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2-year FRN auction of 25 August 2021 (reopening)

The 2-year FRN sold $26.001 billion at a high discount margin of 0.026% on , with a bid-to-cover ratio of 3.17.

Announced
Issued
Matures

Discount margin

0.026%

Median discount margin 0.024%

Bid-to-cover

3.17

▲ +0.13 since 28 Jul

Sold

$26.00 billion

$26 billion offered

Indirect bidders

69.0%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 21 February 2018

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 21 February 201836 auctions from 24 October 2018 to 25 August 2021; the latest at 0.026%.0.0%0.1%0.2%0.3%2018201920202021This auction, 0.026%The high discount margin was the lowest for a 2-year FRN since 21 February 201836 auctions from 24 October 2018 to 25 August 2021; the latest at 0.026%.0.0%0.1%0.2%0.3%202020210.026%

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
0.0263.17
0.0293.04
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.172.903 of 129 of 12
High discount margin0.0260.04712 of 120 of 12
Indirect bidders' share69.058.41 of 1211 of 12
Direct bidders' share1.31.66 of 126 of 12
Primary dealers' share29.640.811 of 121 of 12
High minus median, basis points0.20.812 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year FRN since 24 September 2014 (83 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 69.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 July 2021

Indirect bidders took 69.0% of the competitive bids acceptedIndirect bidders 69.0%, Direct bidders 1.3%, Primary dealers 29.6%Indirect bidders69.0%71.9%Direct bidders1.3%1.1%Primary dealers29.6%27.0%Indirect bidders took 69.0% of the competitive bids acceptedIndirect bidders 69.0%, Direct bidders 1.3%, Primary dealers 29.6%Indirect bidders69.0%71.9%Direct bidders1.3%1.1%Primary dealers29.6%27.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders69.071.9
Direct bidders1.31.1
Primary dealers29.627.0

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$82,310,683,400
Sold$26,000,630,600
Competitive bids accepted$25,986,947,200
Non-competitive bids accepted$13,683,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.026
Median rate, %0.024
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.029
Bids at the high rate filled, %91.04
Bid-to-cover ratio3.17
Indirect bidders accepted$17,941,947,200
Direct bidders accepted$350,000,000
Primary dealers accepted$7,695,000,000
Indirect bidders' share, % (ours)69.0
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)29.6
High minus median, basis points (ours)0.2

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 ratio3.17Last 24 auctions7 of 2417 of 242.96
Bid-to-cover ratio3.17All 92 since 29 January 201449 of 9243 of 923.24
High discount margin0.026Last 24 auctions24 of 240 of 240.059
High discount margin0.026All 92 since 29 January 201490 of 922 of 920.076
Indirect bidders' share69.0Last 24 auctions1 of 2423 of 2451.8
Indirect bidders' share69.0All 92 since 29 January 20142 of 9290 of 9247.8
Direct bidders' share1.3Last 24 auctions12 of 2412 of 241.4
Direct bidders' share1.3All 92 since 29 January 201449 of 9243 of 921.5
Primary dealers' share29.6Last 24 auctions23 of 241 of 2446.2
Primary dealers' share29.6All 92 since 29 January 201490 of 922 of 9249.3
High minus median, basis points0.2Last 24 auctions24 of 240 of 240.8
High minus median, basis points0.2All 92 since 29 January 201489 of 922 of 920.9

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 25 August 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210825_2.pdf. Compiled by 500metrics, "2-year FRN auction of 25 August 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-08-25.

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.