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

The 2-year FRN sold $26.082 billion at a high discount margin of 0.037% on , with a bid-to-cover ratio of 3.13.

Announced
Issued
Matures

Discount margin

0.037%

Median discount margin 0.010%

Bid-to-cover

3.13

▼ −2.19 since 14 Jul

Sold

$26.08 billion

$24 billion offered

Indirect bidders

69.4%

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 23 October 2019 to 27 July 2022; the latest at 0.037%.-0.1%0.0%0.1%0.2%0.3%2019202020212022This auction, 0.037%Discount margin at the last 36 2-year FRN auctions36 auctions from 23 October 2019 to 27 July 2022; the latest at 0.037%.-0.1%-0.1%0.0%0.1%0.1%202120220.037%

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
0.0373.13
-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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.133.228 of 124 of 12
High discount margin0.037-0.0021 of 1211 of 12
Indirect bidders' share69.468.15 of 127 of 12
Direct bidders' share1.11.16 of 126 of 12
Primary dealers' share29.528.46 of 126 of 12
High minus median, basis points2.70.80 of 1212 of 12

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

  • High minus median, basis points: Highest for a 2-year FRN since 26 February 2020 (29 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 69.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 14 July 2022

Indirect bidders took 69.4% of the competitive bids acceptedIndirect bidders 69.4%, Direct bidders 1.1%, Primary dealers 29.5%Indirect bidders69.4%0.0%Direct bidders1.1%0.0%Primary dealers29.5%100.0%Indirect bidders took 69.4% of the competitive bids acceptedIndirect bidders 69.4%, Direct bidders 1.1%, Primary dealers 29.5%Indirect bidders69.4%0.0%Direct bidders1.1%0.0%Primary dealers29.5%100.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders69.40.0
Direct bidders1.10.0
Primary dealers29.5100.0

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$77,295,483,300
Sold$26,082,304,300
Competitive bids accepted$23,976,282,600
Non-competitive bids accepted$23,734,900
Federal Reserve (SOMA) add-on$2,082,286,800
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.037
Median rate, %0.010
Low rate, %-0.020
Interest rate (coupon), %–
Spread, %0.037
Bids at the high rate filled, %18.07
Bid-to-cover ratio3.13
Indirect bidders accepted$16,640,757,600
Direct bidders accepted$260,000,000
Primary dealers accepted$7,075,525,000
Indirect bidders' share, % (ours)69.4
Direct bidders' share, % (ours)1.1
Primary dealers' share, % (ours)29.5
High minus median, basis points (ours)2.7

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 ratio3.13Last 24 auctions11 of 2413 of 243.04
Bid-to-cover ratio3.13All 104 since 29 January 201460 of 10443 of 1043.23
High discount margin0.037Last 24 auctions8 of 2416 of 240.030
High discount margin0.037All 104 since 29 January 201482 of 10422 of 1040.069
Indirect bidders' share69.4Last 24 auctions6 of 2418 of 2459.7
Indirect bidders' share69.4All 104 since 29 January 20147 of 10497 of 10448.8
Direct bidders' share1.1Last 24 auctions14 of 2410 of 241.3
Direct bidders' share1.1All 104 since 29 January 201464 of 10440 of 1041.5
Primary dealers' share29.5Last 24 auctions17 of 247 of 2435.4
Primary dealers' share29.5All 104 since 29 January 201496 of 1048 of 10448.5
High minus median, basis points2.7Last 24 auctions0 of 2424 of 240.8
High minus median, basis points2.7All 104 since 29 January 20148 of 10496 of 1040.9

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 July 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220727_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 July 2022 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2022-07-27.

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.