40
1.3802.56
1.3872.35
1.4802.54
1.2882.49
1.7392.39
1.5952.91
1.5672.36
1.8002.56
1.6462.81
1.7202.81
1.6702.74
1.5132.73
1.7322.79
1.7152.99

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.392.448 of 124 of 12
High yield1.1291.2769 of 123 of 12
Indirect bidders' share61.456.24 of 128 of 12
Direct bidders' share4.49.311 of 121 of 12
Primary dealers' share34.135.06 of 126 of 12
High minus median, basis points3.95.011 of 121 of 12

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

Who bought the 5-year note?

Indirect bidders took 61.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 24 August 2016

Indirect bidders took 61.4% of the competitive bids acceptedIndirect bidders 61.4%, Direct bidders 4.4%, Primary dealers 34.1%Indirect bidders61.4%68.7%Direct bidders4.4%6.2%Primary dealers34.1%25.1%Indirect bidders took 61.4% of the competitive bids acceptedIndirect bidders 61.4%, Direct bidders 4.4%, Primary dealers 34.1%Indirect bidders61.4%68.7%Direct bidders4.4%6.2%Primary dealers34.1%25.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders61.468.7
Direct bidders4.46.2
Primary dealers34.125.1

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$34,000,000,000
Bids received$83,361,518,300
Sold$36,072,640,100
Competitive bids accepted$33,962,157,800
Non-competitive bids accepted$37,897,800
Federal Reserve (SOMA) add-on$2,072,584,500
Foreign and international (FIMA) non-competitive$0
High yield, %1.129
Median rate, %1.090
Low rate, %1.030
Interest rate (coupon), %1.125
Bids at the high rate filled, %15.58
Bid-to-cover ratio2.39
Indirect bidders accepted$20,864,287,800
Direct bidders accepted$1,504,276,000
Primary dealers accepted$11,593,594,000
Indirect bidders' share, % (ours)61.4
Direct bidders' share, % (ours)4.4
Primary dealers' share, % (ours)34.1
High minus median, basis points (ours)3.9
Treasury par yield curve, 5-year point, same day, %1.12
High yield minus that point, basis points (ours)0.9

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 ratio2.39Last 24 auctions17 of 246 of 242.49
Bid-to-cover ratio2.39Since 24 April 200883 of 10419 of 1042.62
Bid-to-cover ratio2.39All 181 since 28 September 1994115 of 18164 of 1812.54
High yield1.129Last 24 auctions18 of 246 of 241.391
High yield1.129Since 24 April 200876 of 10428 of 1041.534
High yield1.129All 277 since 24 January 1991249 of 27728 of 2773.993
Indirect bidders' share61.4Last 24 auctions6 of 2418 of 2456.6
Indirect bidders' share61.4All 104 since 24 April 20089 of 10495 of 10445.6
Direct bidders' share4.4Last 24 auctions22 of 242 of 247.5
Direct bidders' share4.4All 104 since 24 April 200884 of 10420 of 1049.9
Primary dealers' share34.1Last 24 auctions13 of 2411 of 2436.9
Primary dealers' share34.1All 104 since 24 April 200887 of 10417 of 10442.2
High minus median, basis points3.9Last 24 auctions17 of 247 of 244.5
High minus median, basis points3.9Since 24 April 200868 of 10435 of 1044.6
High minus median, basis points3.9All 277 since 24 January 199197 of 277178 of 2773.0

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 September 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160927_2.pdf. Compiled by 500metrics, "5-year note auction of 27 September 2016 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2016-09-27.

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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