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2-year FRN auction of 24 January 2024 (new issue)

The 2-year FRN sold $28.001 billion at a high discount margin of 0.245% on , with a bid-to-cover ratio of 3.61.

Announced
Issued
Matures

Discount margin

0.245%

Median discount margin 0.236%

Bid-to-cover

3.61

▲ +0.68 since 27 Dec

Sold

$28.00 billion

$28 billion offered

Indirect bidders

83.4%

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 March 2021 to 24 January 2024; the latest at 0.245%.-0.1%0.0%0.1%0.2%0.3%2021202220232024This auction, 0.245%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 March 2021 to 24 January 2024; the latest at 0.245%.-0.1%0.0%0.1%0.2%0.3%2022202320240.245%

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
0.2453.61
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.612.980 of 1212 of 12
High discount margin0.2450.1701 of 1211 of 12
Indirect bidders' share83.467.20 of 1212 of 12
Direct bidders' share0.10.37 of 125 of 12
Primary dealers' share16.432.512 of 120 of 12
High minus median, basis points0.92.512 of 120 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year FRN since 14 July 2022 (18 auctions in between).
  • Indirect bidders' share: Highest of all 122 earlier 2-year FRN auctions we hold.
  • Primary dealers' share: Lowest of all 122 earlier 2-year FRN auctions we hold.
  • High minus median, basis points: Lowest for a 2-year FRN since 22 June 2022 (19 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 83.4% of the competitive bids accepted

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

Indirect bidders took 83.4% of the competitive bids acceptedIndirect bidders 83.4%, Direct bidders 0.1%, Primary dealers 16.4%Indirect bidders83.4%62.5%Direct bidders0.1%0.5%Primary dealers16.4%37.0%Indirect bidders took 83.4% of the competitive bids acceptedIndirect bidders 83.4%, Direct bidders 0.1%, Primary dealers 16.4%Indirect bidders83.4%62.5%Direct bidders0.1%0.5%Primary dealers16.4%37.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders83.462.5
Direct bidders0.10.5
Primary dealers16.437.0

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$28,000,000,000
Bids received$101,182,142,800
Sold$28,000,612,800
Competitive bids accepted$27,964,535,000
Non-competitive bids accepted$36,077,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.245
Median rate, %0.236
Low rate, %0.190
Interest rate (coupon), %–
Spread, %0.245
Bids at the high rate filled, %33.09
Bid-to-cover ratio3.61
Indirect bidders accepted$23,335,362,500
Direct bidders accepted$35,000,000
Primary dealers accepted$4,594,172,500
Indirect bidders' share, % (ours)83.4
Direct bidders' share, % (ours)0.1
Primary dealers' share, % (ours)16.4
High minus median, basis points (ours)0.9

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 ratio3.61Last 24 auctions2 of 2422 of 243.08
Bid-to-cover ratio3.61All 122 since 29 January 201429 of 12293 of 1223.22
High discount margin0.245Last 24 auctions1 of 2423 of 240.150
High discount margin0.245All 122 since 29 January 20146 of 122115 of 1220.080
Indirect bidders' share83.4Last 24 auctions0 of 2424 of 2467.1
Indirect bidders' share83.4All 122 since 29 January 20140 of 122122 of 12250.7
Direct bidders' share0.1Last 24 auctions16 of 248 of 240.7
Direct bidders' share0.1All 122 since 29 January 2014101 of 12221 of 1221.3
Primary dealers' share16.4Last 24 auctions24 of 240 of 2432.5
Primary dealers' share16.4All 122 since 29 January 2014122 of 1220 of 12246.8
High minus median, basis points0.9Last 24 auctions22 of 242 of 242.2
High minus median, basis points0.9All 122 since 29 January 201467 of 12248 of 1221.0

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 24 January 2024. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2024/R_20240124_2.pdf. Compiled by 500metrics, "2-year FRN auction of 24 January 2024 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2024-01-24.

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.