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2-year FRN auction of 28 January 2020 (new issue)

The 2-year FRN sold $22.065 billion at a high discount margin of 0.154% on , with a bid-to-cover ratio of 3.23.

Announced
Issued
Matures

Discount margin

0.154%

Median discount margin 0.135%

Bid-to-cover

3.23

▼ −0.94 since 18 Dec

Sold

$22.07 billion

$20 billion offered

Indirect bidders

49.6%

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 29 March 2017 to 28 January 2020; the latest at 0.154%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.154%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 March 2017 to 28 January 2020; the latest at 0.154%.0.0%0.1%0.2%0.3%2018201920200.154%

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
0.1543.23
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.232.784 of 128 of 12
High discount margin0.1540.2299 of 123 of 12
Indirect bidders' share49.648.35 of 127 of 12
Direct bidders' share1.70.61 of 1211 of 12
Primary dealers' share48.650.87 of 125 of 12
High minus median, basis points1.91.65 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 49.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 18 December 2019

Indirect bidders took 49.6% of the competitive bids acceptedIndirect bidders 49.6%, Direct bidders 1.7%, Primary dealers 48.6%Indirect bidders49.6%52.9%Direct bidders1.7%0.8%Primary dealers48.6%46.3%Indirect bidders took 49.6% of the competitive bids acceptedIndirect bidders 49.6%, Direct bidders 1.7%, Primary dealers 48.6%Indirect bidders49.6%52.9%Direct bidders1.7%0.8%Primary dealers48.6%46.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.652.9
Direct bidders1.70.8
Primary dealers48.646.3

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$66,701,462,600
Sold$22,065,262,600
Competitive bids accepted$19,973,500,000
Non-competitive bids accepted$26,576,100
Federal Reserve (SOMA) add-on$2,065,186,500
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.154
Median rate, %0.135
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.154
Bids at the high rate filled, %80.88
Bid-to-cover ratio3.23
Indirect bidders accepted$9,912,500,000
Direct bidders accepted$345,000,000
Primary dealers accepted$9,716,000,000
Indirect bidders' share, % (ours)49.6
Direct bidders' share, % (ours)1.7
Primary dealers' share, % (ours)48.6
High minus median, basis points (ours)1.9

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 ratio3.23Last 24 auctions7 of 2417 of 242.82
Bid-to-cover ratio3.23All 73 since 29 January 201444 of 7329 of 733.35
High discount margin0.154Last 24 auctions9 of 2415 of 240.140
High discount margin0.154All 73 since 29 January 201424 of 7349 of 730.084
Indirect bidders' share49.6Last 24 auctions9 of 2415 of 2447.8
Indirect bidders' share49.6All 73 since 29 January 201425 of 7348 of 7346.7
Direct bidders' share1.7Last 24 auctions9 of 2415 of 241.2
Direct bidders' share1.7All 73 since 29 January 201434 of 7339 of 731.5
Primary dealers' share48.6Last 24 auctions14 of 2410 of 2450.8
Primary dealers' share48.6All 73 since 29 January 201445 of 7328 of 7350.9
High minus median, basis points1.9Last 24 auctions7 of 2416 of 241.1
High minus median, basis points1.9All 73 since 29 January 201411 of 7361 of 730.9

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 28 January 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200128_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 January 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2020-01-28.

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.