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

The 2-year FRN sold $26.727 billion at a high discount margin of 0.055% on , with a bid-to-cover ratio of 3.29.

Announced
Issued
Matures

Discount margin

0.055%

Median discount margin 0.040%

Bid-to-cover

3.29

▲ +0.13 since 24 Jun

Sold

$26.73 billion

$24 billion offered

Indirect bidders

65.6%

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 27 September 2017 to 28 July 2020; the latest at 0.055%.0.0%0.1%0.2%0.3%2017201820192020This auction, 0.055%The high discount margin was the lowest for a 2-year FRN since 28 November 201836 auctions from 27 September 2017 to 28 July 2020; the latest at 0.055%.0.0%0.1%0.2%0.3%201920200.055%

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
0.0553.29
0.0803.16
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.292.972 of 1210 of 12
High discount margin0.0550.22912 of 120 of 12
Indirect bidders' share65.647.30 of 1212 of 12
Direct bidders' share1.31.47 of 125 of 12
Primary dealers' share33.249.611 of 121 of 12
High minus median, basis points1.51.66 of 126 of 12

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

  • Indirect bidders' share: Highest for a 2-year FRN since 26 June 2019 (13 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 65.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 June 2020

Indirect bidders took 65.6% of the competitive bids acceptedIndirect bidders 65.6%, Direct bidders 1.3%, Primary dealers 33.2%Indirect bidders65.6%20.8%Direct bidders1.3%19.6%Primary dealers33.2%59.6%Indirect bidders took 65.6% of the competitive bids acceptedIndirect bidders 65.6%, Direct bidders 1.3%, Primary dealers 33.2%Indirect bidders65.6%20.8%Direct bidders1.3%19.6%Primary dealers33.2%59.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders65.620.8
Direct bidders1.319.6
Primary dealers33.259.6

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$24,000,000,000
Bids received$81,730,922,700
Sold$26,727,449,700
Competitive bids accepted$23,979,527,500
Non-competitive bids accepted$20,598,700
Federal Reserve (SOMA) add-on$2,727,323,500
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.055
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.055
Bids at the high rate filled, %51.03
Bid-to-cover ratio3.29
Indirect bidders accepted$15,723,000,500
Direct bidders accepted$300,000,000
Primary dealers accepted$7,956,527,000
Indirect bidders' share, % (ours)65.6
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)33.2
High minus median, basis points (ours)1.5

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 ratio3.29Last 24 auctions5 of 2419 of 242.92
Bid-to-cover ratio3.29All 79 since 29 January 201442 of 7937 of 793.32
High discount margin0.055Last 24 auctions20 of 244 of 240.152
High discount margin0.055All 79 since 29 January 201459 of 7918 of 790.086
Indirect bidders' share65.6Last 24 auctions2 of 2422 of 2448.3
Indirect bidders' share65.6All 79 since 29 January 20143 of 7976 of 7946.7
Direct bidders' share1.3Last 24 auctions12 of 2412 of 241.2
Direct bidders' share1.3All 79 since 29 January 201447 of 7932 of 791.6
Primary dealers' share33.2Last 24 auctions21 of 243 of 2449.6
Primary dealers' share33.2All 79 since 29 January 201475 of 794 of 7950.5
High minus median, basis points1.5Last 24 auctions10 of 2414 of 241.3
High minus median, basis points1.5All 79 since 29 January 201418 of 7957 of 790.9

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 July 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200728_4.pdf. Compiled by 500metrics, "2-year FRN auction of 28 July 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2020-07-28.

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.