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

The 2-year note sold $35 billion at a high yield of 0.220% on , with a bid-to-cover ratio of 4.00.

Coupon
0.125%
Announced
Issued
Matures

High yield

0.220%

Median yield 0.212%

Bid-to-cover

4.00

▲ +0.38 since 26 Jun

Sold

$35.00 billion

$35 billion offered

Indirect bidders

30.9%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 384 earlier auctions we hold

High yield at each 2-year note auction, %

The high yield was the lowest for a 2-year note of all 384 earlier auctions we hold36 auctions from 25 August 2009 to 24 July 2012; the latest at 0.220%.0.0%0.3%0.5%0.8%1.0%1.3%2009201020112012This auction, 0.220%The high yield was the lowest for a 2-year note of all 384 earlier auctions we hold36 auctions from 25 August 2009 to 24 July 2012; the latest at 0.220%.0.2%0.4%0.6%0.8%2010201120120.220%

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
0.2204.00
0.3133.62
0.3003.95
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.003.661 of 1211 of 12
High yield0.2200.28012 of 120 of 12
Indirect bidders' share30.933.210 of 122 of 12
Direct bidders' share9.910.46 of 126 of 12
Primary dealers' share59.253.63 of 129 of 12
High minus median, basis points0.81.611 of 120 of 12

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

Who bought the 2-year note?

Primary dealers took 59.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 June 2012

Primary dealers took 59.2% of the competitive bids acceptedIndirect bidders 30.9%, Direct bidders 9.9%, Primary dealers 59.2%Indirect bidders30.9%31.7%Direct bidders9.9%7.9%Primary dealers59.2%60.4%Primary dealers took 59.2% of the competitive bids acceptedIndirect bidders 30.9%, Direct bidders 9.9%, Primary dealers 59.2%Indirect bidders30.9%31.7%Direct bidders9.9%7.9%Primary dealers59.2%60.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders30.931.7
Direct bidders9.97.9
Primary dealers59.260.4

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$140,117,063,500
Sold$35,000,129,500
Competitive bids accepted$34,694,366,000
Non-competitive bids accepted$205,763,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.220
Median rate, %0.212
Low rate, %0.167
Interest rate (coupon), %0.125
Bids at the high rate filled, %77.80
Bid-to-cover ratio4.00
Indirect bidders accepted$10,705,006,000
Direct bidders accepted$3,451,240,000
Primary dealers accepted$20,538,120,000
Indirect bidders' share, % (ours)30.9
Direct bidders' share, % (ours)9.9
Primary dealers' share, % (ours)59.2
High minus median, basis points (ours)0.8
Treasury par yield curve, 2-year point, same day, %0.22
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 ratio4.00Last 24 auctions1 of 2423 of 243.50
Bid-to-cover ratio4.00Since 23 April 20081 of 5150 of 513.14
Bid-to-cover ratio4.00All 150 since 27 October 19991 of 150149 of 1502.48
High yield0.220Last 24 auctions24 of 240 of 240.398
High yield0.220Since 23 April 200851 of 510 of 510.789
High yield0.220All 384 since 23 January 1980384 of 3840 of 3845.684
Indirect bidders' share30.9Last 24 auctions18 of 246 of 2432.9
Indirect bidders' share30.9All 51 since 23 April 200838 of 5113 of 5134.3
Direct bidders' share9.9Last 24 auctions17 of 247 of 2413.3
Direct bidders' share9.9All 51 since 23 April 200825 of 5126 of 519.5
Primary dealers' share59.2Last 24 auctions5 of 2419 of 2453.7
Primary dealers' share59.2All 51 since 23 April 200817 of 5134 of 5153.7
High minus median, basis points0.8Last 24 auctions23 of 240 of 242.0
High minus median, basis points0.8Since 23 April 200850 of 510 of 513.1
High minus median, basis points0.8All 384 since 23 January 1980348 of 38434 of 3842.0

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 July 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120724_3.pdf. Compiled by 500metrics, "2-year note auction of 24 July 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-07-24.

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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