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Treasury auctions · 2-Year FRN

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

The 2-year FRN sold $30.847 billion at a high discount margin of 0.035% on , with a bid-to-cover ratio of 2.99.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 26 Dec 2018 to 27 Oct 2021
Discount margin at each 2-year FRN auction, 26 Nov 2019 to 27 Oct 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, 26 Dec 2018 to 27 Oct 2021
Bid-to-cover ratio at each 2-year FRN auction, 26 Nov 2019 to 27 Oct 2021

Who bought the 2-year FRN of 27 Oct 2021

Shares of the competitive bids accepted

  • Indirect bidders 65.0%
  • Direct bidders 0.9%
  • Primary dealers 34.1%
This auction, 27 Oct 2021
  • Indirect bidders 57.3%
  • Direct bidders 0.0%
  • Primary dealers 42.7%
The 2-year FRN auction before, 22 Sep 2021

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 bidders65.0%
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
0.0352.99
0.0262.84
0.0263.17
0.0293.04
0.0303.23
0.0303.03
0.0342.91
0.0353.25
0.0452.88
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

Observed .

Right now

The high discount margin of 0.035% on 27 October 2021 was the highest for a 2-year FRN since 24 March 2021.

Higher than 10 of the 94 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the indirect bidders' share was higher than 19 of the 24.

The direct bidders' share was higher than 5 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 65.0%
  • Direct bidders 0.9%
  • Primary dealers 34.1%

Size

Treasury sold $30.847 billion of the $28 billion offered.

Bids received came to $86.63 billion; the bid-to-cover ratio was 2.99.

Its bid-to-cover of 2.99 compares with the 24 auctions before it: lowest 2.49 on , highest 5.40 on ; 17.2% of the way from the low to the high.

2.99

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 October 2023.

Understanding this result

Where it stands today

The high discount margin was 0.035% at this 2-year FRN auction, the median discount margin 0.028% and a bid-to-cover ratio of 2.99.

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$86,629,974,000
Sold$30,846,849,000
Competitive bids accepted$27,969,875,000
Non-competitive bids accepted$30,332,900
Federal Reserve (SOMA) add-on$2,846,641,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.035
Median rate, %0.028
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.035
Bids at the high rate filled, %44.30
Bid-to-cover ratio2.99
Indirect bidders accepted$18,177,575,000
Direct bidders accepted$250,000,000
Primary dealers accepted$9,542,300,000
Indirect bidders' share, % (ours)65.0
Direct bidders' share, % (ours)0.9
Primary dealers' share, % (ours)34.1
High minus median, basis points (ours)0.7
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 ratio2.992.976 of 126 of 12
High discount margin0.0350.0345 of 126 of 12
Indirect bidders' share65.059.54 of 128 of 12
Direct bidders' share0.91.310 of 122 of 12
Primary dealers' share34.139.48 of 124 of 12
High minus median, basis points0.70.64 of 126 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 ratio2.99Last 24 auctions13 of 2411 of 243.02
Bid-to-cover ratio2.99All 94 since 29 January 201465 of 9428 of 943.23
High discount margin0.035Last 24 auctions17 of 246 of 240.055
High discount margin0.035All 94 since 29 January 201481 of 9410 of 940.075
Indirect bidders' share65.0Last 24 auctions5 of 2419 of 2452.8
Indirect bidders' share65.0All 94 since 29 January 20148 of 9486 of 9448.1
Direct bidders' share0.9Last 24 auctions19 of 245 of 241.3
Direct bidders' share0.9All 94 since 29 January 201462 of 9432 of 941.5
Primary dealers' share34.1Last 24 auctions18 of 246 of 2444.3
Primary dealers' share34.1All 94 since 29 January 201485 of 949 of 9449.1
High minus median, basis points0.7Last 24 auctions13 of 249 of 240.8
High minus median, basis points0.7All 94 since 29 January 201457 of 9433 of 940.9

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 October 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211027_2.pdf. Compiled by 500metrics, "2-year FRN auction of 27 October 2021 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2021-10-27.

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