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2-year FRN auction of 23 August 2023 (reopening)

The 2-year FRN sold $24 billion at a high discount margin of 0.165% on , with a bid-to-cover ratio of 2.42.

Announced
Issued
Matures

Discount margin

0.165%

Median discount margin 0.130%

Bid-to-cover

2.42

▼ −0.16 since 26 Jul

Sold

$24.00 billion

$24 billion offered

Indirect bidders

36.0%

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 28 October 2020 to 23 August 2023; the latest at 0.165%.-0.1%0.0%0.1%0.2%0.3%2020202120222023This auction, 0.165%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 October 2020 to 23 August 2023; the latest at 0.165%.-0.1%0.0%0.1%0.2%0.3%202220230.165%

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
0.1652.42
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.422.8612 of 120 of 12
High discount margin0.1650.1646 of 126 of 12
Indirect bidders' share36.065.812 of 120 of 12
Direct bidders' share1.70.92 of 1210 of 12
Primary dealers' share62.333.30 of 1212 of 12
High minus median, basis points3.53.04 of 128 of 12

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

  • Bid-to-cover ratio: Lowest of all 117 earlier 2-year FRN auctions we hold.
  • Indirect bidders' share: Lowest for a 2-year FRN since 14 July 2022 (13 auctions in between).
  • Primary dealers' share: Highest for a 2-year FRN since 14 July 2022 (13 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 62.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 July 2023

Primary dealers took 62.3% of the competitive bids acceptedIndirect bidders 36.0%, Direct bidders 1.7%, Primary dealers 62.3%Indirect bidders36.0%53.3%Direct bidders1.7%0.0%Primary dealers62.3%46.7%Primary dealers took 62.3% of the competitive bids acceptedIndirect bidders 36.0%, Direct bidders 1.7%, Primary dealers 62.3%Indirect bidders36.0%53.3%Direct bidders1.7%0.0%Primary dealers62.3%46.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders36.053.3
Direct bidders1.70.0
Primary dealers62.346.7

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$24,000,000,000
Bids received$58,174,958,100
Sold$24,000,038,100
Competitive bids accepted$23,954,161,000
Non-competitive bids accepted$45,877,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.165
Median rate, %0.130
Low rate, %0.050
Interest rate (coupon), %–
Spread, %0.125
Bids at the high rate filled, %58.76
Bid-to-cover ratio2.42
Indirect bidders accepted$8,633,081,000
Direct bidders accepted$400,000,000
Primary dealers accepted$14,921,080,000
Indirect bidders' share, % (ours)36.0
Direct bidders' share, % (ours)1.7
Primary dealers' share, % (ours)62.3
High minus median, basis points (ours)3.5

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 ratio2.42Last 24 auctions24 of 240 of 243.08
Bid-to-cover ratio2.42All 117 since 29 January 2014117 of 1170 of 1173.22
High discount margin0.165Last 24 auctions6 of 2418 of 240.064
High discount margin0.165All 117 since 29 January 201430 of 11786 of 1170.076
Indirect bidders' share36.0Last 24 auctions22 of 242 of 2467.3
Indirect bidders' share36.0All 117 since 29 January 201499 of 11718 of 11749.6
Direct bidders' share1.7Last 24 auctions6 of 2418 of 240.9
Direct bidders' share1.7All 117 since 29 January 201450 of 11767 of 1171.3
Primary dealers' share62.3Last 24 auctions1 of 2423 of 2432.1
Primary dealers' share62.3All 117 since 29 January 201413 of 117104 of 11747.1
High minus median, basis points3.5Last 24 auctions4 of 2420 of 242.0
High minus median, basis points3.5All 117 since 29 January 20146 of 117109 of 1171.0

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 23 August 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230823_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 August 2023 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2023-08-23.

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.