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2-year note auction of 27 January 2009 (new issue)

The 2-year note sold $41.698 billion at a high yield of 0.925% on , with a bid-to-cover ratio of 2.69.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.925%

Median yield 0.871%

Bid-to-cover

2.69

▲ +0.56 since 22 Dec

Sold

$41.70 billion

$40 billion offered

Indirect bidders

34.6%

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 22 February 2006 to 27 January 2009; the latest at 0.925%.0.0%2.0%4.0%6.0%2006200720082009This auction, 0.925%High yield at the last 36 2-year note auctions36 auctions from 22 February 2006 to 27 January 2009; the latest at 0.925%.0.0%1.0%2.0%3.0%4.0%5.0%2007200820090.925%

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
0.9252.69
0.9222.13
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.692.240 of 1212 of 12
High yield0.9252.17011 of 121 of 12
Indirect bidders' share34.630.43 of 96 of 9
Direct bidders' share2.81.01 of 98 of 9
Primary dealers' share62.565.87 of 92 of 9
High minus median, basis points5.44.43 of 129 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year note since 24 October 2007 (14 auctions in between).

Who bought the 2-year note?

Primary dealers took 62.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 22 December 2008

Primary dealers took 62.5% of the competitive bids acceptedIndirect bidders 34.6%, Direct bidders 2.8%, Primary dealers 62.5%Indirect bidders34.6%30.4%Direct bidders2.8%1.4%Primary dealers62.5%68.2%Primary dealers took 62.5% of the competitive bids acceptedIndirect bidders 34.6%, Direct bidders 2.8%, Primary dealers 62.5%Indirect bidders34.6%30.4%Direct bidders2.8%1.4%Primary dealers62.5%68.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders34.630.4
Direct bidders2.81.4
Primary dealers62.568.2

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$109,336,066,400
Sold$41,697,871,400
Competitive bids accepted$39,578,255,000
Non-competitive bids accepted$421,822,600
Federal Reserve (SOMA) add-on$1,697,793,800
Foreign and international (FIMA) non-competitive$0
High yield, %0.925
Median rate, %0.871
Low rate, %0.783
Interest rate (coupon), %0.875
Bids at the high rate filled, %33.41
Bid-to-cover ratio2.69
Indirect bidders accepted$13,706,860,000
Direct bidders accepted$1,118,000,000
Primary dealers accepted$24,753,395,000
Indirect bidders' share, % (ours)34.6
Direct bidders' share, % (ours)2.8
Primary dealers' share, % (ours)62.5
High minus median, basis points (ours)5.4
Treasury par yield curve, 2-year point, same day, %0.87
High yield minus that point, basis points (ours)5.5

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 ratio2.69Last 24 auctions8 of 2416 of 242.46
Bid-to-cover ratio2.69Since 23 April 20080 of 99 of 92.21
Bid-to-cover ratio2.69All 108 since 27 October 199915 of 10889 of 1082.26
High yield0.925Last 24 auctions23 of 241 of 243.040
High yield0.925Since 23 April 20088 of 91 of 92.225
High yield0.925All 342 since 23 January 1980341 of 3421 of 3426.006
Indirect bidders' share34.6All 9 since 23 April 20083 of 96 of 930.4
Direct bidders' share2.8All 9 since 23 April 20081 of 98 of 91.0
Primary dealers' share62.5All 9 since 23 April 20087 of 92 of 965.8
High minus median, basis points5.4Last 24 auctions3 of 2421 of 242.5
High minus median, basis points5.4Since 23 April 20083 of 96 of 95.0
High minus median, basis points5.4All 342 since 23 January 198014 of 342328 of 3422.0

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 27 January 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20090127_2.pdf. Compiled by 500metrics, "2-year note auction of 27 January 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-01-27.

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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