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

The 2-year note sold $36.09 billion at a high yield of 0.249% on , with a bid-to-cover ratio of 3.76.

Coupon
0.125%
Announced
Issued
Matures

High yield

0.249%

Median yield 0.225%

Bid-to-cover

3.76

▲ +0.32 since 23 Aug

Sold

$36.09 billion

$35 billion offered

Indirect bidders

36.7%

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 October 2008 to 27 September 2011; the latest at 0.249%.0.0%0.5%1.0%1.5%2.0%2008200920102011This auction, 0.249%High yield at the last 36 2-year note auctions36 auctions from 28 October 2008 to 27 September 2011; the latest at 0.249%.0.0%0.3%0.5%0.8%1.0%1.3%201020110.249%

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
0.2493.76
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.763.441 of 1211 of 12
High yield0.2490.54011 of 121 of 12
Indirect bidders' share36.731.54 of 128 of 12
Direct bidders' share12.214.610 of 122 of 12
Primary dealers' share51.152.47 of 125 of 12
High minus median, basis points2.42.46 of 126 of 12

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

Who bought the 2-year note?

Primary dealers took 51.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 23 August 2011

Primary dealers took 51.1% of the competitive bids acceptedIndirect bidders 36.7%, Direct bidders 12.2%, Primary dealers 51.1%Indirect bidders36.7%31.6%Direct bidders12.2%15.9%Primary dealers51.1%52.5%Primary dealers took 51.1% of the competitive bids acceptedIndirect bidders 36.7%, Direct bidders 12.2%, Primary dealers 51.1%Indirect bidders36.7%31.6%Direct bidders12.2%15.9%Primary dealers51.1%52.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders36.731.6
Direct bidders12.215.9
Primary dealers51.152.5

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$132,829,471,300
Sold$36,089,771,300
Competitive bids accepted$34,795,600,000
Non-competitive bids accepted$204,508,200
Federal Reserve (SOMA) add-on$1,089,663,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.249
Median rate, %0.225
Low rate, %0.171
Interest rate (coupon), %0.125
Bids at the high rate filled, %19.45
Bid-to-cover ratio3.76
Indirect bidders accepted$12,787,062,500
Direct bidders accepted$4,231,587,500
Primary dealers accepted$17,776,950,000
Indirect bidders' share, % (ours)36.7
Direct bidders' share, % (ours)12.2
Primary dealers' share, % (ours)51.1
High minus median, basis points (ours)2.4
Treasury par yield curve, 2-year point, same day, %0.25
High yield minus that point, basis points (ours)-0.1

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 ratio3.76Last 24 auctions1 of 2423 of 243.20
Bid-to-cover ratio3.76Since 23 April 20081 of 4140 of 413.03
Bid-to-cover ratio3.76All 140 since 27 October 19992 of 140138 of 1402.42
High yield0.249Last 24 auctions23 of 241 of 240.739
High yield0.249Since 23 April 200840 of 411 of 410.925
High yield0.249All 374 since 23 January 1980373 of 3741 of 3745.712
Indirect bidders' share36.7Last 24 auctions10 of 2414 of 2434.8
Indirect bidders' share36.7All 41 since 23 April 200816 of 4125 of 4134.6
Direct bidders' share12.2Last 24 auctions17 of 247 of 2414.1
Direct bidders' share12.2All 41 since 23 April 200817 of 4124 of 4110.8
Primary dealers' share51.1Last 24 auctions10 of 2414 of 2449.9
Primary dealers' share51.1All 41 since 23 April 200823 of 4118 of 4152.5
High minus median, basis points2.4Last 24 auctions16 of 248 of 243.0
High minus median, basis points2.4Since 23 April 200832 of 419 of 413.6
High minus median, basis points2.4All 374 since 23 January 1980144 of 374225 of 3742.0

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 September 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110927_2.pdf. Compiled by 500metrics, "2-year note auction of 27 September 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-09-27.

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

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