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2-year FRN auction of 27 March 2019 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.180% on , with a bid-to-cover ratio of 3.78.

Announced
Issued
Matures

Discount margin

0.180%

Median discount margin 0.160%

Bid-to-cover

3.78

▲ +1.08 since 20 Feb

Sold

$18.00 billion

$18 billion offered

Indirect bidders

53.5%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 28 September 2016

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 28 September 201636 auctions from 28 April 2016 to 27 March 2019; the latest at 0.180%.0.0%0.1%0.1%0.1%0.2%2016201720182019This auction, 0.180%The high discount margin was the highest for a 2-year FRN since 28 September 201636 auctions from 28 April 2016 to 27 March 2019; the latest at 0.180%.0.0%0.1%0.1%0.1%0.2%2017201820190.180%

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
0.1803.78
0.1492.70
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.782.840 of 1212 of 12
High discount margin0.1800.0480 of 1212 of 12
Indirect bidders' share53.548.52 of 1210 of 12
Direct bidders' share0.66.18 of 124 of 12
Primary dealers' share46.048.58 of 124 of 12
High minus median, basis points2.01.02 of 1210 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year FRN since 28 December 2016 (26 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 53.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 20 February 2019

Indirect bidders took 53.5% of the competitive bids acceptedIndirect bidders 53.5%, Direct bidders 0.6%, Primary dealers 46.0%Indirect bidders53.5%51.6%Direct bidders0.6%0.4%Primary dealers46.0%47.9%Indirect bidders took 53.5% of the competitive bids acceptedIndirect bidders 53.5%, Direct bidders 0.6%, Primary dealers 46.0%Indirect bidders53.5%51.6%Direct bidders0.6%0.4%Primary dealers46.0%47.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders53.551.6
Direct bidders0.60.4
Primary dealers46.047.9

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$18,000,000,000
Bids received$68,003,708,600
Sold$18,000,386,600
Competitive bids accepted$17,989,911,000
Non-competitive bids accepted$10,475,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.180
Median rate, %0.160
Low rate, %0.140
Interest rate (coupon), %–
Spread, %0.115
Bids at the high rate filled, %9.80
Bid-to-cover ratio3.78
Indirect bidders accepted$9,617,873,000
Direct bidders accepted$100,000,000
Primary dealers accepted$8,272,038,000
Indirect bidders' share, % (ours)53.5
Direct bidders' share, % (ours)0.6
Primary dealers' share, % (ours)46.0
High minus median, basis points (ours)2.0

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 ratio3.78Last 24 auctions0 of 2424 of 243.11
Bid-to-cover ratio3.78All 62 since 29 January 201417 of 6245 of 623.40
High discount margin0.180Last 24 auctions0 of 2424 of 240.050
High discount margin0.180All 62 since 29 January 20148 of 6253 of 620.072
Indirect bidders' share53.5Last 24 auctions7 of 2417 of 2449.5
Indirect bidders' share53.5All 62 since 29 January 201412 of 6250 of 6246.6
Direct bidders' share0.6Last 24 auctions14 of 2410 of 240.8
Direct bidders' share0.6All 62 since 29 January 201442 of 6220 of 621.9
Primary dealers' share46.0Last 24 auctions14 of 2410 of 2448.5
Primary dealers' share46.0All 62 since 29 January 201445 of 6217 of 6250.5
High minus median, basis points2.0Last 24 auctions2 of 2422 of 240.8
High minus median, basis points2.0All 62 since 29 January 20145 of 6256 of 620.9

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 27 March 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190327_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 March 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-03-27.

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.