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2-year note auction of 23 November 2020 (new issue)

The 2-year note sold $63.769 billion at a high yield of 0.165% on , with a bid-to-cover ratio of 2.71.

Coupon
0.125%
Announced
Issued
Matures

High yield

0.165%

Median yield 0.140%

Bid-to-cover

2.71

▲ +0.30 since 27 Oct

Sold

$63.77 billion

$56 billion offered

Indirect bidders

46.0%

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 26 September 2017 to 23 November 2020; the latest at 0.165%.0.0%1.0%2.0%3.0%2017201820192020This auction, 0.165%High yield at the last 36 2-year note auctions36 auctions from 26 September 2017 to 23 November 2020; the latest at 0.165%.0.0%1.0%2.0%3.0%201920200.165%

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
0.1652.71
0.1512.41
0.1362.42
0.1552.78
0.1552.34
0.1932.46
0.1782.68
0.2293.10
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.712.462 of 1210 of 12
High yield0.1650.2118 of 124 of 12
Indirect bidders' share46.052.211 of 121 of 12
Direct bidders' share15.715.25 of 127 of 12
Primary dealers' share38.332.12 of 1210 of 12
High minus median, basis points2.53.411 of 121 of 12

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

Who bought the 2-year note?

Indirect bidders took 46.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 October 2020

Indirect bidders took 46.0% of the competitive bids acceptedIndirect bidders 46.0%, Direct bidders 15.7%, Primary dealers 38.3%Indirect bidders46.0%52.4%Direct bidders15.7%15.6%Primary dealers38.3%32.0%Indirect bidders took 46.0% of the competitive bids acceptedIndirect bidders 46.0%, Direct bidders 15.7%, Primary dealers 38.3%Indirect bidders46.0%52.4%Direct bidders15.7%15.6%Primary dealers38.3%32.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders46.052.4
Direct bidders15.715.6
Primary dealers38.332.0

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$56,000,000,000
Bids received$159,653,756,000
Sold$63,769,185,500
Competitive bids accepted$55,876,965,500
Non-competitive bids accepted$123,356,100
Federal Reserve (SOMA) add-on$7,768,863,900
Foreign and international (FIMA) non-competitive$0
High yield, %0.165
Median rate, %0.140
Low rate, %0.080
Interest rate (coupon), %0.125
Bids at the high rate filled, %97.49
Bid-to-cover ratio2.71
Indirect bidders accepted$25,731,253,000
Direct bidders accepted$8,772,000,000
Primary dealers accepted$21,373,712,500
Indirect bidders' share, % (ours)46.0
Direct bidders' share, % (ours)15.7
Primary dealers' share, % (ours)38.3
High minus median, basis points (ours)2.5
Treasury par yield curve, 2-year point, same day, %0.16
High yield minus that point, basis points (ours)0.5

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 ratio2.71Last 24 auctions3 of 2421 of 242.57
Bid-to-cover ratio2.71Since 23 April 200899 of 14242 of 1423.03
Bid-to-cover ratio2.71All 241 since 27 October 1999113 of 241127 of 2412.69
High yield0.165Last 24 auctions20 of 244 of 241.598
High yield0.165Since 23 April 2008138 of 1424 of 1420.760
High yield0.165All 475 since 23 January 1980471 of 4754 of 4754.692
Indirect bidders' share46.0Last 24 auctions18 of 246 of 2448.8
Indirect bidders' share46.0All 142 since 23 April 200840 of 142102 of 14238.8
Direct bidders' share15.7Last 24 auctions13 of 2411 of 2416.3
Direct bidders' share15.7All 142 since 23 April 200860 of 14282 of 14214.6
Primary dealers' share38.3Last 24 auctions6 of 2418 of 2432.1
Primary dealers' share38.3All 142 since 23 April 2008102 of 14240 of 14246.4
High minus median, basis points2.5Last 24 auctions17 of 245 of 243.0
High minus median, basis points2.5Since 23 April 200881 of 14256 of 1422.8
High minus median, basis points2.5All 475 since 23 January 1980184 of 475277 of 4752.0

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 23 November 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20201123_1.pdf. Compiled by 500metrics, "2-year note auction of 23 November 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2020-11-23.

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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