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

The 2-year FRN sold $18 billion at a high discount margin of 0.240% on , with a bid-to-cover ratio of 2.50.

Announced
Issued
Matures

Discount margin

0.240%

Median discount margin 0.205%

Bid-to-cover

2.50

▼ −0.08 since 23 Oct

Sold

$18.00 billion

$18 billion offered

Indirect bidders

21.0%

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 28 December 2016 to 26 November 2019; the latest at 0.240%.0.0%0.1%0.2%0.3%201720182019This auction, 0.240%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 December 2016 to 26 November 2019; the latest at 0.240%.0.0%0.1%0.2%0.3%201820190.240%

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
0.2402.50
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.502.7212 of 120 of 12
High discount margin0.2400.1652 of 1210 of 12
Indirect bidders' share21.048.312 of 120 of 12
Direct bidders' share0.70.55 of 127 of 12
Primary dealers' share78.450.80 of 1212 of 12
High minus median, basis points3.51.60 of 1211 of 12

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

  • Bid-to-cover ratio: Lowest of all 70 earlier 2-year FRN auctions we hold.
  • Indirect bidders' share: Lowest of all 70 earlier 2-year FRN auctions we hold.
  • Primary dealers' share: Highest of all 70 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 78.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 October 2019

Primary dealers took 78.4% of the competitive bids acceptedIndirect bidders 21.0%, Direct bidders 0.7%, Primary dealers 78.4%Indirect bidders21.0%46.6%Direct bidders0.7%1.2%Primary dealers78.4%52.2%Primary dealers took 78.4% of the competitive bids acceptedIndirect bidders 21.0%, Direct bidders 0.7%, Primary dealers 78.4%Indirect bidders21.0%46.6%Direct bidders0.7%1.2%Primary dealers78.4%52.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders21.046.6
Direct bidders0.71.2
Primary dealers78.452.2

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$45,022,556,600
Sold$18,000,173,600
Competitive bids accepted$17,990,617,000
Non-competitive bids accepted$9,556,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.240
Median rate, %0.205
Low rate, %0.170
Interest rate (coupon), %–
Spread, %0.300
Bids at the high rate filled, %38.91
Bid-to-cover ratio2.50
Indirect bidders accepted$3,772,550,000
Direct bidders accepted$117,782,000
Primary dealers accepted$14,100,285,000
Indirect bidders' share, % (ours)21.0
Direct bidders' share, % (ours)0.7
Primary dealers' share, % (ours)78.4
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 ratio2.50Last 24 auctions24 of 240 of 242.86
Bid-to-cover ratio2.50All 70 since 29 January 201470 of 700 of 703.35
High discount margin0.240Last 24 auctions2 of 2422 of 240.050
High discount margin0.240All 70 since 29 January 20144 of 7065 of 700.082
Indirect bidders' share21.0Last 24 auctions24 of 240 of 2448.3
Indirect bidders' share21.0All 70 since 29 January 201470 of 700 of 7046.9
Direct bidders' share0.7Last 24 auctions14 of 2410 of 241.3
Direct bidders' share0.7All 70 since 29 January 201446 of 7024 of 701.6
Primary dealers' share78.4Last 24 auctions0 of 2424 of 2449.8
Primary dealers' share78.4All 70 since 29 January 20140 of 7070 of 7050.7
High minus median, basis points3.5Last 24 auctions0 of 2423 of 241.0
High minus median, basis points3.5All 70 since 29 January 20142 of 7067 of 700.9

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 November 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20191126_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 November 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-11-26.

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.