500metrics

All sources checked Checked

2-year note auction of 27 June 2011 (new issue)

The 2-year note sold $36.127 billion at a high yield of 0.395% on , with a bid-to-cover ratio of 3.08.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.395%

Median yield 0.359%

Bid-to-cover

3.08

▼ −0.38 since 24 May

Sold

$36.13 billion

$35 billion offered

Indirect bidders

22.0%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 371 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 371 earlier auctions we hold36 auctions from 23 July 2008 to 27 June 2011; the latest at 0.395%.0.0%1.0%2.0%3.0%2008200920102011This auction, 0.395%The high yield was the lowest for a 2-year note of all 371 earlier auctions we hold36 auctions from 23 July 2008 to 27 June 2011; the latest at 0.395%.0.2%0.4%0.6%0.8%1.0%1.2%2009201020110.395%

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
0.3953.08
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.083.4410 of 122 of 12
High yield0.3950.65812 of 120 of 12
Indirect bidders' share22.032.912 of 120 of 12
Direct bidders' share13.513.96 of 126 of 12
Primary dealers' share64.551.90 of 1212 of 12
High minus median, basis points3.62.41 of 1211 of 12

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

  • Indirect bidders' share: Lowest of all 38 earlier 2-year note auctions we hold.
  • Primary dealers' share: Highest for a 2-year note since 27 April 2009 (25 auctions in between).

Who bought the 2-year note?

Primary dealers took 64.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 24 May 2011

Primary dealers took 64.5% of the competitive bids acceptedIndirect bidders 22.0%, Direct bidders 13.5%, Primary dealers 64.5%Indirect bidders22.0%31.3%Direct bidders13.5%19.1%Primary dealers64.5%49.6%Primary dealers took 64.5% of the competitive bids acceptedIndirect bidders 22.0%, Direct bidders 13.5%, Primary dealers 64.5%Indirect bidders22.0%31.3%Direct bidders13.5%19.1%Primary dealers64.5%49.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders22.031.3
Direct bidders13.519.1
Primary dealers64.549.6

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$108,957,267,500
Sold$36,126,970,000
Competitive bids accepted$34,851,312,500
Non-competitive bids accepted$148,851,100
Federal Reserve (SOMA) add-on$1,126,806,400
Foreign and international (FIMA) non-competitive$0
High yield, %0.395
Median rate, %0.359
Low rate, %0.290
Interest rate (coupon), %0.375
Bids at the high rate filled, %50.43
Bid-to-cover ratio3.08
Indirect bidders accepted$7,668,470,000
Direct bidders accepted$4,714,467,500
Primary dealers accepted$22,468,375,000
Indirect bidders' share, % (ours)22.0
Direct bidders' share, % (ours)13.5
Primary dealers' share, % (ours)64.5
High minus median, basis points (ours)3.6
Treasury par yield curve, 2-year point, same day, %0.41
High yield minus that point, basis points (ours)-1.5

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 ratio3.08Last 24 auctions16 of 248 of 243.18
Bid-to-cover ratio3.08Since 23 April 200816 of 3822 of 383.02
Bid-to-cover ratio3.08All 137 since 27 October 199919 of 137118 of 1372.42
High yield0.395Last 24 auctions24 of 240 of 240.779
High yield0.395Since 23 April 200838 of 380 of 380.944
High yield0.395All 371 since 23 January 1980371 of 3710 of 3715.754
Indirect bidders' share22.0Last 24 auctions24 of 240 of 2437.0
Indirect bidders' share22.0All 38 since 23 April 200838 of 380 of 3834.8
Direct bidders' share13.5Last 24 auctions11 of 2413 of 2413.4
Direct bidders' share13.5All 38 since 23 April 200811 of 3827 of 388.5
Primary dealers' share64.5Last 24 auctions0 of 2424 of 2448.7
Primary dealers' share64.5All 38 since 23 April 20087 of 3831 of 3852.6
High minus median, basis points3.6Last 24 auctions10 of 2414 of 243.2
High minus median, basis points3.6Since 23 April 200820 of 3818 of 383.9
High minus median, basis points3.6All 371 since 23 January 198069 of 371301 of 3712.0

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 27 June 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110627_3.pdf. Compiled by 500metrics, "2-year note auction of 27 June 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-06-27.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.