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2-year FRN auction of 25 September 2019 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.290% on , with a bid-to-cover ratio of 2.66.

Announced
Issued
Matures

Discount margin

0.290%

Median discount margin 0.255%

Bid-to-cover

2.66

▼ −0.26 since 28 Aug

Sold

$18.00 billion

$18 billion offered

Indirect bidders

47.9%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 23 December 2015

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 23 December 201536 auctions from 26 October 2016 to 25 September 2019; the latest at 0.290%.0.0%0.1%0.2%0.3%2016201720182019This auction, 0.290%The high discount margin was the highest for a 2-year FRN since 23 December 201536 auctions from 26 October 2016 to 25 September 2019; the latest at 0.290%.0.0%0.1%0.2%0.3%201820190.290%

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
0.2902.66
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.662.8611 of 121 of 12
High discount margin0.2900.1440 of 1212 of 12
Indirect bidders' share47.951.88 of 124 of 12
Direct bidders' share1.60.33 of 129 of 12
Primary dealers' share50.548.05 of 127 of 12
High minus median, basis points3.51.20 of 1212 of 12

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

  • High minus median, basis points: Highest for a 2-year FRN since 23 December 2015 (44 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 50.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 August 2019

Primary dealers took 50.5% of the competitive bids acceptedIndirect bidders 47.9%, Direct bidders 1.6%, Primary dealers 50.5%Indirect bidders47.9%56.3%Direct bidders1.6%0.1%Primary dealers50.5%43.6%Primary dealers took 50.5% of the competitive bids acceptedIndirect bidders 47.9%, Direct bidders 1.6%, Primary dealers 50.5%Indirect bidders47.9%56.3%Direct bidders1.6%0.1%Primary dealers50.5%43.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.956.3
Direct bidders1.60.1
Primary dealers50.543.6

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$47,822,894,400
Sold$18,000,009,400
Competitive bids accepted$17,995,615,000
Non-competitive bids accepted$4,394,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.290
Median rate, %0.255
Low rate, %0.210
Interest rate (coupon), %–
Spread, %0.220
Bids at the high rate filled, %75.71
Bid-to-cover ratio2.66
Indirect bidders accepted$8,626,500,000
Direct bidders accepted$280,000,000
Primary dealers accepted$9,089,115,000
Indirect bidders' share, % (ours)47.9
Direct bidders' share, % (ours)1.6
Primary dealers' share, % (ours)50.5
High minus median, basis points (ours)3.5

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 ratio2.66Last 24 auctions23 of 241 of 242.93
Bid-to-cover ratio2.66All 68 since 29 January 201467 of 681 of 683.36
High discount margin0.290Last 24 auctions0 of 2424 of 240.050
High discount margin0.290All 68 since 29 January 20141 of 6867 of 680.078
Indirect bidders' share47.9Last 24 auctions13 of 2411 of 2449.0
Indirect bidders' share47.9All 68 since 29 January 201430 of 6838 of 6846.9
Direct bidders' share1.6Last 24 auctions10 of 2414 of 241.0
Direct bidders' share1.6All 68 since 29 January 201435 of 6833 of 681.8
Primary dealers' share50.5Last 24 auctions11 of 2413 of 2448.5
Primary dealers' share50.5All 68 since 29 January 201434 of 6834 of 6850.5
High minus median, basis points3.5Last 24 auctions0 of 2424 of 241.0
High minus median, basis points3.5All 68 since 29 January 20142 of 6866 of 680.9

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 25 September 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20190925_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 September 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-09-25.

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.