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2-year FRN auction of 24 February 2021 (reopening)

The 2-year FRN sold $26 billion at a high discount margin of 0.045% on , with a bid-to-cover ratio of 2.88.

Announced
Issued
Matures

Discount margin

0.045%

Median discount margin 0.038%

Bid-to-cover

2.88

▲ +0.06 since 27 Jan

Sold

$26.00 billion

$26 billion offered

Indirect bidders

59.7%

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 25 April 2018 to 24 February 2021; the latest at 0.045%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.045%The high discount margin was the lowest for a 2-year FRN since 24 October 201836 auctions from 25 April 2018 to 24 February 2021; the latest at 0.045%.0.0%0.1%0.2%0.3%2019202020210.045%

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
0.0452.88
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
0.0502.62
0.0453.32
0.0503.06
0.0472.94
0.0432.79
0.0422.79
0.0283.26
0.0333.65

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.882.907 of 124 of 12
High discount margin0.0450.05912 of 120 of 12
Indirect bidders' share59.750.22 of 1210 of 12
Direct bidders' share1.11.811 of 121 of 12
Primary dealers' share39.346.59 of 123 of 12
High minus median, basis points0.71.010 of 122 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 59.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 January 2021

Indirect bidders took 59.7% of the competitive bids acceptedIndirect bidders 59.7%, Direct bidders 1.1%, Primary dealers 39.3%Indirect bidders59.7%52.1%Direct bidders1.1%1.1%Primary dealers39.3%46.8%Indirect bidders took 59.7% of the competitive bids acceptedIndirect bidders 59.7%, Direct bidders 1.1%, Primary dealers 39.3%Indirect bidders59.7%52.1%Direct bidders1.1%1.1%Primary dealers39.3%46.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders59.752.1
Direct bidders1.11.1
Primary dealers39.346.8

About these figures

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

Treasury's published result

FieldValue
Offered as1-Year 11-Month, reopening
Offering amount$26,000,000,000
Bids received$74,989,084,500
Sold$26,000,444,500
Competitive bids accepted$25,987,360,000
Non-competitive bids accepted$13,084,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.045
Median rate, %0.038
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.049
Bids at the high rate filled, %65.92
Bid-to-cover ratio2.88
Indirect bidders accepted$15,510,608,000
Direct bidders accepted$275,000,000
Primary dealers accepted$10,201,752,000
Indirect bidders' share, % (ours)59.7
Direct bidders' share, % (ours)1.1
Primary dealers' share, % (ours)39.3
High minus median, basis points (ours)0.7

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 ratio2.88Last 24 auctions13 of 2410 of 242.90
Bid-to-cover ratio2.88All 86 since 29 January 201467 of 8618 of 863.28
High discount margin0.045Last 24 auctions24 of 240 of 240.147
High discount margin0.045All 86 since 29 January 201475 of 869 of 860.082
Indirect bidders' share59.7Last 24 auctions3 of 2421 of 2448.8
Indirect bidders' share59.7All 86 since 29 January 201410 of 8676 of 8647.1
Direct bidders' share1.1Last 24 auctions16 of 248 of 241.3
Direct bidders' share1.1All 86 since 29 January 201455 of 8631 of 861.5
Primary dealers' share39.3Last 24 auctions20 of 244 of 2447.9
Primary dealers' share39.3All 86 since 29 January 201473 of 8613 of 8650.1
High minus median, basis points0.7Last 24 auctions20 of 244 of 241.3
High minus median, basis points0.7All 86 since 29 January 201456 of 8628 of 860.9

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 24 February 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210224_2.pdf. Compiled by 500metrics, "2-year FRN auction of 24 February 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-02-24.

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.