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2-year FRN auction of 26 October 2022 (new issue)

The 2-year FRN sold $24 billion at a high discount margin of 0.140% on , with a bid-to-cover ratio of 2.65.

Announced
Issued
Matures

Discount margin

0.140%

Median discount margin 0.095%

Bid-to-cover

2.65

▼ −0.19 since 28 Sep

Sold

$24.00 billion

$24 billion offered

Indirect bidders

72.6%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 25 March 2020

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 25 March 202036 auctions from 18 December 2019 to 26 October 2022; the latest at 0.140%.-0.1%0.0%0.1%0.2%0.3%202020212022This auction, 0.140%The high discount margin was the highest for a 2-year FRN since 25 March 202036 auctions from 18 December 2019 to 26 October 2022; the latest at 0.140%.-0.1%0.0%0.1%0.2%202120220.140%

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
0.1402.65
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.653.2210 of 122 of 12
High discount margin0.140-0.0020 of 1212 of 12
Indirect bidders' share72.668.35 of 127 of 12
Direct bidders' share1.51.25 of 127 of 12
Primary dealers' share25.928.47 of 125 of 12
High minus median, basis points4.51.20 of 1212 of 12

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

  • High minus median, basis points: Highest of all 107 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Indirect bidders took 72.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 September 2022

Indirect bidders took 72.6% of the competitive bids acceptedIndirect bidders 72.6%, Direct bidders 1.5%, Primary dealers 25.9%Indirect bidders72.6%64.2%Direct bidders1.5%1.7%Primary dealers25.9%34.1%Indirect bidders took 72.6% of the competitive bids acceptedIndirect bidders 72.6%, Direct bidders 1.5%, Primary dealers 25.9%Indirect bidders72.6%64.2%Direct bidders1.5%1.7%Primary dealers25.9%34.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders72.664.2
Direct bidders1.51.7
Primary dealers25.934.1

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$63,598,009,900
Sold$24,000,072,400
Competitive bids accepted$23,957,062,500
Non-competitive bids accepted$43,009,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.140
Median rate, %0.095
Low rate, %0.050
Interest rate (coupon), %–
Spread, %0.140
Bids at the high rate filled, %69.95
Bid-to-cover ratio2.65
Indirect bidders accepted$17,394,950,000
Direct bidders accepted$350,000,000
Primary dealers accepted$6,212,112,500
Indirect bidders' share, % (ours)72.6
Direct bidders' share, % (ours)1.5
Primary dealers' share, % (ours)25.9
High minus median, basis points (ours)4.5

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 ratio2.65Last 24 auctions22 of 242 of 243.04
Bid-to-cover ratio2.65All 107 since 29 January 2014101 of 1076 of 1073.22
High discount margin0.140Last 24 auctions0 of 2424 of 240.030
High discount margin0.140All 107 since 29 January 201429 of 10776 of 1070.069
Indirect bidders' share72.6Last 24 auctions5 of 2419 of 2464.6
Indirect bidders' share72.6All 107 since 29 January 20146 of 107101 of 10749.2
Direct bidders' share1.5Last 24 auctions10 of 2414 of 241.3
Direct bidders' share1.5All 107 since 29 January 201454 of 10753 of 1071.5
Primary dealers' share25.9Last 24 auctions19 of 245 of 2433.7
Primary dealers' share25.9All 107 since 29 January 2014101 of 1076 of 10748.4
High minus median, basis points4.5Last 24 auctions0 of 2424 of 240.8
High minus median, basis points4.5All 107 since 29 January 20140 of 107107 of 1070.9

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 26 October 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20221026_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 October 2022 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2022-10-26.

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.