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2-year FRN auction of 21 November 2023 (reopening)

The 2-year FRN sold $26 billion at a high discount margin of 0.200% on , with a bid-to-cover ratio of 2.84.

Announced
Issued
Matures

Discount margin

0.200%

Median discount margin 0.180%

Bid-to-cover

2.84

▼ −0.39 since 25 Oct

Sold

$26.00 billion

$26 billion offered

Indirect bidders

65.1%

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 27 January 2021 to 21 November 2023; the latest at 0.200%.-0.1%0.0%0.1%0.2%0.3%202120222023This auction, 0.200%Discount margin at the last 36 2-year FRN auctions36 auctions from 27 January 2021 to 21 November 2023; the latest at 0.200%.-0.1%0.0%0.1%0.2%0.3%202220230.200%

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
0.2002.84
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.843.148 of 124 of 12
High discount margin0.2000.1702 of 129 of 12
Indirect bidders' share65.167.27 of 125 of 12
Direct bidders' share0.60.35 of 127 of 12
Primary dealers' share34.332.55 of 127 of 12
High minus median, basis points2.03.07 of 123 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 65.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 October 2023

Indirect bidders took 65.1% of the competitive bids acceptedIndirect bidders 65.1%, Direct bidders 0.6%, Primary dealers 34.3%Indirect bidders65.1%71.7%Direct bidders0.6%0.1%Primary dealers34.3%28.2%Indirect bidders took 65.1% of the competitive bids acceptedIndirect bidders 65.1%, Direct bidders 0.6%, Primary dealers 34.3%Indirect bidders65.1%71.7%Direct bidders0.6%0.1%Primary dealers34.3%28.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders65.171.7
Direct bidders0.60.1
Primary dealers34.328.2

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$26,000,000,000
Bids received$73,736,281,100
Sold$26,000,061,100
Competitive bids accepted$25,977,780,000
Non-competitive bids accepted$22,281,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.200
Median rate, %0.180
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %0.52
Bid-to-cover ratio2.84
Indirect bidders accepted$16,921,860,000
Direct bidders accepted$145,000,000
Primary dealers accepted$8,910,920,000
Indirect bidders' share, % (ours)65.1
Direct bidders' share, % (ours)0.6
Primary dealers' share, % (ours)34.3
High minus median, basis points (ours)2.0

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 ratio2.84Last 24 auctions16 of 247 of 243.22
Bid-to-cover ratio2.84All 120 since 29 January 201494 of 12023 of 1203.22
High discount margin0.200Last 24 auctions2 of 2421 of 240.130
High discount margin0.200All 120 since 29 January 201416 of 120103 of 1200.078
Indirect bidders' share65.1Last 24 auctions14 of 2410 of 2467.3
Indirect bidders' share65.1All 120 since 29 January 201423 of 12097 of 12049.9
Direct bidders' share0.6Last 24 auctions13 of 2411 of 240.9
Direct bidders' share0.6All 120 since 29 January 201482 of 12038 of 1201.3
Primary dealers' share34.3Last 24 auctions8 of 2416 of 2432.1
Primary dealers' share34.3All 120 since 29 January 201493 of 12027 of 12046.9
High minus median, basis points2.0Last 24 auctions12 of 249 of 242.1
High minus median, basis points2.0All 120 since 29 January 201422 of 12092 of 1201.0

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 21 November 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20231121_2.pdf. Compiled by 500metrics, "2-year FRN auction of 21 November 2023 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2023-11-21.

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.