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2-year FRN auction of 27 September 2023 (reopening)

The 2-year FRN sold $24 billion at a high discount margin of 0.180% on , with a bid-to-cover ratio of 3.42.

Announced
Issued
Matures

Discount margin

0.180%

Median discount margin 0.165%

Bid-to-cover

3.42

▲ +1.00 since 23 Aug

Sold

$24.00 billion

$24 billion offered

Indirect bidders

67.0%

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 24 November 2020 to 27 September 2023; the latest at 0.180%.-0.1%0.0%0.1%0.2%0.3%202120222023This auction, 0.180%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 November 2020 to 27 September 2023; the latest at 0.180%.-0.1%0.0%0.1%0.2%0.3%202220230.180%

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
0.1803.42
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.422.861 of 1211 of 12
High discount margin0.1800.1674 of 128 of 12
Indirect bidders' share67.065.86 of 126 of 12
Direct bidders' share0.41.07 of 125 of 12
Primary dealers' share32.633.36 of 126 of 12
High minus median, basis points1.53.012 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year FRN since 14 July 2022 (14 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 67.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 August 2023

Indirect bidders took 67.0% of the competitive bids acceptedIndirect bidders 67.0%, Direct bidders 0.4%, Primary dealers 32.6%Indirect bidders67.0%36.0%Direct bidders0.4%1.7%Primary dealers32.6%62.3%Indirect bidders took 67.0% of the competitive bids acceptedIndirect bidders 67.0%, Direct bidders 0.4%, Primary dealers 32.6%Indirect bidders67.0%36.0%Direct bidders0.4%1.7%Primary dealers32.6%62.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders67.036.0
Direct bidders0.41.7
Primary dealers32.662.3

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$24,000,000,000
Bids received$82,144,808,400
Sold$24,000,208,400
Competitive bids accepted$23,991,135,000
Non-competitive bids accepted$9,073,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.180
Median rate, %0.165
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.125
Bids at the high rate filled, %39.25
Bid-to-cover ratio3.42
Indirect bidders accepted$16,077,322,500
Direct bidders accepted$100,000,000
Primary dealers accepted$7,813,812,500
Indirect bidders' share, % (ours)67.0
Direct bidders' share, % (ours)0.4
Primary dealers' share, % (ours)32.6
High minus median, basis points (ours)1.5

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 ratio3.42Last 24 auctions5 of 2419 of 243.08
Bid-to-cover ratio3.42All 118 since 29 January 201439 of 11879 of 1183.22
High discount margin0.180Last 24 auctions4 of 2420 of 240.091
High discount margin0.180All 118 since 29 January 201421 of 11895 of 1180.076
Indirect bidders' share67.0Last 24 auctions13 of 2411 of 2467.3
Indirect bidders' share67.0All 118 since 29 January 201418 of 118100 of 11849.6
Direct bidders' share0.4Last 24 auctions15 of 249 of 241.0
Direct bidders' share0.4All 118 since 29 January 201485 of 11833 of 1181.3
Primary dealers' share32.6Last 24 auctions11 of 2413 of 2432.1
Primary dealers' share32.6All 118 since 29 January 201497 of 11821 of 11847.5
High minus median, basis points1.5Last 24 auctions16 of 248 of 242.1
High minus median, basis points1.5All 118 since 29 January 201434 of 11879 of 1181.0

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 27 September 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20230927_2.pdf. Compiled by 500metrics, "2-year FRN auction of 27 September 2023 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2023-09-27.

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.