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2-year note auction of 26 October 2010 (new issue)

The 2-year note sold $35.718 billion at a high yield of 0.400% on , with a bid-to-cover ratio of 3.43.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.400%

Median yield 0.375%

Bid-to-cover

3.43

▼ −0.35 since 27 Sep

Sold

$35.72 billion

$35 billion offered

Indirect bidders

40.0%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 363 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 363 earlier auctions we hold36 auctions from 28 November 2007 to 26 October 2010; the latest at 0.400%.0.0%1.0%2.0%3.0%4.0%200820092010This auction, 0.400%The high yield was the lowest for a 2-year note of all 363 earlier auctions we hold36 auctions from 28 November 2007 to 26 October 2010; the latest at 0.400%.0.3%0.5%0.8%1.0%1.3%1.5%200920100.400%

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
0.4003.43
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.433.143 of 129 of 12
High yield0.4000.84112 of 120 of 12
Indirect bidders' share40.037.65 of 127 of 12
Direct bidders' share15.913.64 of 128 of 12
Primary dealers' share44.148.19 of 123 of 12
High minus median, basis points2.53.69 of 123 of 12

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

Who bought the 2-year note?

Primary dealers took 44.1% of the competitive bids accepted

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

Primary dealers took 44.1% of the competitive bids acceptedIndirect bidders 40.0%, Direct bidders 15.9%, Primary dealers 44.1%Indirect bidders40.0%39.0%Direct bidders15.9%10.8%Primary dealers44.1%50.2%Primary dealers took 44.1% of the competitive bids acceptedIndirect bidders 40.0%, Direct bidders 15.9%, Primary dealers 44.1%Indirect bidders40.0%39.0%Direct bidders15.9%10.8%Primary dealers44.1%50.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders40.039.0
Direct bidders15.910.8
Primary dealers44.150.2

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$35,000,000,000
Bids received$120,937,498,000
Sold$35,717,523,000
Competitive bids accepted$34,669,525,000
Non-competitive bids accepted$330,523,400
Federal Reserve (SOMA) add-on$717,474,600
Foreign and international (FIMA) non-competitive$0
High yield, %0.400
Median rate, %0.375
Low rate, %0.310
Interest rate (coupon), %0.375
Bids at the high rate filled, %38.30
Bid-to-cover ratio3.43
Indirect bidders accepted$13,862,550,000
Direct bidders accepted$5,513,300,000
Primary dealers accepted$15,293,675,000
Indirect bidders' share, % (ours)40.0
Direct bidders' share, % (ours)15.9
Primary dealers' share, % (ours)44.1
High minus median, basis points (ours)2.5
Treasury par yield curve, 2-year point, same day, %0.40
High yield minus that point, basis points (ours)0.0

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 ratio3.43Last 24 auctions3 of 2421 of 242.97
Bid-to-cover ratio3.43Since 23 April 20083 of 3027 of 302.83
Bid-to-cover ratio3.43All 129 since 27 October 19994 of 129125 of 1292.36
High yield0.400Last 24 auctions24 of 240 of 240.949
High yield0.400Since 23 April 200830 of 300 of 301.010
High yield0.400All 363 since 23 January 1980363 of 3630 of 3635.874
Indirect bidders' share40.0Last 24 auctions11 of 2413 of 2437.6
Indirect bidders' share40.0All 30 since 23 April 200811 of 3019 of 3034.8
Direct bidders' share15.9Last 24 auctions4 of 2420 of 246.9
Direct bidders' share15.9All 30 since 23 April 20084 of 3026 of 304.4
Primary dealers' share44.1Last 24 auctions18 of 246 of 2449.4
Primary dealers' share44.1All 30 since 23 April 200824 of 306 of 3052.6
High minus median, basis points2.5Last 24 auctions20 of 243 of 244.0
High minus median, basis points2.5Since 23 April 200825 of 304 of 304.2
High minus median, basis points2.5All 363 since 23 January 1980128 of 363225 of 3632.0

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 26 October 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20101026_2.pdf. Compiled by 500metrics, "2-year note auction of 26 October 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-10-26.

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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