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2-year note auction of 24 February 2015 (new issue)

The 2-year note sold $26 billion at a high yield of 0.603% on , with a bid-to-cover ratio of 3.45.

Coupon
0.500%
Announced
Issued
Matures

High yield

0.603%

Median yield 0.580%

Bid-to-cover

3.45

▼ −0.29 since 28 Jan

Sold

$26.00 billion

$26 billion offered

Indirect bidders

48.2%

Of competitive bids accepted

High yield at the last 36 2-year note auctions

High yield at each 2-year note auction, %

High yield at the last 36 2-year note auctions36 auctions from 27 March 2012 to 24 February 2015; the latest at 0.603%.0.2%0.4%0.6%0.8%2012201320142015This auction, 0.603%High yield at the last 36 2-year note auctions36 auctions from 27 March 2012 to 24 February 2015; the latest at 0.603%.0.2%0.4%0.6%0.8%2013201420150.603%

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
0.6033.45
0.5403.74
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.453.426 of 126 of 12
High yield0.6030.5201 of 1211 of 12
Indirect bidders' share48.235.71 of 1211 of 12
Direct bidders' share13.316.210 of 122 of 12
Primary dealers' share38.548.011 of 121 of 12
High minus median, basis points2.32.02 of 129 of 12

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

Who bought the 2-year note?

Indirect bidders took 48.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 28 January 2015

Indirect bidders took 48.2% of the competitive bids acceptedIndirect bidders 48.2%, Direct bidders 13.3%, Primary dealers 38.5%Indirect bidders48.2%48.6%Direct bidders13.3%8.8%Primary dealers38.5%42.6%Indirect bidders took 48.2% of the competitive bids acceptedIndirect bidders 48.2%, Direct bidders 13.3%, Primary dealers 38.5%Indirect bidders48.2%48.6%Direct bidders13.3%8.8%Primary dealers38.5%42.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders48.248.6
Direct bidders13.38.8
Primary dealers38.542.6

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$26,000,000,000
Bids received$89,668,122,600
Sold$26,000,079,000
Competitive bids accepted$25,726,956,400
Non-competitive bids accepted$173,122,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.603
Median rate, %0.580
Low rate, %0.539
Interest rate (coupon), %0.500
Bids at the high rate filled, %14.52
Bid-to-cover ratio3.45
Indirect bidders accepted$12,403,000,000
Direct bidders accepted$3,415,000,000
Primary dealers accepted$9,908,956,400
Indirect bidders' share, % (ours)48.2
Direct bidders' share, % (ours)13.3
Primary dealers' share, % (ours)38.5
High minus median, basis points (ours)2.3
Treasury par yield curve, 2-year point, same day, %0.60
High yield minus that point, basis points (ours)0.3

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 ratio3.45Last 24 auctions9 of 2415 of 243.31
Bid-to-cover ratio3.45Since 23 April 200831 of 8249 of 823.28
Bid-to-cover ratio3.45All 181 since 27 October 199932 of 181147 of 1812.68
High yield0.603Last 24 auctions1 of 2423 of 240.389
High yield0.603Since 23 April 200834 of 8248 of 820.516
High yield0.603All 415 since 23 January 1980367 of 41548 of 4155.410
Indirect bidders' share48.2Last 24 auctions1 of 2423 of 2427.7
Indirect bidders' share48.2All 82 since 23 April 20086 of 8276 of 8232.9
Direct bidders' share13.3Last 24 auctions20 of 244 of 2420.4
Direct bidders' share13.3All 82 since 23 April 200845 of 8237 of 8213.7
Primary dealers' share38.5Last 24 auctions23 of 241 of 2450.0
Primary dealers' share38.5All 82 since 23 April 200876 of 826 of 8252.5
High minus median, basis points2.3Last 24 auctions3 of 2420 of 241.9
High minus median, basis points2.3Since 23 April 200837 of 8242 of 822.2
High minus median, basis points2.3All 415 since 23 January 1980154 of 415256 of 4152.0

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 24 February 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20150224_2.pdf. Compiled by 500metrics, "2-year note auction of 24 February 2015 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2015-02-24.

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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