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2-year note auction of 26 May 2009 (new issue)

The 2-year note sold $41.378 billion at a high yield of 0.940% on , with a bid-to-cover ratio of 2.94.

Coupon
0.875%
Announced
Issued
Matures

High yield

0.940%

Median yield 0.910%

Bid-to-cover

2.94

▲ +0.22 since 27 Apr

Sold

$41.38 billion

$40 billion offered

Indirect bidders

54.4%

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 June 2006 to 26 May 2009; the latest at 0.940%.0.0%2.0%4.0%6.0%2006200720082009This auction, 0.940%High yield at the last 36 2-year note auctions36 auctions from 27 June 2006 to 26 May 2009; the latest at 0.940%.0.0%1.0%2.0%3.0%4.0%5.0%2007200820090.940%

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
0.9402.94
0.9492.72
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.942.460 of 1212 of 12
High yield0.9401.43410 of 122 of 12
Indirect bidders' share54.430.00 of 1212 of 12
Direct bidders' share2.31.44 of 128 of 12
Primary dealers' share43.364.712 of 120 of 12
High minus median, basis points3.05.210 of 122 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year note since 26 September 2007 (19 auctions in between).
  • Indirect bidders' share: Highest of all 13 earlier 2-year note auctions we hold.
  • Primary dealers' share: Lowest of all 13 earlier 2-year note auctions we hold.

Who bought the 2-year note?

Indirect bidders took 54.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 27 April 2009

Indirect bidders took 54.4% of the competitive bids acceptedIndirect bidders 54.4%, Direct bidders 2.3%, Primary dealers 43.3%Indirect bidders54.4%28.7%Direct bidders2.3%5.5%Primary dealers43.3%65.8%Indirect bidders took 54.4% of the competitive bids acceptedIndirect bidders 54.4%, Direct bidders 2.3%, Primary dealers 43.3%Indirect bidders54.4%28.7%Direct bidders2.3%5.5%Primary dealers43.3%65.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders54.428.7
Direct bidders2.35.5
Primary dealers43.365.8

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$118,880,957,600
Sold$41,378,485,200
Competitive bids accepted$39,476,822,600
Non-competitive bids accepted$523,288,700
Federal Reserve (SOMA) add-on$1,378,373,900
Foreign and international (FIMA) non-competitive$0
High yield, %0.940
Median rate, %0.910
Low rate, %0.790
Interest rate (coupon), %0.875
Bids at the high rate filled, %42.94
Bid-to-cover ratio2.94
Indirect bidders accepted$21,475,370,000
Direct bidders accepted$894,489,600
Primary dealers accepted$17,106,963,000
Indirect bidders' share, % (ours)54.4
Direct bidders' share, % (ours)2.3
Primary dealers' share, % (ours)43.3
High minus median, basis points (ours)3.0
Treasury par yield curve, 2-year point, same day, %0.96
High yield minus that point, basis points (ours)-2.0

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 ratio2.94Last 24 auctions2 of 2422 of 242.46
Bid-to-cover ratio2.94Since 23 April 20080 of 1313 of 132.42
Bid-to-cover ratio2.94All 112 since 27 October 19996 of 112106 of 1122.28
High yield0.940Last 24 auctions22 of 242 of 242.308
High yield0.940Since 23 April 200811 of 132 of 131.600
High yield0.940All 346 since 23 January 1980344 of 3462 of 3465.991
Indirect bidders' share54.4All 13 since 23 April 20080 of 1313 of 1330.4
Direct bidders' share2.3All 13 since 23 April 20084 of 139 of 131.4
Primary dealers' share43.3All 13 since 23 April 200813 of 130 of 1365.8
High minus median, basis points3.0Last 24 auctions14 of 2410 of 243.7
High minus median, basis points3.0Since 23 April 200811 of 132 of 135.0
High minus median, basis points3.0All 346 since 23 January 198066 of 346244 of 3462.0

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 26 May 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20090526_3.pdf. Compiled by 500metrics, "2-year note auction of 26 May 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-05-26.

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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