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2-year note auction of 23 November 2015 (new issue)

The 2-year note sold $26 billion at a high yield of 0.948% on , with a bid-to-cover ratio of 3.15.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.948%

Median yield 0.910%

Bid-to-cover

3.15

▼ −0.27 since 28 Jul

Sold

$26.00 billion

$26 billion offered

Indirect bidders

45.7%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 27 April 2010

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 27 April 201036 auctions from 28 August 2012 to 23 November 2015; the latest at 0.948%.0.2%0.4%0.6%0.8%1.0%2012201320142015This auction, 0.948%The high yield was the highest for a 2-year note since 27 April 201036 auctions from 28 August 2012 to 23 November 2015; the latest at 0.948%.0.2%0.4%0.6%0.8%1.0%2013201420150.948%

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
0.9483.15
0.6903.42
0.6923.28
0.5403.30
0.5983.46
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.153.4411 of 121 of 12
High yield0.9480.5660 of 1212 of 12
Indirect bidders' share45.740.45 of 127 of 12
Direct bidders' share19.014.60 of 1212 of 12
Primary dealers' share35.345.111 of 121 of 12
High minus median, basis points3.82.41 of 1210 of 12

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

  • Direct bidders' share: Highest for a 2-year note since 24 June 2014 (12 auctions in between).

Who bought the 2-year note?

Indirect bidders took 45.7% of the competitive bids accepted

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

Indirect bidders took 45.7% of the competitive bids acceptedIndirect bidders 45.7%, Direct bidders 19.0%, Primary dealers 35.3%Indirect bidders45.7%54.4%Direct bidders19.0%17.9%Primary dealers35.3%27.8%Indirect bidders took 45.7% of the competitive bids acceptedIndirect bidders 45.7%, Direct bidders 19.0%, Primary dealers 35.3%Indirect bidders45.7%54.4%Direct bidders19.0%17.9%Primary dealers35.3%27.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders45.754.4
Direct bidders19.017.9
Primary dealers35.327.8

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$81,997,623,800
Sold$26,000,028,800
Competitive bids accepted$25,837,205,000
Non-competitive bids accepted$162,823,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
High yield, %0.948
Median rate, %0.910
Low rate, %0.850
Interest rate (coupon), %0.875
Bids at the high rate filled, %53.98
Bid-to-cover ratio3.15
Indirect bidders accepted$11,803,295,000
Direct bidders accepted$4,912,000,000
Primary dealers accepted$9,121,910,000
Indirect bidders' share, % (ours)45.7
Direct bidders' share, % (ours)19.0
Primary dealers' share, % (ours)35.3
High minus median, basis points (ours)3.8
Treasury par yield curve, 2-year point, same day, %0.94
High yield minus that point, basis points (ours)0.8

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 ratio3.15Last 24 auctions21 of 243 of 243.34
Bid-to-cover ratio3.15Since 23 April 200856 of 8731 of 873.30
Bid-to-cover ratio3.15All 186 since 27 October 199958 of 186128 of 1862.69
High yield0.948Last 24 auctions0 of 2424 of 240.490
High yield0.948Since 23 April 200819 of 8768 of 870.540
High yield0.948All 420 since 23 January 1980352 of 42068 of 4205.264
Indirect bidders' share45.7Last 24 auctions5 of 2419 of 2435.0
Indirect bidders' share45.7All 87 since 23 April 200810 of 8777 of 8733.5
Direct bidders' share19.0Last 24 auctions10 of 2414 of 2418.1
Direct bidders' share19.0All 87 since 23 April 200825 of 8762 of 8713.8
Primary dealers' share35.3Last 24 auctions23 of 241 of 2448.0
Primary dealers' share35.3All 87 since 23 April 200883 of 874 of 8752.0
High minus median, basis points3.8Last 24 auctions1 of 2422 of 242.0
High minus median, basis points3.8Since 23 April 200821 of 8765 of 872.3
High minus median, basis points3.8All 420 since 23 January 198067 of 420352 of 4202.0

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 November 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20151123_3.pdf. Compiled by 500metrics, "2-year note auction of 23 November 2015 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2015-11-23.

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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