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Treasury auctions · 2-Year Note

2-year note auction of 25 October 2011 (new issue)

The 2-year note sold $36.331 billion at a high yield of 0.281% on , with a bid-to-cover ratio of 3.64.

High yield at each 2-year note auction

The last 36 auctions, this one last

High yield at each 2-year note auction, 24 Nov 2008 to 25 Oct 2011
High yield at each 2-year note auction, 27 Oct 2009 to 25 Oct 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, 24 Nov 2008 to 25 Oct 2011
Bid-to-cover ratio at each 2-year note auction, 27 Oct 2009 to 25 Oct 2011

Who bought the 2-year note of 25 Oct 2011

Shares of the competitive bids accepted

  • Indirect bidders 39.2%
  • Direct bidders 8.2%
  • Primary dealers 52.6%
This auction, 25 Oct 2011
  • Indirect bidders 36.7%
  • Direct bidders 12.2%
  • Primary dealers 51.1%
The 2-year note auction before, 27 Sep 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 bidders39.2%
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
0.2813.64
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

Observed .

Right now

The high yield was 0.281% on 25 October 2011, up from 0.249% at the auction before.

Higher than 2 of the 42 since 23 April 2008

Its own history

Against the previous 24 2-year note auctions, the bid-to-cover ratio was higher than 20 of the 24.

The high minus median 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 39.2%
  • Direct bidders 8.2%
  • Primary dealers 52.6%

Size

Treasury sold $36.331 billion of the $35 billion offered.

Bids received came to $128.751 billion; the bid-to-cover ratio was 3.64.

Its bid-to-cover of 3.64 compares with the 24 auctions before it: lowest 2.91 on , highest 3.78 on ; 83.9% of the way from the low to the high.

3.64

Low 2.91 Midpoint 3.345 High 3.78

The security2-Year, new issue

Coupon
0.250%
Announced
Issued
Matures

It adds to the debt that matures in October 2013.

Understanding this result

Where it stands today

The high yield was 0.281% at this 2-year note auction, the median yield 0.265% and a bid-to-cover ratio of 3.64.

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$128,751,190,700
Sold$36,330,750,700
Competitive bids accepted$34,801,560,000
Non-competitive bids accepted$198,445,900
Federal Reserve (SOMA) add-on$1,330,744,800
Foreign and international (FIMA) non-competitive$0
High yield, %0.281
Median rate, %0.265
Low rate, %0.210
Interest rate (coupon), %0.250
Bids at the high rate filled, %10.48
Bid-to-cover ratio3.64
Indirect bidders accepted$13,651,000,000
Direct bidders accepted$2,855,480,000
Primary dealers accepted$18,295,080,000
Indirect bidders' share, % (ours)39.2
Direct bidders' share, % (ours)8.2
Primary dealers' share, % (ours)52.6
High minus median, basis points (ours)1.6
Treasury par yield curve, 2-year point, same day, %0.26
High yield minus that point, basis points (ours)2.1
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 ratio3.643.443 of 129 of 12
High yield0.2810.54010 of 122 of 12
Indirect bidders' share39.231.51 of 1211 of 12
Direct bidders' share8.214.611 of 121 of 12
Primary dealers' share52.652.45 of 127 of 12
High minus median, basis points1.62.411 of 121 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 ratio3.64Last 24 auctions4 of 2420 of 243.24
Bid-to-cover ratio3.64Since 23 April 20084 of 4238 of 423.04
Bid-to-cover ratio3.64All 141 since 27 October 19995 of 141136 of 1412.42
High yield0.281Last 24 auctions22 of 242 of 240.706
High yield0.281Since 23 April 200840 of 422 of 420.924
High yield0.281All 375 since 23 January 1980373 of 3752 of 3755.705
Indirect bidders' share39.2Last 24 auctions6 of 2418 of 2434.8
Indirect bidders' share39.2All 42 since 23 April 200812 of 4230 of 4234.7
Direct bidders' share8.2Last 24 auctions21 of 243 of 2414.1
Direct bidders' share8.2All 42 since 23 April 200823 of 4219 of 4210.8
Primary dealers' share52.6Last 24 auctions7 of 2417 of 2450.5
Primary dealers' share52.6All 42 since 23 April 200820 of 4222 of 4252.4
High minus median, basis points1.6Last 24 auctions23 of 241 of 243.0
High minus median, basis points1.6Since 23 April 200841 of 421 of 423.6
High minus median, basis points1.6All 375 since 23 January 1980254 of 375115 of 3752.0

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 25 October 2011. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2011/R_20111025_2.pdf. Compiled by 500metrics, "2-year note auction of 25 October 2011 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2011-10-25.

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