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2-year FRN auction of 28 June 2023 (reopening)

The 2-year FRN sold $22 billion at a high discount margin of 0.134% on , with a bid-to-cover ratio of 3.39.

Announced
Issued
Matures

Discount margin

0.134%

Median discount margin 0.105%

Bid-to-cover

3.39

▲ +0.51 since 24 May

Sold

$22.00 billion

$22 billion offered

Indirect bidders

61.1%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 26 August 2020 to 28 June 2023; the latest at 0.134%.-0.1%0.0%0.1%0.2%0.3%2020202120222023This auction, 0.134%Discount margin at the last 36 2-year FRN auctions36 auctions from 26 August 2020 to 28 June 2023; the latest at 0.134%.-0.1%0.0%0.1%0.2%0.3%2021202220230.134%

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
0.1343.39
0.1702.88
0.1693.04
0.1903.51
0.1603.29
0.2002.80
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.392.963 of 129 of 12
High discount margin0.1340.1648 of 124 of 12
Indirect bidders' share61.167.88 of 124 of 12
Direct bidders' share0.01.09 of 123 of 12
Primary dealers' share38.932.13 of 129 of 12
High minus median, basis points2.92.86 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 61.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 May 2023

Indirect bidders took 61.1% of the competitive bids acceptedIndirect bidders 61.1%, Direct bidders 0.0%, Primary dealers 38.9%Indirect bidders61.1%71.9%Direct bidders0.0%1.0%Primary dealers38.9%27.1%Indirect bidders took 61.1% of the competitive bids acceptedIndirect bidders 61.1%, Direct bidders 0.0%, Primary dealers 38.9%Indirect bidders61.1%71.9%Direct bidders0.0%1.0%Primary dealers38.9%27.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders61.171.9
Direct bidders0.01.0
Primary dealers38.927.1

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$74,587,334,700
Sold$22,000,084,700
Competitive bids accepted$21,973,750,000
Non-competitive bids accepted$26,334,700
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.134
Median rate, %0.105
Low rate, %0.040
Interest rate (coupon), %–
Spread, %0.169
Bids at the high rate filled, %69.00
Bid-to-cover ratio3.39
Indirect bidders accepted$13,417,750,000
Direct bidders accepted$1,000,000
Primary dealers accepted$8,555,000,000
Indirect bidders' share, % (ours)61.1
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)38.9
High minus median, basis points (ours)2.9

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 ratio3.39Last 24 auctions6 of 2418 of 243.08
Bid-to-cover ratio3.39All 115 since 29 January 201440 of 11575 of 1153.22
High discount margin0.134Last 24 auctions8 of 2416 of 240.036
High discount margin0.134All 115 since 29 January 201440 of 11575 of 1150.074
Indirect bidders' share61.1Last 24 auctions17 of 247 of 2468.7
Indirect bidders' share61.1All 115 since 29 January 201428 of 11587 of 11549.6
Direct bidders' share0.0Last 24 auctions17 of 247 of 241.0
Direct bidders' share0.0All 115 since 29 January 201499 of 11516 of 1151.3
Primary dealers' share38.9Last 24 auctions5 of 2419 of 2430.2
Primary dealers' share38.9All 115 since 29 January 201481 of 11534 of 11547.9
High minus median, basis points2.9Last 24 auctions6 of 2418 of 242.0
High minus median, basis points2.9All 115 since 29 January 201414 of 115101 of 1151.0

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 June 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230628_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 June 2023 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2023-06-28.

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.