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5-year note auction of 28 December 2016 (new issue)

The 5-year note sold $38.521 billion at a high yield of 2.057% on , with a bid-to-cover ratio of 2.72.

Coupon
2.000%
Announced
Issued
Matures

High yield

2.057%

Median yield 2.020%

Bid-to-cover

2.72

▲ +0.28 since 22 Nov

Sold

$38.52 billion

$34 billion offered

Indirect bidders

71.4%

Of competitive bids accepted

The high yield was the highest for a 5-year note since 27 April 2011

High yield at each 5-year note auction, %

The high yield was the highest for a 5-year note since 27 April 201136 auctions from 25 June 2014 to 28 December 2016; the latest at 2.057%.0.5%1.0%1.5%2.0%2.5%201420152016This auction, 2.057%The high yield was the highest for a 5-year note since 27 April 201136 auctions from 25 June 2014 to 28 December 2016; the latest at 2.057%.0.5%1.0%1.5%2.0%2.5%201520162.057%

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
2.0572.72
1.7602.44
1.3032.49
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

Against its own history

Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.722.441 of 1211 of 12
High yield2.0571.2600 of 1212 of 12
Indirect bidders' share71.459.80 of 1212 of 12
Direct bidders' share4.16.511 of 121 of 12
Primary dealers' share24.534.810 of 122 of 12
High minus median, basis points3.75.012 of 120 of 12

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

  • Indirect bidders' share: Highest of all 107 earlier 5-year note auctions we hold.
  • High minus median, basis points: Lowest for a 5-year note since 4 November 2015 (14 auctions in between).

Who bought the 5-year note?

Indirect bidders took 71.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year note auction, 22 November 2016

Indirect bidders took 71.4% of the competitive bids acceptedIndirect bidders 71.4%, Direct bidders 4.1%, Primary dealers 24.5%Indirect bidders71.4%59.8%Direct bidders4.1%4.5%Primary dealers24.5%35.7%Indirect bidders took 71.4% of the competitive bids acceptedIndirect bidders 71.4%, Direct bidders 4.1%, Primary dealers 24.5%Indirect bidders71.4%59.8%Direct bidders4.1%4.5%Primary dealers24.5%35.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders71.459.8
Direct bidders4.14.5
Primary dealers24.535.7

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$97,015,859,600
Sold$38,521,273,600
Competitive bids accepted$33,949,174,000
Non-competitive bids accepted$50,940,600
Federal Reserve (SOMA) add-on$4,521,159,000
Foreign and international (FIMA) non-competitive$0
High yield, %2.057
Median rate, %2.020
Low rate, %1.900
Interest rate (coupon), %2.000
Bids at the high rate filled, %5.64
Bid-to-cover ratio2.72
Indirect bidders accepted$24,242,024,000
Direct bidders accepted$1,404,410,000
Primary dealers accepted$8,302,740,000
Indirect bidders' share, % (ours)71.4
Direct bidders' share, % (ours)4.1
Primary dealers' share, % (ours)24.5
High minus median, basis points (ours)3.7
Treasury par yield curve, 5-year point, same day, %2.02
High yield minus that point, basis points (ours)3.7

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 ratio2.72Last 24 auctions5 of 2419 of 242.45
Bid-to-cover ratio2.72Since 24 April 200843 of 10763 of 1072.61
Bid-to-cover ratio2.72All 184 since 28 September 199455 of 184127 of 1842.52
High yield2.057Last 24 auctions0 of 2424 of 241.365
High yield2.057Since 24 April 200825 of 10782 of 1071.530
High yield2.057All 280 since 24 January 1991198 of 28082 of 2803.948
Indirect bidders' share71.4Last 24 auctions0 of 2424 of 2456.9
Indirect bidders' share71.4All 107 since 24 April 20080 of 107107 of 10745.9
Direct bidders' share4.1Last 24 auctions22 of 242 of 247.3
Direct bidders' share4.1All 107 since 24 April 200887 of 10720 of 1079.6
Primary dealers' share24.5Last 24 auctions22 of 242 of 2436.1
Primary dealers' share24.5All 107 since 24 April 2008105 of 1072 of 10741.9
High minus median, basis points3.7Last 24 auctions18 of 246 of 244.5
High minus median, basis points3.7Since 24 April 200872 of 10732 of 1074.5
High minus median, basis points3.7All 280 since 24 January 1991102 of 280174 of 2803.0

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 28 December 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161228_2.pdf. Compiled by 500metrics, "5-year note auction of 28 December 2016 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2016-12-28.

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

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