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Treasury auctions · 5-Year Note

5-year note auction of 26 October 2011 (new issue)

The 5-year note sold $36.331 billion at a high yield of 1.055% on , with a bid-to-cover ratio of 2.90.

High yield at each 5-year note auction

The last 36 auctions, this one last

High yield at each 5-year note auction, 25 Nov 2008 to 26 Oct 2011
High yield at each 5-year note auction, 28 Oct 2009 to 26 Oct 2011

Bid-to-cover ratio at each 5-year note auction

The last 36 auctions, this one last

Bid-to-cover ratio at each 5-year note auction, 25 Nov 2008 to 26 Oct 2011
Bid-to-cover ratio at each 5-year note auction, 28 Oct 2009 to 26 Oct 2011

Who bought the 5-year note of 26 Oct 2011

Shares of the competitive bids accepted

  • Indirect bidders 49.3%
  • Direct bidders 10.4%
  • Primary dealers 40.3%
This auction, 26 Oct 2011
  • Indirect bidders 45.9%
  • Direct bidders 13.8%
  • Primary dealers 40.3%
The 5-year note auction before, 28 Sep 2011

Each point is one 5-year note auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders49.3%
Inspect and compare dates
High yield and bid-to-cover of the last 36 5-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
1.0552.90
1.0153.04
1.0292.71
1.5802.62
1.6152.59
1.8133.20
2.1242.77
2.2602.79
2.1902.69
2.0412.97
2.1492.61
1.4112.65
1.3302.82
1.2602.96
1.3742.83
1.7963.06
1.9952.58
2.1302.71
2.5402.75
2.6052.55
2.3952.75
2.3702.80
2.6652.59
2.1752.81
2.3882.63
2.4702.40
2.4942.51
2.6891.92
2.7002.58
2.3102.32
1.9402.22
1.8492.02
1.9852.21
1.8201.98
1.5392.06
2.1102.44

Observed .

Right now

The high yield was 1.055% on 26 October 2011, up from 1.015% at the auction before.

The indirect bidders' share of 49.3% was the highest for a 5-year note since 28 September 2010, with 12 auctions in between.

The high minus median of 2.6 basis points was the lowest for a 5-year note since 25 November 2008, with 34 auctions in between.

Higher than 2 of the 42 since 24 April 2008

Its own history

Against the previous 24 5-year note auctions, the high minus median was lower than all 24.

The bid-to-cover ratio was higher than 19 of them.

See every measure against earlier auctions

Who bought

Indirect bidders took the largest share of the competitive bids accepted.

  • Indirect bidders 49.3%
  • Direct bidders 10.4%
  • Primary dealers 40.3%

Size

Treasury sold $36.331 billion of the $35 billion offered.

Bids received came to $102.789 billion; the bid-to-cover ratio was 2.90.

Its bid-to-cover of 2.90 compares with the 24 auctions before it: lowest 2.55 on , highest 3.20 on ; 53.8% of the way from the low to the high.

2.90

Low 2.55 Midpoint 2.875 High 3.20

The security5-Year, new issue

Coupon
1.000%
Announced
Issued
Matures

It adds to the debt that matures in October 2016.

Understanding this result

Where it stands today

The high yield was 1.055% at this 5-year note auction, the median yield 1.029% and a bid-to-cover ratio of 2.90.

What do these figures measure?

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.

Read more

How does it compare with the par yield curve?

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 these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as5-Year, new issue
Offering amount$35,000,000,000
Bids received$102,788,591,300
Sold$36,330,796,900
Competitive bids accepted$34,971,405,600
Non-competitive bids accepted$28,646,600
Federal Reserve (SOMA) add-on$1,330,744,700
Foreign and international (FIMA) non-competitive$0
High yield, %1.055
Median rate, %1.029
Low rate, %0.975
Interest rate (coupon), %1.000
Bids at the high rate filled, %57.79
Bid-to-cover ratio2.90
Indirect bidders accepted$17,225,505,600
Direct bidders accepted$3,635,000,000
Primary dealers accepted$14,110,900,000
Indirect bidders' share, % (ours)49.3
Direct bidders' share, % (ours)10.4
Primary dealers' share, % (ours)40.3
High minus median, basis points (ours)2.6
Treasury par yield curve, 5-year point, same day, %1.09
High yield minus that point, basis points (ours)-3.5
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 5-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.902.743 of 129 of 12
High yield1.0551.71410 of 122 of 12
Indirect bidders' share49.339.70 of 1212 of 12
Direct bidders' share10.411.27 of 125 of 12
Primary dealers' share40.348.811 of 121 of 12
High minus median, basis points2.65.212 of 120 of 12

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

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 ratio2.90Last 24 auctions5 of 2419 of 242.75
Bid-to-cover ratio2.90Since 24 April 20085 of 4237 of 422.59
Bid-to-cover ratio2.90All 119 since 28 September 199410 of 119108 of 1192.44
High yield1.055Last 24 auctions22 of 242 of 242.082
High yield1.055Since 24 April 200840 of 422 of 422.162
High yield1.055All 215 since 24 January 1991213 of 2152 of 2154.855
Indirect bidders' share49.3Last 24 auctions5 of 2419 of 2442.3
Indirect bidders' share49.3All 42 since 24 April 20087 of 4235 of 4239.8
Direct bidders' share10.4Last 24 auctions14 of 2410 of 2411.0
Direct bidders' share10.4All 42 since 24 April 200816 of 4226 of 428.2
Primary dealers' share40.3Last 24 auctions20 of 244 of 2444.9
Primary dealers' share40.3All 42 since 24 April 200837 of 425 of 4249.2
High minus median, basis points2.6Last 24 auctions24 of 240 of 245.6
High minus median, basis points2.6Since 24 April 200841 of 421 of 426.2
High minus median, basis points2.6All 215 since 24 January 1991111 of 21599 of 2152.8

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

When are the figures from, and how are they cited?Dates and how to cite

Observed .

Shares of competitive bids, grades against earlier auctions and the high-minus-median spread are computed by 500metrics from Treasury's published fields.

Observed .

How to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 26 October 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111026_1.pdf. Compiled by 500metrics, "5-year note auction of 26 October 2011 (new issue)", https://500metrics.com/treasury/auctions/5-year-note/2011-10-26.

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