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2-year FRN auction of 25 September 2024 (reopening)

The 2-year FRN sold $28 billion at a high discount margin of 0.261% on , with a bid-to-cover ratio of 2.86.

Announced
Issued
Matures

Discount margin

0.261%

Median discount margin 0.225%

Bid-to-cover

2.86

▲ +0.21 since 28 Aug

Sold

$28.00 billion

$28 billion offered

Indirect bidders

56.5%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 23 October 2019

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 23 October 201936 auctions from 23 November 2021 to 25 September 2024; the latest at 0.261%.-0.1%0.0%0.1%0.2%0.3%202220232024This auction, 0.261%The high discount margin was the highest for a 2-year FRN since 23 October 201936 auctions from 23 November 2021 to 25 September 2024; the latest at 0.261%.0.1%0.1%0.2%0.3%0.3%202320240.261%

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
0.2612.86
0.2352.65
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.863.2210 of 122 of 12
High discount margin0.2610.1860 of 1212 of 12
Indirect bidders' share56.565.312 of 120 of 12
Direct bidders' share0.90.53 of 129 of 12
Primary dealers' share42.634.20 of 1212 of 12
High minus median, basis points3.61.81 of 1210 of 12

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

  • Indirect bidders' share: Lowest for a 2-year FRN since 23 August 2023 (12 auctions in between).
  • Primary dealers' share: Highest for a 2-year FRN since 23 August 2023 (12 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 56.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 August 2024

Indirect bidders took 56.5% of the competitive bids acceptedIndirect bidders 56.5%, Direct bidders 0.9%, Primary dealers 42.6%Indirect bidders56.5%61.6%Direct bidders0.9%0.9%Primary dealers42.6%37.5%Indirect bidders took 56.5% of the competitive bids acceptedIndirect bidders 56.5%, Direct bidders 0.9%, Primary dealers 42.6%Indirect bidders56.5%61.6%Direct bidders0.9%0.9%Primary dealers42.6%37.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders56.561.6
Direct bidders0.90.9
Primary dealers42.637.5

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$28,000,000,000
Bids received$80,109,070,000
Sold$28,000,020,000
Competitive bids accepted$27,994,550,000
Non-competitive bids accepted$5,470,000
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.261
Median rate, %0.225
Low rate, %0.180
Interest rate (coupon), %–
Spread, %0.182
Bids at the high rate filled, %16.37
Bid-to-cover ratio2.86
Indirect bidders accepted$15,827,550,000
Direct bidders accepted$250,000,000
Primary dealers accepted$11,917,000,000
Indirect bidders' share, % (ours)56.5
Direct bidders' share, % (ours)0.9
Primary dealers' share, % (ours)42.6
High minus median, basis points (ours)3.6

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 ratio2.86Last 24 auctions16 of 248 of 243.02
Bid-to-cover ratio2.86All 130 since 29 January 2014101 of 13029 of 1303.22
High discount margin0.261Last 24 auctions0 of 2424 of 240.175
High discount margin0.261All 130 since 29 January 20144 of 130126 of 1300.086
Indirect bidders' share56.5Last 24 auctions21 of 243 of 2465.3
Indirect bidders' share56.5All 130 since 29 January 201451 of 13079 of 13051.7
Direct bidders' share0.9Last 24 auctions10 of 2414 of 240.5
Direct bidders' share0.9All 130 since 29 January 201479 of 13051 of 1301.3
Primary dealers' share42.6Last 24 auctions3 of 2421 of 2434.2
Primary dealers' share42.6All 130 since 29 January 201475 of 13055 of 13046.1
High minus median, basis points3.6Last 24 auctions4 of 2419 of 242.2
High minus median, basis points3.6All 130 since 29 January 20146 of 130122 of 1301.0

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 September 2024. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2024/R_20240925_2.pdf. Compiled by 500metrics, "2-year FRN auction of 25 September 2024 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2024-09-25.

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.