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2-year FRN auction of 22 February 2017 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.133% on , with a bid-to-cover ratio of 3.08.

Announced
Issued
Matures

Discount margin

0.133%

Median discount margin 0.120%

Bid-to-cover

3.08

▼ −0.08 since 25 Jan

Sold

$13.00 billion

$13 billion offered

Indirect bidders

48.7%

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 March 2014 to 22 February 2017; the latest at 0.133%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.133%The high discount margin was the lowest for a 2-year FRN since 23 September 201536 auctions from 26 March 2014 to 22 February 2017; the latest at 0.133%.0.0%0.1%0.2%0.3%0.4%2015201620170.133%

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
0.1333.08
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.083.3511 of 121 of 12
High discount margin0.1330.17712 of 120 of 12
Indirect bidders' share48.738.82 of 1210 of 12
Direct bidders' share0.40.97 of 125 of 12
Primary dealers' share50.960.310 of 122 of 12
High minus median, basis points1.31.15 of 126 of 12

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

Who bought the 2-year FRN?

Primary dealers took 50.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 January 2017

Primary dealers took 50.9% of the competitive bids acceptedIndirect bidders 48.7%, Direct bidders 0.4%, Primary dealers 50.9%Indirect bidders48.7%25.4%Direct bidders0.4%1.5%Primary dealers50.9%73.1%Primary dealers took 50.9% of the competitive bids acceptedIndirect bidders 48.7%, Direct bidders 0.4%, Primary dealers 50.9%Indirect bidders48.7%25.4%Direct bidders0.4%1.5%Primary dealers50.9%73.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders48.725.4
Direct bidders0.41.5
Primary dealers50.973.1

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$13,000,000,000
Bids received$40,000,564,500
Sold$13,000,014,500
Competitive bids accepted$12,989,450,000
Non-competitive bids accepted$10,564,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.133
Median rate, %0.120
Low rate, %0.100
Interest rate (coupon), %–
Spread, %0.140
Bids at the high rate filled, %56.30
Bid-to-cover ratio3.08
Indirect bidders accepted$6,328,150,000
Direct bidders accepted$50,000,000
Primary dealers accepted$6,611,300,000
Indirect bidders' share, % (ours)48.7
Direct bidders' share, % (ours)0.4
Primary dealers' share, % (ours)50.9
High minus median, basis points (ours)1.3

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 ratio3.08Last 24 auctions22 of 242 of 243.49
Bid-to-cover ratio3.08All 37 since 29 January 201434 of 373 of 373.72
High discount margin0.133Last 24 auctions16 of 248 of 240.169
High discount margin0.133All 37 since 29 January 201416 of 3721 of 370.086
Indirect bidders' share48.7Last 24 auctions9 of 2415 of 2443.9
Indirect bidders' share48.7All 37 since 29 January 201411 of 3726 of 3743.8
Direct bidders' share0.4Last 24 auctions17 of 247 of 241.5
Direct bidders' share0.4All 37 since 29 January 201430 of 377 of 372.2
Primary dealers' share50.9Last 24 auctions14 of 2410 of 2455.6
Primary dealers' share50.9All 37 since 29 January 201420 of 3717 of 3753.2
High minus median, basis points1.3Last 24 auctions9 of 2414 of 241.1
High minus median, basis points1.3All 37 since 29 January 201410 of 3726 of 370.9

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 22 February 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170222_1.pdf. Compiled by 500metrics, "2-year FRN auction of 22 February 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-02-22.

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.