500metrics

All sources checked Checked

3-year note auction of 8 November 2011 (new issue)

The 3-year note sold $34.449 billion at a high yield of 0.379% on , with a bid-to-cover ratio of 3.41.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.379%

Median yield 0.358%

Bid-to-cover

3.41

▲ +0.11 since 11 Oct

Sold

$34.45 billion

$32 billion offered

Indirect bidders

38.7%

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 10 December 2008 to 8 November 2011; the latest at 0.379%.0.0%0.5%1.0%1.5%2.0%200920102011This auction, 0.379%High yield at the last 36 3-year note auctions36 auctions from 10 December 2008 to 8 November 2011; the latest at 0.379%.0.0%0.5%1.0%1.5%2.0%201020110.379%

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
0.3793.41
0.5443.30
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

Against its own history

Against the previous 12 auctions of the 3-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.413.240 of 1212 of 12
High yield0.3790.81411 of 121 of 12
Indirect bidders' share38.735.32 of 1210 of 12
Direct bidders' share19.911.70 of 1212 of 12
Primary dealers' share41.552.611 of 121 of 12
High minus median, basis points2.13.111 of 121 of 12

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

  • Bid-to-cover ratio: Highest of all 52 earlier 3-year note auctions we hold.
  • Direct bidders' share: Highest for a 3-year note since 12 January 2010 (21 auctions in between).

Who bought the 3-year note?

Primary dealers took 41.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 3-year note auction, 11 October 2011

Primary dealers took 41.5% of the competitive bids acceptedIndirect bidders 38.7%, Direct bidders 19.9%, Primary dealers 41.5%Indirect bidders38.7%37.8%Direct bidders19.9%7.8%Primary dealers41.5%54.3%Primary dealers took 41.5% of the competitive bids acceptedIndirect bidders 38.7%, Direct bidders 19.9%, Primary dealers 41.5%Indirect bidders38.7%37.8%Direct bidders19.9%7.8%Primary dealers41.5%54.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders38.737.8
Direct bidders19.97.8
Primary dealers41.554.3

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$111,501,834,900
Sold$34,448,575,700
Competitive bids accepted$31,957,440,800
Non-competitive bids accepted$42,647,500
Federal Reserve (SOMA) add-on$2,448,487,400
Foreign and international (FIMA) non-competitive$0
High yield, %0.379
Median rate, %0.358
Low rate, %0.289
Interest rate (coupon), %0.375
Bids at the high rate filled, %59.46
Bid-to-cover ratio3.41
Indirect bidders accepted$12,354,200,000
Direct bidders accepted$6,350,148,800
Primary dealers accepted$13,253,092,000
Indirect bidders' share, % (ours)38.7
Direct bidders' share, % (ours)19.9
Primary dealers' share, % (ours)41.5
High minus median, basis points (ours)2.1
Treasury par yield curve, 3-year point, same day, %0.39
High yield minus that point, basis points (ours)-1.1

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 ratio3.41Last 24 auctions0 of 2424 of 243.22
Bid-to-cover ratio3.41Since 10 November 20080 of 3636 of 363.06
Bid-to-cover ratio3.41All 52 since 6 May 20030 of 5252 of 522.90
High yield0.379Last 24 auctions23 of 241 of 241.041
High yield0.379Since 10 November 200835 of 361 of 361.289
High yield0.379All 119 since 5 May 1981118 of 1191 of 1195.180
Indirect bidders' share38.7Last 24 auctions12 of 2412 of 2438.7
Indirect bidders' share38.7All 36 since 10 November 200819 of 3617 of 3639.8
Direct bidders' share19.9Last 24 auctions1 of 2423 of 2411.8
Direct bidders' share19.9All 36 since 10 November 20081 of 3635 of 3610.5
Primary dealers' share41.5Last 24 auctions15 of 249 of 2445.2
Primary dealers' share41.5All 36 since 10 November 200823 of 3613 of 3645.7
High minus median, basis points2.1Last 24 auctions23 of 241 of 243.4
High minus median, basis points2.1Since 10 November 200835 of 361 of 364.4
High minus median, basis points2.1All 119 since 5 May 198155 of 11964 of 1192.0

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 8 November 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111108_2.pdf. Compiled by 500metrics, "3-year note auction of 8 November 2011 (new issue)", https://500metrics.com/treasury/auctions/3-year-note/2011-11-08.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.