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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.

Announced
Issued
Matures

Discount margin

0.049%

Median discount margin 0.040%

Bid-to-cover

2.82

▼ −0.01 since 23 Dec

Sold

$31.78 billion

$28 billion offered

Indirect bidders

52.1%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 24 October 2018

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 24 October 201836 auctions from 28 March 2018 to 27 January 2021; the latest at 0.049%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.049%The high discount margin was the lowest for a 2-year FRN since 24 October 201836 auctions from 28 March 2018 to 27 January 2021; the latest at 0.049%.0.0%0.1%0.2%0.3%2019202020210.049%

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
0.0492.82
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

Against its own history

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.

Who bought the 2-year FRN?

Indirect bidders took 52.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 December 2020

Indirect bidders took 52.1% of the competitive bids acceptedIndirect bidders 52.1%, Direct bidders 1.1%, Primary dealers 46.8%Indirect bidders52.1%48.9%Direct bidders1.1%2.0%Primary dealers46.8%49.1%Indirect bidders took 52.1% of the competitive bids acceptedIndirect bidders 52.1%, Direct bidders 1.1%, Primary dealers 46.8%Indirect bidders52.1%48.9%Direct bidders1.1%2.0%Primary dealers46.8%49.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders52.148.9
Direct bidders1.12.0
Primary dealers46.849.1

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

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

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 ratio2.82Last 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.

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 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.

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.