500metrics

Treasury auctions · 1-Year 11-Month FRN, reopening

2-year FRN auction of 23 November 2021 (reopening)

The 2-year FRN sold $24 billion at a high discount margin of 0.038% on , with a bid-to-cover ratio of 2.80.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 29 Jan 2019 to 23 Nov 2021
Discount margin at each 2-year FRN auction, 26 Nov 2019 to 23 Nov 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, 29 Jan 2019 to 23 Nov 2021
Bid-to-cover ratio at each 2-year FRN auction, 26 Nov 2019 to 23 Nov 2021

Who bought the 2-year FRN of 23 Nov 2021

Shares of the competitive bids accepted

  • Indirect bidders 77.6%
  • Direct bidders 1.3%
  • Primary dealers 21.2%
This auction, 23 Nov 2021
  • Indirect bidders 65.0%
  • Direct bidders 0.9%
  • Primary dealers 34.1%
The 2-year FRN auction before, 27 Oct 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 bidders77.6%
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
0.0382.80
0.0352.99
0.0262.84
0.0263.17
0.0293.04
0.0303.23
0.0303.03
0.0342.91
0.0353.25
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

Observed .

Right now

The high discount margin of 0.038% on 23 November 2021 was the highest for a 2-year FRN since 24 February 2021.

The bid-to-cover ratio of 2.80 was the lowest for a 2-year FRN since 26 February 2020, with 20 auctions in between.

The indirect bidders' share of 77.6% was the highest of all 95 earlier 2-year FRN auctions we hold.

Higher than 14 of the 95 since 29 January 2014

Its own history

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

The primary dealers' share was lower than all 24.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 77.6%
  • Direct bidders 1.3%
  • Primary dealers 21.2%

Size

Treasury sold $24 billion of the $24 billion offered.

Bids received came to $67.17 billion; the bid-to-cover ratio was 2.80.

Its bid-to-cover of 2.80 compares with the 24 auctions before it: lowest 2.49 on , highest 5.40 on ; 10.7% of the way from the low to the high.

2.80

Low 2.49 Midpoint 3.945 High 5.40

The security1-Year 11-Month, reopening

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 0.038% at this 2-year FRN auction, the median discount margin 0.028% and a bid-to-cover ratio of 2.80.

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 as1-Year 11-Month, reopening
Offering amount$24,000,000,000
Bids received$67,170,038,100
Sold$24,000,063,100
Competitive bids accepted$23,965,025,000
Non-competitive bids accepted$35,038,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.038
Median rate, %0.028
Low rate, %0.000
Interest rate (coupon), %–
Spread, %0.035
Bids at the high rate filled, %97.65
Bid-to-cover ratio2.80
Indirect bidders accepted$18,594,000,000
Direct bidders accepted$300,000,000
Primary dealers accepted$5,071,025,000
Indirect bidders' share, % (ours)77.6
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)21.2
High minus median, basis points (ours)1.0
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 ratio2.802.9512 of 120 of 12
High discount margin0.0380.0344 of 128 of 12
Indirect bidders' share77.659.70 of 1212 of 12
Direct bidders' share1.31.37 of 125 of 12
Primary dealers' share21.238.012 of 120 of 12
High minus median, basis points1.00.60 of 1211 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 ratio2.80Last 24 auctions23 of 241 of 243.02
Bid-to-cover ratio2.80All 95 since 29 January 201482 of 9513 of 953.23
High discount margin0.038Last 24 auctions16 of 248 of 240.055
High discount margin0.038All 95 since 29 January 201481 of 9514 of 950.074
Indirect bidders' share77.6Last 24 auctions0 of 2424 of 2455.1
Indirect bidders' share77.6All 95 since 29 January 20140 of 9595 of 9548.2
Direct bidders' share1.3Last 24 auctions15 of 249 of 241.3
Direct bidders' share1.3All 95 since 29 January 201455 of 9540 of 951.5
Primary dealers' share21.2Last 24 auctions24 of 240 of 2442.4
Primary dealers' share21.2All 95 since 29 January 201495 of 950 of 9549.1
High minus median, basis points1.0Last 24 auctions6 of 2416 of 240.8
High minus median, basis points1.0All 95 since 29 January 201435 of 9552 of 950.9

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 23 November 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211123_2.pdf. Compiled by 500metrics, "2-year FRN auction of 23 November 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-11-23.

Page updated