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2-year FRN auction of 29 January 2019 (new issue)

The 2-year FRN sold $20 billion at a high discount margin of 0.115% on , with a bid-to-cover ratio of 2.89.

Announced
Issued
Matures

Discount margin

0.115%

Median discount margin 0.105%

Bid-to-cover

2.89

▲ +0.18 since 26 Dec

Sold

$20.00 billion

$20 billion offered

Indirect bidders

47.7%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 24 February 2016 to 29 January 2019; the latest at 0.115%.0.0%0.1%0.2%0.3%2016201720182019This auction, 0.115%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 February 2016 to 29 January 2019; the latest at 0.115%.0.0%0.1%0.1%0.1%2017201820190.115%

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

The 36 auctions as a table
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1152.89
0.1502.71
0.0502.62
0.0453.32
0.0503.06
0.0472.94
0.0432.79
0.0422.79
0.0283.26
0.0333.65
0.0492.78
0.0162.75
0.0003.38
0.0353.26
0.0353.69
0.0483.56
0.0553.46
0.0603.09
0.0603.32
0.0803.13
0.0502.99
0.0703.35
0.1093.43
0.1333.08
0.1403.16
0.1693.80
0.1693.32
0.1703.35
0.1803.09
0.1653.46
0.1743.82
0.1883.15
0.1883.35
0.1903.57
0.2403.07
0.2373.63

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.892.866 of 126 of 12
High discount margin0.1150.0441 of 1211 of 12
Indirect bidders' share47.743.35 of 127 of 12
Direct bidders' share0.36.79 of 123 of 12
Primary dealers' share52.150.34 of 128 of 12
High minus median, basis points1.01.04 of 125 of 12

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

Who bought the 2-year FRN?

Primary dealers took 52.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 December 2018

Primary dealers took 52.1% of the competitive bids acceptedIndirect bidders 47.7%, Direct bidders 0.3%, Primary dealers 52.1%Indirect bidders47.7%67.7%Direct bidders0.3%0.1%Primary dealers52.1%32.2%Primary dealers took 52.1% of the competitive bids acceptedIndirect bidders 47.7%, Direct bidders 0.3%, Primary dealers 52.1%Indirect bidders47.7%67.7%Direct bidders0.3%0.1%Primary dealers52.1%32.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.767.7
Direct bidders0.30.1
Primary dealers52.132.2

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$20,000,000,000
Bids received$57,828,701,600
Sold$20,000,181,600
Competitive bids accepted$19,970,680,000
Non-competitive bids accepted$24,501,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$5,000,000
Discount margin, %0.115
Median rate, %0.105
Low rate, %0.060
Interest rate (coupon), %–
Spread, %0.115
Bids at the high rate filled, %52.48
Bid-to-cover ratio2.89
Indirect bidders accepted$9,518,440,000
Direct bidders accepted$50,000,000
Primary dealers accepted$10,402,240,000
Indirect bidders' share, % (ours)47.7
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)52.1
High minus median, basis points (ours)1.0

Treasury's own files: announcement (PDF) · results (PDF)

How to read this result

The high discount margin 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.

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 FRN auctions: how many were higher and lower, and their median
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio2.89Last 24 auctions18 of 246 of 243.14
Bid-to-cover ratio2.89All 60 since 29 January 201453 of 607 of 603.44
High discount margin0.115Last 24 auctions3 of 2421 of 240.050
High discount margin0.115All 60 since 29 January 201419 of 6041 of 600.070
Indirect bidders' share47.7Last 24 auctions13 of 2411 of 2449.0
Indirect bidders' share47.7All 60 since 29 January 201425 of 6035 of 6046.5
Direct bidders' share0.3Last 24 auctions18 of 246 of 241.1
Direct bidders' share0.3All 60 since 29 January 201448 of 6012 of 602.0
Primary dealers' share52.1Last 24 auctions8 of 2416 of 2449.3
Primary dealers' share52.1All 60 since 29 January 201427 of 6033 of 6050.5
High minus median, basis points1.0Last 24 auctions7 of 2414 of 240.8
High minus median, basis points1.0All 60 since 29 January 201421 of 6036 of 600.8

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.

How to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 29 January 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190129_1.pdf. Compiled by 500metrics, "2-year FRN auction of 29 January 2019 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2019-01-29.

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

Our text and compilation: CC BY 4.0. How to reuse and cite this page.