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2-year note auction of 24 March 2009 (new issue)

The 2-year note sold $41.896 billion at a high yield of 0.949% on , with a bid-to-cover ratio of 2.71.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.949%

Median yield 0.900%

Bid-to-cover

2.71

▲ +0.08 since 24 Feb

Sold

$41.90 billion

$40 billion offered

Indirect bidders

53.1%

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 April 2006 to 24 March 2009; the latest at 0.949%.0.0%2.0%4.0%6.0%2006200720082009This auction, 0.949%High yield at the last 36 2-year note auctions36 auctions from 26 April 2006 to 24 March 2009; the latest at 0.949%.0.0%1.0%2.0%3.0%4.0%5.0%2007200820090.949%

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
0.9492.71
0.9612.63
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.712.350 of 1212 of 12
High yield0.9491.93810 of 122 of 12
Indirect bidders' share53.130.40 of 1111 of 11
Direct bidders' share2.21.13 of 118 of 11
Primary dealers' share44.765.811 of 110 of 11
High minus median, basis points4.95.08 of 124 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 (16 auctions in between).

Who bought the 2-year note?

Indirect bidders took 53.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 24 February 2009

Indirect bidders took 53.1% of the competitive bids acceptedIndirect bidders 53.1%, Direct bidders 2.2%, Primary dealers 44.7%Indirect bidders53.1%28.1%Direct bidders2.2%3.3%Primary dealers44.7%68.6%Indirect bidders took 53.1% of the competitive bids acceptedIndirect bidders 53.1%, Direct bidders 2.2%, Primary dealers 44.7%Indirect bidders53.1%28.1%Direct bidders2.2%3.3%Primary dealers44.7%68.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders53.128.1
Direct bidders2.23.3
Primary dealers44.768.6

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$110,173,315,800
Sold$41,896,075,800
Competitive bids accepted$39,545,860,000
Non-competitive bids accepted$454,231,200
Federal Reserve (SOMA) add-on$1,895,984,600
Foreign and international (FIMA) non-competitive$0
High yield, %0.949
Median rate, %0.900
Low rate, %0.842
Interest rate (coupon), %0.875
Bids at the high rate filled, %41.80
Bid-to-cover ratio2.71
Indirect bidders accepted$21,010,560,000
Direct bidders accepted$875,500,000
Primary dealers accepted$17,659,800,000
Indirect bidders' share, % (ours)53.1
Direct bidders' share, % (ours)2.2
Primary dealers' share, % (ours)44.7
High minus median, basis points (ours)4.9
Treasury par yield curve, 2-year point, same day, %0.93
High yield minus that point, basis points (ours)1.9

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 auctions6 of 2418 of 242.46
Bid-to-cover ratio2.71Since 23 April 20080 of 1111 of 112.28
Bid-to-cover ratio2.71All 110 since 27 October 199914 of 11096 of 1102.26
High yield0.949Last 24 auctions22 of 242 of 242.730
High yield0.949Since 23 April 20089 of 112 of 112.115
High yield0.949All 344 since 23 January 1980342 of 3442 of 3446.000
Indirect bidders' share53.1All 11 since 23 April 20080 of 1111 of 1130.4
Direct bidders' share2.2All 11 since 23 April 20083 of 118 of 111.1
Primary dealers' share44.7All 11 since 23 April 200811 of 110 of 1165.8
High minus median, basis points4.9Last 24 auctions8 of 2416 of 243.0
High minus median, basis points4.9Since 23 April 20088 of 113 of 115.0
High minus median, basis points4.9All 344 since 23 January 198031 of 344311 of 3442.0

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 March 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20090324_2.pdf. Compiled by 500metrics, "2-year note auction of 24 March 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-03-24.

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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