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

The 2-year FRN sold $30.847 billion at a high discount margin of 0.035% on , with a bid-to-cover ratio of 2.99.

Announced
Issued
Matures

Discount margin

0.035%

Median discount margin 0.028%

Bid-to-cover

2.99

▲ +0.15 since 22 Sep

Sold

$30.85 billion

$28 billion offered

Indirect bidders

65.0%

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 26 December 2018 to 27 October 2021; the latest at 0.035%.0.0%0.1%0.2%0.3%201920202021This auction, 0.035%Discount margin at the last 36 2-year FRN auctions36 auctions from 26 December 2018 to 27 October 2021; the latest at 0.035%.0.0%0.1%0.2%0.3%202020210.035%

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
0.0352.99
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.992.976 of 126 of 12
High discount margin0.0350.0345 of 126 of 12
Indirect bidders' share65.059.54 of 128 of 12
Direct bidders' share0.91.310 of 122 of 12
Primary dealers' share34.139.48 of 124 of 12
High minus median, basis points0.70.64 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 65.0% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 22 September 2021

Indirect bidders took 65.0% of the competitive bids acceptedIndirect bidders 65.0%, Direct bidders 0.9%, Primary dealers 34.1%Indirect bidders65.0%57.3%Direct bidders0.9%0.0%Primary dealers34.1%42.7%Indirect bidders took 65.0% of the competitive bids acceptedIndirect bidders 65.0%, Direct bidders 0.9%, Primary dealers 34.1%Indirect bidders65.0%57.3%Direct bidders0.9%0.0%Primary dealers34.1%42.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders65.057.3
Direct bidders0.90.0
Primary dealers34.142.7

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$86,629,974,000
Sold$30,846,849,000
Competitive bids accepted$27,969,875,000
Non-competitive bids accepted$30,332,900
Federal Reserve (SOMA) add-on$2,846,641,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.035
Median rate, %0.028
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.035
Bids at the high rate filled, %44.30
Bid-to-cover ratio2.99
Indirect bidders accepted$18,177,575,000
Direct bidders accepted$250,000,000
Primary dealers accepted$9,542,300,000
Indirect bidders' share, % (ours)65.0
Direct bidders' share, % (ours)0.9
Primary dealers' share, % (ours)34.1
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 ratio2.99Last 24 auctions13 of 2411 of 243.02
Bid-to-cover ratio2.99All 94 since 29 January 201465 of 9428 of 943.23
High discount margin0.035Last 24 auctions17 of 246 of 240.055
High discount margin0.035All 94 since 29 January 201481 of 9410 of 940.075
Indirect bidders' share65.0Last 24 auctions5 of 2419 of 2452.8
Indirect bidders' share65.0All 94 since 29 January 20148 of 9486 of 9448.1
Direct bidders' share0.9Last 24 auctions19 of 245 of 241.3
Direct bidders' share0.9All 94 since 29 January 201462 of 9432 of 941.5
Primary dealers' share34.1Last 24 auctions18 of 246 of 2444.3
Primary dealers' share34.1All 94 since 29 January 201485 of 949 of 9449.1
High minus median, basis points0.7Last 24 auctions13 of 249 of 240.8
High minus median, basis points0.7All 94 since 29 January 201457 of 9433 of 940.9

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 October 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211027_2.pdf. Compiled by 500metrics, "2-year FRN auction of 27 October 2021 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2021-10-27.

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.