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5-year TIPS auction of 17 December 2015 (reopening)

The 5-year TIPS sold $16 billion at a high real yield of 0.472% on , with a bid-to-cover ratio of 2.38.

Coupon
0.125%
Announced
Issued
Matures

Real yield

0.472%

Median real yield 0.392%

Bid-to-cover

2.38

▼ −0.20 since 20 Aug

Sold

$16.00 billion

$16 billion offered

Indirect bidders

69.9%

Of competitive bids accepted

The high real yield was the highest for a 5-year TIPS since 26 April 2010

Real yield at each 5-year TIPS auction, %

The high real yield was the highest for a 5-year TIPS since 26 April 201027 auctions from 9 July 1997 to 17 December 2015; the latest at 0.472%.-2.0%0.0%2.0%4.0%19972006200720082009201020112012201320142015This auction, 0.472%The high real yield was the highest for a 5-year TIPS since 26 April 201027 auctions from 9 July 1997 to 17 December 2015; the latest at 0.472%.-2.0%0.0%2.0%4.0%2007200820092010201120122013201420150.472%

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

The 27 auctions as a table
Real yield and bid-to-cover of the last 27 5-year TIPS auctions, newest first
AuctionReal yield, %Bid-to-cover
0.4722.38
0.3052.58
-0.3352.27
0.3952.37
-0.2812.48
-0.2132.70
-0.3752.54
-0.1272.18
-1.3112.18
-1.4962.70
-1.2863.11
-1.0802.58
-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 ratio2.382.568 of 124 of 12
High real yield0.472-0.3550 of 1212 of 12
Indirect bidders' share69.948.91 of 1211 of 12
Direct bidders' share5.08.010 of 122 of 12
Primary dealers' share25.040.711 of 121 of 12
High minus median, basis points8.06.02 of 129 of 12

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

Who bought the 5-year TIPS?

Indirect bidders took 69.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year TIPS auction, 20 August 2015

Indirect bidders took 69.9% of the competitive bids acceptedIndirect bidders 69.9%, Direct bidders 5.0%, Primary dealers 25.0%Indirect bidders69.9%76.4%Direct bidders5.0%0.5%Primary dealers25.0%23.1%Indirect bidders took 69.9% of the competitive bids acceptedIndirect bidders 69.9%, Direct bidders 5.0%, Primary dealers 25.0%Indirect bidders69.9%76.4%Direct bidders5.0%0.5%Primary dealers25.0%23.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders69.976.4
Direct bidders5.00.5
Primary dealers25.023.1

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$16,000,000,000
Bids received$38,056,640,000
Sold$16,000,020,000
Competitive bids accepted$15,971,695,000
Non-competitive bids accepted$28,325,000
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Real yield, %0.472
Median rate, %0.392
Low rate, %0.288
Interest rate (coupon), %0.125
Bids at the high rate filled, %32.46
Bid-to-cover ratio2.38
Indirect bidders accepted$11,166,315,000
Direct bidders accepted$805,000,000
Primary dealers accepted$4,000,380,000
Indirect bidders' share, % (ours)69.9
Direct bidders' share, % (ours)5.0
Primary dealers' share, % (ours)25.0
High minus median, basis points (ours)8.0
Treasury real par yield curve, 5-year point, same day, %0.52
High yield minus that point, basis points (ours)-4.8

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 ratio2.38Last 24 auctions17 of 247 of 242.56
Bid-to-cover ratio2.38Since 22 April 200814 of 206 of 202.58
Bid-to-cover ratio2.38All 25 since 8 October 199718 of 257 of 252.57
High real yield0.472Last 24 auctions9 of 2415 of 24-0.154
High real yield0.472Since 22 April 20085 of 2015 of 20-0.247
High real yield0.472All 26 since 9 July 199711 of 2615 of 260.089
Indirect bidders' share69.9All 20 since 22 April 20081 of 2019 of 2045.3
Direct bidders' share5.0All 20 since 22 April 200813 of 207 of 207.0
Primary dealers' share25.0All 20 since 22 April 200819 of 201 of 2048.2
High minus median, basis points8.0Last 24 auctions7 of 2415 of 246.0
High minus median, basis points8.0Since 22 April 20087 of 2011 of 206.6
High minus median, basis points8.0All 26 since 9 July 19977 of 2617 of 266.0

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 17 December 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20151217_1.pdf. Compiled by 500metrics, "5-year TIPS auction of 17 December 2015 (reopening)", https://500metrics.com/treasury/auctions/5-year-tips/2015-12-17.

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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