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Treasury auctions · 2-Year Note

2-year note auction of 27 September 2010 (new issue)

The 2-year note sold $37.134 billion at a high yield of 0.441% on , with a bid-to-cover ratio of 3.78.

High yield at each 2-year note auction

The last 36 auctions, this one last

High yield at each 2-year note auction, 24 Oct 2007 to 27 Sep 2010
High yield at each 2-year note auction, 28 Oct 2008 to 27 Sep 2010

Bid-to-cover ratio at each 2-year note auction

The last 36 auctions, this one last

Bid-to-cover ratio at each 2-year note auction, 24 Oct 2007 to 27 Sep 2010
Bid-to-cover ratio at each 2-year note auction, 28 Oct 2008 to 27 Sep 2010

Who bought the 2-year note of 27 Sep 2010

Shares of the competitive bids accepted

  • Indirect bidders 39.0%
  • Direct bidders 10.8%
  • Primary dealers 50.2%
This auction, 27 Sep 2010
  • Indirect bidders 29.2%
  • Direct bidders 12.1%
  • Primary dealers 58.7%
The 2-year note auction before, 24 Aug 2010

Each point is one 2-year note auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders39.0%
Inspect and compare dates
High yield and bid-to-cover of the last 36 2-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
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
1.1192.68
1.0802.75
1.1513.19
0.9402.94
0.9492.72
0.9492.71
0.9612.63
0.9252.69
0.9222.13
1.2692.08
1.6002.49
2.1152.21
2.3802.18
2.8202.42
2.9222.64
2.6402.28
2.2252.21
1.7612.44
2.0452.14
2.2372.33
3.2852.23
3.1592.21
3.7232.86

Observed .

Right now

The high yield of 0.441% on 27 September 2010 was the lowest of all 362 earlier 2-year note auctions we hold.

The bid-to-cover ratio of 3.78 was the highest for a 2-year note since 29 August 2007, with 36 auctions in between.

Lower than all 29 since 23 April 2008

Its own history

Against the previous 24 2-year note auctions, the bid-to-cover ratio was higher than all 24.

The high yield was lower than all 24.

See every measure against earlier auctions

Who bought

Primary dealers took the largest share of the competitive bids accepted.

  • Indirect bidders 39.0%
  • Direct bidders 10.8%
  • Primary dealers 50.2%

Size

Treasury sold $37.134 billion of the $36 billion offered.

Bids received came to $137.381 billion; the bid-to-cover ratio was 3.78.

Its bid-to-cover of 3.78 compares with the 24 auctions before it: lowest 2.08 on , highest 3.78 on ; 100.0% of the way from the low to the high.

3.78

Low 2.08 Midpoint 2.930 High 3.78

The security2-Year, new issue

Coupon
0.375%
Announced
Issued
Matures

It adds to the debt that matures in September 2012.

Understanding this result

Where it stands today

The high yield was 0.441% at this 2-year note auction, the median yield 0.418% and a bid-to-cover ratio of 3.78.

What do these figures measure?

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.

Read more

How does it compare with the par yield curve?

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 these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as2-Year, new issue
Offering amount$36,000,000,000
Bids received$137,381,137,500
Sold$37,134,262,500
Competitive bids accepted$35,570,425,000
Non-competitive bids accepted$419,674,800
Federal Reserve (SOMA) add-on$1,134,162,700
Foreign and international (FIMA) non-competitive$10,000,000
High yield, %0.441
Median rate, %0.418
Low rate, %0.350
Interest rate (coupon), %0.375
Bids at the high rate filled, %25.35
Bid-to-cover ratio3.78
Indirect bidders accepted$13,884,925,000
Direct bidders accepted$3,834,000,000
Primary dealers accepted$17,851,500,000
Indirect bidders' share, % (ours)39.0
Direct bidders' share, % (ours)10.8
Primary dealers' share, % (ours)50.2
High minus median, basis points (ours)2.3
Treasury par yield curve, 2-year point, same day, %0.44
High yield minus that point, basis points (ours)0.1
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.783.140 of 1212 of 12
High yield0.4410.88812 of 120 of 12
Indirect bidders' share39.038.86 of 126 of 12
Direct bidders' share10.813.69 of 123 of 12
Primary dealers' share50.246.84 of 128 of 12
High minus median, basis points2.34.010 of 122 of 12

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

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 ratio3.78Last 24 auctions0 of 2424 of 242.94
Bid-to-cover ratio3.78Since 23 April 20080 of 2929 of 292.75
Bid-to-cover ratio3.78All 128 since 27 October 19991 of 128127 of 1282.36
High yield0.441Last 24 auctions24 of 240 of 240.955
High yield0.441Since 23 April 200829 of 290 of 291.020
High yield0.441All 362 since 23 January 1980362 of 3620 of 3625.880
Indirect bidders' share39.0Last 24 auctions11 of 2413 of 2435.5
Indirect bidders' share39.0All 29 since 23 April 200811 of 2918 of 2934.8
Direct bidders' share10.8Last 24 auctions9 of 2415 of 246.9
Direct bidders' share10.8All 29 since 23 April 20089 of 2920 of 294.1
Primary dealers' share50.2Last 24 auctions12 of 2412 of 2449.7
Primary dealers' share50.2All 29 since 23 April 200817 of 2912 of 2953.7
High minus median, basis points2.3Last 24 auctions22 of 242 of 244.2
High minus median, basis points2.3Since 23 April 200826 of 292 of 294.2
High minus median, basis points2.3All 362 since 23 January 1980143 of 362216 of 3622.0

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

When are the figures from, and how are they cited?Dates and how to cite

Observed .

Shares of competitive bids, grades against earlier auctions and the high-minus-median spread are computed by 500metrics from Treasury's published fields.

Observed .

How to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 27 September 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20100927_3.pdf. Compiled by 500metrics, "2-year note auction of 27 September 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-09-27.

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