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2-year FRN auction of 25 January 2017 (new issue)

The 2-year FRN sold $15.951 billion at a high discount margin of 0.140% on , with a bid-to-cover ratio of 3.16.

Announced
Issued
Matures

Discount margin

0.140%

Median discount margin 0.132%

Bid-to-cover

3.16

▼ −0.64 since 28 Dec

Sold

$15.95 billion

$15 billion offered

Indirect bidders

25.4%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 23 September 2015

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 23 September 201536 auctions from 26 February 2014 to 25 January 2017; the latest at 0.140%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.140%The high discount margin was the lowest for a 2-year FRN since 23 September 201536 auctions from 26 February 2014 to 25 January 2017; the latest at 0.140%.0.0%0.1%0.2%0.3%0.4%2015201620170.140%

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
0.1403.16
0.1693.80
0.1693.32
0.1703.35
0.1803.09
0.1653.46
0.1743.82
0.1883.15
0.1883.35
0.1903.57
0.2403.07
0.2373.63
0.2723.67
0.3303.48
0.2163.11
0.1683.10
0.1202.87
0.0863.50
0.0773.93
0.0763.74
0.0694.01
0.0743.81
0.0854.34
0.0844.28
0.0843.72
0.1102.90
0.0684.00
0.0533.58
0.0414.45
0.0554.38
0.0704.09
0.0694.43
0.0634.69
0.0694.64
0.0694.67
0.0645.29

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.163.409 of 123 of 12
High discount margin0.1400.18412 of 120 of 12
Indirect bidders' share25.440.612 of 120 of 12
Direct bidders' share1.50.95 of 127 of 12
Primary dealers' share73.158.10 of 1212 of 12
High minus median, basis points0.81.210 of 121 of 12

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

  • Indirect bidders' share: Lowest for a 2-year FRN since 23 September 2015 (15 auctions in between).
  • Primary dealers' share: Highest for a 2-year FRN since 23 September 2015 (15 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 73.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 December 2016

Primary dealers took 73.1% of the competitive bids acceptedIndirect bidders 25.4%, Direct bidders 1.5%, Primary dealers 73.1%Indirect bidders25.4%37.4%Direct bidders1.5%0.0%Primary dealers73.1%62.6%Primary dealers took 73.1% of the competitive bids acceptedIndirect bidders 25.4%, Direct bidders 1.5%, Primary dealers 73.1%Indirect bidders25.4%37.4%Direct bidders1.5%0.0%Primary dealers73.1%62.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders25.437.4
Direct bidders1.50.0
Primary dealers73.162.6

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$15,000,000,000
Bids received$48,348,790,900
Sold$15,951,334,900
Competitive bids accepted$14,977,544,000
Non-competitive bids accepted$22,575,800
Federal Reserve (SOMA) add-on$951,215,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.140
Median rate, %0.132
Low rate, %0.110
Interest rate (coupon), %–
Spread, %0.140
Bids at the high rate filled, %78.59
Bid-to-cover ratio3.16
Indirect bidders accepted$3,802,505,000
Direct bidders accepted$227,859,000
Primary dealers accepted$10,947,180,000
Indirect bidders' share, % (ours)25.4
Direct bidders' share, % (ours)1.5
Primary dealers' share, % (ours)73.1
High minus median, basis points (ours)0.8

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 ratio3.16Last 24 auctions18 of 246 of 243.54
Bid-to-cover ratio3.16All 36 since 29 January 201429 of 367 of 363.73
High discount margin0.140Last 24 auctions15 of 249 of 240.169
High discount margin0.140All 36 since 29 January 201415 of 3621 of 360.086
Indirect bidders' share25.4Last 24 auctions23 of 241 of 2444.2
Indirect bidders' share25.4All 36 since 29 January 201434 of 362 of 3643.9
Direct bidders' share1.5Last 24 auctions13 of 2411 of 241.6
Direct bidders' share1.5All 36 since 29 January 201425 of 3611 of 362.2
Primary dealers' share73.1Last 24 auctions1 of 2423 of 2454.0
Primary dealers' share73.1All 36 since 29 January 20141 of 3635 of 3652.8
High minus median, basis points0.8Last 24 auctions19 of 244 of 241.1
High minus median, basis points0.8All 36 since 29 January 201420 of 3615 of 360.9

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 25 January 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170125_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 January 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2017-01-25.

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.