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

The 2-year FRN sold $31.654 billion at a high discount margin of 0.182% on , with a bid-to-cover ratio of 3.25.

Announced
Issued
Matures

Discount margin

0.182%

Median discount margin 0.173%

Bid-to-cover

3.25

▲ +0.33 since 26 Jun

Sold

$31.65 billion

$30 billion offered

Indirect bidders

74.8%

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 22 September 2021 to 24 July 2024; the latest at 0.182%.-0.1%0.0%0.1%0.2%0.3%2021202220232024This auction, 0.182%Discount margin at the last 36 2-year FRN auctions36 auctions from 22 September 2021 to 24 July 2024; the latest at 0.182%.0.1%0.1%0.1%0.2%0.3%2022202320240.182%

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
0.1823.25
0.1552.92
0.1393.40
0.1503.33
0.1903.22
0.2002.99
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.253.104 of 128 of 12
High discount margin0.1820.1755 of 127 of 12
Indirect bidders' share74.864.31 of 1211 of 12
Direct bidders' share0.80.53 of 129 of 12
Primary dealers' share24.335.011 of 121 of 12
High minus median, basis points0.92.011 of 120 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 74.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 June 2024

Indirect bidders took 74.8% of the competitive bids acceptedIndirect bidders 74.8%, Direct bidders 0.8%, Primary dealers 24.3%Indirect bidders74.8%65.5%Direct bidders0.8%0.5%Primary dealers24.3%34.0%Indirect bidders took 74.8% of the competitive bids acceptedIndirect bidders 74.8%, Direct bidders 0.8%, Primary dealers 24.3%Indirect bidders74.8%65.5%Direct bidders0.8%0.5%Primary dealers24.3%34.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders74.865.5
Direct bidders0.80.5
Primary dealers24.334.0

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$30,000,000,000
Bids received$99,291,932,700
Sold$31,654,132,700
Competitive bids accepted$29,946,650,000
Non-competitive bids accepted$53,376,700
Federal Reserve (SOMA) add-on$1,654,106,000
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.182
Median rate, %0.173
Low rate, %0.130
Interest rate (coupon), %–
Spread, %0.182
Bids at the high rate filled, %89.90
Bid-to-cover ratio3.25
Indirect bidders accepted$22,406,650,000
Direct bidders accepted$250,000,000
Primary dealers accepted$7,290,000,000
Indirect bidders' share, % (ours)74.8
Direct bidders' share, % (ours)0.8
Primary dealers' share, % (ours)24.3
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 ratio3.25Last 24 auctions8 of 2416 of 243.02
Bid-to-cover ratio3.25All 128 since 29 January 201458 of 12869 of 1283.22
High discount margin0.182Last 24 auctions9 of 2415 of 240.170
High discount margin0.182All 128 since 29 January 201426 of 128102 of 1280.084
Indirect bidders' share74.8Last 24 auctions1 of 2423 of 2465.3
Indirect bidders' share74.8All 128 since 29 January 20145 of 128123 of 12851.5
Direct bidders' share0.8Last 24 auctions11 of 2413 of 240.5
Direct bidders' share0.8All 128 since 29 January 201479 of 12849 of 1281.3
Primary dealers' share24.3Last 24 auctions23 of 241 of 2434.2
Primary dealers' share24.3All 128 since 29 January 2014124 of 1284 of 12846.2
High minus median, basis points0.9Last 24 auctions23 of 240 of 242.4
High minus median, basis points0.9All 128 since 29 January 201472 of 12848 of 1281.0

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 July 2024. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2024/R_20240724_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 July 2024 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2024-07-24.

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.