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2-year note auction of 24 March 2020 (new issue)

The 2-year note sold $45.378 billion at a high yield of 0.398% on , with a bid-to-cover ratio of 2.36.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.398%

Median yield 0.350%

Bid-to-cover

2.36

▼ −0.09 since 25 Feb

Sold

$45.38 billion

$40 billion offered

Indirect bidders

55.2%

Of competitive bids accepted

The high yield was the lowest for a 2-year note since 27 May 2014

High yield at each 2-year note auction, %

The high yield was the lowest for a 2-year note since 27 May 201436 auctions from 27 December 2016 to 24 March 2020; the latest at 0.398%.0.0%1.0%2.0%3.0%2017201820192020This auction, 0.398%The high yield was the lowest for a 2-year note since 27 May 201436 auctions from 27 December 2016 to 24 March 2020; the latest at 0.398%.0.0%1.0%2.0%3.0%2018201920200.398%

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
0.3982.36
1.1882.45
1.4402.65
1.6532.30
1.6012.63
1.5942.70
1.6122.64
1.5162.60
1.8252.50
1.6952.58
2.1252.75
2.5032.50
2.6002.56
2.6192.31
2.8362.65
2.8802.67
2.8292.44
2.6552.89
2.6572.92
2.5382.73
2.5902.88
2.4982.61
2.3102.91
2.2552.72
2.0663.22
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.362.5911 of 121 of 12
High yield0.3981.63212 of 120 of 12
Indirect bidders' share55.247.51 of 1211 of 12
Direct bidders' share8.621.112 of 120 of 12
Primary dealers' share36.230.72 of 1210 of 12
High minus median, basis points4.82.60 of 1212 of 12

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

  • Direct bidders' share: Lowest for a 2-year note since 24 December 2018 (12 auctions in between).
  • High minus median, basis points: Highest for a 2-year note since 25 July 2017 (28 auctions in between).

Who bought the 2-year note?

Indirect bidders took 55.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 25 February 2020

Indirect bidders took 55.2% of the competitive bids acceptedIndirect bidders 55.2%, Direct bidders 8.6%, Primary dealers 36.2%Indirect bidders55.2%46.2%Direct bidders8.6%9.3%Primary dealers36.2%44.5%Indirect bidders took 55.2% of the competitive bids acceptedIndirect bidders 55.2%, Direct bidders 8.6%, Primary dealers 36.2%Indirect bidders55.2%46.2%Direct bidders8.6%9.3%Primary dealers36.2%44.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders55.246.2
Direct bidders8.69.3
Primary dealers36.244.5

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$40,000,000,000
Bids received$99,862,493,700
Sold$45,377,861,200
Competitive bids accepted$39,824,357,500
Non-competitive bids accepted$165,675,300
Federal Reserve (SOMA) add-on$5,377,828,400
Foreign and international (FIMA) non-competitive$10,000,000
High yield, %0.398
Median rate, %0.350
Low rate, %0.080
Interest rate (coupon), %0.375
Bids at the high rate filled, %39.61
Bid-to-cover ratio2.36
Indirect bidders accepted$21,983,747,500
Direct bidders accepted$3,405,000,000
Primary dealers accepted$14,435,610,000
Indirect bidders' share, % (ours)55.2
Direct bidders' share, % (ours)8.6
Primary dealers' share, % (ours)36.2
High minus median, basis points (ours)4.8
Treasury par yield curve, 2-year point, same day, %0.38
High yield minus that point, basis points (ours)1.8

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 ratio2.36Last 24 auctions22 of 242 of 242.64
Bid-to-cover ratio2.36Since 23 April 2008126 of 1348 of 1343.06
Bid-to-cover ratio2.36All 233 since 27 October 1999166 of 23365 of 2332.69
High yield0.398Last 24 auctions24 of 240 of 242.282
High yield0.398Since 23 April 2008102 of 13432 of 1340.822
High yield0.398All 467 since 23 January 1980435 of 46732 of 4674.735
Indirect bidders' share55.2Last 24 auctions2 of 2422 of 2446.2
Indirect bidders' share55.2All 134 since 23 April 20087 of 134127 of 13437.7
Direct bidders' share8.6Last 24 auctions22 of 242 of 2415.6
Direct bidders' share8.6All 134 since 23 April 2008108 of 13426 of 13414.5
Primary dealers' share36.2Last 24 auctions12 of 2412 of 2437.2
Primary dealers' share36.2All 134 since 23 April 2008107 of 13427 of 13447.2
High minus median, basis points4.8Last 24 auctions0 of 2424 of 242.8
High minus median, basis points4.8Since 23 April 200817 of 134116 of 1342.6
High minus median, basis points4.8All 467 since 23 January 198042 of 467423 of 4672.0

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 March 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200324_2.pdf. Compiled by 500metrics, "2-year note auction of 24 March 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2020-03-24.

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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