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2-year FRN auction of 27 April 2021 (new issue)

The 2-year FRN sold $33.347 billion at a high discount margin of 0.034% on , with a bid-to-cover ratio of 2.91.

Announced
Issued
Matures

Discount margin

0.034%

Median discount margin 0.027%

Bid-to-cover

2.91

▼ −0.34 since 24 Mar

Sold

$33.35 billion

$28 billion offered

Indirect bidders

59.7%

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 27 June 2018 to 27 April 2021; the latest at 0.034%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.034%The high discount margin was the lowest for a 2-year FRN since 23 May 201836 auctions from 27 June 2018 to 27 April 2021; the latest at 0.034%.0.0%0.1%0.2%0.3%2019202020210.034%

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
0.0342.91
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
0.1502.71
0.0502.62
0.0453.32
0.0503.06
0.0472.94
0.0432.79
0.0422.79

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.912.966 of 126 of 12
High discount margin0.0340.05512 of 120 of 12
Indirect bidders' share59.751.83 of 129 of 12
Direct bidders' share3.62.05 of 127 of 12
Primary dealers' share36.746.09 of 123 of 12
High minus median, basis points0.70.88 of 123 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, 24 March 2021

Indirect bidders took 59.7% of the competitive bids acceptedIndirect bidders 59.7%, Direct bidders 3.6%, Primary dealers 36.7%Indirect bidders59.7%66.0%Direct bidders3.6%1.9%Primary dealers36.7%32.1%Indirect bidders took 59.7% of the competitive bids acceptedIndirect bidders 59.7%, Direct bidders 3.6%, Primary dealers 36.7%Indirect bidders59.7%66.0%Direct bidders3.6%1.9%Primary dealers36.7%32.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders59.766.0
Direct bidders3.61.9
Primary dealers36.732.1

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$86,759,921,700
Sold$33,347,241,700
Competitive bids accepted$27,969,820,000
Non-competitive bids accepted$30,191,800
Federal Reserve (SOMA) add-on$5,347,229,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.034
Median rate, %0.027
Low rate, %0.000
Interest rate (coupon), %–
Spread, %0.034
Bids at the high rate filled, %68.64
Bid-to-cover ratio2.91
Indirect bidders accepted$16,690,940,000
Direct bidders accepted$1,000,000,000
Primary dealers accepted$10,278,880,000
Indirect bidders' share, % (ours)59.7
Direct bidders' share, % (ours)3.6
Primary dealers' share, % (ours)36.7
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 ratio2.91Last 24 auctions11 of 2412 of 242.90
Bid-to-cover ratio2.91All 88 since 29 January 201464 of 8823 of 883.26
High discount margin0.034Last 24 auctions24 of 240 of 240.127
High discount margin0.034All 88 since 29 January 201484 of 884 of 880.080
Indirect bidders' share59.7Last 24 auctions5 of 2419 of 2449.3
Indirect bidders' share59.7All 88 since 29 January 201412 of 8876 of 8847.3
Direct bidders' share3.6Last 24 auctions5 of 2419 of 241.3
Direct bidders' share3.6All 88 since 29 January 201425 of 8863 of 881.5
Primary dealers' share36.7Last 24 auctions19 of 245 of 2446.9
Primary dealers' share36.7All 88 since 29 January 201479 of 889 of 8849.9
High minus median, basis points0.7Last 24 auctions18 of 245 of 241.0
High minus median, basis points0.7All 88 since 29 January 201456 of 8829 of 880.9

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 April 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210427_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 April 2021 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2021-04-27.

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.