500metrics

All sources checked Checked

2-year FRN auction of 26 July 2023 (new issue)

The 2-year FRN sold $24 billion at a high discount margin of 0.125% on , with a bid-to-cover ratio of 2.58.

Announced
Issued
Matures

Discount margin

0.125%

Median discount margin 0.095%

Bid-to-cover

2.58

▼ −0.81 since 28 Jun

Sold

$24.00 billion

$24 billion offered

Indirect bidders

53.3%

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 23 September 2020 to 26 July 2023; the latest at 0.125%.-0.1%0.0%0.1%0.2%0.3%2020202120222023This auction, 0.125%Discount margin at the last 36 2-year FRN auctions36 auctions from 23 September 2020 to 26 July 2023; the latest at 0.125%.-0.1%0.0%0.1%0.2%0.3%202220230.125%

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
0.1252.58
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.582.9610 of 122 of 12
High discount margin0.1250.1649 of 123 of 12
Indirect bidders' share53.367.811 of 121 of 12
Direct bidders' share0.01.010 of 120 of 12
Primary dealers' share46.732.11 of 1211 of 12
High minus median, basis points3.03.05 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 53.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 June 2023

Indirect bidders took 53.3% of the competitive bids acceptedIndirect bidders 53.3%, Direct bidders 0.0%, Primary dealers 46.7%Indirect bidders53.3%61.1%Direct bidders0.0%0.0%Primary dealers46.7%38.9%Indirect bidders took 53.3% of the competitive bids acceptedIndirect bidders 53.3%, Direct bidders 0.0%, Primary dealers 46.7%Indirect bidders53.3%61.1%Direct bidders0.0%0.0%Primary dealers46.7%38.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders53.361.1
Direct bidders0.00.0
Primary dealers46.738.9

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$61,889,013,600
Sold$24,000,083,600
Competitive bids accepted$23,841,350,000
Non-competitive bids accepted$158,733,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.125
Median rate, %0.095
Low rate, %0.046
Interest rate (coupon), %–
Spread, %0.125
Bids at the high rate filled, %96.18
Bid-to-cover ratio2.58
Indirect bidders accepted$12,701,280,000
Direct bidders accepted$0
Primary dealers accepted$11,140,070,000
Indirect bidders' share, % (ours)53.3
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)46.7
High minus median, basis points (ours)3.0

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 ratio2.58Last 24 auctions21 of 243 of 243.15
Bid-to-cover ratio2.58All 116 since 29 January 2014110 of 1165 of 1163.22
High discount margin0.125Last 24 auctions9 of 2415 of 240.038
High discount margin0.125All 116 since 29 January 201442 of 11674 of 1160.075
Indirect bidders' share53.3Last 24 auctions21 of 243 of 2467.8
Indirect bidders' share53.3All 116 since 29 January 201445 of 11671 of 11649.6
Direct bidders' share0.0Last 24 auctions17 of 240 of 241.0
Direct bidders' share0.0All 116 since 29 January 2014101 of 1160 of 1161.3
Primary dealers' share46.7Last 24 auctions3 of 2421 of 2431.3
Primary dealers' share46.7All 116 since 29 January 201461 of 11655 of 11647.5
High minus median, basis points3.0Last 24 auctions5 of 2418 of 242.0
High minus median, basis points3.0All 116 since 29 January 20149 of 116102 of 1161.0

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 26 July 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230726_2.pdf. Compiled by 500metrics, "2-year FRN auction of 26 July 2023 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2023-07-26.

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.