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

The 2-year FRN sold $23.911 billion at a high discount margin of 0.114% on , with a bid-to-cover ratio of 3.02.

Announced
Issued
Matures

Discount margin

0.114%

Median discount margin 0.101%

Bid-to-cover

3.02

▲ +0.11 since 25 Mar

Sold

$23.91 billion

$22 billion offered

Indirect bidders

51.4%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 28 November 2018

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 28 November 201836 auctions from 28 June 2017 to 28 April 2020; the latest at 0.114%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.114%The high discount margin was the lowest for a 2-year FRN since 28 November 201836 auctions from 28 June 2017 to 28 April 2020; the latest at 0.114%.0.0%0.1%0.2%0.3%2018201920200.114%

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
0.1143.02
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.022.884 of 128 of 12
High discount margin0.1140.22912 of 120 of 12
Indirect bidders' share51.448.34 of 128 of 12
Direct bidders' share17.11.00 of 1212 of 12
Primary dealers' share31.550.811 of 121 of 12
High minus median, basis points1.32.07 of 124 of 12

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

  • Direct bidders' share: Highest of all 76 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Indirect bidders took 51.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 March 2020

Indirect bidders took 51.4% of the competitive bids acceptedIndirect bidders 51.4%, Direct bidders 17.1%, Primary dealers 31.5%Indirect bidders51.4%62.3%Direct bidders17.1%1.5%Primary dealers31.5%36.2%Indirect bidders took 51.4% of the competitive bids acceptedIndirect bidders 51.4%, Direct bidders 17.1%, Primary dealers 31.5%Indirect bidders51.4%62.3%Direct bidders17.1%1.5%Primary dealers31.5%36.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders51.462.3
Direct bidders17.11.5
Primary dealers31.536.2

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$22,000,000,000
Bids received$68,272,481,300
Sold$23,910,733,300
Competitive bids accepted$21,979,152,000
Non-competitive bids accepted$21,007,900
Federal Reserve (SOMA) add-on$1,910,573,400
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.114
Median rate, %0.101
Low rate, %0.070
Interest rate (coupon), %–
Spread, %0.114
Bids at the high rate filled, %33.89
Bid-to-cover ratio3.02
Indirect bidders accepted$11,304,152,000
Direct bidders accepted$3,750,000,000
Primary dealers accepted$6,925,000,000
Indirect bidders' share, % (ours)51.4
Direct bidders' share, % (ours)17.1
Primary dealers' share, % (ours)31.5
High minus median, basis points (ours)1.3

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 ratio3.02Last 24 auctions8 of 2416 of 242.86
Bid-to-cover ratio3.02All 76 since 29 January 201455 of 7621 of 763.35
High discount margin0.114Last 24 auctions17 of 247 of 240.152
High discount margin0.114All 76 since 29 January 201435 of 7641 of 760.086
Indirect bidders' share51.4Last 24 auctions9 of 2415 of 2449.0
Indirect bidders' share51.4All 76 since 29 January 201422 of 7654 of 7646.9
Direct bidders' share17.1Last 24 auctions0 of 2424 of 241.2
Direct bidders' share17.1All 76 since 29 January 20140 of 7676 of 761.5
Primary dealers' share31.5Last 24 auctions23 of 241 of 2449.6
Primary dealers' share31.5All 76 since 29 January 201474 of 762 of 7650.7
High minus median, basis points1.3Last 24 auctions11 of 2412 of 241.2
High minus median, basis points1.3All 76 since 29 January 201424 of 7649 of 761.0

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 April 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200428_2.pdf. Compiled by 500metrics, "2-year FRN auction of 28 April 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2020-04-28.

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.