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2-year note auction of 24 August 2010 (new issue)

The 2-year note sold $37.906 billion at a high yield of 0.498% on , with a bid-to-cover ratio of 3.12.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.498%

Median yield 0.480%

Bid-to-cover

3.12

▼ −0.21 since 27 Jul

Sold

$37.91 billion

$37 billion offered

Indirect bidders

29.2%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 361 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 361 earlier auctions we hold36 auctions from 26 September 2007 to 24 August 2010; the latest at 0.498%.0.0%1.0%2.0%3.0%4.0%2007200820092010This auction, 0.498%The high yield was the lowest for a 2-year note of all 361 earlier auctions we hold36 auctions from 26 September 2007 to 24 August 2010; the latest at 0.498%.0.0%0.5%1.0%1.5%2.0%2.5%200920100.498%

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
0.4983.12
0.6653.33
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.123.147 of 125 of 12
High yield0.4980.94812 of 120 of 12
Indirect bidders' share29.242.312 of 120 of 12
Direct bidders' share12.113.67 of 125 of 12
Primary dealers' share58.746.60 of 1212 of 12
High minus median, basis points1.84.011 of 120 of 12

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

  • Indirect bidders' share: Lowest for a 2-year note since 27 April 2009 (15 auctions in between).
  • Primary dealers' share: Highest for a 2-year note since 28 July 2009 (12 auctions in between).

Who bought the 2-year note?

Primary dealers took 58.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 July 2010

Primary dealers took 58.7% of the competitive bids acceptedIndirect bidders 29.2%, Direct bidders 12.1%, Primary dealers 58.7%Indirect bidders29.2%32.8%Direct bidders12.1%13.5%Primary dealers58.7%53.7%Primary dealers took 58.7% of the competitive bids acceptedIndirect bidders 29.2%, Direct bidders 12.1%, Primary dealers 58.7%Indirect bidders29.2%32.8%Direct bidders12.1%13.5%Primary dealers58.7%53.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders29.232.8
Direct bidders12.113.5
Primary dealers58.753.7

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$37,000,000,000
Bids received$116,453,030,300
Sold$37,905,982,800
Competitive bids accepted$36,544,452,500
Non-competitive bids accepted$455,620,700
Federal Reserve (SOMA) add-on$905,909,600
Foreign and international (FIMA) non-competitive$0
High yield, %0.498
Median rate, %0.480
Low rate, %0.396
Interest rate (coupon), %0.375
Bids at the high rate filled, %95.59
Bid-to-cover ratio3.12
Indirect bidders accepted$10,687,475,000
Direct bidders accepted$4,411,847,500
Primary dealers accepted$21,445,130,000
Indirect bidders' share, % (ours)29.2
Direct bidders' share, % (ours)12.1
Primary dealers' share, % (ours)58.7
High minus median, basis points (ours)1.8
Treasury par yield curve, 2-year point, same day, %0.50
High yield minus that point, basis points (ours)-0.2

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 ratio3.12Last 24 auctions8 of 2416 of 242.92
Bid-to-cover ratio3.12Since 23 April 20088 of 2820 of 282.74
Bid-to-cover ratio3.12All 127 since 27 October 199911 of 127116 of 1272.36
High yield0.498Last 24 auctions24 of 240 of 240.980
High yield0.498Since 23 April 200828 of 280 of 281.022
High yield0.498All 361 since 23 January 1980361 of 3610 of 3615.885
Indirect bidders' share29.2Last 24 auctions21 of 243 of 2435.5
Indirect bidders' share29.2All 28 since 23 April 200823 of 285 of 2834.8
Direct bidders' share12.1Last 24 auctions7 of 2417 of 245.1
Direct bidders' share12.1All 28 since 23 April 20087 of 2821 of 283.8
Primary dealers' share58.7Last 24 auctions8 of 2416 of 2449.7
Primary dealers' share58.7All 28 since 23 April 200812 of 2816 of 2852.6
High minus median, basis points1.8Last 24 auctions23 of 240 of 244.3
High minus median, basis points1.8Since 23 April 200827 of 280 of 284.3
High minus median, basis points1.8All 361 since 23 January 1980224 of 361130 of 3612.0

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 24 August 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20100824_3.pdf. Compiled by 500metrics, "2-year note auction of 24 August 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-08-24.

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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