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2-year note auction of 28 August 2012 (new issue)

The 2-year note sold $35 billion at a high yield of 0.273% on , with a bid-to-cover ratio of 3.94.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.273%

Median yield 0.265%

Bid-to-cover

3.94

▼ −0.06 since 24 Jul

Sold

$35.00 billion

$35 billion offered

Indirect bidders

22.3%

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 22 September 2009 to 28 August 2012; the latest at 0.273%.0.0%0.3%0.5%0.8%1.0%1.3%2009201020112012This auction, 0.273%High yield at the last 36 2-year note auctions36 auctions from 22 September 2009 to 28 August 2012; the latest at 0.273%.0.2%0.4%0.6%0.8%201120120.273%

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
0.2733.94
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.943.723 of 129 of 12
High yield0.2730.2756 of 126 of 12
Indirect bidders' share22.333.211 of 121 of 12
Direct bidders' share16.19.71 of 1211 of 12
Primary dealers' share61.656.11 of 1211 of 12
High minus median, basis points0.81.510 of 120 of 12

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

Who bought the 2-year note?

Primary dealers took 61.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 24 July 2012

Primary dealers took 61.6% of the competitive bids acceptedIndirect bidders 22.3%, Direct bidders 16.1%, Primary dealers 61.6%Indirect bidders22.3%30.9%Direct bidders16.1%9.9%Primary dealers61.6%59.2%Primary dealers took 61.6% of the competitive bids acceptedIndirect bidders 22.3%, Direct bidders 16.1%, Primary dealers 61.6%Indirect bidders22.3%30.9%Direct bidders16.1%9.9%Primary dealers61.6%59.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders22.330.9
Direct bidders16.19.9
Primary dealers61.659.2

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$137,972,842,300
Sold$35,000,091,200
Competitive bids accepted$34,695,548,900
Non-competitive bids accepted$204,542,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.273
Median rate, %0.265
Low rate, %0.200
Interest rate (coupon), %0.250
Bids at the high rate filled, %9.01
Bid-to-cover ratio3.94
Indirect bidders accepted$7,738,378,900
Direct bidders accepted$5,579,000,000
Primary dealers accepted$21,378,170,000
Indirect bidders' share, % (ours)22.3
Direct bidders' share, % (ours)16.1
Primary dealers' share, % (ours)61.6
High minus median, basis points (ours)0.8
Treasury par yield curve, 2-year point, same day, %0.27
High yield minus that point, basis points (ours)0.3

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 ratio3.94Last 24 auctions3 of 2421 of 243.58
Bid-to-cover ratio3.94Since 23 April 20083 of 5249 of 523.15
Bid-to-cover ratio3.94All 151 since 27 October 19994 of 151147 of 1512.49
High yield0.273Last 24 auctions18 of 246 of 240.368
High yield0.273Since 23 April 200846 of 526 of 520.779
High yield0.273All 385 since 23 January 1980379 of 3856 of 3855.677
Indirect bidders' share22.3Last 24 auctions22 of 242 of 2432.5
Indirect bidders' share22.3All 52 since 23 April 200850 of 522 of 5234.0
Direct bidders' share16.1Last 24 auctions4 of 2420 of 2412.7
Direct bidders' share16.1All 52 since 23 April 20088 of 5244 of 529.7
Primary dealers' share61.6Last 24 auctions3 of 2421 of 2454.2
Primary dealers' share61.6All 52 since 23 April 200815 of 5237 of 5253.7
High minus median, basis points0.8Last 24 auctions22 of 240 of 242.0
High minus median, basis points0.8Since 23 April 200850 of 520 of 523.0
High minus median, basis points0.8All 385 since 23 January 1980348 of 38534 of 3852.0

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 28 August 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20120828_2.pdf. Compiled by 500metrics, "2-year note auction of 28 August 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-08-28.

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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