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5-year TIPS auction of 15 December 2011 (reopening)

The 5-year TIPS sold $12 billion at a high real yield of -0.877% on , with a bid-to-cover ratio of 3.01.

Coupon
0.125%
Announced
Issued
Matures

Real yield

-0.877%

Median real yield -0.930%

Bid-to-cover

3.01

▲ +0.52 since 18 Aug

Sold

$12.00 billion

$12 billion offered

Indirect bidders

48.8%

Of competitive bids accepted

The high real yield was the lowest for a 5-year TIPS of all 14 earlier auctions we hold

Real yield at each 5-year TIPS auction, %

The high real yield was the lowest for a 5-year TIPS of all 14 earlier auctions we hold15 auctions from 9 July 1997 to 15 December 2011; the latest at -0.877%.-2.0%0.0%2.0%4.0%1997200620072008200920102011This auction, -0.877%The high real yield was the lowest for a 5-year TIPS of all 14 earlier auctions we hold15 auctions from 9 July 1997 to 15 December 2011; the latest at -0.877%.-2.0%0.0%2.0%4.0%200620072008200920102011-0.877%

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

The 15 auctions as a table
Real yield and bid-to-cover of the last 15 5-year TIPS auctions, newest first
AuctionReal yield, %Bid-to-cover
-0.8773.01
-0.8252.49
-0.1802.57
-0.5502.84
0.5503.15
0.7693.10
1.2782.66
3.2701.81
0.7452.20
1.9542.44
2.1142.45
2.6912.89
2.3791.46
3.6003.56
3.744–

Against its own history

Against the previous 12 auctions of the 5-year TIPS
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.012.532 of 1210 of 12
High real yield-0.8771.02412 of 120 of 12
Indirect bidders' share48.836.00 of 88 of 8
Direct bidders' share9.42.92 of 86 of 8
Primary dealers' share41.760.87 of 81 of 8
High minus median, basis points5.36.46 of 126 of 12

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

Who bought the 5-year TIPS?

Indirect bidders took 48.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year TIPS auction, 18 August 2011

Indirect bidders took 48.8% of the competitive bids acceptedIndirect bidders 48.8%, Direct bidders 9.4%, Primary dealers 41.7%Indirect bidders48.8%47.2%Direct bidders9.4%17.1%Primary dealers41.7%35.7%Indirect bidders took 48.8% of the competitive bids acceptedIndirect bidders 48.8%, Direct bidders 9.4%, Primary dealers 41.7%Indirect bidders48.8%47.2%Direct bidders9.4%17.1%Primary dealers41.7%35.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders48.847.2
Direct bidders9.417.1
Primary dealers41.735.7

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as4-Year 4-Month, reopening
Offering amount$12,000,000,000
Bids received$36,115,064,300
Sold$12,000,004,300
Competitive bids accepted$11,941,840,000
Non-competitive bids accepted$58,164,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Real yield, %-0.877
Median rate, %-0.930
Low rate, %-1.010
Interest rate (coupon), %0.125
Bids at the high rate filled, %63.94
Bid-to-cover ratio3.01
Indirect bidders accepted$5,830,900,000
Direct bidders accepted$1,127,000,000
Primary dealers accepted$4,983,940,000
Indirect bidders' share, % (ours)48.8
Direct bidders' share, % (ours)9.4
Primary dealers' share, % (ours)41.7
High minus median, basis points (ours)5.3
Treasury real par yield curve, 5-year point, same day, %-0.75
High yield minus that point, basis points (ours)-12.7

Treasury's own files: announcement (PDF) · results (PDF)

How to read this result

The high real 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 real par yield curve comparison sets the high yield against Treasury's own real 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 TIPS auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio3.01Since 22 April 20082 of 86 of 82.62
Bid-to-cover ratio3.01All 13 since 8 October 19973 of 1310 of 132.57
High real yield-0.877Since 22 April 20088 of 80 of 80.648
High real yield-0.877All 14 since 9 July 199714 of 140 of 141.616
Indirect bidders' share48.8All 8 since 22 April 20080 of 88 of 836.0
Direct bidders' share9.4All 8 since 22 April 20082 of 86 of 82.9
Primary dealers' share41.7All 8 since 22 April 20087 of 81 of 860.8
High minus median, basis points5.3Since 22 April 20086 of 82 of 88.5
High minus median, basis points5.3All 14 since 9 July 19977 of 147 of 146.2

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 15 December 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111215_1.pdf. Compiled by 500metrics, "5-year TIPS auction of 15 December 2011 (reopening)", https://500metrics.com/treasury/auctions/5-year-tips/2011-12-15.

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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