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2-year FRN auction of 26 February 2020 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.160% on , with a bid-to-cover ratio of 2.49.

Announced
Issued
Matures

Discount margin

0.160%

Median discount margin 0.130%

Bid-to-cover

2.49

▼ −0.74 since 28 Jan

Sold

$18.00 billion

$18 billion offered

Indirect bidders

28.6%

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 26 April 2017 to 26 February 2020; the latest at 0.160%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.160%Discount margin at the last 36 2-year FRN auctions36 auctions from 26 April 2017 to 26 February 2020; the latest at 0.160%.0.0%0.1%0.2%0.3%2018201920200.160%

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
0.1602.49
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.492.8812 of 120 of 12
High discount margin0.1600.2299 of 123 of 12
Indirect bidders' share28.648.310 of 122 of 12
Direct bidders' share1.30.73 of 129 of 12
Primary dealers' share70.150.82 of 1210 of 12
High minus median, basis points3.01.92 of 128 of 12

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

  • Bid-to-cover ratio: Lowest of all 74 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 70.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 January 2020

Primary dealers took 70.1% of the competitive bids acceptedIndirect bidders 28.6%, Direct bidders 1.3%, Primary dealers 70.1%Indirect bidders28.6%49.6%Direct bidders1.3%1.7%Primary dealers70.1%48.6%Primary dealers took 70.1% of the competitive bids acceptedIndirect bidders 28.6%, Direct bidders 1.3%, Primary dealers 70.1%Indirect bidders28.6%49.6%Direct bidders1.3%1.7%Primary dealers70.1%48.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders28.649.6
Direct bidders1.31.7
Primary dealers70.148.6

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$44,793,674,500
Sold$18,000,022,500
Competitive bids accepted$17,989,598,000
Non-competitive bids accepted$10,424,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.160
Median rate, %0.130
Low rate, %0.070
Interest rate (coupon), %–
Spread, %0.154
Bids at the high rate filled, %40.54
Bid-to-cover ratio2.49
Indirect bidders accepted$5,139,250,000
Direct bidders accepted$235,054,000
Primary dealers accepted$12,615,294,000
Indirect bidders' share, % (ours)28.6
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)70.1
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 ratio2.49Last 24 auctions24 of 240 of 242.86
Bid-to-cover ratio2.49All 74 since 29 January 201474 of 740 of 743.35
High discount margin0.160Last 24 auctions9 of 2415 of 240.144
High discount margin0.160All 74 since 29 January 201424 of 7450 of 740.084
Indirect bidders' share28.6Last 24 auctions22 of 242 of 2448.3
Indirect bidders' share28.6All 74 since 29 January 201468 of 746 of 7446.9
Direct bidders' share1.3Last 24 auctions11 of 2413 of 241.2
Direct bidders' share1.3All 74 since 29 January 201441 of 7433 of 741.5
Primary dealers' share70.1Last 24 auctions2 of 2422 of 2449.8
Primary dealers' share70.1All 74 since 29 January 20144 of 7470 of 7450.7
High minus median, basis points3.0Last 24 auctions2 of 2419 of 241.1
High minus median, basis points3.0All 74 since 29 January 20144 of 7467 of 740.9

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 February 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200226_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 February 2020 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2020-02-26.

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.