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2-year note auction of 22 February 2011 (new issue)

The 2-year note sold $36.923 billion at a high yield of 0.745% on , with a bid-to-cover ratio of 3.03.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.745%

Median yield 0.714%

Bid-to-cover

3.03

▼ −0.44 since 25 Jan

Sold

$36.92 billion

$35 billion offered

Indirect bidders

31.3%

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 March 2008 to 22 February 2011; the latest at 0.745%.0.0%1.0%2.0%3.0%2008200920102011This auction, 0.745%High yield at the last 36 2-year note auctions36 auctions from 26 March 2008 to 22 February 2011; the latest at 0.745%.0.4%0.6%0.8%1.0%1.2%2009201020110.745%

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
0.7453.03
0.6503.47
0.7403.71
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.033.389 of 122 of 12
High yield0.7450.7024 of 128 of 12
Indirect bidders' share31.335.58 of 124 of 12
Direct bidders' share6.814.612 of 120 of 12
Primary dealers' share61.849.40 of 1212 of 12
High minus median, basis points3.12.63 of 129 of 12

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

  • Direct bidders' share: Lowest for a 2-year note since 23 November 2009 (14 auctions in between).
  • Primary dealers' share: Highest for a 2-year note since 28 July 2009 (18 auctions in between).

Who bought the 2-year note?

Primary dealers took 61.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 January 2011

Primary dealers took 61.8% of the competitive bids acceptedIndirect bidders 31.3%, Direct bidders 6.8%, Primary dealers 61.8%Indirect bidders31.3%27.0%Direct bidders6.8%14.9%Primary dealers61.8%58.1%Primary dealers took 61.8% of the competitive bids acceptedIndirect bidders 31.3%, Direct bidders 6.8%, Primary dealers 61.8%Indirect bidders31.3%27.0%Direct bidders6.8%14.9%Primary dealers61.8%58.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders31.327.0
Direct bidders6.814.9
Primary dealers61.858.1

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$108,126,951,800
Sold$36,922,671,800
Competitive bids accepted$34,646,720,000
Non-competitive bids accepted$323,316,000
Federal Reserve (SOMA) add-on$1,922,635,800
Foreign and international (FIMA) non-competitive$30,000,000
High yield, %0.745
Median rate, %0.714
Low rate, %0.650
Interest rate (coupon), %0.625
Bids at the high rate filled, %50.16
Bid-to-cover ratio3.03
Indirect bidders accepted$10,858,240,000
Direct bidders accepted$2,361,000,000
Primary dealers accepted$21,427,480,000
Indirect bidders' share, % (ours)31.3
Direct bidders' share, % (ours)6.8
Primary dealers' share, % (ours)61.8
High minus median, basis points (ours)3.1
Treasury par yield curve, 2-year point, same day, %0.74
High yield minus that point, basis points (ours)0.5

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 ratio3.03Last 24 auctions14 of 249 of 243.14
Bid-to-cover ratio3.03Since 23 April 200814 of 3419 of 342.94
Bid-to-cover ratio3.03All 133 since 27 October 199918 of 133113 of 1332.38
High yield0.745Last 24 auctions16 of 248 of 240.918
High yield0.745Since 23 April 200826 of 348 of 340.955
High yield0.745All 367 since 23 January 1980359 of 3678 of 3675.850
Indirect bidders' share31.3Last 24 auctions18 of 246 of 2438.6
Indirect bidders' share31.3All 34 since 23 April 200823 of 3411 of 3434.8
Direct bidders' share6.8Last 24 auctions16 of 248 of 2412.0
Direct bidders' share6.8All 34 since 23 April 200817 of 3417 of 346.9
Primary dealers' share61.8Last 24 auctions3 of 2421 of 2447.5
Primary dealers' share61.8All 34 since 23 April 200812 of 3422 of 3452.6
High minus median, basis points3.1Last 24 auctions14 of 2410 of 243.6
High minus median, basis points3.1Since 23 April 200822 of 3412 of 344.0
High minus median, basis points3.1All 367 since 23 January 198076 of 367290 of 3672.0

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 February 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110222_3.pdf. Compiled by 500metrics, "2-year note auction of 22 February 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-02-22.

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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