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2-year FRN auction of 26 April 2017 (new issue)

The 2-year FRN sold $17.047 billion at a high discount margin of 0.070% on , with a bid-to-cover ratio of 3.35.

Announced
Issued
Matures

Discount margin

0.070%

Median discount margin 0.065%

Bid-to-cover

3.35

▼ −0.08 since 29 Mar

Sold

$17.05 billion

$15 billion offered

Indirect bidders

62.8%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 28 May 2015

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 28 May 201536 auctions from 28 May 2014 to 26 April 2017; the latest at 0.070%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.070%The high discount margin was the lowest for a 2-year FRN since 28 May 201536 auctions from 28 May 2014 to 26 April 2017; the latest at 0.070%.0.0%0.1%0.2%0.3%0.4%2015201620170.070%

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
0.0703.35
0.1093.43
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.353.355 of 125 of 12
High discount margin0.0700.17012 of 120 of 12
Indirect bidders' share62.840.30 of 1212 of 12
Direct bidders' share0.30.47 of 125 of 12
Primary dealers' share36.959.312 of 120 of 12
High minus median, basis points0.50.911 of 120 of 12

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

  • Indirect bidders' share: Highest for a 2-year FRN since 25 March 2015 (24 auctions in between).
  • Primary dealers' share: Lowest for a 2-year FRN since 29 April 2015 (23 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 62.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 29 March 2017

Indirect bidders took 62.8% of the competitive bids acceptedIndirect bidders 62.8%, Direct bidders 0.3%, Primary dealers 36.9%Indirect bidders62.8%40.4%Direct bidders0.3%0.8%Primary dealers36.9%58.8%Indirect bidders took 62.8% of the competitive bids acceptedIndirect bidders 62.8%, Direct bidders 0.3%, Primary dealers 36.9%Indirect bidders62.8%40.4%Direct bidders0.3%0.8%Primary dealers36.9%58.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders62.840.4
Direct bidders0.30.8
Primary dealers36.958.8

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$52,265,124,300
Sold$17,047,347,300
Competitive bids accepted$14,979,774,000
Non-competitive bids accepted$20,297,700
Federal Reserve (SOMA) add-on$2,047,275,600
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.070
Median rate, %0.065
Low rate, %0.045
Interest rate (coupon), %–
Spread, %0.070
Bids at the high rate filled, %97.71
Bid-to-cover ratio3.35
Indirect bidders accepted$9,403,781,000
Direct bidders accepted$50,000,000
Primary dealers accepted$5,525,993,000
Indirect bidders' share, % (ours)62.8
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)36.9
High minus median, basis points (ours)0.5

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 ratio3.35Last 24 auctions13 of 249 of 243.44
Bid-to-cover ratio3.35All 39 since 29 January 201427 of 3910 of 393.67
High discount margin0.070Last 24 auctions23 of 241 of 240.169
High discount margin0.070All 39 since 29 January 201427 of 3911 of 390.109
Indirect bidders' share62.8Last 24 auctions0 of 2424 of 2443.7
Indirect bidders' share62.8All 39 since 29 January 20141 of 3938 of 3943.8
Direct bidders' share0.3Last 24 auctions18 of 246 of 241.4
Direct bidders' share0.3All 39 since 29 January 201432 of 397 of 392.0
Primary dealers' share36.9Last 24 auctions23 of 241 of 2455.9
Primary dealers' share36.9All 39 since 29 January 201437 of 392 of 3953.2
High minus median, basis points0.5Last 24 auctions23 of 240 of 241.2
High minus median, basis points0.5All 39 since 29 January 201425 of 3912 of 390.9

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 April 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170426_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 April 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2017-04-26.

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.