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2-year note auction of 24 January 2012 (new issue)

The 2-year note sold $35.659 billion at a high yield of 0.250% on , with a bid-to-cover ratio of 3.75.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.250%

Median yield 0.242%

Bid-to-cover

3.75

▲ +0.30 since 19 Dec

Sold

$35.66 billion

$35 billion offered

Indirect bidders

32.9%

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 February 2009 to 24 January 2012; the latest at 0.250%.0.0%0.3%0.5%0.8%1.0%1.3%2009201020112012This auction, 0.250%High yield at the last 36 2-year note auctions36 auctions from 24 February 2009 to 24 January 2012; the latest at 0.250%.0.0%0.3%0.5%0.8%1.0%1.3%2010201120120.250%

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
0.2503.75
0.2403.45
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.753.442 of 1210 of 12
High yield0.2500.4069 of 123 of 12
Indirect bidders' share32.931.55 of 127 of 12
Direct bidders' share8.313.410 of 122 of 12
Primary dealers' share58.852.53 of 129 of 12
High minus median, basis points0.82.612 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 (133 auctions in between).

Who bought the 2-year note?

Primary dealers took 58.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 19 December 2011

Primary dealers took 58.8% of the competitive bids acceptedIndirect bidders 32.9%, Direct bidders 8.3%, Primary dealers 58.8%Indirect bidders32.9%21.6%Direct bidders8.3%14.7%Primary dealers58.8%63.7%Primary dealers took 58.8% of the competitive bids acceptedIndirect bidders 32.9%, Direct bidders 8.3%, Primary dealers 58.8%Indirect bidders32.9%21.6%Direct bidders8.3%14.7%Primary dealers58.8%63.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders32.921.6
Direct bidders8.314.7
Primary dealers58.863.7

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$131,861,099,400
Sold$35,658,817,000
Competitive bids accepted$34,803,517,600
Non-competitive bids accepted$196,678,200
Federal Reserve (SOMA) add-on$658,621,200
Foreign and international (FIMA) non-competitive$0
High yield, %0.250
Median rate, %0.242
Low rate, %0.179
Interest rate (coupon), %0.250
Bids at the high rate filled, %38.96
Bid-to-cover ratio3.75
Indirect bidders accepted$11,447,652,000
Direct bidders accepted$2,876,745,600
Primary dealers accepted$20,479,120,000
Indirect bidders' share, % (ours)32.9
Direct bidders' share, % (ours)8.3
Primary dealers' share, % (ours)58.8
High minus median, basis points (ours)0.8
Treasury par yield curve, 2-year point, same day, %0.24
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 ratio3.75Last 24 auctions3 of 2421 of 243.38
Bid-to-cover ratio3.75Since 23 April 20083 of 4542 of 453.08
Bid-to-cover ratio3.75All 144 since 27 October 19994 of 144140 of 1442.44
High yield0.250Last 24 auctions21 of 243 of 240.605
High yield0.250Since 23 April 200842 of 453 of 450.895
High yield0.250All 378 since 23 January 1980375 of 3783 of 3785.698
Indirect bidders' share32.9Last 24 auctions13 of 2411 of 2433.9
Indirect bidders' share32.9All 45 since 23 April 200827 of 4518 of 4534.8
Direct bidders' share8.3Last 24 auctions21 of 243 of 2413.7
Direct bidders' share8.3All 45 since 23 April 200825 of 4520 of 4510.8
Primary dealers' share58.8Last 24 auctions3 of 2421 of 2451.3
Primary dealers' share58.8All 45 since 23 April 200815 of 4530 of 4552.5
High minus median, basis points0.8Last 24 auctions24 of 240 of 242.6
High minus median, basis points0.8Since 23 April 200845 of 450 of 453.3
High minus median, basis points0.8All 378 since 23 January 1980343 of 37834 of 3782.0

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 January 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120124_2.pdf. Compiled by 500metrics, "2-year note auction of 24 January 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-01-24.

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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