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2-year note auction of 23 October 2012 (new issue)

The 2-year note sold $35 billion at a high yield of 0.295% on , with a bid-to-cover ratio of 4.02.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.295%

Median yield 0.283%

Bid-to-cover

4.02

▲ +0.42 since 25 Sep

Sold

$35.00 billion

$35 billion offered

Indirect bidders

33.5%

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 23 November 2009 to 23 October 2012; the latest at 0.295%.0.0%0.3%0.5%0.8%1.0%1.3%201020112012This auction, 0.295%High yield at the last 36 2-year note auctions36 auctions from 23 November 2009 to 23 October 2012; the latest at 0.295%.0.2%0.4%0.6%0.8%201120120.295%

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
0.2954.02
0.2733.60
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.023.721 of 1211 of 12
High yield0.2950.2764 of 128 of 12
Indirect bidders' share33.532.54 of 128 of 12
Direct bidders' share38.29.70 of 1212 of 12
Primary dealers' share28.358.212 of 120 of 12
High minus median, basis points1.21.47 of 125 of 12

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

  • Direct bidders' share: Highest of all 54 earlier 2-year note auctions we hold.
  • Primary dealers' share: Lowest for a 2-year note since 23 June 2009 (39 auctions in between).

Who bought the 2-year note?

Direct bidders took 38.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 September 2012

Direct bidders took 38.2% of the competitive bids acceptedIndirect bidders 33.5%, Direct bidders 38.2%, Primary dealers 28.3%Indirect bidders33.5%27.2%Direct bidders38.2%17.5%Primary dealers28.3%55.3%Direct bidders took 38.2% of the competitive bids acceptedIndirect bidders 33.5%, Direct bidders 38.2%, Primary dealers 28.3%Indirect bidders33.5%27.2%Direct bidders38.2%17.5%Primary dealers28.3%55.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders33.527.2
Direct bidders38.217.5
Primary dealers28.355.3

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$140,567,337,500
Sold$35,000,053,500
Competitive bids accepted$34,728,216,000
Non-competitive bids accepted$161,837,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$110,000,000
High yield, %0.295
Median rate, %0.283
Low rate, %0.239
Interest rate (coupon), %0.250
Bids at the high rate filled, %92.36
Bid-to-cover ratio4.02
Indirect bidders accepted$11,640,436,000
Direct bidders accepted$13,252,720,000
Primary dealers accepted$9,835,060,000
Indirect bidders' share, % (ours)33.5
Direct bidders' share, % (ours)38.2
Primary dealers' share, % (ours)28.3
High minus median, basis points (ours)1.2
Treasury par yield curve, 2-year point, same day, %0.29
High yield minus that point, basis points (ours)0.5

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 ratio4.02Last 24 auctions1 of 2423 of 243.61
Bid-to-cover ratio4.02Since 23 April 20081 of 5453 of 543.16
Bid-to-cover ratio4.02All 153 since 27 October 19991 of 153152 of 1532.51
High yield0.295Last 24 auctions14 of 2410 of 240.312
High yield0.295Since 23 April 200844 of 5410 of 540.757
High yield0.295All 387 since 23 January 1980377 of 38710 of 3875.665
Indirect bidders' share33.5Last 24 auctions8 of 2416 of 2431.9
Indirect bidders' share33.5All 54 since 23 April 200827 of 5427 of 5433.6
Direct bidders' share38.2Last 24 auctions0 of 2424 of 2413.4
Direct bidders' share38.2All 54 since 23 April 20080 of 5454 of 5410.4
Primary dealers' share28.3Last 24 auctions24 of 240 of 2455.0
Primary dealers' share28.3All 54 since 23 April 200853 of 541 of 5454.2
High minus median, basis points1.2Last 24 auctions19 of 245 of 242.0
High minus median, basis points1.2Since 23 April 200849 of 545 of 543.0
High minus median, basis points1.2All 387 since 23 January 1980280 of 387107 of 3872.0

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 23 October 2012. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2012/R_20121023_2.pdf. Compiled by 500metrics, "2-year note auction of 23 October 2012 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2012-10-23.

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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