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2-year note auction of 21 November 2016 (new issue)

The 2-year note sold $28.767 billion at a high yield of 1.085% on , with a bid-to-cover ratio of 2.73.

Coupon
1.000%
Announced
Issued
Matures

High yield

1.085%

Median yield 1.050%

Bid-to-cover

2.73

▲ +0.20 since 25 Oct

Sold

$28.77 billion

$26 billion offered

Indirect bidders

35.8%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 28 December 2009

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 28 December 200936 auctions from 23 July 2013 to 21 November 2016; the latest at 1.085%.0.2%0.4%0.6%0.8%1.0%1.2%2013201420152016This auction, 1.085%The high yield was the highest for a 2-year note since 28 December 200936 auctions from 23 July 2013 to 21 November 2016; the latest at 1.085%.0.4%0.6%0.8%1.0%1.2%2014201520161.085%

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
1.0852.73
0.8552.53
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.732.766 of 126 of 12
High yield1.0850.8480 of 1212 of 12
Indirect bidders' share35.846.510 of 122 of 12
Direct bidders' share13.416.58 of 124 of 12
Primary dealers' share50.836.42 of 1210 of 12
High minus median, basis points3.53.56 of 126 of 12

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

Who bought the 2-year note?

Primary dealers took 50.8% of the competitive bids accepted

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

Primary dealers took 50.8% of the competitive bids acceptedIndirect bidders 35.8%, Direct bidders 13.4%, Primary dealers 50.8%Indirect bidders35.8%33.7%Direct bidders13.4%10.1%Primary dealers50.8%56.2%Primary dealers took 50.8% of the competitive bids acceptedIndirect bidders 35.8%, Direct bidders 13.4%, Primary dealers 50.8%Indirect bidders35.8%33.7%Direct bidders13.4%10.1%Primary dealers50.8%56.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders35.833.7
Direct bidders13.410.1
Primary dealers50.856.2

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$73,811,483,400
Sold$28,767,455,900
Competitive bids accepted$25,845,402,500
Non-competitive bids accepted$154,824,700
Federal Reserve (SOMA) add-on$2,767,228,700
Foreign and international (FIMA) non-competitive$0
High yield, %1.085
Median rate, %1.050
Low rate, %0.888
Interest rate (coupon), %1.000
Bids at the high rate filled, %44.73
Bid-to-cover ratio2.73
Indirect bidders accepted$9,252,212,500
Direct bidders accepted$3,471,600,000
Primary dealers accepted$13,121,590,000
Indirect bidders' share, % (ours)35.8
Direct bidders' share, % (ours)13.4
Primary dealers' share, % (ours)50.8
High minus median, basis points (ours)3.5
Treasury par yield curve, 2-year point, same day, %1.08
High yield minus that point, basis points (ours)0.5

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 ratio2.73Last 24 auctions18 of 246 of 243.18
Bid-to-cover ratio2.73Since 23 April 200878 of 9820 of 983.22
Bid-to-cover ratio2.73All 197 since 27 October 199992 of 197105 of 1972.69
High yield1.085Last 24 auctions0 of 2424 of 240.698
High yield1.085Since 23 April 200811 of 9887 of 980.594
High yield1.085All 431 since 23 January 1980344 of 43187 of 4315.125
Indirect bidders' share35.8Last 24 auctions19 of 245 of 2443.3
Indirect bidders' share35.8All 98 since 23 April 200842 of 9856 of 9834.3
Direct bidders' share13.4Last 24 auctions16 of 248 of 2414.9
Direct bidders' share13.4All 98 since 23 April 200853 of 9845 of 9814.4
Primary dealers' share50.8Last 24 auctions4 of 2420 of 2442.7
Primary dealers' share50.8All 98 since 23 April 200850 of 9848 of 9850.9
High minus median, basis points3.5Last 24 auctions7 of 2416 of 242.8
High minus median, basis points3.5Since 23 April 200828 of 9868 of 982.5
High minus median, basis points3.5All 431 since 23 January 198078 of 431347 of 4312.0

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 21 November 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161121_3.pdf. Compiled by 500metrics, "2-year note auction of 21 November 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-11-21.

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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