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2-year FRN auction of 14 July 2022 (reopening)

The 2-year FRN sold $25 million at a high discount margin of -0.010% on , with a bid-to-cover ratio of 5.32.

Announced
Issued
Matures

Discount margin

-0.010%

Median discount margin -0.020%

Bid-to-cover

5.32

▲ +1.83 since 22 Jun

Sold

$25.00 million

$25 million offered

Indirect bidders

0.0%

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 25 September 2019 to 14 July 2022; the latest at -0.010%.-0.1%0.0%0.1%0.2%0.3%2019202020212022This auction, -0.010%Discount margin at the last 36 2-year FRN auctions36 auctions from 25 September 2019 to 14 July 2022; the latest at -0.010%.-0.1%-0.1%0.0%0.1%0.1%202020212022-0.010%

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
-0.0105.32
-0.0033.49
0.0003.22
-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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio5.323.200 of 1212 of 12
High discount margin-0.0100.0138 of 124 of 12
Indirect bidders' share0.070.512 of 120 of 12
Direct bidders' share0.01.28 of 120 of 12
Primary dealers' share100.027.10 of 1212 of 12
High minus median, basis points1.00.74 of 127 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year FRN since 6 December 2019 (31 auctions in between).
  • Indirect bidders' share: Lowest for a 2-year FRN since 6 December 2019 (31 auctions in between).
  • Primary dealers' share: Highest for a 2-year FRN since 6 December 2019 (31 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 100.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 22 June 2022

Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%67.2%Direct bidders0.0%6.9%Primary dealers100.0%25.9%Primary dealers took 100.0% of the competitive bids acceptedIndirect bidders 0.0%, Direct bidders 0.0%, Primary dealers 100.0%Indirect bidders0.0%67.2%Direct bidders0.0%6.9%Primary dealers100.0%25.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders0.067.2
Direct bidders0.06.9
Primary dealers100.025.9

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$25,000,000
Bids received$133,000,000
Sold$25,000,000
Competitive bids accepted$25,000,000
Non-competitive bids accepted$0
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %-0.010
Median rate, %-0.020
Low rate, %-0.050
Interest rate (coupon), %–
Spread, %-0.075
Bids at the high rate filled, %30.00
Bid-to-cover ratio5.32
Indirect bidders accepted$0
Direct bidders accepted$0
Primary dealers accepted$25,000,000
Indirect bidders' share, % (ours)0.0
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)100.0
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 ratio5.32Last 24 auctions0 of 2424 of 243.04
Bid-to-cover ratio5.32All 103 since 29 January 20142 of 103101 of 1033.23
High discount margin-0.010Last 24 auctions20 of 244 of 240.032
High discount margin-0.010All 103 since 29 January 201499 of 1034 of 1030.069
Indirect bidders' share0.0Last 24 auctions24 of 240 of 2462.3
Indirect bidders' share0.0All 103 since 29 January 2014102 of 1030 of 10348.9
Direct bidders' share0.0Last 24 auctions20 of 240 of 241.3
Direct bidders' share0.0All 103 since 29 January 201491 of 1030 of 1031.5
Primary dealers' share100.0Last 24 auctions0 of 2424 of 2433.7
Primary dealers' share100.0All 103 since 29 January 20140 of 103102 of 10348.5
High minus median, basis points1.0Last 24 auctions6 of 2415 of 240.8
High minus median, basis points1.0All 103 since 29 January 201439 of 10355 of 1030.9

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 14 July 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220714_9.pdf. Compiled by 500metrics, "2-year FRN auction of 14 July 2022 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2022-07-14.

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.