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2-year FRN auction of 26 June 2019 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.210% on , with a bid-to-cover ratio of 3.36.

Announced
Issued
Matures

Discount margin

0.210%

Median discount margin 0.200%

Bid-to-cover

3.36

▲ +0.52 since 29 May

Sold

$18.00 billion

$18 billion offered

Indirect bidders

68.2%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 23 March 2016

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 23 March 201636 auctions from 27 July 2016 to 26 June 2019; the latest at 0.210%.0.0%0.1%0.2%0.3%2016201720182019This auction, 0.210%The high discount margin was the highest for a 2-year FRN since 23 March 201636 auctions from 27 July 2016 to 26 June 2019; the latest at 0.210%.0.0%0.1%0.2%0.3%2017201820190.210%

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
0.2103.36
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.362.821 of 1211 of 12
High discount margin0.2100.0820 of 1212 of 12
Indirect bidders' share68.249.50 of 1212 of 12
Direct bidders' share0.32.19 of 123 of 12
Primary dealers' share31.549.912 of 120 of 12
High minus median, basis points1.01.05 of 123 of 12

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

  • Indirect bidders' share: Highest for a 2-year FRN since 25 March 2015 (50 auctions in between).
  • Primary dealers' share: Lowest for a 2-year FRN since 25 March 2015 (50 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 68.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 29 May 2019

Indirect bidders took 68.2% of the competitive bids acceptedIndirect bidders 68.2%, Direct bidders 0.3%, Primary dealers 31.5%Indirect bidders68.2%39.8%Direct bidders0.3%2.9%Primary dealers31.5%57.3%Indirect bidders took 68.2% of the competitive bids acceptedIndirect bidders 68.2%, Direct bidders 0.3%, Primary dealers 31.5%Indirect bidders68.2%39.8%Direct bidders0.3%2.9%Primary dealers31.5%57.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders68.239.8
Direct bidders0.32.9
Primary dealers31.557.3

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$60,473,300,600
Sold$18,000,075,100
Competitive bids accepted$17,990,274,500
Non-competitive bids accepted$9,800,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.210
Median rate, %0.200
Low rate, %0.170
Interest rate (coupon), %–
Spread, %0.139
Bids at the high rate filled, %33.59
Bid-to-cover ratio3.36
Indirect bidders accepted$12,274,745,000
Direct bidders accepted$50,000,000
Primary dealers accepted$5,665,529,500
Indirect bidders' share, % (ours)68.2
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)31.5
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 ratio3.36Last 24 auctions6 of 2418 of 243.08
Bid-to-cover ratio3.36All 65 since 29 January 201433 of 6532 of 653.38
High discount margin0.210Last 24 auctions0 of 2424 of 240.050
High discount margin0.210All 65 since 29 January 20145 of 6560 of 650.076
Indirect bidders' share68.2Last 24 auctions0 of 2424 of 2449.5
Indirect bidders' share68.2All 65 since 29 January 20141 of 6564 of 6546.6
Direct bidders' share0.3Last 24 auctions17 of 247 of 241.3
Direct bidders' share0.3All 65 since 29 January 201452 of 6513 of 651.9
Primary dealers' share31.5Last 24 auctions24 of 240 of 2448.5
Primary dealers' share31.5All 65 since 29 January 201464 of 651 of 6550.9
High minus median, basis points1.0Last 24 auctions8 of 2411 of 241.0
High minus median, basis points1.0All 65 since 29 January 201424 of 6536 of 650.9

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 26 June 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190626_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 June 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-06-26.

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.