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2-year FRN auction of 6 December 2019 (reopening)

The 2-year FRN sold $25 million at a high discount margin of 0.245% on , with a bid-to-cover ratio of 5.40.

Announced
Issued
Matures

Discount margin

0.245%

Median discount margin 0.240%

Bid-to-cover

5.40

▲ +2.90 since 26 Nov

Sold

$25.00 million

$25 million offered

Indirect bidders

0.0%

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 25 January 2017 to 6 December 2019; the latest at 0.245%.0.0%0.1%0.2%0.3%201720182019This auction, 0.245%Discount margin at the last 36 2-year FRN auctions36 auctions from 25 January 2017 to 6 December 2019; the latest at 0.245%.0.0%0.1%0.2%0.3%201820190.245%

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
0.2455.40
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio5.402.720 of 1212 of 12
High discount margin0.2450.1952 of 1210 of 12
Indirect bidders' share0.048.312 of 120 of 12
Direct bidders' share0.00.512 of 120 of 12
Primary dealers' share100.050.80 of 1212 of 12
High minus median, basis points0.52.012 of 120 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year FRN since 29 January 2014 (70 auctions in between).
  • Indirect bidders' share: Lowest of all 71 earlier 2-year FRN auctions we hold.
  • Direct bidders' share: Lowest for a 2-year FRN since 24 January 2018 (22 auctions in between).
  • Primary dealers' share: Highest of all 71 earlier 2-year FRN auctions we hold.
  • High minus median, basis points: Lowest for a 2-year FRN since 24 October 2018 (13 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 100.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 November 2019

Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%21.0%Direct bidders0.0%0.7%Primary dealers100.0%78.4%Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%21.0%Direct bidders0.0%0.7%Primary dealers100.0%78.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders0.021.0
Direct bidders0.00.7
Primary dealers100.078.4

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$25,000,000
Bids received$134,892,000
Sold$25,000,200
Competitive bids accepted$25,000,200
Non-competitive bids accepted$0
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.245
Median rate, %0.240
Low rate, %0.220
Interest rate (coupon), %–
Spread, %0.300
Bids at the high rate filled, %3.79
Bid-to-cover ratio5.40
Indirect bidders accepted$0
Direct bidders accepted$0
Primary dealers accepted$25,000,200
Indirect bidders' share, % (ours)0.0
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)100.0
High minus median, basis points (ours)0.5

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 ratio5.40Last 24 auctions0 of 2424 of 242.82
Bid-to-cover ratio5.40All 71 since 29 January 20141 of 7170 of 713.35
High discount margin0.245Last 24 auctions2 of 2422 of 240.082
High discount margin0.245All 71 since 29 January 20144 of 7167 of 710.084
Indirect bidders' share0.0Last 24 auctions24 of 240 of 2447.8
Indirect bidders' share0.0All 71 since 29 January 201471 of 710 of 7146.7
Direct bidders' share0.0Last 24 auctions22 of 240 of 241.2
Direct bidders' share0.0All 71 since 29 January 201464 of 710 of 711.6
Primary dealers' share100.0Last 24 auctions0 of 2424 of 2450.8
Primary dealers' share100.0All 71 since 29 January 20140 of 7171 of 7150.9
High minus median, basis points0.5Last 24 auctions21 of 241 of 241.1
High minus median, basis points0.5All 71 since 29 January 201451 of 7113 of 710.9

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 6 December 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20191206_1.pdf. Compiled by 500metrics, "2-year FRN auction of 6 December 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-12-06.

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.