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2-year note auction of 21 November 2011 (new issue)

The 2-year note sold $36.586 billion at a high yield of 0.280% on , with a bid-to-cover ratio of 4.07.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.280%

Median yield 0.250%

Bid-to-cover

4.07

▲ +0.43 since 25 Oct

Sold

$36.59 billion

$35 billion offered

Indirect bidders

42.2%

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 22 December 2008 to 21 November 2011; the latest at 0.280%.0.0%0.3%0.5%0.8%1.0%1.3%200920102011This auction, 0.280%High yield at the last 36 2-year note auctions36 auctions from 22 December 2008 to 21 November 2011; the latest at 0.280%.0.0%0.3%0.5%0.8%1.0%1.3%201020110.280%

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
0.2804.07
0.2813.64
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.073.450 of 1212 of 12
High yield0.2800.54010 of 122 of 12
Indirect bidders' share42.231.50 of 1212 of 12
Direct bidders' share11.214.010 of 122 of 12
Primary dealers' share46.552.512 of 120 of 12
High minus median, basis points3.02.34 of 128 of 12

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

  • Bid-to-cover ratio: Highest of all 142 earlier 2-year note auctions we hold.
  • Indirect bidders' share: Highest for a 2-year note since 23 February 2010 (20 auctions in between).
  • Primary dealers' share: Lowest for a 2-year note since 26 October 2010 (12 auctions in between).

Who bought the 2-year note?

Primary dealers took 46.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 October 2011

Primary dealers took 46.5% of the competitive bids acceptedIndirect bidders 42.2%, Direct bidders 11.2%, Primary dealers 46.5%Indirect bidders42.2%39.2%Direct bidders11.2%8.2%Primary dealers46.5%52.6%Primary dealers took 46.5% of the competitive bids acceptedIndirect bidders 42.2%, Direct bidders 11.2%, Primary dealers 46.5%Indirect bidders42.2%39.2%Direct bidders11.2%8.2%Primary dealers46.5%52.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders42.239.2
Direct bidders11.28.2
Primary dealers46.552.6

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$144,076,507,300
Sold$36,586,067,300
Competitive bids accepted$34,827,060,000
Non-competitive bids accepted$173,183,200
Federal Reserve (SOMA) add-on$1,585,824,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.280
Median rate, %0.250
Low rate, %0.206
Interest rate (coupon), %0.250
Bids at the high rate filled, %8.48
Bid-to-cover ratio4.07
Indirect bidders accepted$14,709,820,000
Direct bidders accepted$3,913,800,000
Primary dealers accepted$16,203,440,000
Indirect bidders' share, % (ours)42.2
Direct bidders' share, % (ours)11.2
Primary dealers' share, % (ours)46.5
High minus median, basis points (ours)3.0
Treasury par yield curve, 2-year point, same day, %0.27
High yield minus that point, basis points (ours)1.0

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 ratio4.07Last 24 auctions0 of 2424 of 243.24
Bid-to-cover ratio4.07Since 23 April 20080 of 4343 of 433.06
Bid-to-cover ratio4.07All 142 since 27 October 19990 of 142142 of 1422.42
High yield0.280Last 24 auctions22 of 242 of 240.669
High yield0.280Since 23 April 200841 of 432 of 430.922
High yield0.280All 376 since 23 January 1980374 of 3762 of 3765.702
Indirect bidders' share42.2Last 24 auctions3 of 2421 of 2434.8
Indirect bidders' share42.2All 43 since 23 April 20089 of 4334 of 4334.8
Direct bidders' share11.2Last 24 auctions18 of 246 of 2413.7
Direct bidders' share11.2All 43 since 23 April 200820 of 4323 of 4310.8
Primary dealers' share46.5Last 24 auctions19 of 245 of 2450.9
Primary dealers' share46.5All 43 since 23 April 200833 of 4310 of 4352.5
High minus median, basis points3.0Last 24 auctions10 of 2413 of 242.8
High minus median, basis points3.0Since 23 April 200826 of 4315 of 433.5
High minus median, basis points3.0All 376 since 23 January 198081 of 376257 of 3762.0

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 21 November 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111121_3.pdf. Compiled by 500metrics, "2-year note auction of 21 November 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-11-21.

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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