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2-year FRN auction of 27 April 2022 (new issue)

The 2-year FRN sold $27.328 billion at a high discount margin of -0.075% on , with a bid-to-cover ratio of 2.51.

Announced
Issued
Matures

Discount margin

-0.075%

Median discount margin -0.100%

Bid-to-cover

2.51

▼ −1.24 since 23 Mar

Sold

$27.33 billion

$24 billion offered

Indirect bidders

29.5%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN of all 100 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN of all 100 earlier auctions we hold36 auctions from 26 June 2019 to 27 April 2022; the latest at -0.075%.-0.1%0.0%0.1%0.2%0.3%2019202020212022This auction, -0.075%The high discount margin was the lowest for a 2-year FRN of all 100 earlier auctions we hold36 auctions from 26 June 2019 to 27 April 2022; the latest at -0.075%.-0.1%-0.1%0.0%0.1%0.1%202020212022-0.075%

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
-0.0752.51
-0.0553.75
-0.0503.22
-0.0153.34
0.0304.03
0.0382.80
0.0352.99
0.0262.84
0.0263.17
0.0293.04
0.0303.23
0.0303.03
0.0342.91
0.0353.25
0.0452.88
0.0492.82
0.0602.83
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.513.1012 of 120 of 12
High discount margin-0.0750.03012 of 120 of 12
Indirect bidders' share29.567.712 of 120 of 12
Direct bidders' share20.91.20 of 1212 of 12
Primary dealers' share49.630.70 of 1212 of 12
High minus median, basis points2.50.60 of 1212 of 12

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

  • Bid-to-cover ratio: Lowest for a 2-year FRN since 26 February 2020 (25 auctions in between).
  • Indirect bidders' share: Lowest for a 2-year FRN since 23 September 2020 (18 auctions in between).
  • Direct bidders' share: Highest of all 100 earlier 2-year FRN auctions we hold.
  • Primary dealers' share: Highest for a 2-year FRN since 23 September 2020 (18 auctions in between).
  • High minus median, basis points: Highest for a 2-year FRN since 26 February 2020 (25 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 49.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 March 2022

Primary dealers took 49.6% of the competitive bids acceptedIndirect bidders 29.5%, Direct bidders 20.9%, Primary dealers 49.6%Indirect bidders29.5%76.2%Direct bidders20.9%0.0%Primary dealers49.6%23.8%Primary dealers took 49.6% of the competitive bids acceptedIndirect bidders 29.5%, Direct bidders 20.9%, Primary dealers 49.6%Indirect bidders29.5%76.2%Direct bidders20.9%0.0%Primary dealers49.6%23.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders29.576.2
Direct bidders20.90.0
Primary dealers49.623.8

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$63,458,993,900
Sold$27,327,613,900
Competitive bids accepted$23,938,470,000
Non-competitive bids accepted$56,549,600
Federal Reserve (SOMA) add-on$3,327,594,300
Foreign and international (FIMA) non-competitive$5,000,000
Discount margin, %-0.075
Median rate, %-0.100
Low rate, %-0.160
Interest rate (coupon), %–
Spread, %-0.075
Bids at the high rate filled, %59.59
Bid-to-cover ratio2.51
Indirect bidders accepted$7,054,700,000
Direct bidders accepted$5,000,000,000
Primary dealers accepted$11,883,770,000
Indirect bidders' share, % (ours)29.5
Direct bidders' share, % (ours)20.9
Primary dealers' share, % (ours)49.6
High minus median, basis points (ours)2.5

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 ratio2.51Last 24 auctions24 of 240 of 243.04
Bid-to-cover ratio2.51All 100 since 29 January 201498 of 1002 of 1003.23
High discount margin-0.075Last 24 auctions24 of 240 of 240.036
High discount margin-0.075All 100 since 29 January 2014100 of 1000 of 1000.070
Indirect bidders' share29.5Last 24 auctions22 of 242 of 2459.5
Indirect bidders' share29.5All 100 since 29 January 201490 of 10010 of 10048.8
Direct bidders' share20.9Last 24 auctions0 of 2424 of 241.3
Direct bidders' share20.9All 100 since 29 January 20140 of 100100 of 1001.4
Primary dealers' share49.6Last 24 auctions2 of 2422 of 2435.4
Primary dealers' share49.6All 100 since 29 January 201445 of 10055 of 10048.5
High minus median, basis points2.5Last 24 auctions0 of 2424 of 240.8
High minus median, basis points2.5All 100 since 29 January 20148 of 10092 of 1000.9

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 27 April 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220427_2.pdf. Compiled by 500metrics, "2-year FRN auction of 27 April 2022 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2022-04-27.

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.