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2-year FRN auction of 23 June 2021 (reopening)

The 2-year FRN sold $26 billion at a high discount margin of 0.030% on , with a bid-to-cover ratio of 3.23.

Announced
Issued
Matures

Discount margin

0.030%

Median discount margin 0.025%

Bid-to-cover

3.23

▲ +0.20 since 26 May

Sold

$26.00 billion

$26 billion offered

Indirect bidders

66.3%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 29 August 2018 to 23 June 2021; the latest at 0.030%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.030%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 August 2018 to 23 June 2021; the latest at 0.030%.0.0%0.1%0.2%0.3%2019202020210.030%

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
0.0303.23
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
0.1492.70
0.1152.89
0.1502.71
0.0502.62
0.0453.32
0.0503.06
0.0472.94

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.232.902 of 1210 of 12
High discount margin0.0300.05411 of 120 of 12
Indirect bidders' share66.355.20 of 1212 of 12
Direct bidders' share1.91.66 of 126 of 12
Primary dealers' share31.844.012 of 120 of 12
High minus median, basis points0.50.810 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 (24 auctions in between).
  • Primary dealers' share: Lowest for a 2-year FRN since 28 April 2020 (13 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 66.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 May 2021

Indirect bidders took 66.3% of the competitive bids acceptedIndirect bidders 66.3%, Direct bidders 1.9%, Primary dealers 31.8%Indirect bidders66.3%59.2%Direct bidders1.9%1.3%Primary dealers31.8%39.5%Indirect bidders took 66.3% of the competitive bids acceptedIndirect bidders 66.3%, Direct bidders 1.9%, Primary dealers 31.8%Indirect bidders66.3%59.2%Direct bidders1.9%1.3%Primary dealers31.8%39.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders66.359.2
Direct bidders1.91.3
Primary dealers31.839.5

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$84,073,706,100
Sold$26,000,348,200
Competitive bids accepted$25,988,842,100
Non-competitive bids accepted$11,506,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.030
Median rate, %0.025
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.034
Bids at the high rate filled, %97.51
Bid-to-cover ratio3.23
Indirect bidders accepted$17,231,397,100
Direct bidders accepted$487,550,000
Primary dealers accepted$8,269,895,000
Indirect bidders' share, % (ours)66.3
Direct bidders' share, % (ours)1.9
Primary dealers' share, % (ours)31.8
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 ratio3.23Last 24 auctions4 of 2419 of 242.91
Bid-to-cover ratio3.23All 90 since 29 January 201446 of 9043 of 903.26
High discount margin0.030Last 24 auctions23 of 240 of 240.089
High discount margin0.030All 90 since 29 January 201486 of 903 of 900.078
Indirect bidders' share66.3Last 24 auctions0 of 2424 of 2450.5
Indirect bidders' share66.3All 90 since 29 January 20143 of 9087 of 9047.6
Direct bidders' share1.9Last 24 auctions8 of 2416 of 241.3
Direct bidders' share1.9All 90 since 29 January 201442 of 9048 of 901.5
Primary dealers' share31.8Last 24 auctions23 of 241 of 2446.6
Primary dealers' share31.8All 90 since 29 January 201487 of 903 of 9049.7
High minus median, basis points0.5Last 24 auctions20 of 240 of 241.0
High minus median, basis points0.5All 90 since 29 January 201466 of 9013 of 900.9

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 23 June 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210623_2.pdf. Compiled by 500metrics, "2-year FRN auction of 23 June 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-06-23.

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.