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2-year FRN auction of 23 October 2019 (new issue)

The 2-year FRN sold $22.091 billion at a high discount margin of 0.300% on , with a bid-to-cover ratio of 2.58.

Announced
Issued
Matures

Discount margin

0.300%

Median discount margin 0.270%

Bid-to-cover

2.58

▼ −0.08 since 25 Sep

Sold

$22.09 billion

$20 billion offered

Indirect bidders

46.6%

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 22 November 2016 to 23 October 2019; the latest at 0.300%.0.0%0.1%0.2%0.3%201720182019This auction, 0.300%The high discount margin was the highest for a 2-year FRN since 23 December 201536 auctions from 22 November 2016 to 23 October 2019; the latest at 0.300%.0.0%0.1%0.2%0.3%201820190.300%

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
0.3002.58
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.582.7812 of 120 of 12
High discount margin0.3000.1500 of 1212 of 12
Indirect bidders' share46.650.29 of 123 of 12
Direct bidders' share1.20.34 of 128 of 12
Primary dealers' share52.249.23 of 129 of 12
High minus median, basis points3.01.41 of 129 of 12

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

  • Bid-to-cover ratio: Lowest of all 69 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 52.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 September 2019

Primary dealers took 52.2% of the competitive bids acceptedIndirect bidders 46.6%, Direct bidders 1.2%, Primary dealers 52.2%Indirect bidders46.6%47.9%Direct bidders1.2%1.6%Primary dealers52.2%50.5%Primary dealers took 52.2% of the competitive bids acceptedIndirect bidders 46.6%, Direct bidders 1.2%, Primary dealers 52.2%Indirect bidders46.6%47.9%Direct bidders1.2%1.6%Primary dealers52.2%50.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders46.647.9
Direct bidders1.21.6
Primary dealers52.250.5

About these figures

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

Treasury's published result

FieldValue
Offered as2-Year, new issue
Offering amount$20,000,000,000
Bids received$53,729,243,900
Sold$22,091,218,900
Competitive bids accepted$19,985,075,000
Non-competitive bids accepted$15,135,600
Federal Reserve (SOMA) add-on$2,091,008,300
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.300
Median rate, %0.270
Low rate, %0.240
Interest rate (coupon), %–
Spread, %0.300
Bids at the high rate filled, %46.35
Bid-to-cover ratio2.58
Indirect bidders accepted$9,313,050,000
Direct bidders accepted$240,100,000
Primary dealers accepted$10,431,925,000
Indirect bidders' share, % (ours)46.6
Direct bidders' share, % (ours)1.2
Primary dealers' share, % (ours)52.2
High minus median, basis points (ours)3.0

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 ratio2.58Last 24 auctions24 of 240 of 242.90
Bid-to-cover ratio2.58All 69 since 29 January 201469 of 690 of 693.35
High discount margin0.300Last 24 auctions0 of 2424 of 240.050
High discount margin0.300All 69 since 29 January 20141 of 6968 of 690.080
Indirect bidders' share46.6Last 24 auctions16 of 248 of 2449.0
Indirect bidders' share46.6All 69 since 29 January 201436 of 6933 of 6947.1
Direct bidders' share1.2Last 24 auctions13 of 2411 of 241.3
Direct bidders' share1.2All 69 since 29 January 201441 of 6928 of 691.7
Primary dealers' share52.2Last 24 auctions6 of 2418 of 2448.5
Primary dealers' share52.2All 69 since 29 January 201429 of 6940 of 6950.5
High minus median, basis points3.0Last 24 auctions1 of 2421 of 241.0
High minus median, basis points3.0All 69 since 29 January 20143 of 6964 of 690.9

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 23 October 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20191023_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 October 2019 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2019-10-23.

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.