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5-year TIPS auction of 24 August 2017 (reopening)

The 5-year TIPS sold $14.439 billion at a high real yield of 0.117% on , with a bid-to-cover ratio of 2.41.

Coupon
0.125%
Announced
Issued
Matures

Real yield

0.117%

Median real yield 0.045%

Bid-to-cover

2.41

▼ −0.11 since 20 Apr

Sold

$14.44 billion

$14 billion offered

Indirect bidders

65.5%

Of competitive bids accepted

Real yield at the last 32 5-year TIPS auctions

Real yield at each 5-year TIPS auction, %

Real yield at the last 32 5-year TIPS auctions32 auctions from 9 July 1997 to 24 August 2017; the latest at 0.117%.-2.0%0.0%2.0%4.0%200620072008200920102011201220132014201520162017This auction, 0.117%Real yield at the last 32 5-year TIPS auctions32 auctions from 9 July 1997 to 24 August 2017; the latest at 0.117%.-2.0%-1.0%0.0%1.0%2.0%201020112012201320142015201620170.117%

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

The 32 auctions as a table
Real yield and bid-to-cover of the last 32 5-year TIPS auctions, newest first
AuctionReal yield, %Bid-to-cover
0.1172.41
-0.0492.52
0.1202.68
-0.2092.37
-0.1952.42
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 ratio2.412.457 of 125 of 12
High real yield0.117-0.1614 of 128 of 12
Indirect bidders' share65.561.84 of 128 of 12
Direct bidders' share11.66.81 of 1211 of 12
Primary dealers' share22.831.410 of 122 of 12
High minus median, basis points7.26.52 of 1210 of 12

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

Who bought the 5-year TIPS?

Indirect bidders took 65.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year TIPS auction, 20 April 2017

Indirect bidders took 65.5% of the competitive bids acceptedIndirect bidders 65.5%, Direct bidders 11.6%, Primary dealers 22.8%Indirect bidders65.5%74.2%Direct bidders11.6%9.2%Primary dealers22.8%16.7%Indirect bidders took 65.5% of the competitive bids acceptedIndirect bidders 65.5%, Direct bidders 11.6%, Primary dealers 22.8%Indirect bidders65.5%74.2%Direct bidders11.6%9.2%Primary dealers22.8%16.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders65.574.2
Direct bidders11.69.2
Primary dealers22.816.7

About these figures

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

Treasury's published result

FieldValue
Offered as4-Year 8-Month, reopening
Offering amount$14,000,000,000
Bids received$34,142,520,300
Sold$14,438,855,000
Competitive bids accepted$13,966,584,700
Non-competitive bids accepted$33,461,300
Federal Reserve (SOMA) add-on$438,809,000
Foreign and international (FIMA) non-competitive$0
Real yield, %0.117
Median rate, %0.045
Low rate, %0.020
Interest rate (coupon), %0.125
Bids at the high rate filled, %13.39
Bid-to-cover ratio2.41
Indirect bidders accepted$9,151,194,700
Direct bidders accepted$1,625,000,000
Primary dealers accepted$3,190,390,000
Indirect bidders' share, % (ours)65.5
Direct bidders' share, % (ours)11.6
Primary dealers' share, % (ours)22.8
High minus median, basis points (ours)7.2
Treasury real par yield curve, 5-year point, same day, %0.18
High yield minus that point, basis points (ours)-6.3

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 ratio2.41Last 24 auctions17 of 247 of 242.56
Bid-to-cover ratio2.41Since 22 April 200817 of 258 of 252.54
Bid-to-cover ratio2.41All 30 since 8 October 199721 of 309 of 302.53
High real yield0.117Last 24 auctions8 of 2416 of 24-0.202
High real yield0.117Since 22 April 20089 of 2516 of 25-0.195
High real yield0.117All 31 since 9 July 199715 of 3116 of 31-0.049
Indirect bidders' share65.5Last 24 auctions4 of 2420 of 2448.3
Indirect bidders' share65.5All 25 since 22 April 20084 of 2521 of 2547.8
Direct bidders' share11.6Last 24 auctions4 of 2420 of 247.9
Direct bidders' share11.6All 25 since 22 April 20084 of 2521 of 257.8
Primary dealers' share22.8Last 24 auctions22 of 242 of 2440.7
Primary dealers' share22.8All 25 since 22 April 200823 of 252 of 2541.1
High minus median, basis points7.2Last 24 auctions10 of 2414 of 246.6
High minus median, basis points7.2Since 22 April 200810 of 2515 of 256.5
High minus median, basis points7.2All 31 since 9 July 199711 of 3120 of 316.5

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 24 August 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170824_1.pdf. Compiled by 500metrics, "5-year TIPS auction of 24 August 2017 (reopening)", https://500metrics.com/treasury/auctions/5-year-tips/2017-08-24.

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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