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2-year note auction of 25 July 2016 (new issue)

The 2-year note sold $27.816 billion at a high yield of 0.760% on , with a bid-to-cover ratio of 2.52.

Coupon
0.750%
Announced
Issued
Matures

High yield

0.760%

Median yield 0.727%

Bid-to-cover

2.52

▼ −0.20 since 20 Jun

Sold

$27.82 billion

$26 billion offered

Indirect bidders

29.9%

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 26 March 2013 to 25 July 2016; the latest at 0.760%.0.0%0.3%0.5%0.8%1.0%1.3%2013201420152016This auction, 0.760%High yield at the last 36 2-year note auctions36 auctions from 26 March 2013 to 25 July 2016; the latest at 0.760%.0.2%0.4%0.6%0.8%1.0%1.2%2014201520160.760%

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
0.7602.52
0.7452.72
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.523.0812 of 120 of 12
High yield0.7600.7946 of 126 of 12
Indirect bidders' share29.947.412 of 120 of 12
Direct bidders' share10.314.910 of 122 of 12
Primary dealers' share59.836.60 of 1212 of 12
High minus median, basis points3.33.67 of 125 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 (85 auctions in between).
  • Indirect bidders' share: Lowest for a 2-year note since 28 July 2014 (18 auctions in between).
  • Primary dealers' share: Highest for a 2-year note since 28 May 2013 (32 auctions in between).

Who bought the 2-year note?

Primary dealers took 59.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 20 June 2016

Primary dealers took 59.8% of the competitive bids acceptedIndirect bidders 29.9%, Direct bidders 10.3%, Primary dealers 59.8%Indirect bidders29.9%47.4%Direct bidders10.3%9.9%Primary dealers59.8%42.7%Primary dealers took 59.8% of the competitive bids acceptedIndirect bidders 29.9%, Direct bidders 10.3%, Primary dealers 59.8%Indirect bidders29.9%47.4%Direct bidders10.3%9.9%Primary dealers59.8%42.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders29.947.4
Direct bidders10.39.9
Primary dealers59.842.7

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$67,342,881,100
Sold$27,815,841,100
Competitive bids accepted$25,827,210,000
Non-competitive bids accepted$172,949,100
Federal Reserve (SOMA) add-on$1,815,682,000
Foreign and international (FIMA) non-competitive$0
High yield, %0.760
Median rate, %0.727
Low rate, %0.600
Interest rate (coupon), %0.750
Bids at the high rate filled, %97.06
Bid-to-cover ratio2.52
Indirect bidders accepted$7,716,250,000
Direct bidders accepted$2,668,000,000
Primary dealers accepted$15,442,960,000
Indirect bidders' share, % (ours)29.9
Direct bidders' share, % (ours)10.3
Primary dealers' share, % (ours)59.8
High minus median, basis points (ours)3.3
Treasury par yield curve, 2-year point, same day, %0.72
High yield minus that point, basis points (ours)4.0

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 ratio2.52Last 24 auctions24 of 240 of 243.26
Bid-to-cover ratio2.52Since 23 April 200886 of 948 of 943.25
Bid-to-cover ratio2.52All 193 since 27 October 1999115 of 19377 of 1932.69
High yield0.760Last 24 auctions6 of 2418 of 240.594
High yield0.760Since 23 April 200833 of 9461 of 940.552
High yield0.760All 427 since 23 January 1980366 of 42761 of 4275.130
Indirect bidders' share29.9Last 24 auctions20 of 244 of 2440.9
Indirect bidders' share29.9All 94 since 23 April 200864 of 9430 of 9434.3
Direct bidders' share10.3Last 24 auctions21 of 243 of 2416.1
Direct bidders' share10.3All 94 since 23 April 200863 of 9431 of 9414.4
Primary dealers' share59.8Last 24 auctions0 of 2424 of 2442.7
Primary dealers' share59.8All 94 since 23 April 200819 of 9475 of 9450.9
High minus median, basis points3.3Last 24 auctions7 of 2417 of 242.4
High minus median, basis points3.3Since 23 April 200829 of 9464 of 942.4
High minus median, basis points3.3All 427 since 23 January 198083 of 427343 of 4272.0

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 25 July 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160725_3.pdf. Compiled by 500metrics, "2-year note auction of 25 July 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-07-25.

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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