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2-year note auction of 28 August 2017 (new issue)

The 2-year note sold $26.815 billion at a high yield of 1.345% on , with a bid-to-cover ratio of 2.86.

Coupon
1.250%
Announced
Issued
Matures

High yield

1.345%

Median yield 1.300%

Bid-to-cover

2.86

▼ −0.20 since 25 Jul

Sold

$26.81 billion

$26 billion offered

Indirect bidders

45.8%

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 25 March 2014 to 28 August 2017; the latest at 1.345%.0.0%0.5%1.0%1.5%2014201520162017This auction, 1.345%High yield at the last 36 2-year note auctions36 auctions from 25 March 2014 to 28 August 2017; the latest at 1.345%.0.5%0.8%1.0%1.3%1.5%2015201620171.345%

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
1.3452.86
1.3953.06
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.862.733 of 129 of 12
High yield1.3451.2202 of 1210 of 12
Indirect bidders' share45.847.37 of 125 of 12
Direct bidders' share12.612.96 of 126 of 12
Primary dealers' share41.638.86 of 126 of 12
High minus median, basis points4.54.46 of 126 of 12

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

Who bought the 2-year note?

Indirect bidders took 45.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 July 2017

Indirect bidders took 45.8% of the competitive bids acceptedIndirect bidders 45.8%, Direct bidders 12.6%, Primary dealers 41.6%Indirect bidders45.8%58.5%Direct bidders12.6%16.9%Primary dealers41.6%24.6%Indirect bidders took 45.8% of the competitive bids acceptedIndirect bidders 45.8%, Direct bidders 12.6%, Primary dealers 41.6%Indirect bidders45.8%58.5%Direct bidders12.6%16.9%Primary dealers41.6%24.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders45.858.5
Direct bidders12.616.9
Primary dealers41.624.6

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$75,080,634,800
Sold$26,814,999,800
Competitive bids accepted$25,788,640,000
Non-competitive bids accepted$111,428,700
Federal Reserve (SOMA) add-on$814,931,100
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %1.345
Median rate, %1.300
Low rate, %1.188
Interest rate (coupon), %1.250
Bids at the high rate filled, %1.69
Bid-to-cover ratio2.86
Indirect bidders accepted$11,810,500,000
Direct bidders accepted$3,240,000,000
Primary dealers accepted$10,738,140,000
Indirect bidders' share, % (ours)45.8
Direct bidders' share, % (ours)12.6
Primary dealers' share, % (ours)41.6
High minus median, basis points (ours)4.5
Treasury par yield curve, 2-year point, same day, %1.33
High yield minus that point, basis points (ours)1.5

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 ratio2.86Last 24 auctions11 of 2413 of 242.82
Bid-to-cover ratio2.86Since 23 April 200878 of 10628 of 1063.20
Bid-to-cover ratio2.86All 205 since 27 October 199987 of 205117 of 2052.69
High yield1.345Last 24 auctions2 of 2422 of 240.868
High yield1.345Since 23 April 20089 of 10697 of 1060.669
High yield1.345All 439 since 23 January 1980340 of 43999 of 4395.017
Indirect bidders' share45.8Last 24 auctions15 of 249 of 2447.4
Indirect bidders' share45.8All 106 since 23 April 200821 of 10685 of 10634.7
Direct bidders' share12.6Last 24 auctions15 of 249 of 2414.6
Direct bidders' share12.6All 106 since 23 April 200861 of 10645 of 10614.1
Primary dealers' share41.6Last 24 auctions8 of 2416 of 2436.6
Primary dealers' share41.6All 106 since 23 April 200883 of 10623 of 10650.2
High minus median, basis points4.5Last 24 auctions7 of 2416 of 243.8
High minus median, basis points4.5Since 23 April 200819 of 10686 of 1062.6
High minus median, basis points4.5All 439 since 23 January 198045 of 439390 of 4392.0

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 28 August 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170828_1.pdf. Compiled by 500metrics, "2-year note auction of 28 August 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2017-08-28.

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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