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2-year note auction of 23 August 2016 (new issue)

The 2-year note sold $27.778 billion at a high yield of 0.760% on , with a bid-to-cover ratio of 2.83.

Coupon
0.750%
Announced
Issued
Matures

High yield

0.760%

Median yield 0.710%

Bid-to-cover

2.83

▲ +0.31 since 25 Jul

Sold

$27.78 billion

$26 billion offered

Indirect bidders

45.8%

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 23 April 2013 to 23 August 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 23 April 2013 to 23 August 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
0.7602.83
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.832.957 of 125 of 12
High yield0.7600.8016 of 125 of 12
Indirect bidders' share45.847.27 of 125 of 12
Direct bidders' share25.214.92 of 1210 of 12
Primary dealers' share29.036.610 of 122 of 12
High minus median, basis points5.03.60 of 1212 of 12

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

  • High minus median, basis points: Highest for a 2-year note since 25 August 2009 (78 auctions in between).

Who bought the 2-year note?

Indirect bidders took 45.8% of the competitive bids accepted

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

Indirect bidders took 45.8% of the competitive bids acceptedIndirect bidders 45.8%, Direct bidders 25.2%, Primary dealers 29.0%Indirect bidders45.8%29.9%Direct bidders25.2%10.3%Primary dealers29.0%59.8%Indirect bidders took 45.8% of the competitive bids acceptedIndirect bidders 45.8%, Direct bidders 25.2%, Primary dealers 29.0%Indirect bidders45.8%29.9%Direct bidders25.2%10.3%Primary dealers29.0%59.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders45.829.9
Direct bidders25.210.3
Primary dealers29.059.8

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$75,379,431,400
Sold$27,778,206,400
Competitive bids accepted$25,821,775,000
Non-competitive bids accepted$178,336,300
Federal Reserve (SOMA) add-on$1,778,095,100
Foreign and international (FIMA) non-competitive$0
High yield, %0.760
Median rate, %0.710
Low rate, %0.650
Interest rate (coupon), %0.750
Bids at the high rate filled, %80.11
Bid-to-cover ratio2.83
Indirect bidders accepted$11,831,165,000
Direct bidders accepted$6,498,400,000
Primary dealers accepted$7,492,210,000
Indirect bidders' share, % (ours)45.8
Direct bidders' share, % (ours)25.2
Primary dealers' share, % (ours)29.0
High minus median, basis points (ours)5.0
Treasury par yield curve, 2-year point, same day, %0.74
High yield minus that point, basis points (ours)2.0

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 ratio2.83Last 24 auctions19 of 245 of 243.22
Bid-to-cover ratio2.83Since 23 April 200875 of 9520 of 953.23
Bid-to-cover ratio2.83All 194 since 27 October 199985 of 194109 of 1942.69
High yield0.760Last 24 auctions6 of 2417 of 240.600
High yield0.760Since 23 April 200833 of 9561 of 950.560
High yield0.760All 428 since 23 January 1980366 of 42861 of 4285.130
Indirect bidders' share45.8Last 24 auctions9 of 2415 of 2440.9
Indirect bidders' share45.8All 95 since 23 April 200814 of 9581 of 9534.3
Direct bidders' share25.2Last 24 auctions3 of 2421 of 2415.6
Direct bidders' share25.2All 95 since 23 April 200813 of 9582 of 9514.3
Primary dealers' share29.0Last 24 auctions22 of 242 of 2442.7
Primary dealers' share29.0All 95 since 23 April 200891 of 954 of 9551.1
High minus median, basis points5.0Last 24 auctions0 of 2424 of 242.6
High minus median, basis points5.0Since 23 April 20087 of 9585 of 952.4
High minus median, basis points5.0All 428 since 23 January 198018 of 428395 of 4282.0

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 August 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160823_2.pdf. Compiled by 500metrics, "2-year note auction of 23 August 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-08-23.

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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