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2-year note auction of 26 October 2021 (new issue)

The 2-year note sold $66.1 billion at a high yield of 0.481% on , with a bid-to-cover ratio of 2.69.

Coupon
0.375%
Announced
Issued
Matures

High yield

0.481%

Median yield 0.440%

Bid-to-cover

2.69

▲ +0.41 since 27 Sep

Sold

$66.10 billion

$60 billion offered

Indirect bidders

58.1%

Of competitive bids accepted

The high yield was the highest for a 2-year note since 25 February 2020

High yield at each 2-year note auction, %

The high yield was the highest for a 2-year note since 25 February 202036 auctions from 24 September 2018 to 26 October 2021; the latest at 0.481%.0.0%1.0%2.0%3.0%2018201920202021This auction, 0.481%The high yield was the highest for a 2-year note since 25 February 202036 auctions from 24 September 2018 to 26 October 2021; the latest at 0.481%.0.0%0.5%1.0%1.5%2.0%202020210.481%

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
0.4812.69
0.3102.28
0.2422.65
0.2132.47
0.2492.54
0.1522.74
0.1752.34
0.1522.54
0.1192.44
0.1252.67
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.692.502 of 1210 of 12
High yield0.4810.1580 of 1212 of 12
Indirect bidders' share58.151.51 of 1211 of 12
Direct bidders' share22.317.80 of 1212 of 12
Primary dealers' share19.631.311 of 121 of 12
High minus median, basis points4.13.02 of 1210 of 12

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

  • Direct bidders' share: Highest for a 2-year note since 25 November 2019 (22 auctions in between).

Who bought the 2-year note?

Indirect bidders took 58.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 September 2021

Indirect bidders took 58.1% of the competitive bids acceptedIndirect bidders 58.1%, Direct bidders 22.3%, Primary dealers 19.6%Indirect bidders58.1%45.3%Direct bidders22.3%21.7%Primary dealers19.6%33.0%Indirect bidders took 58.1% of the competitive bids acceptedIndirect bidders 58.1%, Direct bidders 22.3%, Primary dealers 19.6%Indirect bidders58.1%45.3%Direct bidders22.3%21.7%Primary dealers19.6%33.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders58.145.3
Direct bidders22.321.7
Primary dealers19.633.0

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$60,000,000,000
Bids received$167,259,789,900
Sold$66,099,945,100
Competitive bids accepted$59,802,980,200
Non-competitive bids accepted$92,019,800
Federal Reserve (SOMA) add-on$6,099,945,100
Foreign and international (FIMA) non-competitive$105,000,000
High yield, %0.481
Median rate, %0.440
Low rate, %0.350
Interest rate (coupon), %0.375
Bids at the high rate filled, %31.04
Bid-to-cover ratio2.69
Indirect bidders accepted$34,771,980,200
Direct bidders accepted$13,337,000,000
Primary dealers accepted$11,694,000,000
Indirect bidders' share, % (ours)58.1
Direct bidders' share, % (ours)22.3
Primary dealers' share, % (ours)19.6
High minus median, basis points (ours)4.1
Treasury par yield curve, 2-year point, same day, %0.47
High yield minus that point, basis points (ours)1.1

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 ratio2.69Last 24 auctions5 of 2419 of 242.50
Bid-to-cover ratio2.69Since 23 April 2008103 of 15349 of 1532.93
Bid-to-cover ratio2.69All 252 since 27 October 1999118 of 252129 of 2522.68
High yield0.481Last 24 auctions5 of 2419 of 240.186
High yield0.481Since 23 April 200895 of 15358 of 1530.738
High yield0.481All 486 since 23 January 1980428 of 48658 of 4864.644
Indirect bidders' share58.1Last 24 auctions1 of 2423 of 2452.2
Indirect bidders' share58.1All 153 since 23 April 20084 of 153149 of 15340.0
Direct bidders' share22.3Last 24 auctions1 of 2423 of 2417.1
Direct bidders' share22.3All 153 since 23 April 200822 of 153131 of 15314.9
Primary dealers' share19.6Last 24 auctions23 of 241 of 2431.5
Primary dealers' share19.6All 153 since 23 April 2008151 of 1532 of 15344.7
High minus median, basis points4.1Last 24 auctions4 of 2420 of 243.2
High minus median, basis points4.1Since 23 April 200831 of 153121 of 1532.8
High minus median, basis points4.1All 486 since 23 January 198063 of 486421 of 4862.1

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 October 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211026_2.pdf. Compiled by 500metrics, "2-year note auction of 26 October 2021 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2021-10-26.

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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