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2-year FRN auction of 29 May 2019 (reopening)

The 2-year FRN sold $19.891 billion at a high discount margin of 0.140% on , with a bid-to-cover ratio of 2.84.

Announced
Issued
Matures

Discount margin

0.140%

Median discount margin 0.130%

Bid-to-cover

2.84

▲ +0.16 since 24 Apr

Sold

$19.89 billion

$18 billion offered

Indirect bidders

39.8%

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 22 June 2016 to 29 May 2019; the latest at 0.140%.0.0%0.1%0.1%0.1%0.2%2016201720182019This auction, 0.140%Discount margin at the last 36 2-year FRN auctions36 auctions from 22 June 2016 to 29 May 2019; the latest at 0.140%.0.0%0.1%0.1%0.1%0.2%2017201820190.140%

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
0.1402.84
0.1392.68
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.842.846 of 126 of 12
High discount margin0.1400.0503 of 129 of 12
Indirect bidders' share39.850.48 of 124 of 12
Direct bidders' share2.93.56 of 126 of 12
Primary dealers' share57.348.02 of 1210 of 12
High minus median, basis points1.01.05 of 124 of 12

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

Who bought the 2-year FRN?

Primary dealers took 57.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 April 2019

Primary dealers took 57.3% of the competitive bids acceptedIndirect bidders 39.8%, Direct bidders 2.9%, Primary dealers 57.3%Indirect bidders39.8%38.5%Direct bidders2.9%1.3%Primary dealers57.3%60.2%Primary dealers took 57.3% of the competitive bids acceptedIndirect bidders 39.8%, Direct bidders 2.9%, Primary dealers 57.3%Indirect bidders39.8%38.5%Direct bidders2.9%1.3%Primary dealers57.3%60.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders39.838.5
Direct bidders2.91.3
Primary dealers57.360.2

About these figures

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

Treasury's published result

FieldValue
Offered as1-Year 11-Month, reopening
Offering amount$18,000,000,000
Bids received$53,081,157,700
Sold$19,890,932,700
Competitive bids accepted$17,991,775,000
Non-competitive bids accepted$8,293,600
Federal Reserve (SOMA) add-on$1,890,864,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.140
Median rate, %0.130
Low rate, %0.080
Interest rate (coupon), %–
Spread, %0.139
Bids at the high rate filled, %94.23
Bid-to-cover ratio2.84
Indirect bidders accepted$7,164,680,000
Direct bidders accepted$521,150,000
Primary dealers accepted$10,305,945,000
Indirect bidders' share, % (ours)39.8
Direct bidders' share, % (ours)2.9
Primary dealers' share, % (ours)57.3
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 ratio2.84Last 24 auctions16 of 248 of 243.08
Bid-to-cover ratio2.84All 64 since 29 January 201456 of 648 of 643.40
High discount margin0.140Last 24 auctions3 of 2421 of 240.050
High discount margin0.140All 64 since 29 January 201418 of 6445 of 640.075
Indirect bidders' share39.8Last 24 auctions17 of 247 of 2449.5
Indirect bidders' share39.8All 64 since 29 January 201444 of 6420 of 6446.6
Direct bidders' share2.9Last 24 auctions9 of 2415 of 241.0
Direct bidders' share2.9All 64 since 29 January 201425 of 6439 of 641.9
Primary dealers' share57.3Last 24 auctions5 of 2419 of 2448.5
Primary dealers' share57.3All 64 since 29 January 201418 of 6446 of 6450.5
High minus median, basis points1.0Last 24 auctions9 of 2411 of 241.0
High minus median, basis points1.0All 64 since 29 January 201424 of 6436 of 640.9

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 29 May 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190529_1.pdf. Compiled by 500metrics, "2-year FRN auction of 29 May 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-05-29.

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.