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2-year note auction of 22 December 2014 (new issue)

The 2-year note sold $27 billion at a high yield of 0.703% on , with a bid-to-cover ratio of 3.21.

Coupon
0.625%
Announced
Issued
Matures

High yield

0.703%

Median yield 0.677%

Bid-to-cover

3.21

▼ −0.50 since 24 Nov

Sold

$27.00 billion

$27 billion offered

Indirect bidders

35.7%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 28 March 2011

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 28 March 201136 auctions from 24 January 2012 to 22 December 2014; the latest at 0.703%.0.2%0.4%0.6%0.8%201220132014This auction, 0.703%The high yield was the highest for a 2-year note since 28 March 201136 auctions from 24 January 2012 to 22 December 2014; the latest at 0.703%.0.2%0.4%0.6%0.8%201320140.703%

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
0.7033.21
0.5423.71
0.4253.11
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.213.4210 of 122 of 12
High yield0.7030.4580 of 1212 of 12
Indirect bidders' share35.731.45 of 127 of 12
Direct bidders' share14.519.110 of 122 of 12
Primary dealers' share49.848.14 of 128 of 12
High minus median, basis points2.62.00 of 1212 of 12

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

  • High minus median, basis points: Highest for a 2-year note since 25 June 2013 (17 auctions in between).

Who bought the 2-year note?

Primary dealers took 49.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 24 November 2014

Primary dealers took 49.8% of the competitive bids acceptedIndirect bidders 35.7%, Direct bidders 14.5%, Primary dealers 49.8%Indirect bidders35.7%35.8%Direct bidders14.5%16.2%Primary dealers49.8%48.0%Primary dealers took 49.8% of the competitive bids acceptedIndirect bidders 35.7%, Direct bidders 14.5%, Primary dealers 49.8%Indirect bidders35.7%35.8%Direct bidders14.5%16.2%Primary dealers49.8%48.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders35.735.8
Direct bidders14.516.2
Primary dealers49.848.0

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$27,000,000,000
Bids received$86,629,366,500
Sold$27,000,004,000
Competitive bids accepted$26,757,687,500
Non-competitive bids accepted$142,316,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.703
Median rate, %0.677
Low rate, %0.638
Interest rate (coupon), %0.625
Bids at the high rate filled, %62.93
Bid-to-cover ratio3.21
Indirect bidders accepted$9,539,712,500
Direct bidders accepted$3,891,000,000
Primary dealers accepted$13,326,975,000
Indirect bidders' share, % (ours)35.7
Direct bidders' share, % (ours)14.5
Primary dealers' share, % (ours)49.8
High minus median, basis points (ours)2.6
Treasury par yield curve, 2-year point, same day, %0.71
High yield minus that point, basis points (ours)-0.7

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 ratio3.21Last 24 auctions17 of 246 of 243.32
Bid-to-cover ratio3.21Since 23 April 200844 of 8035 of 803.28
Bid-to-cover ratio3.21All 179 since 27 October 199946 of 179132 of 1792.66
High yield0.703Last 24 auctions0 of 2424 of 240.364
High yield0.703Since 23 April 200830 of 8050 of 800.504
High yield0.703All 413 since 23 January 1980363 of 41350 of 4135.430
Indirect bidders' share35.7Last 24 auctions6 of 2418 of 2423.7
Indirect bidders' share35.7All 80 since 23 April 200827 of 8053 of 8032.9
Direct bidders' share14.5Last 24 auctions20 of 244 of 2421.8
Direct bidders' share14.5All 80 since 23 April 200837 of 8043 of 8013.7
Primary dealers' share49.8Last 24 auctions14 of 2410 of 2451.8
Primary dealers' share49.8All 80 since 23 April 200850 of 8030 of 8052.9
High minus median, basis points2.6Last 24 auctions0 of 2423 of 241.9
High minus median, basis points2.6Since 23 April 200830 of 8048 of 802.2
High minus median, basis points2.6All 413 since 23 January 1980131 of 413278 of 4132.0

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 22 December 2014. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2014/R_20141222_3.pdf. Compiled by 500metrics, "2-year note auction of 22 December 2014 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2014-12-22.

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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