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2-year note auction of 28 March 2016 (new issue)

The 2-year note sold $32.195 billion at a high yield of 0.877% on , with a bid-to-cover ratio of 2.58.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.877%

Median yield 0.830%

Bid-to-cover

2.58

▼ −0.32 since 26 Jan

Sold

$32.19 billion

$26 billion offered

Indirect bidders

47.4%

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 November 2012 to 28 March 2016; the latest at 0.877%.0.0%0.3%0.5%0.8%1.0%1.3%2013201420152016This auction, 0.877%High yield at the last 36 2-year note auctions36 auctions from 27 November 2012 to 28 March 2016; the latest at 0.877%.0.2%0.4%0.6%0.8%1.0%1.2%2014201520160.877%

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
0.8772.58
0.8602.90
1.0562.80
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.583.2912 of 120 of 12
High yield0.8770.6462 of 1210 of 12
Indirect bidders' share47.445.75 of 127 of 12
Direct bidders' share15.215.46 of 126 of 12
Primary dealers' share37.437.96 of 126 of 12
High minus median, basis points4.73.00 of 1212 of 12

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

  • Bid-to-cover ratio: Lowest for a 2-year note since 22 December 2008 (81 auctions in between).
  • High minus median, basis points: Highest for a 2-year note since 28 December 2009 (69 auctions in between).

Who bought the 2-year note?

Indirect bidders took 47.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 January 2016

Indirect bidders took 47.4% of the competitive bids acceptedIndirect bidders 47.4%, Direct bidders 15.2%, Primary dealers 37.4%Indirect bidders47.4%57.9%Direct bidders15.2%12.3%Primary dealers37.4%29.8%Indirect bidders took 47.4% of the competitive bids acceptedIndirect bidders 47.4%, Direct bidders 15.2%, Primary dealers 37.4%Indirect bidders47.4%57.9%Direct bidders15.2%12.3%Primary dealers37.4%29.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.457.9
Direct bidders15.212.3
Primary dealers37.429.8

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$73,223,487,000
Sold$32,194,617,000
Competitive bids accepted$25,829,771,000
Non-competitive bids accepted$170,233,900
Federal Reserve (SOMA) add-on$6,194,612,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.877
Median rate, %0.830
Low rate, %0.800
Interest rate (coupon), %0.875
Bids at the high rate filled, %49.48
Bid-to-cover ratio2.58
Indirect bidders accepted$12,247,641,000
Direct bidders accepted$3,923,370,000
Primary dealers accepted$9,658,760,000
Indirect bidders' share, % (ours)47.4
Direct bidders' share, % (ours)15.2
Primary dealers' share, % (ours)37.4
High minus median, basis points (ours)4.7
Treasury par yield curve, 2-year point, same day, %0.89
High yield minus that point, basis points (ours)-1.3

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 ratio2.58Last 24 auctions24 of 240 of 243.34
Bid-to-cover ratio2.58Since 23 April 200882 of 908 of 903.29
Bid-to-cover ratio2.58All 189 since 27 October 1999107 of 18980 of 1892.69
High yield0.877Last 24 auctions2 of 2422 of 240.540
High yield0.877Since 23 April 200826 of 9064 of 900.541
High yield0.877All 423 since 23 January 1980359 of 42364 of 4235.150
Indirect bidders' share47.4Last 24 auctions5 of 2419 of 2437.1
Indirect bidders' share47.4All 90 since 23 April 200810 of 9080 of 9033.6
Direct bidders' share15.2Last 24 auctions16 of 248 of 2418.1
Direct bidders' share15.2All 90 since 23 April 200838 of 9052 of 9014.1
Primary dealers' share37.4Last 24 auctions18 of 246 of 2446.8
Primary dealers' share37.4All 90 since 23 April 200880 of 9010 of 9051.5
High minus median, basis points4.7Last 24 auctions0 of 2424 of 242.2
High minus median, basis points4.7Since 23 April 200812 of 9078 of 902.3
High minus median, basis points4.7All 423 since 23 January 198038 of 423385 of 4232.0

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 28 March 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160328_3.pdf. Compiled by 500metrics, "2-year note auction of 28 March 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-03-28.

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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