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5-year TIPS auction of 10 July 2020 (reopening)

The 5-year TIPS sold $25 million at a high real yield of -0.951% on , with a bid-to-cover ratio of 6.31.

Coupon
0.125%
Announced
Issued
Matures

Real yield

-0.951%

Median real yield -0.960%

Bid-to-cover

6.31

▲ +3.53 since 18 Jun

Sold

$25.00 million

$25 million offered

Indirect bidders

0.0%

Of competitive bids accepted

The high real yield was the lowest for a 5-year TIPS since 18 April 2013

Real yield at each 5-year TIPS auction, %

The high real yield was the lowest for a 5-year TIPS since 18 April 201336 auctions from 27 October 2008 to 10 July 2020; the latest at -0.951%.-2.0%0.0%2.0%4.0%200920102011201220132014201520162017201820192020This auction, -0.951%The high real yield was the lowest for a 5-year TIPS since 18 April 201336 auctions from 27 October 2008 to 10 July 2020; the latest at -0.951%.-1.0%0.0%1.0%2.0%2014201520162017201820192020-0.951%

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

The 36 auctions as a table
Real yield and bid-to-cover of the last 36 5-year TIPS auctions, newest first
AuctionReal yield, %Bid-to-cover
-0.9516.31
-0.7662.78
-0.3202.74
0.0202.69
0.0542.75
0.1522.55
0.5152.50
1.1292.80
0.7242.78
0.6312.55
0.3702.78
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

Against its own history

Against the previous 12 auctions of the 5-year TIPS
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio6.312.720 of 1212 of 12
High real yield-0.9510.13412 of 120 of 12
Indirect bidders' share0.071.012 of 120 of 12
Direct bidders' share0.011.912 of 120 of 12
Primary dealers' share100.015.50 of 1212 of 12
High minus median, basis points0.94.612 of 120 of 12

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

  • Bid-to-cover ratio: Highest of all 41 earlier 5-year TIPS auctions we hold.
  • Indirect bidders' share: Lowest of all 36 earlier 5-year TIPS auctions we hold.
  • Direct bidders' share: Lowest of all 36 earlier 5-year TIPS auctions we hold.
  • Primary dealers' share: Highest of all 36 earlier 5-year TIPS auctions we hold.
  • High minus median, basis points: Lowest of all 42 earlier 5-year TIPS auctions we hold.

Who bought the 5-year TIPS?

Primary dealers took 100.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 5-year TIPS auction, 18 June 2020

Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%70.3%Direct bidders0.0%14.6%Primary dealers100.0%15.1%Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%70.3%Direct bidders0.0%14.6%Primary dealers100.0%15.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders0.070.3
Direct bidders0.014.6
Primary dealers100.015.1

About these figures

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

Treasury's published result

FieldValue
Offered as4-Year 10-Month, reopening
Offering amount$25,000,000
Bids received$157,750,000
Sold$25,000,000
Competitive bids accepted$25,000,000
Non-competitive bids accepted$0
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Real yield, %-0.951
Median rate, %-0.960
Low rate, %-0.990
Interest rate (coupon), %0.125
Bids at the high rate filled, %15.00
Bid-to-cover ratio6.31
Indirect bidders accepted$0
Direct bidders accepted$0
Primary dealers accepted$25,000,000
Indirect bidders' share, % (ours)0.0
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)100.0
High minus median, basis points (ours)0.9
Treasury real par yield curve, 5-year point, same day, %-0.95
High yield minus that point, basis points (ours)-0.1

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 ratio6.31Last 24 auctions0 of 2424 of 242.54
Bid-to-cover ratio6.31Since 22 April 20080 of 3636 of 362.58
Bid-to-cover ratio6.31All 41 since 8 October 19970 of 4141 of 412.57
High real yield-0.951Last 24 auctions23 of 241 of 240.037
High real yield-0.951Since 22 April 200832 of 364 of 36-0.014
High real yield-0.951All 42 since 9 July 199738 of 424 of 420.118
Indirect bidders' share0.0Last 24 auctions24 of 240 of 2466.4
Indirect bidders' share0.0All 36 since 22 April 200836 of 360 of 3658.7
Direct bidders' share0.0Last 24 auctions24 of 240 of 248.1
Direct bidders' share0.0All 36 since 22 April 200836 of 360 of 368.3
Primary dealers' share100.0Last 24 auctions0 of 2424 of 2423.0
Primary dealers' share100.0All 36 since 22 April 20080 of 3636 of 3632.5
High minus median, basis points0.9Last 24 auctions24 of 240 of 245.2
High minus median, basis points0.9Since 22 April 200836 of 360 of 365.4
High minus median, basis points0.9All 42 since 9 July 199742 of 420 of 425.2

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 10 July 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200710_1.pdf. Compiled by 500metrics, "5-year TIPS auction of 10 July 2020 (reopening)", https://500metrics.com/treasury/auctions/5-year-tips/2020-07-10.

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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