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

The 2-year note sold $45.321 billion at a high yield of 0.802% on , with a bid-to-cover ratio of 3.16.

Coupon
0.750%
Announced
Issued
Matures

High yield

0.802%

Median yield 0.770%

Bid-to-cover

3.16

▼ −0.47 since 27 Oct

Sold

$45.32 billion

$44 billion offered

Indirect bidders

44.5%

Of competitive bids accepted

The high yield was the lowest for a 2-year note of all 352 earlier auctions we hold

High yield at each 2-year note auction, %

The high yield was the lowest for a 2-year note of all 352 earlier auctions we hold36 auctions from 27 December 2006 to 23 November 2009; the latest at 0.802%.0.0%2.0%4.0%6.0%200720082009This auction, 0.802%The high yield was the lowest for a 2-year note of all 352 earlier auctions we hold36 auctions from 27 December 2006 to 23 November 2009; the latest at 0.802%.0.0%1.0%2.0%3.0%4.0%200820090.802%

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
0.8023.16
1.0203.63
1.0343.23
1.1192.68
1.0802.75
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.162.723 of 129 of 12
High yield0.8020.99012 of 120 of 12
Indirect bidders' share44.539.75 of 127 of 12
Direct bidders' share4.73.43 of 129 of 12
Primary dealers' share50.854.86 of 126 of 12
High minus median, basis points3.25.210 of 121 of 12

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

Who bought the 2-year note?

Primary dealers took 50.8% of the competitive bids accepted

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

Primary dealers took 50.8% of the competitive bids acceptedIndirect bidders 44.5%, Direct bidders 4.7%, Primary dealers 50.8%Indirect bidders44.5%44.5%Direct bidders4.7%26.1%Primary dealers50.8%29.4%Primary dealers took 50.8% of the competitive bids acceptedIndirect bidders 44.5%, Direct bidders 4.7%, Primary dealers 50.8%Indirect bidders44.5%44.5%Direct bidders4.7%26.1%Primary dealers50.8%29.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders44.544.5
Direct bidders4.726.1
Primary dealers50.829.4

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$44,000,000,000
Bids received$140,305,973,100
Sold$45,321,323,100
Competitive bids accepted$43,483,420,000
Non-competitive bids accepted$416,622,200
Federal Reserve (SOMA) add-on$1,321,280,900
Foreign and international (FIMA) non-competitive$100,000,000
High yield, %0.802
Median rate, %0.770
Low rate, %0.655
Interest rate (coupon), %0.750
Bids at the high rate filled, %95.78
Bid-to-cover ratio3.16
Indirect bidders accepted$19,364,070,000
Direct bidders accepted$2,037,000,000
Primary dealers accepted$22,082,350,000
Indirect bidders' share, % (ours)44.5
Direct bidders' share, % (ours)4.7
Primary dealers' share, % (ours)50.8
High minus median, basis points (ours)3.2
Treasury par yield curve, 2-year point, same day, %0.77
High yield minus that point, basis points (ours)3.2

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 ratio3.16Last 24 auctions3 of 2421 of 242.46
Bid-to-cover ratio3.16Since 23 April 20083 of 1916 of 192.64
Bid-to-cover ratio3.16All 118 since 27 October 19995 of 118113 of 1182.30
High yield0.802Last 24 auctions24 of 240 of 241.434
High yield0.802Since 23 April 200819 of 190 of 191.119
High yield0.802All 352 since 23 January 1980352 of 3520 of 3525.940
Indirect bidders' share44.5All 19 since 23 April 20085 of 1914 of 1934.6
Direct bidders' share4.7All 19 since 23 April 20084 of 1915 of 192.3
Primary dealers' share50.8All 19 since 23 April 200813 of 196 of 1962.9
High minus median, basis points3.2Last 24 auctions18 of 245 of 244.4
High minus median, basis points3.2Since 23 April 200815 of 193 of 195.0
High minus median, basis points3.2All 352 since 23 January 198069 of 352282 of 3522.0

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 November 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20091123_3.pdf. Compiled by 500metrics, "2-year note auction of 23 November 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-11-23.

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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