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

The 2-year FRN sold $22 billion at a high discount margin of 0.239% on , with a bid-to-cover ratio of 3.40.

Announced
Issued
Matures

Discount margin

0.239%

Median discount margin 0.220%

Bid-to-cover

3.40

▲ +0.95 since 22 Nov

Sold

$22.00 billion

$22 billion offered

Indirect bidders

60.7%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 18 December 2019

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 18 December 201936 auctions from 26 February 2020 to 28 December 2022; the latest at 0.239%.-0.1%0.0%0.1%0.2%0.3%202020212022This auction, 0.239%The high discount margin was the highest for a 2-year FRN since 18 December 201936 auctions from 26 February 2020 to 28 December 2022; the latest at 0.239%.-0.1%0.0%0.1%0.2%0.3%202120220.239%

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
0.2393.40
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.403.183 of 129 of 12
High discount margin0.239-0.0020 of 1212 of 12
Indirect bidders' share60.768.38 of 124 of 12
Direct bidders' share0.91.37 of 125 of 12
Primary dealers' share38.428.44 of 128 of 12
High minus median, basis points1.91.86 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 60.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 22 November 2022

Indirect bidders took 60.7% of the competitive bids acceptedIndirect bidders 60.7%, Direct bidders 0.9%, Primary dealers 38.4%Indirect bidders60.7%43.6%Direct bidders0.9%4.7%Primary dealers38.4%51.7%Indirect bidders took 60.7% of the competitive bids acceptedIndirect bidders 60.7%, Direct bidders 0.9%, Primary dealers 38.4%Indirect bidders60.7%43.6%Direct bidders0.9%4.7%Primary dealers38.4%51.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders60.743.6
Direct bidders0.94.7
Primary dealers38.451.7

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$74,867,290,300
Sold$22,000,190,300
Competitive bids accepted$21,966,939,000
Non-competitive bids accepted$33,251,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.239
Median rate, %0.220
Low rate, %0.170
Interest rate (coupon), %–
Spread, %0.140
Bids at the high rate filled, %81.80
Bid-to-cover ratio3.40
Indirect bidders accepted$13,326,939,000
Direct bidders accepted$200,000,000
Primary dealers accepted$8,440,000,000
Indirect bidders' share, % (ours)60.7
Direct bidders' share, % (ours)0.9
Primary dealers' share, % (ours)38.4
High minus median, basis points (ours)1.9

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 ratio3.40Last 24 auctions4 of 2420 of 243.04
Bid-to-cover ratio3.40All 109 since 29 January 201438 of 10971 of 1093.22
High discount margin0.239Last 24 auctions0 of 2424 of 240.030
High discount margin0.239All 109 since 29 January 20148 of 109101 of 1090.069
Indirect bidders' share60.7Last 24 auctions14 of 2410 of 2465.5
Indirect bidders' share60.7All 109 since 29 January 201423 of 10986 of 10949.2
Direct bidders' share0.9Last 24 auctions17 of 247 of 241.3
Direct bidders' share0.9All 109 since 29 January 201471 of 10938 of 1091.5
Primary dealers' share38.4Last 24 auctions8 of 2416 of 2432.7
Primary dealers' share38.4All 109 since 29 January 201482 of 10927 of 10948.4
High minus median, basis points1.9Last 24 auctions7 of 2417 of 241.0
High minus median, basis points1.9All 109 since 29 January 201420 of 10987 of 1090.9

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 December 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20221228_2.pdf. Compiled by 500metrics, "2-year FRN auction of 28 December 2022 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2022-12-28.

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.