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

The 2-year FRN sold $28.759 billion at a high discount margin of 0.055% on , with a bid-to-cover ratio of 3.22.

Announced
Issued
Matures

Discount margin

0.055%

Median discount margin 0.045%

Bid-to-cover

3.22

▲ +0.34 since 23 Sep

Sold

$28.76 billion

$26 billion offered

Indirect bidders

57.6%

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 27 December 2017 to 28 October 2020; the latest at 0.055%.0.0%0.1%0.2%0.3%201820192020This auction, 0.055%Discount margin at the last 36 2-year FRN auctions36 auctions from 27 December 2017 to 28 October 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
0.0553.22
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.223.074 of 128 of 12
High discount margin0.0550.13410 of 120 of 12
Indirect bidders' share57.641.72 of 1210 of 12
Direct bidders' share0.31.411 of 121 of 12
Primary dealers' share42.147.59 of 123 of 12
High minus median, basis points1.01.37 of 125 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 57.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 September 2020

Indirect bidders took 57.6% of the competitive bids acceptedIndirect bidders 57.6%, Direct bidders 0.3%, Primary dealers 42.1%Indirect bidders57.6%16.3%Direct bidders0.3%9.4%Primary dealers42.1%74.4%Indirect bidders took 57.6% of the competitive bids acceptedIndirect bidders 57.6%, Direct bidders 0.3%, Primary dealers 42.1%Indirect bidders57.6%16.3%Direct bidders0.3%9.4%Primary dealers42.1%74.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders57.616.3
Direct bidders0.39.4
Primary dealers42.174.4

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$26,000,000,000
Bids received$86,454,323,200
Sold$28,758,513,200
Competitive bids accepted$25,958,520,000
Non-competitive bids accepted$41,558,100
Federal Reserve (SOMA) add-on$2,758,435,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.055
Median rate, %0.045
Low rate, %0.030
Interest rate (coupon), %–
Spread, %0.055
Bids at the high rate filled, %1.01
Bid-to-cover ratio3.22
Indirect bidders accepted$14,962,865,000
Direct bidders accepted$75,000,000
Primary dealers accepted$10,920,655,000
Indirect bidders' share, % (ours)57.6
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)42.1
High minus median, basis points (ours)1.0

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 ratio3.22Last 24 auctions6 of 2418 of 242.88
Bid-to-cover ratio3.22All 82 since 29 January 201446 of 8236 of 823.32
High discount margin0.055Last 24 auctions21 of 241 of 240.152
High discount margin0.055All 82 since 29 January 201460 of 8218 of 820.084
Indirect bidders' share57.6Last 24 auctions4 of 2420 of 2448.3
Indirect bidders' share57.6All 82 since 29 January 201411 of 8271 of 8246.9
Direct bidders' share0.3Last 24 auctions18 of 246 of 241.3
Direct bidders' share0.3All 82 since 29 January 201465 of 8217 of 821.5
Primary dealers' share42.1Last 24 auctions19 of 245 of 2449.6
Primary dealers' share42.1All 82 since 29 January 201468 of 8214 of 8250.3
High minus median, basis points1.0Last 24 auctions15 of 245 of 241.4
High minus median, basis points1.0All 82 since 29 January 201435 of 8241 of 821.0

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 October 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20201028_4.pdf. Compiled by 500metrics, "2-year FRN auction of 28 October 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2020-10-28.

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.