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2-year note auction of 24 May 2016 (new issue)

The 2-year note sold $32.631 billion at a high yield of 0.920% on , with a bid-to-cover ratio of 3.00.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.920%

Median yield 0.900%

Bid-to-cover

3.00

▲ +0.36 since 25 Apr

Sold

$32.63 billion

$26 billion offered

Indirect bidders

49.8%

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 28 January 2013 to 24 May 2016; the latest at 0.920%.0.0%0.3%0.5%0.8%1.0%1.3%2013201420152016This auction, 0.920%High yield at the last 36 2-year note auctions36 auctions from 28 January 2013 to 24 May 2016; the latest at 0.920%.0.2%0.4%0.6%0.8%1.0%1.2%2014201520160.920%

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
0.9203.00
0.8422.64
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.003.248 of 124 of 12
High yield0.9200.6982 of 1210 of 12
Indirect bidders' share49.847.33 of 129 of 12
Direct bidders' share32.514.60 of 1212 of 12
Primary dealers' share17.737.312 of 120 of 12
High minus median, basis points2.03.412 of 120 of 12

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

  • Direct bidders' share: Highest for a 2-year note since 23 October 2012 (37 auctions in between).
  • Primary dealers' share: Lowest of all 92 earlier 2-year note auctions we hold.
  • High minus median, basis points: Lowest for a 2-year note since 23 September 2014 (14 auctions in between).

Who bought the 2-year note?

Indirect bidders took 49.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 April 2016

Indirect bidders took 49.8% of the competitive bids acceptedIndirect bidders 49.8%, Direct bidders 32.5%, Primary dealers 17.7%Indirect bidders49.8%47.1%Direct bidders32.5%14.5%Primary dealers17.7%38.4%Indirect bidders took 49.8% of the competitive bids acceptedIndirect bidders 49.8%, Direct bidders 32.5%, Primary dealers 17.7%Indirect bidders49.8%47.1%Direct bidders32.5%14.5%Primary dealers17.7%38.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.847.1
Direct bidders32.514.5
Primary dealers17.738.4

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$84,699,558,400
Sold$32,630,737,400
Competitive bids accepted$25,792,767,000
Non-competitive bids accepted$207,242,100
Federal Reserve (SOMA) add-on$6,630,728,300
Foreign and international (FIMA) non-competitive$0
High yield, %0.920
Median rate, %0.900
Low rate, %0.800
Interest rate (coupon), %0.875
Bids at the high rate filled, %84.57
Bid-to-cover ratio3.00
Indirect bidders accepted$12,841,172,000
Direct bidders accepted$8,387,350,000
Primary dealers accepted$4,564,245,000
Indirect bidders' share, % (ours)49.8
Direct bidders' share, % (ours)32.5
Primary dealers' share, % (ours)17.7
High minus median, basis points (ours)2.0
Treasury par yield curve, 2-year point, same day, %0.92
High yield minus that point, basis points (ours)0.0

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 ratio3.00Last 24 auctions20 of 244 of 243.30
Bid-to-cover ratio3.00Since 23 April 200869 of 9222 of 923.28
Bid-to-cover ratio3.00All 191 since 27 October 199975 of 191115 of 1912.69
High yield0.920Last 24 auctions2 of 2422 of 240.543
High yield0.920Since 23 April 200824 of 9268 of 920.543
High yield0.920All 425 since 23 January 1980357 of 42568 of 4255.140
Indirect bidders' share49.8Last 24 auctions3 of 2421 of 2439.0
Indirect bidders' share49.8All 92 since 23 April 20087 of 9285 of 9234.0
Direct bidders' share32.5Last 24 auctions0 of 2424 of 2416.2
Direct bidders' share32.5All 92 since 23 April 20081 of 9291 of 9214.4
Primary dealers' share17.7Last 24 auctions24 of 240 of 2444.7
Primary dealers' share17.7All 92 since 23 April 200892 of 920 of 9251.3
High minus median, basis points2.0Last 24 auctions16 of 246 of 242.3
High minus median, basis points2.0Since 23 April 200855 of 9229 of 922.4
High minus median, basis points2.0All 425 since 23 January 1980189 of 425171 of 4252.0

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 May 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160524_3.pdf. Compiled by 500metrics, "2-year note auction of 24 May 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-05-24.

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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