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2-year FRN auction of 28 September 2022 (reopening)

The 2-year FRN sold $22 billion at a high discount margin of 0.092% on , with a bid-to-cover ratio of 2.84.

Announced
Issued
Matures

Discount margin

0.092%

Median discount margin 0.070%

Bid-to-cover

2.84

▲ +0.27 since 24 Aug

Sold

$22.00 billion

$22 billion offered

Indirect bidders

64.2%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 27 May 2020

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 27 May 202036 auctions from 6 December 2019 to 28 September 2022; the latest at 0.092%.-0.1%0.0%0.1%0.2%0.3%202020212022This auction, 0.092%The high discount margin was the highest for a 2-year FRN since 27 May 202036 auctions from 6 December 2019 to 28 September 2022; the latest at 0.092%.-0.1%-0.1%0.0%0.1%0.1%202120220.092%

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
0.0922.84
0.0902.57
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.843.229 of 123 of 12
High discount margin0.092-0.0020 of 1212 of 12
Indirect bidders' share64.268.38 of 124 of 12
Direct bidders' share1.71.04 of 128 of 12
Primary dealers' share34.128.43 of 129 of 12
High minus median, basis points2.21.03 of 129 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 64.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 August 2022

Indirect bidders took 64.2% of the competitive bids acceptedIndirect bidders 64.2%, Direct bidders 1.7%, Primary dealers 34.1%Indirect bidders64.2%57.1%Direct bidders1.7%0.9%Primary dealers34.1%42.1%Indirect bidders took 64.2% of the competitive bids acceptedIndirect bidders 64.2%, Direct bidders 1.7%, Primary dealers 34.1%Indirect bidders64.2%57.1%Direct bidders1.7%0.9%Primary dealers34.1%42.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders64.257.1
Direct bidders1.70.9
Primary dealers34.142.1

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$22,000,000,000
Bids received$62,574,589,100
Sold$22,000,029,100
Competitive bids accepted$21,966,440,000
Non-competitive bids accepted$33,589,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.092
Median rate, %0.070
Low rate, %0.030
Interest rate (coupon), %–
Spread, %0.037
Bids at the high rate filled, %65.84
Bid-to-cover ratio2.84
Indirect bidders accepted$14,095,600,000
Direct bidders accepted$375,000,000
Primary dealers accepted$7,495,840,000
Indirect bidders' share, % (ours)64.2
Direct bidders' share, % (ours)1.7
Primary dealers' share, % (ours)34.1
High minus median, basis points (ours)2.2

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 ratio2.84Last 24 auctions18 of 245 of 243.08
Bid-to-cover ratio2.84All 106 since 29 January 201486 of 10618 of 1063.22
High discount margin0.092Last 24 auctions0 of 2424 of 240.030
High discount margin0.092All 106 since 29 January 201439 of 10667 of 1060.069
Indirect bidders' share64.2Last 24 auctions12 of 2412 of 2462.3
Indirect bidders' share64.2All 106 since 29 January 201416 of 10690 of 10649.1
Direct bidders' share1.7Last 24 auctions9 of 2415 of 241.2
Direct bidders' share1.7All 106 since 29 January 201448 of 10658 of 1061.4
Primary dealers' share34.1Last 24 auctions11 of 2413 of 2433.7
Primary dealers' share34.1All 106 since 29 January 201488 of 10618 of 10648.4
High minus median, basis points2.2Last 24 auctions3 of 2421 of 240.8
High minus median, basis points2.2All 106 since 29 January 201412 of 10694 of 1060.9

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 28 September 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220928_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 September 2022 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2022-09-28.

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.