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Treasury auctions · 2-Year FRN

2-year FRN auction of 26 January 2022 (new issue)

The 2-year FRN sold $29.886 billion at a high discount margin of -0.015% on , with a bid-to-cover ratio of 3.34.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 27 Mar 2019 to 26 Jan 2022
Discount margin at each 2-year FRN auction, 28 Jan 2020 to 26 Jan 2022

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, 27 Mar 2019 to 26 Jan 2022
Bid-to-cover ratio at each 2-year FRN auction, 28 Jan 2020 to 26 Jan 2022

Who bought the 2-year FRN of 26 Jan 2022

Shares of the competitive bids accepted

  • Indirect bidders 75.5%
  • Direct bidders 0.0%
  • Primary dealers 24.5%
This auction, 26 Jan 2022
  • Indirect bidders 54.5%
  • Direct bidders 12.1%
  • Primary dealers 33.3%
The 2-year FRN auction before, 29 Dec 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 bidders75.5%
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
-0.0153.34
0.0304.03
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

Observed .

Right now

The high discount margin of -0.015% on 26 January 2022 was the lowest of all 97 earlier 2-year FRN auctions we hold.

Lower than all 97 since 29 January 2014

Its own history

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

The bid-to-cover ratio was higher than 23 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 75.5%
  • Direct bidders 0.0%
  • Primary dealers 24.5%

Size

Treasury sold $29.886 billion of the $26 billion offered.

Bids received came to $90.71 billion; the bid-to-cover ratio was 3.34.

Its bid-to-cover of 3.34 compares with the 24 auctions before it: lowest 2.49 on , highest 4.03 on ; 55.2% of the way from the low to the high.

3.34

Low 2.49 Midpoint 3.260 High 4.03

The security2-Year, new issue

Announced
Issued
Matures

It adds to the debt that matures in January 2024.

Understanding this result

Where it stands today

The high discount margin was -0.015% at this 2-year FRN auction, the median discount margin -0.021% and a bid-to-cover ratio of 3.34.

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$26,000,000,000
Bids received$90,709,539,500
Sold$29,886,042,100
Competitive bids accepted$25,951,865,000
Non-competitive bids accepted$48,146,600
Federal Reserve (SOMA) add-on$3,886,030,500
Foreign and international (FIMA) non-competitive$0
Discount margin, %-0.015
Median rate, %-0.021
Low rate, %-0.060
Interest rate (coupon), %–
Spread, %-0.015
Bids at the high rate filled, %57.19
Bid-to-cover ratio3.34
Indirect bidders accepted$19,598,105,000
Direct bidders accepted$0
Primary dealers accepted$6,353,760,000
Indirect bidders' share, % (ours)75.5
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)24.5
High minus median, basis points (ours)0.6
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 ratio3.343.011 of 1211 of 12
High discount margin-0.0150.03212 of 120 of 12
Indirect bidders' share75.562.31 of 1211 of 12
Direct bidders' share0.01.311 of 120 of 12
Primary dealers' share24.533.711 of 121 of 12
High minus median, basis points0.60.77 of 124 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 ratio3.34Last 24 auctions1 of 2423 of 243.00
Bid-to-cover ratio3.34All 97 since 29 January 201440 of 9757 of 973.23
High discount margin-0.015Last 24 auctions24 of 240 of 240.051
High discount margin-0.015All 97 since 29 January 201497 of 970 of 970.070
Indirect bidders' share75.5Last 24 auctions1 of 2423 of 2457.5
Indirect bidders' share75.5All 97 since 29 January 20142 of 9795 of 9748.7
Direct bidders' share0.0Last 24 auctions23 of 240 of 241.4
Direct bidders' share0.0All 97 since 29 January 201488 of 970 of 971.5
Primary dealers' share24.5Last 24 auctions23 of 241 of 2439.4
Primary dealers' share24.5All 97 since 29 January 201495 of 972 of 9748.9
High minus median, basis points0.6Last 24 auctions17 of 245 of 240.8
High minus median, basis points0.6All 97 since 29 January 201464 of 9727 of 970.9

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 26 January 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220126_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 January 2022 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2022-01-26.

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