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2-year FRN auction of 26 January 2022 (new issue)

The 2-year FRN sold $29.886 billion at a high discount margin of -0.015% on , with a bid-to-cover ratio of 3.34.

Announced
Issued
Matures

Discount margin

-0.015%

Median discount margin -0.021%

Bid-to-cover

3.34

▼ −0.69 since 29 Dec

Sold

$29.89 billion

$26 billion offered

Indirect bidders

75.5%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN of all 97 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN of all 97 earlier auctions we hold36 auctions from 27 March 2019 to 26 January 2022; the latest at -0.015%.-0.1%0.0%0.1%0.2%0.3%2019202020212022This auction, -0.015%The high discount margin was the lowest for a 2-year FRN of all 97 earlier auctions we hold36 auctions from 27 March 2019 to 26 January 2022; the latest at -0.015%.-0.1%0.0%0.1%0.2%0.3%202020212022-0.015%

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
-0.0153.34
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.343.011 of 1211 of 12
High discount margin-0.0150.03212 of 120 of 12
Indirect bidders' share75.562.31 of 1211 of 12
Direct bidders' share0.01.311 of 120 of 12
Primary dealers' share24.533.711 of 121 of 12
High minus median, basis points0.60.77 of 124 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 75.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 29 December 2021

Indirect bidders took 75.5% of the competitive bids acceptedIndirect bidders 75.5%, Direct bidders 0.0%, Primary dealers 24.5%Indirect bidders75.5%54.5%Direct bidders0.0%12.1%Primary dealers24.5%33.3%Indirect bidders took 75.5% of the competitive bids acceptedIndirect bidders 75.5%, Direct bidders 0.0%, Primary dealers 24.5%Indirect bidders75.5%54.5%Direct bidders0.0%12.1%Primary dealers24.5%33.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders75.554.5
Direct bidders0.012.1
Primary dealers24.533.3

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$26,000,000,000
Bids received$90,709,539,500
Sold$29,886,042,100
Competitive bids accepted$25,951,865,000
Non-competitive bids accepted$48,146,600
Federal Reserve (SOMA) add-on$3,886,030,500
Foreign and international (FIMA) non-competitive$0
Discount margin, %-0.015
Median rate, %-0.021
Low rate, %-0.060
Interest rate (coupon), %–
Spread, %-0.015
Bids at the high rate filled, %57.19
Bid-to-cover ratio3.34
Indirect bidders accepted$19,598,105,000
Direct bidders accepted$0
Primary dealers accepted$6,353,760,000
Indirect bidders' share, % (ours)75.5
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)24.5
High minus median, basis points (ours)0.6

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 ratio3.34Last 24 auctions1 of 2423 of 243.00
Bid-to-cover ratio3.34All 97 since 29 January 201440 of 9757 of 973.23
High discount margin-0.015Last 24 auctions24 of 240 of 240.051
High discount margin-0.015All 97 since 29 January 201497 of 970 of 970.070
Indirect bidders' share75.5Last 24 auctions1 of 2423 of 2457.5
Indirect bidders' share75.5All 97 since 29 January 20142 of 9795 of 9748.7
Direct bidders' share0.0Last 24 auctions23 of 240 of 241.4
Direct bidders' share0.0All 97 since 29 January 201488 of 970 of 971.5
Primary dealers' share24.5Last 24 auctions23 of 241 of 2439.4
Primary dealers' share24.5All 97 since 29 January 201495 of 972 of 9748.9
High minus median, basis points0.6Last 24 auctions17 of 245 of 240.8
High minus median, basis points0.6All 97 since 29 January 201464 of 9727 of 970.9

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 26 January 2022. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2022/R_20220126_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 January 2022 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2022-01-26.

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.