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2-year note auction of 27 March 2012 (new issue)

The 2-year note sold $35.831 billion at a high yield of 0.340% on , with a bid-to-cover ratio of 3.69.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.340%

Median yield 0.324%

Bid-to-cover

3.69

▲ +0.15 since 21 Feb

Sold

$35.83 billion

$35 billion offered

Indirect bidders

34.3%

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 27 April 2009 to 27 March 2012; the latest at 0.340%.0.0%0.3%0.5%0.8%1.0%1.3%2009201020112012This auction, 0.340%High yield at the last 36 2-year note auctions36 auctions from 27 April 2009 to 27 March 2012; the latest at 0.340%.0.0%0.3%0.5%0.8%1.0%1.3%2010201120120.340%

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
0.3403.69
0.3103.54
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.693.463 of 129 of 12
High yield0.3400.2965 of 127 of 12
Indirect bidders' share34.332.95 of 127 of 12
Direct bidders' share21.413.30 of 1212 of 12
Primary dealers' share44.352.512 of 120 of 12
High minus median, basis points1.62.18 of 123 of 12

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

  • Direct bidders' share: Highest for a 2-year note since 27 October 2009 (28 auctions in between).
  • Primary dealers' share: Lowest for a 2-year note since 26 October 2010 (16 auctions in between).

Who bought the 2-year note?

Primary dealers took 44.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 21 February 2012

Primary dealers took 44.3% of the competitive bids acceptedIndirect bidders 34.3%, Direct bidders 21.4%, Primary dealers 44.3%Indirect bidders34.3%35.8%Direct bidders21.4%9.5%Primary dealers44.3%54.7%Primary dealers took 44.3% of the competitive bids acceptedIndirect bidders 34.3%, Direct bidders 21.4%, Primary dealers 44.3%Indirect bidders34.3%35.8%Direct bidders21.4%9.5%Primary dealers44.3%54.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders34.335.8
Direct bidders21.49.5
Primary dealers44.354.7

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$130,136,488,100
Sold$35,831,088,100
Competitive bids accepted$34,811,973,000
Non-competitive bids accepted$188,225,000
Federal Reserve (SOMA) add-on$830,890,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.340
Median rate, %0.324
Low rate, %0.279
Interest rate (coupon), %0.250
Bids at the high rate filled, %42.80
Bid-to-cover ratio3.69
Indirect bidders accepted$11,933,773,000
Direct bidders accepted$7,455,200,000
Primary dealers accepted$15,423,000,000
Indirect bidders' share, % (ours)34.3
Direct bidders' share, % (ours)21.4
Primary dealers' share, % (ours)44.3
High minus median, basis points (ours)1.6
Treasury par yield curve, 2-year point, same day, %0.33
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 ratio3.69Last 24 auctions6 of 2418 of 243.44
Bid-to-cover ratio3.69Since 23 April 20086 of 4741 of 473.12
Bid-to-cover ratio3.69All 146 since 27 October 19997 of 146139 of 1462.45
High yield0.340Last 24 auctions17 of 247 of 240.509
High yield0.340Since 23 April 200840 of 477 of 470.880
High yield0.340All 380 since 23 January 1980373 of 3807 of 3805.692
Indirect bidders' share34.3Last 24 auctions11 of 2413 of 2432.9
Indirect bidders' share34.3All 47 since 23 April 200825 of 4722 of 4734.8
Direct bidders' share21.4Last 24 auctions0 of 2424 of 2413.7
Direct bidders' share21.4All 47 since 23 April 20081 of 4746 of 4710.8
Primary dealers' share44.3Last 24 auctions22 of 242 of 2452.4
Primary dealers' share44.3All 47 since 23 April 200840 of 477 of 4752.6
High minus median, basis points1.6Last 24 auctions20 of 243 of 242.4
High minus median, basis points1.6Since 23 April 200843 of 473 of 473.2
High minus median, basis points1.6All 380 since 23 January 1980256 of 380117 of 3802.0

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 March 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120327_2.pdf. Compiled by 500metrics, "2-year note auction of 27 March 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-03-27.

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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