500metrics

All sources checked Checked

2-year note auction of 27 September 2010 (new issue)

The 2-year note sold $37.134 billion at a high yield of 0.441% on , with a bid-to-cover ratio of 3.78.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.441%

Median yield 0.418%

Bid-to-cover

3.78

▲ +0.66 since 24 Aug

Sold

$37.13 billion

$36 billion offered

Indirect bidders

39.0%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 362 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 362 earlier auctions we hold36 auctions from 24 October 2007 to 27 September 2010; the latest at 0.441%.0.0%1.0%2.0%3.0%4.0%2007200820092010This auction, 0.441%The high yield was the lowest for a 2-year note of all 362 earlier auctions we hold36 auctions from 24 October 2007 to 27 September 2010; the latest at 0.441%.0.0%0.5%1.0%1.5%2.0%200920100.441%

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
0.4413.78
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.783.140 of 1212 of 12
High yield0.4410.88812 of 120 of 12
Indirect bidders' share39.038.86 of 126 of 12
Direct bidders' share10.813.69 of 123 of 12
Primary dealers' share50.246.84 of 128 of 12
High minus median, basis points2.34.010 of 122 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year note since 29 August 2007 (36 auctions in between).

Who bought the 2-year note?

Primary dealers took 50.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 24 August 2010

Primary dealers took 50.2% of the competitive bids acceptedIndirect bidders 39.0%, Direct bidders 10.8%, Primary dealers 50.2%Indirect bidders39.0%29.2%Direct bidders10.8%12.1%Primary dealers50.2%58.7%Primary dealers took 50.2% of the competitive bids acceptedIndirect bidders 39.0%, Direct bidders 10.8%, Primary dealers 50.2%Indirect bidders39.0%29.2%Direct bidders10.8%12.1%Primary dealers50.2%58.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders39.029.2
Direct bidders10.812.1
Primary dealers50.258.7

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$36,000,000,000
Bids received$137,381,137,500
Sold$37,134,262,500
Competitive bids accepted$35,570,425,000
Non-competitive bids accepted$419,674,800
Federal Reserve (SOMA) add-on$1,134,162,700
Foreign and international (FIMA) non-competitive$10,000,000
High yield, %0.441
Median rate, %0.418
Low rate, %0.350
Interest rate (coupon), %0.375
Bids at the high rate filled, %25.35
Bid-to-cover ratio3.78
Indirect bidders accepted$13,884,925,000
Direct bidders accepted$3,834,000,000
Primary dealers accepted$17,851,500,000
Indirect bidders' share, % (ours)39.0
Direct bidders' share, % (ours)10.8
Primary dealers' share, % (ours)50.2
High minus median, basis points (ours)2.3
Treasury par yield curve, 2-year point, same day, %0.44
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 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 ratio3.78Last 24 auctions0 of 2424 of 242.94
Bid-to-cover ratio3.78Since 23 April 20080 of 2929 of 292.75
Bid-to-cover ratio3.78All 128 since 27 October 19991 of 128127 of 1282.36
High yield0.441Last 24 auctions24 of 240 of 240.955
High yield0.441Since 23 April 200829 of 290 of 291.020
High yield0.441All 362 since 23 January 1980362 of 3620 of 3625.880
Indirect bidders' share39.0Last 24 auctions11 of 2413 of 2435.5
Indirect bidders' share39.0All 29 since 23 April 200811 of 2918 of 2934.8
Direct bidders' share10.8Last 24 auctions9 of 2415 of 246.9
Direct bidders' share10.8All 29 since 23 April 20089 of 2920 of 294.1
Primary dealers' share50.2Last 24 auctions12 of 2412 of 2449.7
Primary dealers' share50.2All 29 since 23 April 200817 of 2912 of 2953.7
High minus median, basis points2.3Last 24 auctions22 of 242 of 244.2
High minus median, basis points2.3Since 23 April 200826 of 292 of 294.2
High minus median, basis points2.3All 362 since 23 January 1980143 of 362216 of 3622.0

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 27 September 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20100927_3.pdf. Compiled by 500metrics, "2-year note auction of 27 September 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-09-27.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.