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2-year FRN auction of 27 May 2020 (reopening)

The 2-year FRN sold $20 billion at a high discount margin of 0.098% on , with a bid-to-cover ratio of 3.12.

Announced
Issued
Matures

Discount margin

0.098%

Median discount margin 0.090%

Bid-to-cover

3.12

▲ +0.10 since 28 Apr

Sold

$20.00 billion

$20 billion offered

Indirect bidders

33.7%

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 26 July 2017 to 27 May 2020; the latest at 0.098%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.098%The high discount margin was the lowest for a 2-year FRN since 28 November 201836 auctions from 26 July 2017 to 27 May 2020; the latest at 0.098%.0.0%0.1%0.2%0.3%2018201920200.098%

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
0.0983.12
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.122.924 of 128 of 12
High discount margin0.0980.22912 of 120 of 12
Indirect bidders' share33.749.29 of 123 of 12
Direct bidders' share20.21.00 of 1212 of 12
Primary dealers' share46.149.68 of 124 of 12
High minus median, basis points0.82.010 of 122 of 12

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

  • Direct bidders' share: Highest of all 77 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 46.1% of the competitive bids accepted

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

Primary dealers took 46.1% of the competitive bids acceptedIndirect bidders 33.7%, Direct bidders 20.2%, Primary dealers 46.1%Indirect bidders33.7%51.4%Direct bidders20.2%17.1%Primary dealers46.1%31.5%Primary dealers took 46.1% of the competitive bids acceptedIndirect bidders 33.7%, Direct bidders 20.2%, Primary dealers 46.1%Indirect bidders33.7%51.4%Direct bidders20.2%17.1%Primary dealers46.1%31.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders33.751.4
Direct bidders20.217.1
Primary dealers46.131.5

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$20,000,000,000
Bids received$62,314,675,500
Sold$20,000,035,500
Competitive bids accepted$19,993,360,000
Non-competitive bids accepted$6,675,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.098
Median rate, %0.090
Low rate, %0.040
Interest rate (coupon), %–
Spread, %0.114
Bids at the high rate filled, %51.46
Bid-to-cover ratio3.12
Indirect bidders accepted$6,736,900,000
Direct bidders accepted$4,030,000,000
Primary dealers accepted$9,226,460,000
Indirect bidders' share, % (ours)33.7
Direct bidders' share, % (ours)20.2
Primary dealers' share, % (ours)46.1
High minus median, basis points (ours)0.8

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 ratio3.12Last 24 auctions6 of 2418 of 242.86
Bid-to-cover ratio3.12All 77 since 29 January 201448 of 7729 of 773.35
High discount margin0.098Last 24 auctions18 of 246 of 240.152
High discount margin0.098All 77 since 29 January 201438 of 7739 of 770.086
Indirect bidders' share33.7Last 24 auctions20 of 244 of 2449.2
Indirect bidders' share33.7All 77 since 29 January 201466 of 7711 of 7747.1
Direct bidders' share20.2Last 24 auctions0 of 2424 of 241.2
Direct bidders' share20.2All 77 since 29 January 20140 of 7777 of 771.5
Primary dealers' share46.1Last 24 auctions16 of 248 of 2449.6
Primary dealers' share46.1All 77 since 29 January 201454 of 7723 of 7750.5
High minus median, basis points0.8Last 24 auctions19 of 244 of 241.3
High minus median, basis points0.8All 77 since 29 January 201445 of 7728 of 771.0

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 27 May 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200527_4.pdf. Compiled by 500metrics, "2-year FRN auction of 27 May 2020 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2020-05-27.

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.