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2-year FRN auction of 22 September 2021 (reopening)

The 2-year FRN sold $26 billion at a high discount margin of 0.026% on , with a bid-to-cover ratio of 2.84.

Announced
Issued
Matures

Discount margin

0.026%

Median discount margin 0.022%

Bid-to-cover

2.84

▼ −0.33 since 25 Aug

Sold

$26.00 billion

$26 billion offered

Indirect bidders

57.3%

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 28 November 2018 to 22 September 2021; the latest at 0.026%.0.0%0.1%0.2%0.3%201920202021This auction, 0.026%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 November 2018 to 22 September 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
0.0262.84
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.842.9710 of 122 of 12
High discount margin0.0260.04011 of 120 of 12
Indirect bidders' share57.359.58 of 124 of 12
Direct bidders' share0.01.612 of 120 of 12
Primary dealers' share42.739.44 of 128 of 12
High minus median, basis points0.40.711 of 121 of 12

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

  • Direct bidders' share: Lowest for a 2-year FRN since 6 December 2019 (21 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 57.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 August 2021

Indirect bidders took 57.3% of the competitive bids acceptedIndirect bidders 57.3%, Direct bidders 0.0%, Primary dealers 42.7%Indirect bidders57.3%69.0%Direct bidders0.0%1.3%Primary dealers42.7%29.6%Indirect bidders took 57.3% of the competitive bids acceptedIndirect bidders 57.3%, Direct bidders 0.0%, Primary dealers 42.7%Indirect bidders57.3%69.0%Direct bidders0.0%1.3%Primary dealers42.7%29.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders57.369.0
Direct bidders0.01.3
Primary dealers42.729.6

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$73,902,354,600
Sold$26,000,034,600
Competitive bids accepted$25,982,680,000
Non-competitive bids accepted$17,354,600
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.026
Median rate, %0.022
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.029
Bids at the high rate filled, %78.99
Bid-to-cover ratio2.84
Indirect bidders accepted$14,879,195,000
Direct bidders accepted$0
Primary dealers accepted$11,103,485,000
Indirect bidders' share, % (ours)57.3
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)42.7
High minus median, basis points (ours)0.4

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 ratio2.84Last 24 auctions19 of 245 of 243.02
Bid-to-cover ratio2.84All 93 since 29 January 201477 of 9315 of 933.23
High discount margin0.026Last 24 auctions23 of 240 of 240.056
High discount margin0.026All 93 since 29 January 201490 of 932 of 930.076
Indirect bidders' share57.3Last 24 auctions10 of 2414 of 2452.4
Indirect bidders' share57.3All 93 since 29 January 201420 of 9373 of 9347.9
Direct bidders' share0.0Last 24 auctions23 of 240 of 241.3
Direct bidders' share0.0All 93 since 29 January 201485 of 930 of 931.5
Primary dealers' share42.7Last 24 auctions13 of 2411 of 2446.0
Primary dealers' share42.7All 93 since 29 January 201468 of 9325 of 9349.1
High minus median, basis points0.4Last 24 auctions23 of 241 of 240.8
High minus median, basis points0.4All 93 since 29 January 201479 of 939 of 930.9

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 22 September 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20210922_1.pdf. Compiled by 500metrics, "2-year FRN auction of 22 September 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-09-22.

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.