TIPS Auction and Market Yields

Today's Treasury auctions included the weekly 4- and  8-week bills, as well as the less-common 5-year inflation-protected TIPS. This auction tendered $50 billion, of which the Treasury accepted $21 billion. The 2.38 Tender-to-Accept ratio is slightly above the latest T/A for the nominal 5-year Treasury note, which on September 27 tendered $99.9 billion to $44 billion accepted, at a T/A of 2.27.

The median yield on today's TIPS auction was 1.669 percent. This is up from the 1.22 percent yield average for TIPS sold in the secondary market in September, but less than the October 18 market yield of 1.79 percent. 

Assuming that Treasury investors have not changed their inflation forecast of 2.91 percent from September, the latest auction yield for the 5-year TIPS points to a median yield at the auction for October 5-year nominal notes of 4.58 percent. The September auction for nominal 5-year notes yielded 4.13 percent.

The auction for 5-year nominal Treasury notes will be held on October 26.

Today (Oct. 20) the Treasury market drove yields on all maturities upward. As we predicted earlier today, the yield on the 4-week bill rose above 3.4 percent to stop at 3.58 percent. The others increased as follows, compared to yesterday; [latest median Treasury auction yield included]:

• 8-week, from 3.72 to 3.83 [3.63];
• 13-week, from 4.07 to 4.09 [3.75];
• 17-week, from 4.32 to 4.33 [4.10];
• 26-week, from 4.45 to 4.48 [4.19];
• 52-week, from 4.60 to 4.66 [3.895];
• 2-year, from 4.55 to 4.62 [4.22];
• 3-year, from 4.56 to 4.66 [4.24];
• 5-year, from 4.35 to 4.45 [4.13];
• 7-year, from 4.26 to 4.36 [3.85];
• 10-year, from 4.14 to 4.24 [3.85];
• 20-year, from 4.38 to 4.47 [4.319]; and
• 30-year, from 4.15 to 4.24 percent [3.85]. 

We expect the 13-week bill to pass four percent in its auction on Monday. 

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We do not give investment advice. 

This blog provides analytical information solely the purposes of 1) predicting the cost of the federal debt, and 2) for assessing the risk for a U.S. fiscal crisis. All information published here is based on publicly available data from the U.S. Treasury, including but not limited to approximately 65 percent of the current debt; on macroeconomic data, including but not limited to monetary policy decisions by the Federal Reserve; and on macroeconomic theory.