500metrics

All sources checked Checked

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

The 2-year note sold $35.94 billion at a high yield of 0.270% on , with a bid-to-cover ratio of 3.76.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.270%

Median yield 0.250%

Bid-to-cover

3.76

▲ +0.07 since 27 Mar

Sold

$35.94 billion

$35 billion offered

Indirect bidders

32.1%

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 26 May 2009 to 24 April 2012; the latest at 0.270%.0.0%0.3%0.5%0.8%1.0%1.3%2009201020112012This auction, 0.270%High yield at the last 36 2-year note auctions36 auctions from 26 May 2009 to 24 April 2012; the latest at 0.270%.0.2%0.4%0.6%0.8%2010201120120.270%

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
0.2703.76
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.763.501 of 1210 of 12
High yield0.2700.2968 of 124 of 12
Indirect bidders' share32.133.67 of 125 of 12
Direct bidders' share7.813.412 of 120 of 12
Primary dealers' share60.052.42 of 1210 of 12
High minus median, basis points2.02.05 of 125 of 12

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

  • Direct bidders' share: Lowest for a 2-year note since 22 February 2011 (13 auctions in between).

Who bought the 2-year note?

Primary dealers took 60.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 March 2012

Primary dealers took 60.0% of the competitive bids acceptedIndirect bidders 32.1%, Direct bidders 7.8%, Primary dealers 60.0%Indirect bidders32.1%34.3%Direct bidders7.8%21.4%Primary dealers60.0%44.3%Primary dealers took 60.0% of the competitive bids acceptedIndirect bidders 32.1%, Direct bidders 7.8%, Primary dealers 60.0%Indirect bidders32.1%34.3%Direct bidders7.8%21.4%Primary dealers60.0%44.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders32.134.3
Direct bidders7.821.4
Primary dealers60.044.3

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$132,528,802,000
Sold$35,940,493,300
Competitive bids accepted$34,837,391,300
Non-competitive bids accepted$162,743,700
Federal Reserve (SOMA) add-on$940,358,300
Foreign and international (FIMA) non-competitive$0
High yield, %0.270
Median rate, %0.250
Low rate, %0.207
Interest rate (coupon), %0.250
Bids at the high rate filled, %99.89
Bid-to-cover ratio3.76
Indirect bidders accepted$11,195,551,600
Direct bidders accepted$2,725,000,000
Primary dealers accepted$20,916,839,700
Indirect bidders' share, % (ours)32.1
Direct bidders' share, % (ours)7.8
Primary dealers' share, % (ours)60.0
High minus median, basis points (ours)2.0
Treasury par yield curve, 2-year point, same day, %0.27
High yield minus that point, basis points (ours)0.0

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 ratio3.76Last 24 auctions2 of 2421 of 243.45
Bid-to-cover ratio3.76Since 23 April 20082 of 4845 of 483.12
Bid-to-cover ratio3.76All 147 since 27 October 19993 of 147143 of 1472.46
High yield0.270Last 24 auctions20 of 244 of 240.470
High yield0.270Since 23 April 200844 of 484 of 480.841
High yield0.270All 381 since 23 January 1980377 of 3814 of 3815.690
Indirect bidders' share32.1Last 24 auctions14 of 2410 of 2432.9
Indirect bidders' share32.1All 48 since 23 April 200831 of 4817 of 4834.7
Direct bidders' share7.8Last 24 auctions23 of 241 of 2414.0
Direct bidders' share7.8All 48 since 23 April 200830 of 4818 of 4810.8
Primary dealers' share60.0Last 24 auctions3 of 2421 of 2452.4
Primary dealers' share60.0All 48 since 23 April 200815 of 4833 of 4852.5
High minus median, basis points2.0Last 24 auctions13 of 247 of 242.2
High minus median, basis points2.0Since 23 April 200837 of 487 of 483.2
High minus median, basis points2.0All 381 since 23 January 1980171 of 381149 of 3812.0

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 April 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120424_2.pdf. Compiled by 500metrics, "2-year note auction of 24 April 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-04-24.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.