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3-year note auction of 12 July 2011 (new issue)

The 3-year note sold $32 billion at a high yield of 0.670% on , with a bid-to-cover ratio of 3.22.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.670%

Median yield 0.640%

Bid-to-cover

3.22

▼ −0.06 since 7 Jun

Sold

$32.00 billion

$32 billion offered

Indirect bidders

34.5%

Of competitive bids accepted

High yield at the last 36 3-year note auctions

High yield at each 3-year note auction, %

High yield at the last 36 3-year note auctions36 auctions from 8 November 2006 to 12 July 2011; the latest at 0.670%.0.0%2.0%4.0%6.0%20072008200920102011This auction, 0.670%High yield at the last 36 3-year note auctions36 auctions from 8 November 2006 to 12 July 2011; the latest at 0.670%.0.5%1.0%1.5%2.0%2009201020110.670%

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 3-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
0.6703.22
0.7653.28
1.0003.29
1.2803.25
1.2983.22
1.3493.01
1.0273.06
0.8622.91
0.5753.26
0.5692.95
0.7903.21
0.8443.31
1.0553.20
1.2203.23
1.4143.27
1.7763.10
1.4373.13
1.3772.83
1.4902.98
1.2232.98
1.4043.33
1.4452.76
1.4873.02
1.7802.89
1.5192.62
1.9602.82
1.4732.66
1.3852.42
1.4892.26
1.4192.67
1.2002.21
1.2452.15
1.8003.07
4.5742.39
4.8002.97
4.6662.27

Against its own history

Against the previous 12 auctions of the 3-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.223.225 of 126 of 12
High yield0.6700.93110 of 122 of 12
Indirect bidders' share34.535.37 of 125 of 12
Direct bidders' share16.513.11 of 1211 of 12
Primary dealers' share49.051.57 of 125 of 12
High minus median, basis points3.03.28 of 124 of 12

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

Who bought the 3-year note?

Primary dealers took 49.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 3-year note auction, 7 June 2011

Primary dealers took 49.0% of the competitive bids acceptedIndirect bidders 34.5%, Direct bidders 16.5%, Primary dealers 49.0%Indirect bidders34.5%35.6%Direct bidders16.5%9.2%Primary dealers49.0%55.2%Primary dealers took 49.0% of the competitive bids acceptedIndirect bidders 34.5%, Direct bidders 16.5%, Primary dealers 49.0%Indirect bidders34.5%35.6%Direct bidders16.5%9.2%Primary dealers49.0%55.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders34.535.6
Direct bidders16.59.2
Primary dealers49.055.2

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as3-Year, new issue
Offering amount$32,000,000,000
Bids received$103,007,950,200
Sold$32,000,022,700
Competitive bids accepted$31,935,822,500
Non-competitive bids accepted$39,200,200
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$25,000,000
High yield, %0.670
Median rate, %0.640
Low rate, %0.578
Interest rate (coupon), %0.625
Bids at the high rate filled, %31.73
Bid-to-cover ratio3.22
Indirect bidders accepted$11,024,872,500
Direct bidders accepted$5,266,797,500
Primary dealers accepted$15,644,152,500
Indirect bidders' share, % (ours)34.5
Direct bidders' share, % (ours)16.5
Primary dealers' share, % (ours)49.0
High minus median, basis points (ours)3.0
Treasury par yield curve, 3-year point, same day, %0.63
High yield minus that point, basis points (ours)4.0

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 (3-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 3-year note auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio3.22Last 24 auctions8 of 2415 of 243.12
Bid-to-cover ratio3.22Since 10 November 20088 of 3223 of 323.02
Bid-to-cover ratio3.22All 48 since 6 May 20038 of 4839 of 482.82
High yield0.670Last 24 auctions22 of 242 of 241.289
High yield0.670Since 10 November 200830 of 322 of 321.363
High yield0.670All 115 since 5 May 1981113 of 1152 of 1155.550
Indirect bidders' share34.5Last 24 auctions19 of 245 of 2441.5
Indirect bidders' share34.5All 32 since 10 November 200826 of 326 of 3240.4
Direct bidders' share16.5Last 24 auctions3 of 2421 of 2411.3
Direct bidders' share16.5All 32 since 10 November 20083 of 3229 of 3210.2
Primary dealers' share49.0Last 24 auctions7 of 2417 of 2443.1
Primary dealers' share49.0All 32 since 10 November 200814 of 3218 of 3245.2
High minus median, basis points3.0Last 24 auctions20 of 244 of 244.0
High minus median, basis points3.0Since 10 November 200828 of 324 of 324.4
High minus median, basis points3.0All 115 since 5 May 198137 of 11571 of 1152.0

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 12 July 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110712_2.pdf. Compiled by 500metrics, "3-year note auction of 12 July 2011 (new issue)", https://500metrics.com/treasury/auctions/3-year-note/2011-07-12.

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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