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2-year FRN auction of 25 October 2023 (new issue)

The 2-year FRN sold $26 billion at a high discount margin of 0.170% on , with a bid-to-cover ratio of 3.23.

Announced
Issued
Matures

Discount margin

0.170%

Median discount margin 0.160%

Bid-to-cover

3.23

▼ −0.19 since 27 Sep

Sold

$26.00 billion

$26 billion offered

Indirect bidders

71.7%

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 December 2020 to 25 October 2023; the latest at 0.170%.-0.1%0.0%0.1%0.2%0.3%202120222023This auction, 0.170%Discount margin at the last 36 2-year FRN auctions36 auctions from 23 December 2020 to 25 October 2023; the latest at 0.170%.-0.1%0.0%0.1%0.2%0.3%202220230.170%

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
0.1703.23
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.232.965 of 127 of 12
High discount margin0.1700.1705 of 126 of 12
Indirect bidders' share71.767.22 of 1210 of 12
Direct bidders' share0.10.77 of 125 of 12
Primary dealers' share28.232.510 of 122 of 12
High minus median, basis points1.03.012 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 (15 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 71.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 September 2023

Indirect bidders took 71.7% of the competitive bids acceptedIndirect bidders 71.7%, Direct bidders 0.1%, Primary dealers 28.2%Indirect bidders71.7%67.0%Direct bidders0.1%0.4%Primary dealers28.2%32.6%Indirect bidders took 71.7% of the competitive bids acceptedIndirect bidders 71.7%, Direct bidders 0.1%, Primary dealers 28.2%Indirect bidders71.7%67.0%Direct bidders0.1%0.4%Primary dealers28.2%32.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders71.767.0
Direct bidders0.10.4
Primary dealers28.232.6

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$26,000,000,000
Bids received$83,981,529,300
Sold$26,000,037,300
Competitive bids accepted$25,974,508,000
Non-competitive bids accepted$25,529,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.170
Median rate, %0.160
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %23.22
Bid-to-cover ratio3.23
Indirect bidders accepted$18,611,718,000
Direct bidders accepted$36,610,000
Primary dealers accepted$7,326,180,000
Indirect bidders' share, % (ours)71.7
Direct bidders' share, % (ours)0.1
Primary dealers' share, % (ours)28.2
High minus median, basis points (ours)1.0

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 ratio3.23Last 24 auctions10 of 2414 of 243.18
Bid-to-cover ratio3.23All 119 since 29 January 201456 of 11961 of 1193.22
High discount margin0.170Last 24 auctions5 of 2418 of 240.108
High discount margin0.170All 119 since 29 January 201425 of 11992 of 1190.077
Indirect bidders' share71.7Last 24 auctions7 of 2417 of 2467.3
Indirect bidders' share71.7All 119 since 29 January 20149 of 119110 of 11949.6
Direct bidders' share0.1Last 24 auctions15 of 249 of 241.0
Direct bidders' share0.1All 119 since 29 January 201495 of 11924 of 1191.3
Primary dealers' share28.2Last 24 auctions16 of 248 of 2432.1
Primary dealers' share28.2All 119 since 29 January 2014109 of 11910 of 11947.1
High minus median, basis points1.0Last 24 auctions19 of 243 of 242.1
High minus median, basis points1.0All 119 since 29 January 201454 of 11955 of 1191.0

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 25 October 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20231025_2.pdf. Compiled by 500metrics, "2-year FRN auction of 25 October 2023 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2023-10-25.

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.