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Treasury auctions · 2-Year Note

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

The 2-year note sold $36.755 billion at a high yield of 0.740% on , with a bid-to-cover ratio of 3.71.

High yield at each 2-year note auction

The last 36 auctions, this one last

High yield at each 2-year note auction, 28 Jan 2008 to 27 Dec 2010
High yield at each 2-year note auction, 27 Jan 2009 to 27 Dec 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, 28 Jan 2008 to 27 Dec 2010
Bid-to-cover ratio at each 2-year note auction, 27 Jan 2009 to 27 Dec 2010

Who bought the 2-year note of 27 Dec 2010

Shares of the competitive bids accepted

  • Indirect bidders 22.6%
  • Direct bidders 19.8%
  • Primary dealers 57.6%
This auction, 27 Dec 2010
  • Indirect bidders 38.3%
  • Direct bidders 14.4%
  • Primary dealers 47.3%
The 2-year note auction before, 22 Nov 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 bidders22.6%
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
0.7403.71
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
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

Observed .

Right now

The high yield of 0.740% on 27 December 2010 was the highest for a 2-year note since 25 May 2010.

The indirect bidders' share of 22.6% was the lowest for a 2-year note since 28 May 2008, with 30 auctions in between.

Higher than 6 of the 32 since 23 April 2008

Its own history

Against the previous 24 2-year note auctions, the indirect bidders' share was lower than all 24.

The bid-to-cover ratio was higher than 23 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 22.6%
  • Direct bidders 19.8%
  • Primary dealers 57.6%

Size

Treasury sold $36.755 billion of the $35 billion offered.

Bids received came to $131.624 billion; the bid-to-cover ratio was 3.71.

Its bid-to-cover of 3.71 compares with the 24 auctions before it: lowest 2.13 on , highest 3.78 on ; 95.8% of the way from the low to the high.

3.71

Low 2.13 Midpoint 2.955 High 3.78

The security2-Year, new issue

Coupon
0.625%
Announced
Issued
Matures

It adds to the debt that matures in December 2012.

Understanding this result

Where it stands today

The high yield was 0.740% at this 2-year note auction, the median yield 0.720% and a bid-to-cover ratio of 3.71.

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$35,000,000,000
Bids received$131,624,463,900
Sold$36,754,518,900
Competitive bids accepted$34,727,660,000
Non-competitive bids accepted$272,505,500
Federal Reserve (SOMA) add-on$1,754,353,400
Foreign and international (FIMA) non-competitive$0
High yield, %0.740
Median rate, %0.720
Low rate, %0.650
Interest rate (coupon), %0.625
Bids at the high rate filled, %68.25
Bid-to-cover ratio3.71
Indirect bidders accepted$7,839,730,000
Direct bidders accepted$6,892,355,000
Primary dealers accepted$19,995,575,000
Indirect bidders' share, % (ours)22.6
Direct bidders' share, % (ours)19.8
Primary dealers' share, % (ours)57.6
High minus median, basis points (ours)2.0
Treasury par yield curve, 2-year point, same day, %0.71
High yield minus that point, basis points (ours)3.0
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 ratio3.713.231 of 1211 of 12
High yield0.7400.7546 of 126 of 12
Indirect bidders' share22.637.212 of 120 of 12
Direct bidders' share19.814.12 of 1210 of 12
Primary dealers' share57.647.51 of 1211 of 12
High minus median, basis points2.02.89 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 ratio3.71Last 24 auctions1 of 2423 of 243.08
Bid-to-cover ratio3.71Since 23 April 20081 of 3231 of 322.92
Bid-to-cover ratio3.71All 131 since 27 October 19992 of 131129 of 1312.38
High yield0.740Last 24 auctions18 of 246 of 240.932
High yield0.740Since 23 April 200826 of 326 of 320.980
High yield0.740All 365 since 23 January 1980359 of 3656 of 3655.860
Indirect bidders' share22.6Last 24 auctions24 of 240 of 2438.6
Indirect bidders' share22.6All 32 since 23 April 200831 of 321 of 3235.5
Direct bidders' share19.8Last 24 auctions3 of 2421 of 2410.8
Direct bidders' share19.8All 32 since 23 April 20083 of 3229 of 325.1
Primary dealers' share57.6Last 24 auctions6 of 2418 of 2447.5
Primary dealers' share57.6All 32 since 23 April 200814 of 3218 of 3251.1
High minus median, basis points2.0Last 24 auctions21 of 242 of 244.0
High minus median, basis points2.0Since 23 April 200829 of 322 of 324.0
High minus median, basis points2.0All 365 since 23 January 1980163 of 365144 of 3652.0

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 December 2010. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2010/R_20101227_3.pdf. Compiled by 500metrics, "2-year note auction of 27 December 2010 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2010-12-27.

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