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2-year note auction of 22 June 2010 (new issue)

The 2-year note sold $41.158 billion at a high yield of 0.738% on , with a bid-to-cover ratio of 3.45.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.738%

Median yield 0.720%

Bid-to-cover

3.45

▲ +0.52 since 25 May

Sold

$41.16 billion

$40 billion offered

Indirect bidders

41.4%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 359 earlier auctions we hold

High yield at each 2-year note auction, %

The high yield was the lowest for a 2-year note of all 359 earlier auctions we hold36 auctions from 25 July 2007 to 22 June 2010; the latest at 0.738%.0.0%1.0%2.0%3.0%4.0%5.0%2007200820092010This auction, 0.738%The high yield was the lowest for a 2-year note of all 359 earlier auctions we hold36 auctions from 25 July 2007 to 22 June 2010; the latest at 0.738%.0.0%1.0%2.0%3.0%2008200920100.738%

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

The 36 auctions as a table
High yield and bid-to-cover of the last 36 2-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
0.7383.45
0.7692.93
1.0243.03
1.0003.00
0.8953.33
0.8803.13
1.0892.91
0.8023.16
1.0203.63
1.0343.23
1.1192.68
1.0802.75
1.1513.19
0.9402.94
0.9492.72
0.9492.71
0.9612.63
0.9252.69
0.9222.13
1.2692.08
1.6002.49
2.1152.21
2.3802.18
2.8202.42
2.9222.64
2.6402.28
2.2252.21
1.7612.44
2.0452.14
2.2372.33
3.2852.23
3.1592.21
3.7232.86
4.0003.29
4.1153.97
4.7352.59

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.453.081 of 1211 of 12
High yield0.7381.02212 of 120 of 12
Indirect bidders' share41.443.87 of 125 of 12
Direct bidders' share21.311.32 of 1210 of 12
Primary dealers' share37.346.610 of 122 of 12
High minus median, basis points1.84.012 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year note since 29 August 2007 (33 auctions in between).

Who bought the 2-year note?

Indirect bidders took 41.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 May 2010

Indirect bidders took 41.4% of the competitive bids acceptedIndirect bidders 41.4%, Direct bidders 21.3%, Primary dealers 37.3%Indirect bidders41.4%36.2%Direct bidders21.3%15.2%Primary dealers37.3%48.6%Indirect bidders took 41.4% of the competitive bids acceptedIndirect bidders 41.4%, Direct bidders 21.3%, Primary dealers 37.3%Indirect bidders41.4%36.2%Direct bidders21.3%15.2%Primary dealers37.3%48.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders41.436.2
Direct bidders21.315.2
Primary dealers37.348.6

About these figures

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

Treasury's published result

FieldValue
Offered as2-Year, new issue
Offering amount$40,000,000,000
Bids received$139,307,135,600
Sold$41,158,095,600
Competitive bids accepted$39,567,560,000
Non-competitive bids accepted$432,579,900
Federal Reserve (SOMA) add-on$1,157,955,700
Foreign and international (FIMA) non-competitive$0
High yield, %0.738
Median rate, %0.720
Low rate, %0.647
Interest rate (coupon), %0.625
Bids at the high rate filled, %70.18
Bid-to-cover ratio3.45
Indirect bidders accepted$16,391,600,000
Direct bidders accepted$8,427,620,000
Primary dealers accepted$14,748,340,000
Indirect bidders' share, % (ours)41.4
Direct bidders' share, % (ours)21.3
Primary dealers' share, % (ours)37.3
High minus median, basis points (ours)1.8
Treasury par yield curve, 2-year point, same day, %0.71
High yield minus that point, basis points (ours)2.8

Treasury's own files: announcement (PDF) · results (PDF)

How to read this result

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.

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 (2-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 2-year note auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio3.45Last 24 auctions1 of 2423 of 242.74
Bid-to-cover ratio3.45Since 23 April 20081 of 2625 of 262.72
Bid-to-cover ratio3.45All 125 since 27 October 19992 of 125123 of 1252.33
High yield0.738Last 24 auctions24 of 240 of 241.022
High yield0.738Since 23 April 200826 of 260 of 261.029
High yield0.738All 359 since 23 January 1980359 of 3590 of 3595.930
Indirect bidders' share41.4Last 24 auctions10 of 2414 of 2435.5
Indirect bidders' share41.4All 26 since 23 April 200810 of 2616 of 2634.8
Direct bidders' share21.3Last 24 auctions2 of 2422 of 243.8
Direct bidders' share21.3All 26 since 23 April 20082 of 2624 of 263.5
Primary dealers' share37.3Last 24 auctions22 of 242 of 2451.1
Primary dealers' share37.3All 26 since 23 April 200824 of 262 of 2654.6
High minus median, basis points1.8Last 24 auctions24 of 240 of 244.4
High minus median, basis points1.8Since 23 April 200826 of 260 of 264.4
High minus median, basis points1.8All 359 since 23 January 1980223 of 359130 of 3592.0

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 22 June 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20100622_2.pdf. Compiled by 500metrics, "2-year note auction of 22 June 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-06-22.

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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