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

The 2-year FRN sold $26 billion at a high discount margin of 0.250% on , with a bid-to-cover ratio of 2.93.

Announced
Issued
Matures

Discount margin

0.250%

Median discount margin 0.229%

Bid-to-cover

2.93

▲ +0.09 since 21 Nov

Sold

$26.00 billion

$26 billion offered

Indirect bidders

62.5%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 18 December 2019

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 18 December 201936 auctions from 24 February 2021 to 27 December 2023; the latest at 0.250%.-0.1%0.0%0.1%0.2%0.3%202120222023This auction, 0.250%The high discount margin was the highest for a 2-year FRN since 18 December 201936 auctions from 24 February 2021 to 27 December 2023; the latest at 0.250%.-0.1%0.0%0.1%0.2%0.3%202220230.250%

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
0.2502.93
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.933.147 of 125 of 12
High discount margin0.2500.1700 of 1212 of 12
Indirect bidders' share62.567.28 of 124 of 12
Direct bidders' share0.50.35 of 127 of 12
Primary dealers' share37.032.54 of 128 of 12
High minus median, basis points2.12.46 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 62.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 21 November 2023

Indirect bidders took 62.5% of the competitive bids acceptedIndirect bidders 62.5%, Direct bidders 0.5%, Primary dealers 37.0%Indirect bidders62.5%65.1%Direct bidders0.5%0.6%Primary dealers37.0%34.3%Indirect bidders took 62.5% of the competitive bids acceptedIndirect bidders 62.5%, Direct bidders 0.5%, Primary dealers 37.0%Indirect bidders62.5%65.1%Direct bidders0.5%0.6%Primary dealers37.0%34.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders62.565.1
Direct bidders0.50.6
Primary dealers37.034.3

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$26,000,000,000
Bids received$76,302,011,300
Sold$26,000,222,700
Competitive bids accepted$25,974,211,400
Non-competitive bids accepted$26,011,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.250
Median rate, %0.229
Low rate, %0.150
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %89.39
Bid-to-cover ratio2.93
Indirect bidders accepted$16,226,956,400
Direct bidders accepted$133,000,000
Primary dealers accepted$9,614,255,000
Indirect bidders' share, % (ours)62.5
Direct bidders' share, % (ours)0.5
Primary dealers' share, % (ours)37.0
High minus median, basis points (ours)2.1

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 ratio2.93Last 24 auctions14 of 2410 of 243.18
Bid-to-cover ratio2.93All 121 since 29 January 201483 of 12138 of 1213.22
High discount margin0.250Last 24 auctions0 of 2424 of 240.137
High discount margin0.250All 121 since 29 January 20145 of 121116 of 1210.080
Indirect bidders' share62.5Last 24 auctions16 of 248 of 2467.3
Indirect bidders' share62.5All 121 since 29 January 201430 of 12191 of 12150.1
Direct bidders' share0.5Last 24 auctions13 of 2411 of 240.7
Direct bidders' share0.5All 121 since 29 January 201484 of 12137 of 1211.3
Primary dealers' share37.0Last 24 auctions8 of 2416 of 2432.1
Primary dealers' share37.0All 121 since 29 January 201487 of 12134 of 12146.8
High minus median, basis points2.1Last 24 auctions12 of 2412 of 242.1
High minus median, basis points2.1All 121 since 29 January 201421 of 12199 of 1211.0

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 December 2023. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2023/R_20231227_3.pdf. Compiled by 500metrics, "2-year FRN auction of 27 December 2023 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2023-12-27.

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.