500metrics

All sources checked Checked

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

The 2-year note sold $29.234 billion at a high yield of 1.462% on , with a bid-to-cover ratio of 2.88.

Coupon
1.375%
Announced
Issued
Matures

High yield

1.462%

Median yield 1.439%

Bid-to-cover

2.88

▲ +0.02 since 28 Aug

Sold

$29.23 billion

$26 billion offered

Indirect bidders

44.2%

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 22 April 2014 to 26 September 2017; the latest at 1.462%.0.0%0.5%1.0%1.5%2014201520162017This auction, 1.462%The high yield was the highest for a 2-year note since 28 October 200836 auctions from 22 April 2014 to 26 September 2017; the latest at 1.462%.0.5%0.8%1.0%1.3%1.5%2015201620171.462%

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
1.4622.88
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.882.783 of 129 of 12
High yield1.4621.2460 of 1212 of 12
Indirect bidders' share44.247.38 of 124 of 12
Direct bidders' share19.013.02 of 1210 of 12
Primary dealers' share36.838.66 of 126 of 12
High minus median, basis points2.34.612 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year note since 24 May 2016 (14 auctions in between).

Who bought the 2-year note?

Indirect bidders took 44.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 28 August 2017

Indirect bidders took 44.2% of the competitive bids acceptedIndirect bidders 44.2%, Direct bidders 19.0%, Primary dealers 36.8%Indirect bidders44.2%45.8%Direct bidders19.0%12.6%Primary dealers36.8%41.6%Indirect bidders took 44.2% of the competitive bids acceptedIndirect bidders 44.2%, Direct bidders 19.0%, Primary dealers 36.8%Indirect bidders44.2%45.8%Direct bidders19.0%12.6%Primary dealers36.8%41.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders44.245.8
Direct bidders19.012.6
Primary dealers36.841.6

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$78,104,691,500
Sold$29,234,491,500
Competitive bids accepted$25,781,600,000
Non-competitive bids accepted$118,659,600
Federal Reserve (SOMA) add-on$3,234,231,900
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %1.462
Median rate, %1.439
Low rate, %1.345
Interest rate (coupon), %1.375
Bids at the high rate filled, %45.60
Bid-to-cover ratio2.88
Indirect bidders accepted$11,383,200,000
Direct bidders accepted$4,907,600,000
Primary dealers accepted$9,490,800,000
Indirect bidders' share, % (ours)44.2
Direct bidders' share, % (ours)19.0
Primary dealers' share, % (ours)36.8
High minus median, basis points (ours)2.3
Treasury par yield curve, 2-year point, same day, %1.45
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 ratio2.88Last 24 auctions10 of 2414 of 242.82
Bid-to-cover ratio2.88Since 23 April 200878 of 10729 of 1073.19
Bid-to-cover ratio2.88All 206 since 27 October 199987 of 206119 of 2062.70
High yield1.462Last 24 auctions0 of 2424 of 240.898
High yield1.462Since 23 April 20087 of 107100 of 1070.673
High yield1.462All 440 since 23 January 1980338 of 440102 of 4405.013
Indirect bidders' share44.2Last 24 auctions17 of 247 of 2447.2
Indirect bidders' share44.2All 107 since 23 April 200827 of 10780 of 10734.8
Direct bidders' share19.0Last 24 auctions4 of 2420 of 2414.6
Direct bidders' share19.0All 107 since 23 April 200829 of 10778 of 10713.8
Primary dealers' share36.8Last 24 auctions12 of 2412 of 2436.6
Primary dealers' share36.8All 107 since 23 April 200892 of 10715 of 10750.2
High minus median, basis points2.3Last 24 auctions23 of 241 of 243.8
High minus median, basis points2.3Since 23 April 200860 of 10743 of 1072.6
High minus median, basis points2.3All 440 since 23 January 1980177 of 440257 of 4402.0

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 September 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170926_2.pdf. Compiled by 500metrics, "2-year note auction of 26 September 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2017-09-26.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.