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Treasury auctions · 2-Year FRN

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

The 2-year FRN sold $26.727 billion at a high discount margin of 0.055% on , with a bid-to-cover ratio of 3.29.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 27 Sep 2017 to 28 Jul 2020
Discount margin at each 2-year FRN auction, 29 Aug 2018 to 28 Jul 2020

Bid-to-cover ratio at each 2-year FRN auction

The last 36 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 27 Sep 2017 to 28 Jul 2020
Bid-to-cover ratio at each 2-year FRN auction, 29 Aug 2018 to 28 Jul 2020

Who bought the 2-year FRN of 28 Jul 2020

Shares of the competitive bids accepted

  • Indirect bidders 65.6%
  • Direct bidders 1.3%
  • Primary dealers 33.2%
This auction, 28 Jul 2020
  • Indirect bidders 20.8%
  • Direct bidders 19.6%
  • Primary dealers 59.6%
The 2-year FRN auction before, 24 Jun 2020

Each point is one 2-year FRN auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders65.6%
Inspect and compare dates
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
0.0353.69
0.0483.56
0.0553.46

Observed .

Right now

The high discount margin of 0.055% on 28 July 2020 was the lowest for a 2-year FRN since 28 November 2018.

The indirect bidders' share of 65.6% was the highest for a 2-year FRN since 26 June 2019, with 13 auctions in between.

Higher than 18 of the 79 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the indirect bidders' share was higher than 22 of the 24.

The primary dealers' share was higher than 3 of them.

See every measure against earlier auctions

Who bought

Indirect bidders took the largest share of the competitive bids accepted.

  • Indirect bidders 65.6%
  • Direct bidders 1.3%
  • Primary dealers 33.2%

Size

Treasury sold $26.727 billion of the $24 billion offered.

Bids received came to $81.731 billion; the bid-to-cover ratio was 3.29.

Its bid-to-cover of 3.29 compares with the 24 auctions before it: lowest 2.49 on , highest 5.40 on ; 27.5% of the way from the low to the high.

3.29

Low 2.49 Midpoint 3.945 High 5.40

The security2-Year, new issue

Announced
Issued
Matures

It adds to the debt that matures in July 2022.

Understanding this result

Where it stands today

The high discount margin was 0.055% at this 2-year FRN auction, the median discount margin 0.040% and a bid-to-cover ratio of 3.29.

What do these figures measure?

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.

Read more

What these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as2-Year, new issue
Offering amount$24,000,000,000
Bids received$81,730,922,700
Sold$26,727,449,700
Competitive bids accepted$23,979,527,500
Non-competitive bids accepted$20,598,700
Federal Reserve (SOMA) add-on$2,727,323,500
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.055
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.055
Bids at the high rate filled, %51.03
Bid-to-cover ratio3.29
Indirect bidders accepted$15,723,000,500
Direct bidders accepted$300,000,000
Primary dealers accepted$7,956,527,000
Indirect bidders' share, % (ours)65.6
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)33.2
High minus median, basis points (ours)1.5
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.292.972 of 1210 of 12
High discount margin0.0550.22912 of 120 of 12
Indirect bidders' share65.647.30 of 1212 of 12
Direct bidders' share1.31.47 of 125 of 12
Primary dealers' share33.249.611 of 121 of 12
High minus median, basis points1.51.66 of 126 of 12

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

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 ratio3.29Last 24 auctions5 of 2419 of 242.92
Bid-to-cover ratio3.29All 79 since 29 January 201442 of 7937 of 793.32
High discount margin0.055Last 24 auctions20 of 244 of 240.152
High discount margin0.055All 79 since 29 January 201459 of 7918 of 790.086
Indirect bidders' share65.6Last 24 auctions2 of 2422 of 2448.3
Indirect bidders' share65.6All 79 since 29 January 20143 of 7976 of 7946.7
Direct bidders' share1.3Last 24 auctions12 of 2412 of 241.2
Direct bidders' share1.3All 79 since 29 January 201447 of 7932 of 791.6
Primary dealers' share33.2Last 24 auctions21 of 243 of 2449.6
Primary dealers' share33.2All 79 since 29 January 201475 of 794 of 7950.5
High minus median, basis points1.5Last 24 auctions10 of 2414 of 241.3
High minus median, basis points1.5All 79 since 29 January 201418 of 7957 of 790.9

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

When are the figures from, and how are they cited?Dates and how to cite

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 to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 28 July 2020. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2020/R_20200728_4.pdf. Compiled by 500metrics, "2-year FRN auction of 28 July 2020 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2020-07-28.

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