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2-year FRN auction of 24 November 2020 (reopening)

The 2-year FRN sold $24 billion at a high discount margin of 0.053% on , with a bid-to-cover ratio of 2.90.

Announced
Issued
Matures

Discount margin

0.053%

Median discount margin 0.045%

Bid-to-cover

2.90

▼ −0.32 since 28 Oct

Sold

$24.00 billion

$24 billion offered

Indirect bidders

47.5%

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 24 January 2018 to 24 November 2020; the latest at 0.053%.0.0%0.1%0.2%0.3%201820192020This auction, 0.053%The high discount margin was the lowest for a 2-year FRN since 28 November 201836 auctions from 24 January 2018 to 24 November 2020; the latest at 0.053%.0.0%0.1%0.2%0.3%201920200.053%

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
0.0532.90
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.903.149 of 123 of 12
High discount margin0.0530.10612 of 120 of 12
Indirect bidders' share47.550.57 of 125 of 12
Direct bidders' share5.41.44 of 128 of 12
Primary dealers' share47.146.25 of 127 of 12
High minus median, basis points0.81.27 of 123 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 47.5% of the competitive bids accepted

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

Indirect bidders took 47.5% of the competitive bids acceptedIndirect bidders 47.5%, Direct bidders 5.4%, Primary dealers 47.1%Indirect bidders47.5%57.6%Direct bidders5.4%0.3%Primary dealers47.1%42.1%Indirect bidders took 47.5% of the competitive bids acceptedIndirect bidders 47.5%, Direct bidders 5.4%, Primary dealers 47.1%Indirect bidders47.5%57.6%Direct bidders5.4%0.3%Primary dealers47.1%42.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.557.6
Direct bidders5.40.3
Primary dealers47.142.1

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$24,000,000,000
Bids received$69,643,338,500
Sold$24,000,088,500
Competitive bids accepted$23,985,750,000
Non-competitive bids accepted$14,338,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.053
Median rate, %0.045
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.055
Bids at the high rate filled, %44.54
Bid-to-cover ratio2.90
Indirect bidders accepted$11,394,000,000
Direct bidders accepted$1,300,000,000
Primary dealers accepted$11,291,750,000
Indirect bidders' share, % (ours)47.5
Direct bidders' share, % (ours)5.4
Primary dealers' share, % (ours)47.1
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 ratio2.90Last 24 auctions12 of 2412 of 242.90
Bid-to-cover ratio2.90All 83 since 29 January 201464 of 8318 of 833.32
High discount margin0.053Last 24 auctions24 of 240 of 240.152
High discount margin0.053All 83 since 29 January 201465 of 8317 of 830.084
Indirect bidders' share47.5Last 24 auctions15 of 249 of 2449.2
Indirect bidders' share47.5All 83 since 29 January 201439 of 8344 of 8347.1
Direct bidders' share5.4Last 24 auctions4 of 2420 of 241.2
Direct bidders' share5.4All 83 since 29 January 201418 of 8365 of 831.5
Primary dealers' share47.1Last 24 auctions13 of 2411 of 2448.3
Primary dealers' share47.1All 83 since 29 January 201454 of 8329 of 8350.2
High minus median, basis points0.8Last 24 auctions19 of 243 of 241.4
High minus median, basis points0.8All 83 since 29 January 201448 of 8329 of 831.0

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 24 November 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20201124_4.pdf. Compiled by 500metrics, "2-year FRN auction of 24 November 2020 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2020-11-24.

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.