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2-year note auction of 28 December 2009 (new issue)

The 2-year note sold $45.304 billion at a high yield of 1.089% on , with a bid-to-cover ratio of 2.91.

Coupon
1.000%
Announced
Issued
Matures

High yield

1.089%

Median yield 1.040%

Bid-to-cover

2.91

▼ −0.25 since 23 Nov

Sold

$45.30 billion

$44 billion offered

Indirect bidders

34.8%

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 24 January 2007 to 28 December 2009; the latest at 1.089%.0.0%2.0%4.0%6.0%200720082009This auction, 1.089%High yield at the last 36 2-year note auctions36 auctions from 24 January 2007 to 28 December 2009; the latest at 1.089%.0.0%1.0%2.0%3.0%200820091.089%

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
1.0892.91
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

Against its own history

Against the previous 12 auctions of the 2-year note
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.912.745 of 127 of 12
High yield1.0890.9552 of 1210 of 12
Indirect bidders' share34.844.57 of 125 of 12
Direct bidders' share19.53.51 of 1211 of 12
Primary dealers' share45.749.07 of 125 of 12
High minus median, basis points4.94.65 of 126 of 12

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

Who bought the 2-year note?

Primary dealers took 45.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year note auction, 23 November 2009

Primary dealers took 45.7% of the competitive bids acceptedIndirect bidders 34.8%, Direct bidders 19.5%, Primary dealers 45.7%Indirect bidders34.8%44.5%Direct bidders19.5%4.7%Primary dealers45.7%50.8%Primary dealers took 45.7% of the competitive bids acceptedIndirect bidders 34.8%, Direct bidders 19.5%, Primary dealers 45.7%Indirect bidders34.8%44.5%Direct bidders19.5%4.7%Primary dealers45.7%50.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders34.844.5
Direct bidders19.54.7
Primary dealers45.750.8

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$44,000,000,000
Bids received$129,332,932,700
Sold$45,304,092,700
Competitive bids accepted$43,627,860,000
Non-competitive bids accepted$372,184,500
Federal Reserve (SOMA) add-on$1,304,048,200
Foreign and international (FIMA) non-competitive$0
High yield, %1.089
Median rate, %1.040
Low rate, %0.963
Interest rate (coupon), %1.000
Bids at the high rate filled, %59.68
Bid-to-cover ratio2.91
Indirect bidders accepted$15,179,500,000
Direct bidders accepted$8,494,000,000
Primary dealers accepted$19,954,360,000
Indirect bidders' share, % (ours)34.8
Direct bidders' share, % (ours)19.5
Primary dealers' share, % (ours)45.7
High minus median, basis points (ours)4.9
Treasury par yield curve, 2-year point, same day, %1.09
High yield minus that point, basis points (ours)-0.1

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 ratio2.91Last 24 auctions5 of 2419 of 242.56
Bid-to-cover ratio2.91Since 23 April 20085 of 2015 of 202.66
Bid-to-cover ratio2.91All 119 since 27 October 199913 of 119105 of 1192.31
High yield1.089Last 24 auctions14 of 2410 of 241.210
High yield1.089Since 23 April 200810 of 2010 of 201.100
High yield1.089All 353 since 23 January 1980343 of 35310 of 3535.939
Indirect bidders' share34.8All 20 since 23 April 200810 of 2010 of 2034.8
Direct bidders' share19.5All 20 since 23 April 20081 of 2019 of 202.5
Primary dealers' share45.7All 20 since 23 April 200815 of 205 of 2062.7
High minus median, basis points4.9Last 24 auctions10 of 2413 of 244.4
High minus median, basis points4.9Since 23 April 200810 of 209 of 205.0
High minus median, basis points4.9All 353 since 23 January 198033 of 353317 of 3532.0

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 28 December 2009. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2009/R_20091228_3.pdf. Compiled by 500metrics, "2-year note auction of 28 December 2009 (new issue)", https://500metrics.com/treasury/auctions/2-year-note/2009-12-28.

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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