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2-year FRN auction of 28 August 2019 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.238% on , with a bid-to-cover ratio of 2.92.

Announced
Issued
Matures

Discount margin

0.238%

Median discount margin 0.225%

Bid-to-cover

2.92

▲ +0.19 since 24 Jul

Sold

$18.00 billion

$18 billion offered

Indirect bidders

56.3%

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 28 September 2016 to 28 August 2019; the latest at 0.238%.0.0%0.1%0.2%0.3%2016201720182019This auction, 0.238%The high discount margin was the highest for a 2-year FRN since 23 March 201636 auctions from 28 September 2016 to 28 August 2019; the latest at 0.238%.0.0%0.1%0.2%0.3%201820190.238%

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
0.2382.92
0.2202.73
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.922.865 of 127 of 12
High discount margin0.2380.1400 of 1212 of 12
Indirect bidders' share56.350.23 of 129 of 12
Direct bidders' share0.10.510 of 122 of 12
Primary dealers' share43.649.69 of 123 of 12
High minus median, basis points1.31.05 of 127 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 56.3% of the competitive bids accepted

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

Indirect bidders took 56.3% of the competitive bids acceptedIndirect bidders 56.3%, Direct bidders 0.1%, Primary dealers 43.6%Indirect bidders56.3%48.7%Direct bidders0.1%0.1%Primary dealers43.6%51.1%Indirect bidders took 56.3% of the competitive bids acceptedIndirect bidders 56.3%, Direct bidders 0.1%, Primary dealers 43.6%Indirect bidders56.3%48.7%Direct bidders0.1%0.1%Primary dealers43.6%51.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders56.348.7
Direct bidders0.10.1
Primary dealers43.651.1

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$52,569,770,300
Sold$18,000,005,300
Competitive bids accepted$17,994,235,000
Non-competitive bids accepted$5,770,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.238
Median rate, %0.225
Low rate, %0.190
Interest rate (coupon), %–
Spread, %0.220
Bids at the high rate filled, %7.21
Bid-to-cover ratio2.92
Indirect bidders accepted$10,122,235,000
Direct bidders accepted$25,000,000
Primary dealers accepted$7,847,000,000
Indirect bidders' share, % (ours)56.3
Direct bidders' share, % (ours)0.1
Primary dealers' share, % (ours)43.6
High minus median, basis points (ours)1.3

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 ratio2.92Last 24 auctions13 of 2411 of 243.00
Bid-to-cover ratio2.92All 67 since 29 January 201454 of 6713 of 673.36
High discount margin0.238Last 24 auctions0 of 2424 of 240.050
High discount margin0.238All 67 since 29 January 20143 of 6764 of 670.077
Indirect bidders' share56.3Last 24 auctions5 of 2419 of 2449.0
Indirect bidders' share56.3All 67 since 29 January 201411 of 6756 of 6746.7
Direct bidders' share0.1Last 24 auctions19 of 245 of 241.0
Direct bidders' share0.1All 67 since 29 January 201456 of 6711 of 671.9
Primary dealers' share43.6Last 24 auctions17 of 247 of 2449.3
Primary dealers' share43.6All 67 since 29 January 201451 of 6716 of 6750.9
High minus median, basis points1.3Last 24 auctions7 of 2417 of 241.0
High minus median, basis points1.3All 67 since 29 January 201418 of 6747 of 670.9

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 28 August 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190828_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 August 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-08-28.

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

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