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2-year note auction of 26 September 2016 (new issue)

The 2-year note sold $27.585 billion at a high yield of 0.750% on , with a bid-to-cover ratio of 2.65.

Coupon
0.750%
Announced
Issued
Matures

High yield

0.750%

Median yield 0.725%

Bid-to-cover

2.65

▼ −0.18 since 23 Aug

Sold

$27.59 billion

$26 billion offered

Indirect bidders

36.7%

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 May 2013 to 26 September 2016; the latest at 0.750%.0.2%0.4%0.6%0.8%1.0%1.2%2013201420152016This auction, 0.750%High yield at the last 36 2-year note auctions36 auctions from 28 May 2013 to 26 September 2016; the latest at 0.750%.0.2%0.4%0.6%0.8%1.0%1.2%2014201520160.750%

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
0.7502.65
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.652.869 of 123 of 12
High yield0.7500.8018 of 124 of 12
Indirect bidders' share36.747.211 of 121 of 12
Direct bidders' share19.014.94 of 128 of 12
Primary dealers' share44.436.32 of 1210 of 12
High minus median, basis points2.53.611 of 121 of 12

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

Who bought the 2-year note?

Primary dealers took 44.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 23 August 2016

Primary dealers took 44.4% of the competitive bids acceptedIndirect bidders 36.7%, Direct bidders 19.0%, Primary dealers 44.4%Indirect bidders36.7%45.8%Direct bidders19.0%25.2%Primary dealers44.4%29.0%Primary dealers took 44.4% of the competitive bids acceptedIndirect bidders 36.7%, Direct bidders 19.0%, Primary dealers 44.4%Indirect bidders36.7%45.8%Direct bidders19.0%25.2%Primary dealers44.4%29.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders36.745.8
Direct bidders19.025.2
Primary dealers44.429.0

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$70,549,964,800
Sold$27,585,092,300
Competitive bids accepted$25,825,977,500
Non-competitive bids accepted$174,197,100
Federal Reserve (SOMA) add-on$1,584,917,700
Foreign and international (FIMA) non-competitive$0
High yield, %0.750
Median rate, %0.725
Low rate, %0.650
Interest rate (coupon), %0.750
Bids at the high rate filled, %98.65
Bid-to-cover ratio2.65
Indirect bidders accepted$9,468,490,000
Direct bidders accepted$4,898,250,000
Primary dealers accepted$11,459,237,500
Indirect bidders' share, % (ours)36.7
Direct bidders' share, % (ours)19.0
Primary dealers' share, % (ours)44.4
High minus median, basis points (ours)2.5
Treasury par yield curve, 2-year point, same day, %0.76
High yield minus that point, basis points (ours)-1.0

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 ratio2.65Last 24 auctions21 of 243 of 243.22
Bid-to-cover ratio2.65Since 23 April 200883 of 9613 of 963.23
Bid-to-cover ratio2.65All 195 since 27 October 1999103 of 19592 of 1952.69
High yield0.750Last 24 auctions8 of 2416 of 240.646
High yield0.750Since 23 April 200835 of 9661 of 960.574
High yield0.750All 429 since 23 January 1980368 of 42961 of 4295.130
Indirect bidders' share36.7Last 24 auctions16 of 248 of 2443.3
Indirect bidders' share36.7All 96 since 23 April 200836 of 9660 of 9634.3
Direct bidders' share19.0Last 24 auctions6 of 2418 of 2415.6
Direct bidders' share19.0All 96 since 23 April 200829 of 9667 of 9614.4
Primary dealers' share44.4Last 24 auctions10 of 2414 of 2442.7
Primary dealers' share44.4All 96 since 23 April 200870 of 9626 of 9650.9
High minus median, basis points2.5Last 24 auctions14 of 2410 of 242.8
High minus median, basis points2.5Since 23 April 200846 of 9648 of 962.4
High minus median, basis points2.5All 429 since 23 January 1980149 of 429269 of 4292.0

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 26 September 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160926_3.pdf. Compiled by 500metrics, "2-year note auction of 26 September 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-09-26.

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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