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2-year note auction of 24 January 2017 (new issue)

The 2-year note sold $27.649 billion at a high yield of 1.210% on , with a bid-to-cover ratio of 2.68.

Coupon
1.125%
Announced
Issued
Matures

High yield

1.210%

Median yield 1.150%

Bid-to-cover

2.68

▲ +0.24 since 27 Dec

Sold

$27.65 billion

$26 billion offered

Indirect bidders

48.8%

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 24 September 2013 to 24 January 2017; the latest at 1.210%.0.3%0.5%0.8%1.0%1.3%1.5%20132014201520162017This auction, 1.210%High yield at the last 36 2-year note auctions36 auctions from 24 September 2013 to 24 January 2017; the latest at 1.210%.0.3%0.5%0.8%1.0%1.3%1.5%2015201620171.210%

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
1.2102.68
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.682.686 of 126 of 12
High yield1.2100.8581 of 1211 of 12
Indirect bidders' share48.841.72 of 1210 of 12
Direct bidders' share9.314.011 of 121 of 12
Primary dealers' share41.940.56 of 126 of 12
High minus median, basis points6.03.20 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 24 February 2009 (89 auctions in between).

Who bought the 2-year note?

Indirect bidders took 48.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 December 2016

Indirect bidders took 48.8% of the competitive bids acceptedIndirect bidders 48.8%, Direct bidders 9.3%, Primary dealers 41.9%Indirect bidders48.8%32.7%Direct bidders9.3%9.3%Primary dealers41.9%58.0%Indirect bidders took 48.8% of the competitive bids acceptedIndirect bidders 48.8%, Direct bidders 9.3%, Primary dealers 41.9%Indirect bidders48.8%32.7%Direct bidders9.3%9.3%Primary dealers41.9%58.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders48.832.7
Direct bidders9.39.3
Primary dealers41.958.0

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$71,385,481,500
Sold$27,648,852,500
Competitive bids accepted$25,846,671,000
Non-competitive bids accepted$153,408,800
Federal Reserve (SOMA) add-on$1,648,772,700
Foreign and international (FIMA) non-competitive$0
High yield, %1.210
Median rate, %1.150
Low rate, %0.888
Interest rate (coupon), %1.125
Bids at the high rate filled, %62.71
Bid-to-cover ratio2.68
Indirect bidders accepted$12,618,471,000
Direct bidders accepted$2,406,100,000
Primary dealers accepted$10,822,100,000
Indirect bidders' share, % (ours)48.8
Direct bidders' share, % (ours)9.3
Primary dealers' share, % (ours)41.9
High minus median, basis points (ours)6.0
Treasury par yield curve, 2-year point, same day, %1.21
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 ratio2.68Last 24 auctions18 of 246 of 243.06
Bid-to-cover ratio2.68Since 23 April 200883 of 10016 of 1003.22
Bid-to-cover ratio2.68All 199 since 27 October 1999102 of 19996 of 1992.69
High yield1.210Last 24 auctions1 of 2423 of 240.748
High yield1.210Since 23 April 20089 of 10091 of 1000.600
High yield1.210All 433 since 23 January 1980341 of 43392 of 4335.120
Indirect bidders' share48.8Last 24 auctions4 of 2420 of 2443.3
Indirect bidders' share48.8All 100 since 23 April 20089 of 10091 of 10034.3
Direct bidders' share9.3Last 24 auctions22 of 242 of 2414.6
Direct bidders' share9.3All 100 since 23 April 200872 of 10028 of 10014.1
Primary dealers' share41.9Last 24 auctions13 of 2411 of 2442.7
Primary dealers' share41.9All 100 since 23 April 200882 of 10018 of 10050.9
High minus median, basis points6.0Last 24 auctions0 of 2424 of 243.0
High minus median, basis points6.0Since 23 April 20084 of 10096 of 1002.5
High minus median, basis points6.0All 433 since 23 January 19809 of 433420 of 4332.0

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 24 January 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170124_2.pdf. Compiled by 500metrics, "2-year note auction of 24 January 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2017-01-24.

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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