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2-year FRN auction of 22 November 2022 (reopening)

The 2-year FRN sold $22 billion at a high discount margin of 0.220% on , with a bid-to-cover ratio of 2.45.

Announced
Issued
Matures

Discount margin

0.220%

Median discount margin 0.170%

Bid-to-cover

2.45

▼ −0.20 since 26 Oct

Sold

$22.00 billion

$22 billion offered

Indirect bidders

43.6%

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 28 January 2020 to 22 November 2022; the latest at 0.220%.-0.1%0.0%0.1%0.2%0.3%202020212022This auction, 0.220%The high discount margin was the highest for a 2-year FRN since 25 March 202036 auctions from 28 January 2020 to 22 November 2022; the latest at 0.220%.-0.1%0.0%0.1%0.2%0.3%202120220.220%

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
0.2202.45
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.453.2212 of 120 of 12
High discount margin0.220-0.0020 of 1212 of 12
Indirect bidders' share43.668.310 of 122 of 12
Direct bidders' share4.71.33 of 129 of 12
Primary dealers' share51.728.41 of 1211 of 12
High minus median, basis points5.01.60 of 1212 of 12

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

  • Bid-to-cover ratio: Lowest of all 108 earlier 2-year FRN auctions we hold.
  • High minus median, basis points: Highest of all 108 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 51.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 October 2022

Primary dealers took 51.7% of the competitive bids acceptedIndirect bidders 43.6%, Direct bidders 4.7%, Primary dealers 51.7%Indirect bidders43.6%72.6%Direct bidders4.7%1.5%Primary dealers51.7%25.9%Primary dealers took 51.7% of the competitive bids acceptedIndirect bidders 43.6%, Direct bidders 4.7%, Primary dealers 51.7%Indirect bidders43.6%72.6%Direct bidders4.7%1.5%Primary dealers51.7%25.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders43.672.6
Direct bidders4.71.5
Primary dealers51.725.9

About these figures

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

Treasury's published result

FieldValue
Offered as1-Year 11-Month, reopening
Offering amount$22,000,000,000
Bids received$53,845,187,000
Sold$22,000,102,000
Competitive bids accepted$21,930,915,000
Non-competitive bids accepted$69,187,000
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.220
Median rate, %0.170
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.140
Bids at the high rate filled, %45.23
Bid-to-cover ratio2.45
Indirect bidders accepted$9,566,000,000
Direct bidders accepted$1,025,000,000
Primary dealers accepted$11,339,915,000
Indirect bidders' share, % (ours)43.6
Direct bidders' share, % (ours)4.7
Primary dealers' share, % (ours)51.7
High minus median, basis points (ours)5.0

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 ratio2.45Last 24 auctions24 of 240 of 243.04
Bid-to-cover ratio2.45All 108 since 29 January 2014108 of 1080 of 1083.22
High discount margin0.220Last 24 auctions0 of 2424 of 240.030
High discount margin0.220All 108 since 29 January 201410 of 10896 of 1080.069
Indirect bidders' share43.6Last 24 auctions22 of 242 of 2465.5
Indirect bidders' share43.6All 108 since 29 January 201472 of 10836 of 10849.3
Direct bidders' share4.7Last 24 auctions3 of 2421 of 241.3
Direct bidders' share4.7All 108 since 29 January 201426 of 10882 of 1081.5
Primary dealers' share51.7Last 24 auctions1 of 2423 of 2432.7
Primary dealers' share51.7All 108 since 29 January 201438 of 10870 of 10848.3
High minus median, basis points5.0Last 24 auctions0 of 2424 of 240.8
High minus median, basis points5.0All 108 since 29 January 20140 of 108108 of 1080.9

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 22 November 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20221122_1.pdf. Compiled by 500metrics, "2-year FRN auction of 22 November 2022 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2022-11-22.

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.