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2-year note auction of 26 April 2011 (new issue)

The 2-year note sold $37.208 billion at a high yield of 0.673% on , with a bid-to-cover ratio of 3.06.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.673%

Median yield 0.640%

Bid-to-cover

3.06

▼ −0.10 since 28 Mar

Sold

$37.21 billion

$35 billion offered

Indirect bidders

37.9%

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 28 May 2008 to 26 April 2011; the latest at 0.673%.0.0%1.0%2.0%3.0%2008200920102011This auction, 0.673%High yield at the last 36 2-year note auctions36 auctions from 28 May 2008 to 26 April 2011; the latest at 0.673%.0.4%0.6%0.8%1.0%1.2%2009201020110.673%

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
0.6733.06
0.7893.16
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.063.389 of 123 of 12
High yield0.6730.7026 of 126 of 12
Indirect bidders' share37.932.94 of 128 of 12
Direct bidders' share13.414.68 of 124 of 12
Primary dealers' share48.851.97 of 125 of 12
High minus median, basis points3.32.63 of 129 of 12

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

Who bought the 2-year note?

Primary dealers took 48.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 28 March 2011

Primary dealers took 48.8% of the competitive bids acceptedIndirect bidders 37.9%, Direct bidders 13.4%, Primary dealers 48.8%Indirect bidders37.9%33.0%Direct bidders13.4%13.3%Primary dealers48.8%53.7%Primary dealers took 48.8% of the competitive bids acceptedIndirect bidders 37.9%, Direct bidders 13.4%, Primary dealers 48.8%Indirect bidders37.9%33.0%Direct bidders13.4%13.3%Primary dealers48.8%53.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.933.0
Direct bidders13.413.3
Primary dealers48.853.7

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$35,000,000,000
Bids received$109,183,269,500
Sold$37,208,284,800
Competitive bids accepted$34,689,365,300
Non-competitive bids accepted$310,702,000
Federal Reserve (SOMA) add-on$2,208,217,500
Foreign and international (FIMA) non-competitive$0
High yield, %0.673
Median rate, %0.640
Low rate, %0.577
Interest rate (coupon), %0.625
Bids at the high rate filled, %79.79
Bid-to-cover ratio3.06
Indirect bidders accepted$13,132,038,300
Direct bidders accepted$4,635,895,000
Primary dealers accepted$16,921,432,000
Indirect bidders' share, % (ours)37.9
Direct bidders' share, % (ours)13.4
Primary dealers' share, % (ours)48.8
High minus median, basis points (ours)3.3
Treasury par yield curve, 2-year point, same day, %0.65
High yield minus that point, basis points (ours)2.3

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 ratio3.06Last 24 auctions15 of 249 of 243.16
Bid-to-cover ratio3.06Since 23 April 200815 of 3621 of 362.97
Bid-to-cover ratio3.06All 135 since 27 October 199918 of 135117 of 1352.40
High yield0.673Last 24 auctions18 of 246 of 240.841
High yield0.673Since 23 April 200830 of 366 of 360.949
High yield0.673All 369 since 23 January 1980363 of 3696 of 3695.794
Indirect bidders' share37.9Last 24 auctions12 of 2412 of 2437.2
Indirect bidders' share37.9All 36 since 23 April 200814 of 3622 of 3634.8
Direct bidders' share13.4Last 24 auctions11 of 2413 of 2412.7
Direct bidders' share13.4All 36 since 23 April 200811 of 3625 of 367.5
Primary dealers' share48.8Last 24 auctions11 of 2413 of 2448.1
Primary dealers' share48.8All 36 since 23 April 200822 of 3614 of 3653.7
High minus median, basis points3.3Last 24 auctions11 of 2413 of 243.2
High minus median, basis points3.3Since 23 April 200821 of 3615 of 364.0
High minus median, basis points3.3All 369 since 23 January 198075 of 369294 of 3692.0

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 April 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110426_2.pdf. Compiled by 500metrics, "2-year note auction of 26 April 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-04-26.

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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