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2-year FRN auction of 25 March 2020 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.220% on , with a bid-to-cover ratio of 2.91.

Announced
Issued
Matures

Discount margin

0.220%

Median discount margin 0.200%

Bid-to-cover

2.91

▲ +0.42 since 26 Feb

Sold

$18.00 billion

$18 billion offered

Indirect bidders

62.3%

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 24 May 2017 to 25 March 2020; the latest at 0.220%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.220%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 May 2017 to 25 March 2020; the latest at 0.220%.0.0%0.1%0.2%0.3%2018201920200.220%

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
0.2202.91
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.912.785 of 127 of 12
High discount margin0.2200.2296 of 125 of 12
Indirect bidders' share62.347.31 of 1211 of 12
Direct bidders' share1.51.03 of 129 of 12
Primary dealers' share36.251.711 of 121 of 12
High minus median, basis points2.01.95 of 127 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 62.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 February 2020

Indirect bidders took 62.3% of the competitive bids acceptedIndirect bidders 62.3%, Direct bidders 1.5%, Primary dealers 36.2%Indirect bidders62.3%28.6%Direct bidders1.5%1.3%Primary dealers36.2%70.1%Indirect bidders took 62.3% of the competitive bids acceptedIndirect bidders 62.3%, Direct bidders 1.5%, Primary dealers 36.2%Indirect bidders62.3%28.6%Direct bidders1.5%1.3%Primary dealers36.2%70.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders62.328.6
Direct bidders1.51.3
Primary dealers36.270.1

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$52,376,475,100
Sold$18,000,135,100
Competitive bids accepted$17,995,560,000
Non-competitive bids accepted$4,575,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.220
Median rate, %0.200
Low rate, %0.140
Interest rate (coupon), %–
Spread, %0.154
Bids at the high rate filled, %74.97
Bid-to-cover ratio2.91
Indirect bidders accepted$11,213,950,000
Direct bidders accepted$275,000,000
Primary dealers accepted$6,506,610,000
Indirect bidders' share, % (ours)62.3
Direct bidders' share, % (ours)1.5
Primary dealers' share, % (ours)36.2
High minus median, basis points (ours)2.0

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 ratio2.91Last 24 auctions11 of 2413 of 242.86
Bid-to-cover ratio2.91All 75 since 29 January 201458 of 7517 of 753.35
High discount margin0.220Last 24 auctions6 of 2417 of 240.150
High discount margin0.220All 75 since 29 January 201410 of 7564 of 750.085
Indirect bidders' share62.3Last 24 auctions2 of 2422 of 2448.3
Indirect bidders' share62.3All 75 since 29 January 20147 of 7568 of 7546.7
Direct bidders' share1.5Last 24 auctions10 of 2414 of 241.2
Direct bidders' share1.5All 75 since 29 January 201438 of 7537 of 751.5
Primary dealers' share36.2Last 24 auctions21 of 243 of 2449.8
Primary dealers' share36.2All 75 since 29 January 201471 of 754 of 7550.9
High minus median, basis points2.0Last 24 auctions6 of 2417 of 241.1
High minus median, basis points2.0All 75 since 29 January 201410 of 7563 of 750.9

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 25 March 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200325_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 March 2020 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2020-03-25.

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.