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Treasury auctions · 2-Year Note

2-year note auction of 27 September 2011 (new issue)

The 2-year note sold $36.09 billion at a high yield of 0.249% on , with a bid-to-cover ratio of 3.76.

High yield at each 2-year note auction

The last 36 auctions, this one last

High yield at each 2-year note auction, 28 Oct 2008 to 27 Sep 2011
High yield at each 2-year note auction, 27 Oct 2009 to 27 Sep 2011

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 Oct 2008 to 27 Sep 2011
Bid-to-cover ratio at each 2-year note auction, 27 Oct 2009 to 27 Sep 2011

Who bought the 2-year note of 27 Sep 2011

Shares of the competitive bids accepted

  • Indirect bidders 36.7%
  • Direct bidders 12.2%
  • Primary dealers 51.1%
This auction, 27 Sep 2011
  • Indirect bidders 31.6%
  • Direct bidders 15.9%
  • Primary dealers 52.5%
The 2-year note auction before, 23 Aug 2011

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 bidders36.7%
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
0.2493.76
0.2223.44
0.4173.14
0.3953.08
0.5603.46
0.6733.06
0.7893.16
0.7453.03
0.6503.47
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

Observed .

Right now

The high yield was 0.249% on 27 September 2011, up from 0.222% at the auction before.

Higher than 1 of the 41 since 23 April 2008

Its own history

Against the previous 24 2-year note auctions, the bid-to-cover ratio was higher than 23 of the 24.

The high yield was higher than 1 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 36.7%
  • Direct bidders 12.2%
  • Primary dealers 51.1%

Size

Treasury sold $36.09 billion of the $35 billion offered.

Bids received came to $132.829 billion; the bid-to-cover ratio was 3.76.

Its bid-to-cover of 3.76 compares with the 24 auctions before it: lowest 2.91 on , highest 3.78 on ; 97.7% of the way from the low to the high.

3.76

Low 2.91 Midpoint 3.345 High 3.78

The security2-Year, new issue

Coupon
0.125%
Announced
Issued
Matures

It adds to the debt that matures in September 2013.

Understanding this result

Where it stands today

The high yield was 0.249% at this 2-year note auction, the median yield 0.225% and a bid-to-cover ratio of 3.76.

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$132,829,471,300
Sold$36,089,771,300
Competitive bids accepted$34,795,600,000
Non-competitive bids accepted$204,508,200
Federal Reserve (SOMA) add-on$1,089,663,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.249
Median rate, %0.225
Low rate, %0.171
Interest rate (coupon), %0.125
Bids at the high rate filled, %19.45
Bid-to-cover ratio3.76
Indirect bidders accepted$12,787,062,500
Direct bidders accepted$4,231,587,500
Primary dealers accepted$17,776,950,000
Indirect bidders' share, % (ours)36.7
Direct bidders' share, % (ours)12.2
Primary dealers' share, % (ours)51.1
High minus median, basis points (ours)2.4
Treasury par yield curve, 2-year point, same day, %0.25
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 ratio3.763.441 of 1211 of 12
High yield0.2490.54011 of 121 of 12
Indirect bidders' share36.731.54 of 128 of 12
Direct bidders' share12.214.610 of 122 of 12
Primary dealers' share51.152.47 of 125 of 12
High minus median, basis points2.42.46 of 126 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 ratio3.76Last 24 auctions1 of 2423 of 243.20
Bid-to-cover ratio3.76Since 23 April 20081 of 4140 of 413.03
Bid-to-cover ratio3.76All 140 since 27 October 19992 of 140138 of 1402.42
High yield0.249Last 24 auctions23 of 241 of 240.739
High yield0.249Since 23 April 200840 of 411 of 410.925
High yield0.249All 374 since 23 January 1980373 of 3741 of 3745.712
Indirect bidders' share36.7Last 24 auctions10 of 2414 of 2434.8
Indirect bidders' share36.7All 41 since 23 April 200816 of 4125 of 4134.6
Direct bidders' share12.2Last 24 auctions17 of 247 of 2414.1
Direct bidders' share12.2All 41 since 23 April 200817 of 4124 of 4110.8
Primary dealers' share51.1Last 24 auctions10 of 2414 of 2449.9
Primary dealers' share51.1All 41 since 23 April 200823 of 4118 of 4152.5
High minus median, basis points2.4Last 24 auctions16 of 248 of 243.0
High minus median, basis points2.4Since 23 April 200832 of 419 of 413.6
High minus median, basis points2.4All 374 since 23 January 1980144 of 374225 of 3742.0

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 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20110927_2.pdf. Compiled by 500metrics, "2-year note auction of 27 September 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-09-27.

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