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2-year FRN auction of 23 September 2020 (reopening)

The 2-year FRN sold $22 billion at a high discount margin of 0.058% on , with a bid-to-cover ratio of 2.88.

Announced
Issued
Matures

Discount margin

0.058%

Median discount margin 0.050%

Bid-to-cover

2.88

▲ +0.03 since 26 Aug

Sold

$22.00 billion

$22 billion offered

Indirect bidders

16.3%

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 21 November 2017 to 23 September 2020; the latest at 0.058%.0.0%0.1%0.2%0.3%201820192020This auction, 0.058%Discount margin at the last 36 2-year FRN auctions36 auctions from 21 November 2017 to 23 September 2020; the latest at 0.058%.0.0%0.1%0.2%0.3%201920200.058%

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
0.0582.88
0.0552.85
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.883.078 of 124 of 12
High discount margin0.0580.15710 of 122 of 12
Indirect bidders' share16.348.111 of 121 of 12
Direct bidders' share9.41.33 of 129 of 12
Primary dealers' share74.447.52 of 1210 of 12
High minus median, basis points0.81.48 of 123 of 12

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

Who bought the 2-year FRN?

Primary dealers took 74.4% of the competitive bids accepted

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

Primary dealers took 74.4% of the competitive bids acceptedIndirect bidders 16.3%, Direct bidders 9.4%, Primary dealers 74.4%Indirect bidders16.3%52.7%Direct bidders9.4%1.3%Primary dealers74.4%45.9%Primary dealers took 74.4% of the competitive bids acceptedIndirect bidders 16.3%, Direct bidders 9.4%, Primary dealers 74.4%Indirect bidders16.3%52.7%Direct bidders9.4%1.3%Primary dealers74.4%45.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders16.352.7
Direct bidders9.41.3
Primary dealers74.445.9

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$22,000,000,000
Bids received$63,408,207,700
Sold$22,000,067,700
Competitive bids accepted$21,991,860,000
Non-competitive bids accepted$8,207,700
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.058
Median rate, %0.050
Low rate, %0.030
Interest rate (coupon), %–
Spread, %0.055
Bids at the high rate filled, %50.98
Bid-to-cover ratio2.88
Indirect bidders accepted$3,575,000,000
Direct bidders accepted$2,060,000,000
Primary dealers accepted$16,356,860,000
Indirect bidders' share, % (ours)16.3
Direct bidders' share, % (ours)9.4
Primary dealers' share, % (ours)74.4
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 ratio2.88Last 24 auctions13 of 2411 of 242.90
Bid-to-cover ratio2.88All 81 since 29 January 201465 of 8116 of 813.32
High discount margin0.058Last 24 auctions20 of 244 of 240.152
High discount margin0.058All 81 since 29 January 201459 of 8122 of 810.085
Indirect bidders' share16.3Last 24 auctions23 of 241 of 2449.2
Indirect bidders' share16.3All 81 since 29 January 201480 of 811 of 8147.1
Direct bidders' share9.4Last 24 auctions3 of 2421 of 241.2
Direct bidders' share9.4All 81 since 29 January 20147 of 8174 of 811.5
Primary dealers' share74.4Last 24 auctions2 of 2422 of 2448.3
Primary dealers' share74.4All 81 since 29 January 20143 of 8178 of 8150.2
High minus median, basis points0.8Last 24 auctions19 of 244 of 241.4
High minus median, basis points0.8All 81 since 29 January 201447 of 8129 of 811.0

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 23 September 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200923_4.pdf. Compiled by 500metrics, "2-year FRN auction of 23 September 2020 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2020-09-23.

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.