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2-year FRN auction of 29 December 2021 (reopening)

The 2-year FRN sold $27.261 billion at a high discount margin of 0.030% on , with a bid-to-cover ratio of 4.03.

Announced
Issued
Matures

Discount margin

0.030%

Median discount margin 0.010%

Bid-to-cover

4.03

▲ +1.23 since 23 Nov

Sold

$27.26 billion

$24 billion offered

Indirect bidders

54.5%

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 20 February 2019 to 29 December 2021; the latest at 0.030%.0.0%0.1%0.2%0.3%201920202021This auction, 0.030%Discount margin at the last 36 2-year FRN auctions36 auctions from 20 February 2019 to 29 December 2021; the latest at 0.030%.0.0%0.1%0.1%0.1%0.2%0.3%202020210.030%

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
0.0304.03
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.032.950 of 1212 of 12
High discount margin0.0300.0347 of 123 of 12
Indirect bidders' share54.562.310 of 122 of 12
Direct bidders' share12.11.30 of 1212 of 12
Primary dealers' share33.335.47 of 125 of 12
High minus median, basis points2.00.60 of 1212 of 12

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

  • Bid-to-cover ratio: Highest for a 2-year FRN since 18 December 2019 (23 auctions in between).
  • Direct bidders' share: Highest for a 2-year FRN since 24 June 2020 (17 auctions in between).
  • High minus median, basis points: Highest for a 2-year FRN since 25 March 2020 (20 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 54.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 November 2021

Indirect bidders took 54.5% of the competitive bids acceptedIndirect bidders 54.5%, Direct bidders 12.1%, Primary dealers 33.3%Indirect bidders54.5%77.6%Direct bidders12.1%1.3%Primary dealers33.3%21.2%Indirect bidders took 54.5% of the competitive bids acceptedIndirect bidders 54.5%, Direct bidders 12.1%, Primary dealers 33.3%Indirect bidders54.5%77.6%Direct bidders12.1%1.3%Primary dealers33.3%21.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders54.577.6
Direct bidders12.11.3
Primary dealers33.321.2

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$24,000,000,000
Bids received$99,896,032,800
Sold$27,261,069,200
Competitive bids accepted$23,982,036,400
Non-competitive bids accepted$18,394,600
Federal Reserve (SOMA) add-on$3,260,638,200
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.030
Median rate, %0.010
Low rate, %0.000
Interest rate (coupon), %–
Spread, %0.035
Bids at the high rate filled, %78.63
Bid-to-cover ratio4.03
Indirect bidders accepted$13,080,699,400
Direct bidders accepted$2,909,310,000
Primary dealers accepted$7,992,027,000
Indirect bidders' share, % (ours)54.5
Direct bidders' share, % (ours)12.1
Primary dealers' share, % (ours)33.3
High minus median, basis points (ours)2.0

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 ratio4.03Last 24 auctions1 of 2423 of 243.00
Bid-to-cover ratio4.03All 96 since 29 January 201413 of 9683 of 963.22
High discount margin0.030Last 24 auctions19 of 243 of 240.054
High discount margin0.030All 96 since 29 January 201488 of 966 of 960.072
Indirect bidders' share54.5Last 24 auctions13 of 2411 of 2457.5
Indirect bidders' share54.5All 96 since 29 January 201426 of 9670 of 9648.5
Direct bidders' share12.1Last 24 auctions3 of 2421 of 241.3
Direct bidders' share12.1All 96 since 29 January 20145 of 9691 of 961.5
Primary dealers' share33.3Last 24 auctions17 of 247 of 2440.8
Primary dealers' share33.3All 96 since 29 January 201486 of 9610 of 9649.0
High minus median, basis points2.0Last 24 auctions1 of 2422 of 240.8
High minus median, basis points2.0All 96 since 29 January 201410 of 9683 of 960.9

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 29 December 2021. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2021/R_20211229_2.pdf. Compiled by 500metrics, "2-year FRN auction of 29 December 2021 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2021-12-29.

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.