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

The 2-year note sold $29.399 billion at a high yield of 1.922% on , with a bid-to-cover ratio of 2.52.

Coupon
1.875%
Announced
Issued
Matures

High yield

1.922%

Median yield 1.900%

Bid-to-cover

2.52

▼ −0.21 since 27 Nov

Sold

$29.40 billion

$26 billion offered

Indirect bidders

40.0%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 24 September 2008

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 24 September 200836 auctions from 24 June 2014 to 26 December 2017; the latest at 1.922%.0.0%0.5%1.0%1.5%2.0%2014201520162017This auction, 1.922%The high yield was the highest for a 2-year note since 24 September 200836 auctions from 24 June 2014 to 26 December 2017; the latest at 1.922%.0.5%1.0%1.5%2.0%201620171.922%

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
1.9222.52
1.7652.73
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.522.7811 of 121 of 12
High yield1.9221.2980 of 1212 of 12
Indirect bidders' share40.047.39 of 123 of 12
Direct bidders' share14.513.05 of 127 of 12
Primary dealers' share45.539.03 of 129 of 12
High minus median, basis points2.24.211 of 121 of 12

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

Who bought the 2-year note?

Primary dealers took 45.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 November 2017

Primary dealers took 45.5% of the competitive bids acceptedIndirect bidders 40.0%, Direct bidders 14.5%, Primary dealers 45.5%Indirect bidders40.0%41.9%Direct bidders14.5%17.0%Primary dealers45.5%41.2%Primary dealers took 45.5% of the competitive bids acceptedIndirect bidders 40.0%, Direct bidders 14.5%, Primary dealers 45.5%Indirect bidders40.0%41.9%Direct bidders14.5%17.0%Primary dealers45.5%41.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders40.041.9
Direct bidders14.517.0
Primary dealers45.541.2

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$68,792,719,700
Sold$29,398,819,700
Competitive bids accepted$25,727,830,000
Non-competitive bids accepted$172,196,700
Federal Reserve (SOMA) add-on$3,398,793,000
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %1.922
Median rate, %1.900
Low rate, %1.800
Interest rate (coupon), %1.875
Bids at the high rate filled, %82.48
Bid-to-cover ratio2.52
Indirect bidders accepted$10,283,965,000
Direct bidders accepted$3,740,265,000
Primary dealers accepted$11,703,600,000
Indirect bidders' share, % (ours)40.0
Direct bidders' share, % (ours)14.5
Primary dealers' share, % (ours)45.5
High minus median, basis points (ours)2.2
Treasury par yield curve, 2-year point, same day, %1.92
High yield minus that point, basis points (ours)0.2

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 ratio2.52Last 24 auctions22 of 241 of 242.81
Bid-to-cover ratio2.52Since 23 April 200899 of 1099 of 1093.16
Bid-to-cover ratio2.52All 208 since 27 October 1999128 of 20878 of 2082.70
High yield1.922Last 24 auctions0 of 2424 of 241.002
High yield1.922Since 23 April 20086 of 109103 of 1090.690
High yield1.922All 442 since 23 January 1980326 of 442116 of 4425.004
Indirect bidders' share40.0Last 24 auctions18 of 246 of 2447.2
Indirect bidders' share40.0All 109 since 23 April 200836 of 10973 of 10934.8
Direct bidders' share14.5Last 24 auctions12 of 2412 of 2414.8
Direct bidders' share14.5All 109 since 23 April 200852 of 10957 of 10914.3
Primary dealers' share45.5Last 24 auctions4 of 2420 of 2437.0
Primary dealers' share45.5All 109 since 23 April 200872 of 10937 of 10949.8
High minus median, basis points2.2Last 24 auctions22 of 242 of 243.8
High minus median, basis points2.2Since 23 April 200865 of 10941 of 1092.6
High minus median, basis points2.2All 442 since 23 January 1980184 of 442248 of 4422.0

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 December 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20171226_3.pdf. Compiled by 500metrics, "2-year note auction of 26 December 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2017-12-26.

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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