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

The 3-year note sold $32 billion at a high yield of 0.334% on , with a bid-to-cover ratio of 3.15.

Coupon
0.250%
Announced
Issued
Matures

High yield

0.334%

Median yield 0.310%

Bid-to-cover

3.15

▼ −0.14 since 9 Aug

Sold

$32.00 billion

$32 billion offered

Indirect bidders

35.7%

Of competitive bids accepted

The high yield was the lowest for a 3-year note of all 117 earlier auctions we hold

High yield at each 3-year note auction, %

The high yield was the lowest for a 3-year note of all 117 earlier auctions we hold36 auctions from 7 May 2007 to 12 September 2011; the latest at 0.334%.0.0%2.0%4.0%6.0%2008200920102011This auction, 0.334%The high yield was the lowest for a 3-year note of all 117 earlier auctions we hold36 auctions from 7 May 2007 to 12 September 2011; the latest at 0.334%.0.0%0.5%1.0%1.5%2.0%201020110.334%

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
0.3343.15
0.5003.29
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

Against its own history

Against the previous 12 auctions of the 3-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.153.228 of 124 of 12
High yield0.3340.82612 of 120 of 12
Indirect bidders' share35.734.84 of 128 of 12
Direct bidders' share10.612.19 of 123 of 12
Primary dealers' share53.751.54 of 128 of 12
High minus median, basis points2.43.111 of 121 of 12

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

Who bought the 3-year note?

Primary dealers took 53.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 3-year note auction, 9 August 2011

Primary dealers took 53.7% of the competitive bids acceptedIndirect bidders 35.7%, Direct bidders 10.6%, Primary dealers 53.7%Indirect bidders35.7%47.9%Direct bidders10.6%11.1%Primary dealers53.7%41.0%Primary dealers took 53.7% of the competitive bids acceptedIndirect bidders 35.7%, Direct bidders 10.6%, Primary dealers 53.7%Indirect bidders35.7%47.9%Direct bidders10.6%11.1%Primary dealers53.7%41.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders35.747.9
Direct bidders10.611.1
Primary dealers53.741.0

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$100,749,394,400
Sold$32,000,054,400
Competitive bids accepted$31,973,660,000
Non-competitive bids accepted$26,394,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
High yield, %0.334
Median rate, %0.310
Low rate, %0.249
Interest rate (coupon), %0.250
Bids at the high rate filled, %81.11
Bid-to-cover ratio3.15
Indirect bidders accepted$11,422,555,000
Direct bidders accepted$3,381,220,000
Primary dealers accepted$17,169,885,000
Indirect bidders' share, % (ours)35.7
Direct bidders' share, % (ours)10.6
Primary dealers' share, % (ours)53.7
High minus median, basis points (ours)2.4
Treasury par yield curve, 3-year point, same day, %0.35
High yield minus that point, basis points (ours)-1.6

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 ratio3.15Last 24 auctions13 of 2411 of 243.20
Bid-to-cover ratio3.15Since 10 November 200813 of 3421 of 343.04
Bid-to-cover ratio3.15All 50 since 6 May 200313 of 5037 of 502.86
High yield0.334Last 24 auctions24 of 240 of 241.222
High yield0.334Since 10 November 200834 of 340 of 341.324
High yield0.334All 117 since 5 May 1981117 of 1170 of 1175.420
Indirect bidders' share35.7Last 24 auctions16 of 248 of 2440.6
Indirect bidders' share35.7All 34 since 10 November 200824 of 3410 of 3440.4
Direct bidders' share10.6Last 24 auctions16 of 248 of 2411.8
Direct bidders' share10.6All 34 since 10 November 200817 of 3417 of 3410.5
Primary dealers' share53.7Last 24 auctions4 of 2420 of 2444.1
Primary dealers' share53.7All 34 since 10 November 200811 of 3423 of 3445.2
High minus median, basis points2.4Last 24 auctions23 of 241 of 243.5
High minus median, basis points2.4Since 10 November 200833 of 341 of 344.4
High minus median, basis points2.4All 117 since 5 May 198151 of 11765 of 1172.0

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 September 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110912_3.pdf. Compiled by 500metrics, "3-year note auction of 12 September 2011 (new issue)", https://500metrics.com/treasury/auctions/3-year-note/2011-09-12.

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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