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Treasury auctions · 2-Year FRN

2-year FRN auction of 27 January 2021 (new issue)

The 2-year FRN sold $31.784 billion at a high discount margin of 0.049% on , with a bid-to-cover ratio of 2.82.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 28 Mar 2018 to 27 Jan 2021
Discount margin at each 2-year FRN auction, 29 Jan 2019 to 27 Jan 2021

Bid-to-cover ratio at each 2-year FRN auction

The last 36 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 28 Mar 2018 to 27 Jan 2021
Bid-to-cover ratio at each 2-year FRN auction, 29 Jan 2019 to 27 Jan 2021

Who bought the 2-year FRN of 27 Jan 2021

Shares of the competitive bids accepted

  • Indirect bidders 52.1%
  • Direct bidders 1.1%
  • Primary dealers 46.8%
This auction, 27 Jan 2021
  • Indirect bidders 48.9%
  • Direct bidders 2.0%
  • Primary dealers 49.1%
The 2-year FRN auction before, 23 Dec 2020

Each point is one 2-year FRN auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders52.1%
Inspect and compare dates
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.0492.82
0.0602.83
0.0532.90
0.0553.22
0.0582.88
0.0552.85
0.0553.29
0.0803.16
0.0983.12
0.1143.02
0.2202.91
0.1602.49
0.1543.23
0.2604.17
0.2455.40
0.2402.50
0.3002.58
0.2902.66
0.2382.92
0.2202.73
0.2103.36
0.1402.84
0.1392.68
0.1803.78
0.1492.70
0.1152.89
0.1502.71
0.0502.62
0.0453.32
0.0503.06
0.0472.94
0.0432.79
0.0422.79
0.0283.26
0.0333.65
0.0492.78

Observed .

Right now

The high discount margin of 0.049% on 27 January 2021 was the lowest for a 2-year FRN since 24 October 2018.

Higher than 13 of the 85 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the discount margin was lower than all 24.

The indirect bidders' share was higher than 16 of them.

See every measure against earlier auctions

Who bought

Indirect bidders took the largest share of the competitive bids accepted.

  • Indirect bidders 52.1%
  • Direct bidders 1.1%
  • Primary dealers 46.8%

Size

Treasury sold $31.784 billion of the $28 billion offered.

Bids received came to $82.775 billion; the bid-to-cover ratio was 2.82.

Its bid-to-cover of 2.82 compares with the 24 auctions before it: lowest 2.49 on , highest 5.40 on ; 11.3% of the way from the low to the high.

2.82

Low 2.49 Midpoint 3.945 High 5.40

The security2-Year, new issue

Announced
Issued
Matures

It adds to the debt that matures in January 2023.

Understanding this result

Where it stands today

The high discount margin was 0.049% at this 2-year FRN auction, the median discount margin 0.040% and a bid-to-cover ratio of 2.82.

What do these figures measure?

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.

Read more

What these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as2-Year, new issue
Offering amount$28,000,000,000
Bids received$82,774,993,500
Sold$31,784,496,000
Competitive bids accepted$27,974,737,500
Non-competitive bids accepted$25,332,700
Federal Reserve (SOMA) add-on$3,784,425,800
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.049
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.049
Bids at the high rate filled, %33.17
Bid-to-cover ratio2.82
Indirect bidders accepted$14,578,527,500
Direct bidders accepted$300,000,000
Primary dealers accepted$13,096,210,000
Indirect bidders' share, % (ours)52.1
Direct bidders' share, % (ours)1.1
Primary dealers' share, % (ours)46.8
High minus median, basis points (ours)0.9
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.822.9611 of 121 of 12
High discount margin0.0490.07012 of 120 of 12
Indirect bidders' share52.149.34 of 128 of 12
Direct bidders' share1.11.911 of 121 of 12
Primary dealers' share46.846.66 of 126 of 12
High minus median, basis points0.91.27 of 125 of 12

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

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 ratio2.82Last 24 auctions17 of 247 of 242.90
Bid-to-cover ratio2.82All 85 since 29 January 201472 of 8513 of 853.29
High discount margin0.049Last 24 auctions24 of 240 of 240.152
High discount margin0.049All 85 since 29 January 201471 of 8513 of 850.084
Indirect bidders' share52.1Last 24 auctions8 of 2416 of 2448.8
Indirect bidders' share52.1All 85 since 29 January 201422 of 8563 of 8547.1
Direct bidders' share1.1Last 24 auctions15 of 249 of 241.3
Direct bidders' share1.1All 85 since 29 January 201454 of 8531 of 851.6
Primary dealers' share46.8Last 24 auctions14 of 2410 of 2448.3
Primary dealers' share46.8All 85 since 29 January 201456 of 8529 of 8550.1
High minus median, basis points0.9Last 24 auctions17 of 247 of 241.3
High minus median, basis points0.9All 85 since 29 January 201442 of 8537 of 850.9

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

When are the figures from, and how are they cited?Dates and how to cite

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 to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 27 January 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210127_3.pdf. Compiled by 500metrics, "2-year FRN auction of 27 January 2021 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2021-01-27.

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