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2-year note auction of 24 May 2011 (new issue)

The 2-year note sold $37.946 billion at a high yield of 0.560% on , with a bid-to-cover ratio of 3.46.

Coupon
0.500%
Announced
Issued
Matures

High yield

0.560%

Median yield 0.540%

Bid-to-cover

3.46

▲ +0.40 since 26 Apr

Sold

$37.95 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 24 June 2008 to 24 May 2011; the latest at 0.560%.0.0%1.0%2.0%3.0%2008200920102011This auction, 0.560%High yield at the last 36 2-year note auctions36 auctions from 24 June 2008 to 24 May 2011; the latest at 0.560%.0.4%0.6%0.8%1.0%1.2%2009201020110.560%

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
0.5603.46
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.463.384 of 128 of 12
High yield0.5600.6698 of 124 of 12
Indirect bidders' share31.334.69 of 123 of 12
Direct bidders' share19.113.92 of 1210 of 12
Primary dealers' share49.651.97 of 125 of 12
High minus median, basis points2.02.68 of 122 of 12

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

Who bought the 2-year note?

Primary dealers took 49.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 April 2011

Primary dealers took 49.6% of the competitive bids acceptedIndirect bidders 31.3%, Direct bidders 19.1%, Primary dealers 49.6%Indirect bidders31.3%37.9%Direct bidders19.1%13.4%Primary dealers49.6%48.8%Primary dealers took 49.6% of the competitive bids acceptedIndirect bidders 31.3%, Direct bidders 19.1%, Primary dealers 49.6%Indirect bidders31.3%37.9%Direct bidders19.1%13.4%Primary dealers49.6%48.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders31.337.9
Direct bidders19.113.4
Primary dealers49.648.8

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$124,148,245,600
Sold$37,945,946,600
Competitive bids accepted$34,851,311,000
Non-competitive bids accepted$148,731,300
Federal Reserve (SOMA) add-on$2,945,904,300
Foreign and international (FIMA) non-competitive$0
High yield, %0.560
Median rate, %0.540
Low rate, %0.470
Interest rate (coupon), %0.500
Bids at the high rate filled, %89.70
Bid-to-cover ratio3.46
Indirect bidders accepted$10,904,061,000
Direct bidders accepted$6,672,700,000
Primary dealers accepted$17,274,550,000
Indirect bidders' share, % (ours)31.3
Direct bidders' share, % (ours)19.1
Primary dealers' share, % (ours)49.6
High minus median, basis points (ours)2.0
Treasury par yield curve, 2-year point, same day, %0.56
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 ratio3.46Last 24 auctions5 of 2419 of 243.16
Bid-to-cover ratio3.46Since 23 April 20085 of 3732 of 373.00
Bid-to-cover ratio3.46All 136 since 27 October 19996 of 136130 of 1362.41
High yield0.560Last 24 auctions20 of 244 of 240.796
High yield0.560Since 23 April 200833 of 374 of 370.949
High yield0.560All 370 since 23 January 1980366 of 3704 of 3705.774
Indirect bidders' share31.3Last 24 auctions20 of 244 of 2438.1
Indirect bidders' share31.3All 37 since 23 April 200826 of 3711 of 3734.8
Direct bidders' share19.1Last 24 auctions5 of 2419 of 2413.3
Direct bidders' share19.1All 37 since 23 April 20085 of 3732 of 378.2
Primary dealers' share49.6Last 24 auctions10 of 2414 of 2448.1
Primary dealers' share49.6All 37 since 23 April 200822 of 3715 of 3753.7
High minus median, basis points2.0Last 24 auctions20 of 242 of 243.2
High minus median, basis points2.0Since 23 April 200833 of 372 of 373.9
High minus median, basis points2.0All 370 since 23 January 1980167 of 370144 of 3702.0

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 24 May 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110524_2.pdf. Compiled by 500metrics, "2-year note auction of 24 May 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-05-24.

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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