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2-year FRN auction of 18 December 2019 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.260% on , with a bid-to-cover ratio of 4.17.

Announced
Issued
Matures

Discount margin

0.260%

Median discount margin 0.255%

Bid-to-cover

4.17

▼ −1.23 since 6 Dec

Sold

$18.00 billion

$18 billion offered

Indirect bidders

52.9%

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 22 February 2017 to 18 December 2019; the latest at 0.260%.0.0%0.1%0.2%0.3%201720182019This auction, 0.260%Discount margin at the last 36 2-year FRN auctions36 auctions from 22 February 2017 to 18 December 2019; the latest at 0.260%.0.0%0.1%0.2%0.3%201820190.260%

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
0.2604.17
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.172.781 of 1211 of 12
High discount margin0.2600.2152 of 1210 of 12
Indirect bidders' share52.947.83 of 129 of 12
Direct bidders' share0.80.54 of 128 of 12
Primary dealers' share46.351.69 of 123 of 12
High minus median, basis points0.51.611 of 120 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 52.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 6 December 2019

Indirect bidders took 52.9% of the competitive bids acceptedIndirect bidders 52.9%, Direct bidders 0.8%, Primary dealers 46.3%Indirect bidders52.9%0.0%Direct bidders0.8%0.0%Primary dealers46.3%100.0%Indirect bidders took 52.9% of the competitive bids acceptedIndirect bidders 52.9%, Direct bidders 0.8%, Primary dealers 46.3%Indirect bidders52.9%0.0%Direct bidders0.8%0.0%Primary dealers46.3%100.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders52.90.0
Direct bidders0.80.0
Primary dealers46.3100.0

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$74,999,561,900
Sold$18,000,101,100
Competitive bids accepted$17,989,539,200
Non-competitive bids accepted$10,561,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.260
Median rate, %0.255
Low rate, %0.220
Interest rate (coupon), %–
Spread, %0.300
Bids at the high rate filled, %88.64
Bid-to-cover ratio4.17
Indirect bidders accepted$9,512,899,200
Direct bidders accepted$148,640,000
Primary dealers accepted$8,328,000,000
Indirect bidders' share, % (ours)52.9
Direct bidders' share, % (ours)0.8
Primary dealers' share, % (ours)46.3
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 ratio4.17Last 24 auctions1 of 2423 of 242.82
Bid-to-cover ratio4.17All 72 since 29 January 201411 of 7261 of 723.35
High discount margin0.260Last 24 auctions2 of 2422 of 240.127
High discount margin0.260All 72 since 29 January 20144 of 7268 of 720.084
Indirect bidders' share52.9Last 24 auctions5 of 2419 of 2447.4
Indirect bidders' share52.9All 72 since 29 January 201417 of 7255 of 7246.7
Direct bidders' share0.8Last 24 auctions13 of 2411 of 241.2
Direct bidders' share0.8All 72 since 29 January 201443 of 7229 of 721.5
Primary dealers' share46.3Last 24 auctions17 of 247 of 2451.3
Primary dealers' share46.3All 72 since 29 January 201451 of 7221 of 7251.0
High minus median, basis points0.5Last 24 auctions20 of 241 of 241.1
High minus median, basis points0.5All 72 since 29 January 201451 of 7213 of 720.9

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 18 December 2019. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2019/R_20191218_1.pdf. Compiled by 500metrics, "2-year FRN auction of 18 December 2019 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2019-12-18.

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.