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2-year note auction of 27 December 2016 (new issue)

The 2-year note sold $29.457 billion at a high yield of 1.280% on , with a bid-to-cover ratio of 2.44.

Coupon
1.250%
Announced
Issued
Matures

High yield

1.280%

Median yield 1.252%

Bid-to-cover

2.44

▼ −0.29 since 21 Nov

Sold

$29.46 billion

$26 billion offered

Indirect bidders

32.7%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 28 October 2008

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 28 October 200836 auctions from 27 August 2013 to 27 December 2016; the latest at 1.280%.0.3%0.5%0.8%1.0%1.3%1.5%2013201420152016This auction, 1.280%The high yield was the highest for a 2-year note since 28 October 200836 auctions from 27 August 2013 to 27 December 2016; the latest at 1.280%.0.3%0.5%0.8%1.0%1.3%1.5%2014201520161.280%

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
1.2802.44
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.442.7212 of 120 of 12
High yield1.2800.8580 of 1212 of 12
Indirect bidders' share32.745.811 of 121 of 12
Direct bidders' share9.314.812 of 120 of 12
Primary dealers' share58.037.91 of 1211 of 12
High minus median, basis points2.83.48 of 124 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 (90 auctions in between).
  • Direct bidders' share: Lowest for a 2-year note since 28 January 2015 (17 auctions in between).

Who bought the 2-year note?

Primary dealers took 58.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 21 November 2016

Primary dealers took 58.0% of the competitive bids acceptedIndirect bidders 32.7%, Direct bidders 9.3%, Primary dealers 58.0%Indirect bidders32.7%35.8%Direct bidders9.3%13.4%Primary dealers58.0%50.8%Primary dealers took 58.0% of the competitive bids acceptedIndirect bidders 32.7%, Direct bidders 9.3%, Primary dealers 58.0%Indirect bidders32.7%35.8%Direct bidders9.3%13.4%Primary dealers58.0%50.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders32.735.8
Direct bidders9.313.4
Primary dealers58.050.8

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$66,805,516,400
Sold$29,457,404,400
Competitive bids accepted$25,826,223,000
Non-competitive bids accepted$173,824,400
Federal Reserve (SOMA) add-on$3,457,357,000
Foreign and international (FIMA) non-competitive$0
High yield, %1.280
Median rate, %1.252
Low rate, %1.100
Interest rate (coupon), %1.250
Bids at the high rate filled, %53.92
Bid-to-cover ratio2.44
Indirect bidders accepted$8,454,935,000
Direct bidders accepted$2,394,440,000
Primary dealers accepted$14,976,848,000
Indirect bidders' share, % (ours)32.7
Direct bidders' share, % (ours)9.3
Primary dealers' share, % (ours)58.0
High minus median, basis points (ours)2.8
Treasury par yield curve, 2-year point, same day, %1.28
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 ratio2.44Last 24 auctions24 of 240 of 243.13
Bid-to-cover ratio2.44Since 23 April 200892 of 997 of 993.22
Bid-to-cover ratio2.44All 198 since 27 October 1999125 of 19872 of 1982.69
High yield1.280Last 24 auctions0 of 2424 of 240.724
High yield1.280Since 23 April 20087 of 9992 of 990.598
High yield1.280All 432 since 23 January 1980339 of 43293 of 4325.122
Indirect bidders' share32.7Last 24 auctions22 of 242 of 2443.3
Indirect bidders' share32.7All 99 since 23 April 200859 of 9940 of 9934.3
Direct bidders' share9.3Last 24 auctions23 of 241 of 2414.6
Direct bidders' share9.3All 99 since 23 April 200872 of 9927 of 9914.3
Primary dealers' share58.0Last 24 auctions2 of 2422 of 2442.7
Primary dealers' share58.0All 99 since 23 April 200825 of 9974 of 9950.8
High minus median, basis points2.8Last 24 auctions13 of 2411 of 243.0
High minus median, basis points2.8Since 23 April 200843 of 9956 of 992.5
High minus median, basis points2.8All 432 since 23 January 1980139 of 432291 of 4322.0

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 27 December 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161227_4.pdf. Compiled by 500metrics, "2-year note auction of 27 December 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2016-12-27.

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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