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2-year note auction of 23 June 2009 (new issue)

The 2-year note sold $41.162 billion at a high yield of 1.151% on , with a bid-to-cover ratio of 3.19.

Coupon
1.125%
Announced
Issued
Matures

High yield

1.151%

Median yield 1.119%

Bid-to-cover

3.19

▲ +0.25 since 26 May

Sold

$41.16 billion

$40 billion offered

Indirect bidders

68.7%

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 July 2006 to 23 June 2009; the latest at 1.151%.0.0%2.0%4.0%6.0%2006200720082009This auction, 1.151%High yield at the last 36 2-year note auctions36 auctions from 26 July 2006 to 23 June 2009; the latest at 1.151%.0.0%1.0%2.0%3.0%4.0%5.0%2007200820091.151%

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
1.1513.19
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.192.560 of 1212 of 12
High yield1.1511.1156 of 126 of 12
Indirect bidders' share68.732.50 of 1212 of 12
Direct bidders' share3.51.82 of 1210 of 12
Primary dealers' share27.763.512 of 120 of 12
High minus median, basis points3.25.29 of 123 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 (20 auctions in between).
  • Indirect bidders' share: Highest of all 14 earlier 2-year note auctions we hold.
  • Primary dealers' share: Lowest of all 14 earlier 2-year note auctions we hold.

Who bought the 2-year note?

Indirect bidders took 68.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 26 May 2009

Indirect bidders took 68.7% of the competitive bids acceptedIndirect bidders 68.7%, Direct bidders 3.5%, Primary dealers 27.7%Indirect bidders68.7%54.4%Direct bidders3.5%2.3%Primary dealers27.7%43.3%Indirect bidders took 68.7% of the competitive bids acceptedIndirect bidders 68.7%, Direct bidders 3.5%, Primary dealers 27.7%Indirect bidders68.7%54.4%Direct bidders3.5%2.3%Primary dealers27.7%43.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders68.754.4
Direct bidders3.52.3
Primary dealers27.743.3

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$128,718,265,700
Sold$41,161,636,700
Competitive bids accepted$39,544,341,000
Non-competitive bids accepted$455,682,500
Federal Reserve (SOMA) add-on$1,161,613,200
Foreign and international (FIMA) non-competitive$0
High yield, %1.151
Median rate, %1.119
Low rate, %1.030
Interest rate (coupon), %1.125
Bids at the high rate filled, %39.20
Bid-to-cover ratio3.19
Indirect bidders accepted$27,184,500,000
Direct bidders accepted$1,389,841,000
Primary dealers accepted$10,970,000,000
Indirect bidders' share, % (ours)68.7
Direct bidders' share, % (ours)3.5
Primary dealers' share, % (ours)27.7
High minus median, basis points (ours)3.2
Treasury par yield curve, 2-year point, same day, %1.14
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 ratio3.19Last 24 auctions2 of 2422 of 242.46
Bid-to-cover ratio3.19Since 23 April 20080 of 1414 of 142.46
Bid-to-cover ratio3.19All 113 since 27 October 19992 of 113111 of 1132.28
High yield1.151Last 24 auctions18 of 246 of 242.231
High yield1.151Since 23 April 20088 of 146 of 141.434
High yield1.151All 347 since 23 January 1980341 of 3476 of 3475.984
Indirect bidders' share68.7All 14 since 23 April 20080 of 1414 of 1432.0
Direct bidders' share3.5All 14 since 23 April 20082 of 1412 of 141.4
Primary dealers' share27.7All 14 since 23 April 200814 of 140 of 1464.7
High minus median, basis points3.2Last 24 auctions14 of 2410 of 243.7
High minus median, basis points3.2Since 23 April 200811 of 143 of 145.0
High minus median, basis points3.2All 347 since 23 January 198065 of 347282 of 3472.0

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 23 June 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20090623_2.pdf. Compiled by 500metrics, "2-year note auction of 23 June 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-06-23.

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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