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

The 2-year FRN sold $24 billion at a high discount margin of 0.038% on , with a bid-to-cover ratio of 2.80.

Announced
Issued
Matures

Discount margin

0.038%

Median discount margin 0.028%

Bid-to-cover

2.80

▼ −0.19 since 27 Oct

Sold

$24.00 billion

$24 billion offered

Indirect bidders

77.6%

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 January 2019 to 23 November 2021; the latest at 0.038%.0.0%0.1%0.2%0.3%201920202021This auction, 0.038%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 January 2019 to 23 November 2021; the latest at 0.038%.0.0%0.1%0.2%0.3%202020210.038%

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
0.0382.80
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.802.9512 of 120 of 12
High discount margin0.0380.0344 of 128 of 12
Indirect bidders' share77.659.70 of 1212 of 12
Direct bidders' share1.31.37 of 125 of 12
Primary dealers' share21.238.012 of 120 of 12
High minus median, basis points1.00.60 of 1211 of 12

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

  • Bid-to-cover ratio: Lowest for a 2-year FRN since 26 February 2020 (20 auctions in between).
  • Indirect bidders' share: Highest of all 95 earlier 2-year FRN auctions we hold.
  • Primary dealers' share: Lowest of all 95 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Indirect bidders took 77.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 October 2021

Indirect bidders took 77.6% of the competitive bids acceptedIndirect bidders 77.6%, Direct bidders 1.3%, Primary dealers 21.2%Indirect bidders77.6%65.0%Direct bidders1.3%0.9%Primary dealers21.2%34.1%Indirect bidders took 77.6% of the competitive bids acceptedIndirect bidders 77.6%, Direct bidders 1.3%, Primary dealers 21.2%Indirect bidders77.6%65.0%Direct bidders1.3%0.9%Primary dealers21.2%34.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders77.665.0
Direct bidders1.30.9
Primary dealers21.234.1

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$24,000,000,000
Bids received$67,170,038,100
Sold$24,000,063,100
Competitive bids accepted$23,965,025,000
Non-competitive bids accepted$35,038,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.038
Median rate, %0.028
Low rate, %0.000
Interest rate (coupon), %–
Spread, %0.035
Bids at the high rate filled, %97.65
Bid-to-cover ratio2.80
Indirect bidders accepted$18,594,000,000
Direct bidders accepted$300,000,000
Primary dealers accepted$5,071,025,000
Indirect bidders' share, % (ours)77.6
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)21.2
High minus median, basis points (ours)1.0

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 ratio2.80Last 24 auctions23 of 241 of 243.02
Bid-to-cover ratio2.80All 95 since 29 January 201482 of 9513 of 953.23
High discount margin0.038Last 24 auctions16 of 248 of 240.055
High discount margin0.038All 95 since 29 January 201481 of 9514 of 950.074
Indirect bidders' share77.6Last 24 auctions0 of 2424 of 2455.1
Indirect bidders' share77.6All 95 since 29 January 20140 of 9595 of 9548.2
Direct bidders' share1.3Last 24 auctions15 of 249 of 241.3
Direct bidders' share1.3All 95 since 29 January 201455 of 9540 of 951.5
Primary dealers' share21.2Last 24 auctions24 of 240 of 2442.4
Primary dealers' share21.2All 95 since 29 January 201495 of 950 of 9549.1
High minus median, basis points1.0Last 24 auctions6 of 2416 of 240.8
High minus median, basis points1.0All 95 since 29 January 201435 of 9552 of 950.9

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 November 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211123_2.pdf. Compiled by 500metrics, "2-year FRN auction of 23 November 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-11-23.

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.