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

The 2-year note sold $36.379 billion at a high yield of 0.520% on , with a bid-to-cover ratio of 3.70.

Coupon
0.500%
Announced
Issued
Matures

High yield

0.520%

Median yield 0.500%

Bid-to-cover

3.70

▲ +0.27 since 26 Oct

Sold

$36.38 billion

$35 billion offered

Indirect bidders

38.3%

Of competitive bids accepted

High yield at the last 36 2-year note auctions

High yield at each 2-year note auction, %

High yield at the last 36 2-year note auctions36 auctions from 26 December 2007 to 22 November 2010; the latest at 0.520%.0.0%1.0%2.0%3.0%4.0%200820092010This auction, 0.520%High yield at the last 36 2-year note auctions36 auctions from 26 December 2007 to 22 November 2010; the latest at 0.520%.0.4%0.6%0.8%1.0%1.2%200920100.520%

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
0.5203.70
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.703.141 of 1211 of 12
High yield0.5200.7869 of 123 of 12
Indirect bidders' share38.337.66 of 126 of 12
Direct bidders' share14.413.65 of 127 of 12
Primary dealers' share47.348.17 of 125 of 12
High minus median, basis points2.03.110 of 122 of 12

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

Who bought the 2-year note?

Primary dealers took 47.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 October 2010

Primary dealers took 47.3% of the competitive bids acceptedIndirect bidders 38.3%, Direct bidders 14.4%, Primary dealers 47.3%Indirect bidders38.3%40.0%Direct bidders14.4%15.9%Primary dealers47.3%44.1%Primary dealers took 47.3% of the competitive bids acceptedIndirect bidders 38.3%, Direct bidders 14.4%, Primary dealers 47.3%Indirect bidders38.3%40.0%Direct bidders14.4%15.9%Primary dealers47.3%44.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders38.340.0
Direct bidders14.415.9
Primary dealers47.344.1

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$130,876,665,800
Sold$36,379,322,800
Competitive bids accepted$34,702,807,000
Non-competitive bids accepted$297,391,000
Federal Reserve (SOMA) add-on$1,379,124,800
Foreign and international (FIMA) non-competitive$0
High yield, %0.520
Median rate, %0.500
Low rate, %0.443
Interest rate (coupon), %0.500
Bids at the high rate filled, %2.46
Bid-to-cover ratio3.70
Indirect bidders accepted$13,278,092,000
Direct bidders accepted$4,993,535,000
Primary dealers accepted$16,431,180,000
Indirect bidders' share, % (ours)38.3
Direct bidders' share, % (ours)14.4
Primary dealers' share, % (ours)47.3
High minus median, basis points (ours)2.0
Treasury par yield curve, 2-year point, same day, %0.49
High yield minus that point, basis points (ours)3.0

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 ratio3.70Last 24 auctions1 of 2423 of 243.02
Bid-to-cover ratio3.70Since 23 April 20081 of 3130 of 312.91
Bid-to-cover ratio3.70All 130 since 27 October 19992 of 130128 of 1302.37
High yield0.520Last 24 auctions21 of 243 of 240.944
High yield0.520Since 23 April 200828 of 313 of 311.000
High yield0.520All 364 since 23 January 1980361 of 3643 of 3645.867
Indirect bidders' share38.3Last 24 auctions12 of 2412 of 2437.6
Indirect bidders' share38.3All 31 since 23 April 200813 of 3118 of 3134.9
Direct bidders' share14.4Last 24 auctions6 of 2418 of 249.5
Direct bidders' share14.4All 31 since 23 April 20086 of 3125 of 314.7
Primary dealers' share47.3Last 24 auctions13 of 2411 of 2448.1
Primary dealers' share47.3All 31 since 23 April 200820 of 3111 of 3151.4
High minus median, basis points2.0Last 24 auctions22 of 242 of 244.0
High minus median, basis points2.0Since 23 April 200829 of 312 of 314.1
High minus median, basis points2.0All 364 since 23 January 1980163 of 364144 of 3642.0

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 November 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20101122_3.pdf. Compiled by 500metrics, "2-year note auction of 22 November 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-11-22.

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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