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2-year note auction of 28 December 2020 (new issue)

The 2-year note sold $66.824 billion at a high yield of 0.137% on , with a bid-to-cover ratio of 2.45.

Coupon
0.125%
Announced
Issued
Matures

High yield

0.137%

Median yield 0.110%

Bid-to-cover

2.45

▼ −0.26 since 23 Nov

Sold

$66.82 billion

$58 billion offered

Indirect bidders

49.2%

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 27 November 2017 to 28 December 2020; the latest at 0.137%.0.0%1.0%2.0%3.0%201820192020This auction, 0.137%High yield at the last 36 2-year note auctions36 auctions from 27 November 2017 to 28 December 2020; the latest at 0.137%.0.0%1.0%2.0%3.0%201920200.137%

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
0.1372.45
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.452.466 of 125 of 12
High yield0.1370.18611 of 121 of 12
Indirect bidders' share49.252.27 of 125 of 12
Direct bidders' share17.515.23 of 129 of 12
Primary dealers' share33.332.25 of 127 of 12
High minus median, basis points2.73.410 of 122 of 12

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

Who bought the 2-year note?

Indirect bidders took 49.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 23 November 2020

Indirect bidders took 49.2% of the competitive bids acceptedIndirect bidders 49.2%, Direct bidders 17.5%, Primary dealers 33.3%Indirect bidders49.2%46.0%Direct bidders17.5%15.7%Primary dealers33.3%38.3%Indirect bidders took 49.2% of the competitive bids acceptedIndirect bidders 49.2%, Direct bidders 17.5%, Primary dealers 33.3%Indirect bidders49.2%46.0%Direct bidders17.5%15.7%Primary dealers33.3%38.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.246.0
Direct bidders17.515.7
Primary dealers33.338.3

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$58,000,000,000
Bids received$151,105,026,600
Sold$66,824,414,100
Competitive bids accepted$57,875,597,500
Non-competitive bids accepted$124,453,800
Federal Reserve (SOMA) add-on$8,824,362,800
Foreign and international (FIMA) non-competitive$0
High yield, %0.137
Median rate, %0.110
Low rate, %0.050
Interest rate (coupon), %0.125
Bids at the high rate filled, %69.37
Bid-to-cover ratio2.45
Indirect bidders accepted$28,483,965,000
Direct bidders accepted$10,130,000,000
Primary dealers accepted$19,261,632,500
Indirect bidders' share, % (ours)49.2
Direct bidders' share, % (ours)17.5
Primary dealers' share, % (ours)33.3
High minus median, basis points (ours)2.7
Treasury par yield curve, 2-year point, same day, %0.13
High yield minus that point, basis points (ours)0.7

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 ratio2.45Last 24 auctions17 of 246 of 242.59
Bid-to-cover ratio2.45Since 23 April 2008127 of 14315 of 1433.03
Bid-to-cover ratio2.45All 242 since 27 October 1999160 of 24281 of 2422.69
High yield0.137Last 24 auctions23 of 241 of 241.555
High yield0.137Since 23 April 2008142 of 1431 of 1430.760
High yield0.137All 476 since 23 January 1980475 of 4761 of 4764.691
Indirect bidders' share49.2Last 24 auctions11 of 2413 of 2448.8
Indirect bidders' share49.2All 143 since 23 April 200826 of 143117 of 14339.0
Direct bidders' share17.5Last 24 auctions11 of 2413 of 2416.3
Direct bidders' share17.5All 143 since 23 April 200847 of 14396 of 14314.6
Primary dealers' share33.3Last 24 auctions9 of 2415 of 2432.1
Primary dealers' share33.3All 143 since 23 April 2008116 of 14327 of 14346.4
High minus median, basis points2.7Last 24 auctions13 of 249 of 243.0
High minus median, basis points2.7Since 23 April 200873 of 14368 of 1432.8
High minus median, basis points2.7All 476 since 23 January 1980171 of 476300 of 4762.0

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 December 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20201228_2.pdf. Compiled by 500metrics, "2-year note auction of 28 December 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2020-12-28.

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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