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2-year note auction of 26 June 2017 (new issue)

The 2-year note sold $29.161 billion at a high yield of 1.348% on , with a bid-to-cover ratio of 3.03.

Coupon
1.250%
Announced
Issued
Matures

High yield

1.348%

Median yield 1.300%

Bid-to-cover

3.03

▲ +0.13 since 23 May

Sold

$29.16 billion

$26 billion offered

Indirect bidders

56.6%

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 28 January 2014 to 26 June 2017; the latest at 1.348%.0.0%0.5%1.0%1.5%2014201520162017This auction, 1.348%The high yield was the highest for a 2-year note since 28 October 200836 auctions from 28 January 2014 to 26 June 2017; the latest at 1.348%.0.5%0.8%1.0%1.3%1.5%2015201620171.348%

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
1.3483.03
1.3162.90
1.2612.73
1.2302.82
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.032.720 of 1212 of 12
High yield1.3481.0020 of 1212 of 12
Indirect bidders' share56.646.61 of 1211 of 12
Direct bidders' share18.311.64 of 128 of 12
Primary dealers' share25.042.311 of 121 of 12
High minus median, basis points4.83.84 of 128 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year note since 23 November 2015 (16 auctions in between).

Who bought the 2-year note?

Indirect bidders took 56.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 23 May 2017

Indirect bidders took 56.6% of the competitive bids acceptedIndirect bidders 56.6%, Direct bidders 18.3%, Primary dealers 25.0%Indirect bidders56.6%57.2%Direct bidders18.3%12.4%Primary dealers25.0%30.4%Indirect bidders took 56.6% of the competitive bids acceptedIndirect bidders 56.6%, Direct bidders 18.3%, Primary dealers 25.0%Indirect bidders56.6%57.2%Direct bidders18.3%12.4%Primary dealers25.0%30.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders56.657.2
Direct bidders18.312.4
Primary dealers25.030.4

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$81,965,063,600
Sold$29,160,503,600
Competitive bids accepted$25,723,844,900
Non-competitive bids accepted$176,234,400
Federal Reserve (SOMA) add-on$3,160,424,300
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %1.348
Median rate, %1.300
Low rate, %1.188
Interest rate (coupon), %1.250
Bids at the high rate filled, %14.88
Bid-to-cover ratio3.03
Indirect bidders accepted$14,563,804,900
Direct bidders accepted$4,720,000,000
Primary dealers accepted$6,440,040,000
Indirect bidders' share, % (ours)56.6
Direct bidders' share, % (ours)18.3
Primary dealers' share, % (ours)25.0
High minus median, basis points (ours)4.8
Treasury par yield curve, 2-year point, same day, %1.36
High yield minus that point, basis points (ours)-1.2

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 ratio3.03Last 24 auctions8 of 2416 of 242.82
Bid-to-cover ratio3.03Since 23 April 200867 of 10435 of 1043.20
Bid-to-cover ratio3.03All 203 since 27 October 199971 of 203129 of 2032.69
High yield1.348Last 24 auctions0 of 2424 of 240.848
High yield1.348Since 23 April 20087 of 10497 of 1040.658
High yield1.348All 437 since 23 January 1980338 of 43799 of 4375.068
Indirect bidders' share56.6Last 24 auctions2 of 2422 of 2447.2
Indirect bidders' share56.6All 104 since 23 April 20083 of 104101 of 10434.5
Direct bidders' share18.3Last 24 auctions6 of 2418 of 2414.0
Direct bidders' share18.3All 104 since 23 April 200832 of 10472 of 10413.7
Primary dealers' share25.0Last 24 auctions23 of 241 of 2437.9
Primary dealers' share25.0All 104 since 23 April 2008103 of 1041 of 10450.5
High minus median, basis points4.8Last 24 auctions4 of 2420 of 243.5
High minus median, basis points4.8Since 23 April 200816 of 10488 of 1042.6
High minus median, basis points4.8All 437 since 23 January 198041 of 437395 of 4372.0

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 June 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170626_3.pdf. Compiled by 500metrics, "2-year note auction of 26 June 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2017-06-26.

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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