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2-year note auction of 23 September 2014 (new issue)

The 2-year note sold $29 billion at a high yield of 0.589% on , with a bid-to-cover ratio of 3.56.

Coupon
0.500%
Announced
Issued
Matures

High yield

0.589%

Median yield 0.570%

Bid-to-cover

3.56

▲ +0.08 since 26 Aug

Sold

$29.00 billion

$29 billion offered

Indirect bidders

40.9%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 26 April 2011

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 26 April 201136 auctions from 25 October 2011 to 23 September 2014; the latest at 0.589%.0.2%0.3%0.4%0.5%0.6%2011201220132014This auction, 0.589%The high yield was the highest for a 2-year note since 26 April 201136 auctions from 25 October 2011 to 23 September 2014; the latest at 0.589%.0.2%0.3%0.4%0.5%0.6%201320140.589%

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 2-year note auctions, newest first
AuctionHigh yield, %Bid-to-cover
0.5893.56
0.5303.48
0.5443.22
0.5113.23
0.3923.52
0.4473.35
0.4693.20
0.3403.60
0.3803.30
0.3453.77
0.3003.54
0.3233.32
0.3483.09
0.3863.21
0.3363.08
0.4303.05
0.2833.04
0.2333.63
0.2553.27
0.2573.33
0.2883.77
0.2453.59
0.2704.07
0.2954.02
0.2733.60
0.2733.94
0.2204.00
0.3133.62
0.3003.95
0.2703.76
0.3403.69
0.3103.54
0.2503.75
0.2403.45
0.2804.07
0.2813.64

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.563.342 of 1210 of 12
High yield0.5890.3860 of 1212 of 12
Indirect bidders' share40.925.51 of 1211 of 12
Direct bidders' share16.122.110 of 122 of 12
Primary dealers' share43.049.710 of 122 of 12
High minus median, basis points1.91.95 of 125 of 12

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

Who bought the 2-year note?

Primary dealers took 43.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 August 2014

Primary dealers took 43.0% of the competitive bids acceptedIndirect bidders 40.9%, Direct bidders 16.1%, Primary dealers 43.0%Indirect bidders40.9%39.8%Direct bidders16.1%12.1%Primary dealers43.0%48.0%Primary dealers took 43.0% of the competitive bids acceptedIndirect bidders 40.9%, Direct bidders 16.1%, Primary dealers 43.0%Indirect bidders40.9%39.8%Direct bidders16.1%12.1%Primary dealers43.0%48.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders40.939.8
Direct bidders16.112.1
Primary dealers43.048.0

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as2-Year, new issue
Offering amount$29,000,000,000
Bids received$103,359,115,600
Sold$29,000,113,100
Competitive bids accepted$28,749,197,500
Non-competitive bids accepted$150,915,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.589
Median rate, %0.570
Low rate, %0.520
Interest rate (coupon), %0.500
Bids at the high rate filled, %28.59
Bid-to-cover ratio3.56
Indirect bidders accepted$11,762,200,000
Direct bidders accepted$4,630,590,000
Primary dealers accepted$12,356,407,500
Indirect bidders' share, % (ours)40.9
Direct bidders' share, % (ours)16.1
Primary dealers' share, % (ours)43.0
High minus median, basis points (ours)1.9
Treasury par yield curve, 2-year point, same day, %0.57
High yield minus that point, basis points (ours)1.9

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 (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 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 2-year note auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio3.56Last 24 auctions8 of 2416 of 243.34
Bid-to-cover ratio3.56Since 23 April 200822 of 7755 of 773.27
Bid-to-cover ratio3.56All 176 since 27 October 199923 of 176153 of 1762.64
High yield0.589Last 24 auctions0 of 2424 of 240.338
High yield0.589Since 23 April 200833 of 7744 of 770.498
High yield0.589All 410 since 23 January 1980366 of 41044 of 4105.458
Indirect bidders' share40.9Last 24 auctions1 of 2423 of 2423.7
Indirect bidders' share40.9All 77 since 23 April 200813 of 7764 of 7732.1
Direct bidders' share16.1Last 24 auctions20 of 244 of 2422.8
Direct bidders' share16.1All 77 since 23 April 200828 of 7749 of 7713.5
Primary dealers' share43.0Last 24 auctions20 of 244 of 2452.6
Primary dealers' share43.0All 77 since 23 April 200869 of 778 of 7753.6
High minus median, basis points1.9Last 24 auctions7 of 2414 of 241.8
High minus median, basis points1.9Since 23 April 200849 of 7725 of 772.2
High minus median, basis points1.9All 410 since 23 January 1980240 of 410161 of 4102.0

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 23 September 2014. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2014/R_20140923_2.pdf. Compiled by 500metrics, "2-year note auction of 23 September 2014 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2014-09-23.

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

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