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2-year note auction of 23 August 2011 (new issue)

The 2-year note sold $36.071 billion at a high yield of 0.222% on , with a bid-to-cover ratio of 3.44.

Coupon
0.125%
Announced
Issued
Matures

High yield

0.222%

Median yield 0.209%

Bid-to-cover

3.44

▲ +0.30 since 26 Jul

Sold

$36.07 billion

$35 billion offered

Indirect bidders

31.6%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 373 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 373 earlier auctions we hold36 auctions from 24 September 2008 to 23 August 2011; the latest at 0.222%.0.0%0.5%1.0%1.5%2.0%2.5%2008200920102011This auction, 0.222%The high yield was the lowest for a 2-year note of all 373 earlier auctions we hold36 auctions from 24 September 2008 to 23 August 2011; the latest at 0.222%.0.0%0.3%0.5%0.8%1.0%1.3%201020110.222%

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
0.2223.44
0.4173.14
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.443.305 of 127 of 12
High yield0.2220.54012 of 120 of 12
Indirect bidders' share31.631.35 of 127 of 12
Direct bidders' share15.914.04 of 128 of 12
Primary dealers' share52.553.06 of 126 of 12
High minus median, basis points1.32.412 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year note since 29 November 2000 (128 auctions in between).

Who bought the 2-year note?

Primary dealers took 52.5% of the competitive bids accepted

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

Primary dealers took 52.5% of the competitive bids acceptedIndirect bidders 31.6%, Direct bidders 15.9%, Primary dealers 52.5%Indirect bidders31.6%27.7%Direct bidders15.9%20.0%Primary dealers52.5%52.3%Primary dealers took 52.5% of the competitive bids acceptedIndirect bidders 31.6%, Direct bidders 15.9%, Primary dealers 52.5%Indirect bidders31.6%27.7%Direct bidders15.9%20.0%Primary dealers52.5%52.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders31.627.7
Direct bidders15.920.0
Primary dealers52.552.3

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$121,545,736,600
Sold$36,070,566,600
Competitive bids accepted$34,852,330,000
Non-competitive bids accepted$147,747,900
Federal Reserve (SOMA) add-on$1,070,488,700
Foreign and international (FIMA) non-competitive$0
High yield, %0.222
Median rate, %0.209
Low rate, %0.147
Interest rate (coupon), %0.125
Bids at the high rate filled, %73.87
Bid-to-cover ratio3.44
Indirect bidders accepted$11,029,000,000
Direct bidders accepted$5,535,935,000
Primary dealers accepted$18,287,395,000
Indirect bidders' share, % (ours)31.6
Direct bidders' share, % (ours)15.9
Primary dealers' share, % (ours)52.5
High minus median, basis points (ours)1.3
Treasury par yield curve, 2-year point, same day, %0.22
High yield minus that point, basis points (ours)0.2

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 ratio3.44Last 24 auctions7 of 2417 of 243.16
Bid-to-cover ratio3.44Since 23 April 20087 of 4033 of 403.03
Bid-to-cover ratio3.44All 139 since 27 October 19998 of 139131 of 1392.42
High yield0.222Last 24 auctions24 of 240 of 240.742
High yield0.222Since 23 April 200840 of 400 of 400.932
High yield0.222All 373 since 23 January 1980373 of 3730 of 3735.720
Indirect bidders' share31.6Last 24 auctions16 of 248 of 2435.5
Indirect bidders' share31.6All 40 since 23 April 200825 of 4015 of 4034.7
Direct bidders' share15.9Last 24 auctions8 of 2416 of 2413.7
Direct bidders' share15.9All 40 since 23 April 20088 of 4032 of 409.8
Primary dealers' share52.5Last 24 auctions7 of 2417 of 2449.2
Primary dealers' share52.5All 40 since 23 April 200820 of 4020 of 4053.0
High minus median, basis points1.3Last 24 auctions24 of 240 of 243.2
High minus median, basis points1.3Since 23 April 200840 of 400 of 403.8
High minus median, basis points1.3All 373 since 23 January 1980270 of 373102 of 3732.0

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 23 August 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110823_3.pdf. Compiled by 500metrics, "2-year note auction of 23 August 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-08-23.

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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