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2-year note auction of 24 November 2008 (new issue)

The 2-year note sold $38.519 billion at a high yield of 1.269% on , with a bid-to-cover ratio of 2.08.

Coupon
1.250%
Announced
Issued
Matures

High yield

1.269%

Median yield 1.185%

Bid-to-cover

2.08

▼ −0.41 since 28 Oct

Sold

$38.52 billion

$36 billion offered

Indirect bidders

34.9%

Of competitive bids accepted

The high yield was the lowest for a 2-year note since 25 June 2003

High yield at each 2-year note auction, %

The high yield was the lowest for a 2-year note since 25 June 200336 auctions from 29 December 2005 to 24 November 2008; the latest at 1.269%.1.0%2.0%3.0%4.0%5.0%6.0%200620072008This auction, 1.269%The high yield was the lowest for a 2-year note since 25 June 200336 auctions from 29 December 2005 to 24 November 2008; the latest at 1.269%.1.0%2.0%3.0%4.0%5.0%200720081.269%

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
1.2692.08
1.6002.49
2.1152.21
2.3802.18
2.8202.42
2.9222.64
2.6402.28
2.2252.21
1.7612.44
2.0452.14
2.2372.33
3.2852.23
3.1592.21
3.7232.86
4.0003.29
4.1153.97
4.7352.59
4.9062.80
4.8862.53
4.6062.93
4.5142.81
4.8303.04
4.9303.03
4.7652.46
4.6923.02
4.8942.91
4.6602.77
4.9212.32
5.0902.03
5.2392.28
4.9332.58
4.9752.05
4.7302.12
4.6892.24
4.4272.11
4.4042.42

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.082.2612 of 120 of 12
High yield1.2692.30812 of 120 of 12
Indirect bidders' share34.929.52 of 75 of 7
Direct bidders' share1.40.91 of 76 of 7
Primary dealers' share63.765.84 of 73 of 7
High minus median, basis points8.43.70 of 1212 of 12

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

  • Bid-to-cover ratio: Lowest for a 2-year note since 26 July 2006 (27 auctions in between).
  • High minus median, basis points: Highest for a 2-year note since 16 December 1981 (316 auctions in between).

Who bought the 2-year note?

Primary dealers took 63.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 28 October 2008

Primary dealers took 63.7% of the competitive bids acceptedIndirect bidders 34.9%, Direct bidders 1.4%, Primary dealers 63.7%Indirect bidders34.9%42.0%Direct bidders1.4%0.1%Primary dealers63.7%57.9%Primary dealers took 63.7% of the competitive bids acceptedIndirect bidders 34.9%, Direct bidders 1.4%, Primary dealers 63.7%Indirect bidders34.9%42.0%Direct bidders1.4%0.1%Primary dealers63.7%57.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders34.942.0
Direct bidders1.40.1
Primary dealers63.757.9

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$36,000,000,000
Bids received$77,353,399,300
Sold$38,518,964,300
Competitive bids accepted$35,568,565,000
Non-competitive bids accepted$431,446,700
Federal Reserve (SOMA) add-on$2,518,952,600
Foreign and international (FIMA) non-competitive$0
High yield, %1.269
Median rate, %1.185
Low rate, %1.034
Interest rate (coupon), %1.250
Bids at the high rate filled, %21.59
Bid-to-cover ratio2.08
Indirect bidders accepted$12,404,000,000
Direct bidders accepted$507,000,000
Primary dealers accepted$22,657,565,000
Indirect bidders' share, % (ours)34.9
Direct bidders' share, % (ours)1.4
Primary dealers' share, % (ours)63.7
High minus median, basis points (ours)8.4
Treasury par yield curve, 2-year point, same day, %1.31
High yield minus that point, basis points (ours)-4.1

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 ratio2.08Last 24 auctions24 of 240 of 242.51
Bid-to-cover ratio2.08Since 23 April 20087 of 70 of 72.28
Bid-to-cover ratio2.08All 106 since 27 October 199977 of 10629 of 1062.26
High yield1.269Last 24 auctions24 of 240 of 243.504
High yield1.269Since 23 April 20087 of 70 of 72.380
High yield1.269All 340 since 23 January 1980339 of 3401 of 3406.018
Indirect bidders' share34.9All 7 since 23 April 20082 of 75 of 729.5
Direct bidders' share1.4All 7 since 23 April 20081 of 76 of 70.9
Primary dealers' share63.7All 7 since 23 April 20084 of 73 of 765.8
High minus median, basis points8.4Last 24 auctions0 of 2424 of 242.5
High minus median, basis points8.4Since 23 April 20080 of 77 of 75.0
High minus median, basis points8.4All 340 since 23 January 19802 of 340338 of 3402.0

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 November 2008. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2008/R_20081124_3.pdf. Compiled by 500metrics, "2-year note auction of 24 November 2008 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2008-11-24.

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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