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

The 2-year FRN sold $26 billion at a high discount margin of 0.035% on , with a bid-to-cover ratio of 3.25.

Announced
Issued
Matures

Discount margin

0.035%

Median discount margin 0.030%

Bid-to-cover

3.25

▲ +0.37 since 24 Feb

Sold

$26.00 billion

$26 billion offered

Indirect bidders

66.0%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 23 May 2018

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 23 May 201836 auctions from 23 May 2018 to 24 March 2021; the latest at 0.035%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.035%The high discount margin was the lowest for a 2-year FRN since 23 May 201836 auctions from 23 May 2018 to 24 March 2021; the latest at 0.035%.0.0%0.1%0.2%0.3%2019202020210.035%

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
0.0353.25
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
0.0502.62
0.0453.32
0.0503.06
0.0472.94
0.0432.79
0.0422.79
0.0283.26

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.252.901 of 1211 of 12
High discount margin0.0350.05612 of 120 of 12
Indirect bidders' share66.051.80 of 1212 of 12
Direct bidders' share1.91.86 of 126 of 12
Primary dealers' share32.146.011 of 121 of 12
High minus median, basis points0.50.811 of 120 of 12

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

  • Indirect bidders' share: Highest for a 2-year FRN since 26 June 2019 (21 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 66.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 February 2021

Indirect bidders took 66.0% of the competitive bids acceptedIndirect bidders 66.0%, Direct bidders 1.9%, Primary dealers 32.1%Indirect bidders66.0%59.7%Direct bidders1.9%1.1%Primary dealers32.1%39.3%Indirect bidders took 66.0% of the competitive bids acceptedIndirect bidders 66.0%, Direct bidders 1.9%, Primary dealers 32.1%Indirect bidders66.0%59.7%Direct bidders1.9%1.1%Primary dealers32.1%39.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders66.059.7
Direct bidders1.91.1
Primary dealers32.139.3

About these figures

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

Treasury's published result

FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$26,000,000,000
Bids received$84,534,958,900
Sold$26,000,046,400
Competitive bids accepted$25,985,087,500
Non-competitive bids accepted$14,958,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.035
Median rate, %0.030
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.049
Bids at the high rate filled, %92.65
Bid-to-cover ratio3.25
Indirect bidders accepted$17,152,475,000
Direct bidders accepted$500,000,000
Primary dealers accepted$8,332,612,500
Indirect bidders' share, % (ours)66.0
Direct bidders' share, % (ours)1.9
Primary dealers' share, % (ours)32.1
High minus median, basis points (ours)0.5

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 ratio3.25Last 24 auctions4 of 2420 of 242.89
Bid-to-cover ratio3.25All 87 since 29 January 201445 of 8742 of 873.26
High discount margin0.035Last 24 auctions24 of 240 of 240.140
High discount margin0.035All 87 since 29 January 201481 of 874 of 870.080
Indirect bidders' share66.0Last 24 auctions1 of 2423 of 2448.8
Indirect bidders' share66.0All 87 since 29 January 20143 of 8784 of 8747.2
Direct bidders' share1.9Last 24 auctions7 of 2417 of 241.3
Direct bidders' share1.9All 87 since 29 January 201439 of 8748 of 871.5
Primary dealers' share32.1Last 24 auctions22 of 242 of 2447.9
Primary dealers' share32.1All 87 since 29 January 201484 of 873 of 8750.0
High minus median, basis points0.5Last 24 auctions21 of 240 of 241.2
High minus median, basis points0.5All 87 since 29 January 201464 of 8713 of 870.9

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 March 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210324_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 March 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-03-24.

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.