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2-year FRN auction of 24 May 2017 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.050% on , with a bid-to-cover ratio of 2.99.

Announced
Issued
Matures

Discount margin

0.050%

Median discount margin 0.035%

Bid-to-cover

2.99

▼ −0.36 since 26 Apr

Sold

$13.00 billion

$13 billion offered

Indirect bidders

40.8%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN since 24 September 2014

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN since 24 September 201436 auctions from 25 June 2014 to 24 May 2017; the latest at 0.050%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.050%The high discount margin was the lowest for a 2-year FRN since 24 September 201436 auctions from 25 June 2014 to 24 May 2017; the latest at 0.050%.0.0%0.1%0.2%0.3%0.4%2015201620170.050%

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
0.0502.99
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.993.3512 of 120 of 12
High discount margin0.0500.16912 of 120 of 12
Indirect bidders' share40.840.35 of 127 of 12
Direct bidders' share0.80.45 of 127 of 12
Primary dealers' share58.459.37 of 125 of 12
High minus median, basis points1.50.90 of 1211 of 12

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

  • Bid-to-cover ratio: Lowest for a 2-year FRN since 23 September 2015 (19 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 58.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 April 2017

Primary dealers took 58.4% of the competitive bids acceptedIndirect bidders 40.8%, Direct bidders 0.8%, Primary dealers 58.4%Indirect bidders40.8%62.8%Direct bidders0.8%0.3%Primary dealers58.4%36.9%Primary dealers took 58.4% of the competitive bids acceptedIndirect bidders 40.8%, Direct bidders 0.8%, Primary dealers 58.4%Indirect bidders40.8%62.8%Direct bidders0.8%0.3%Primary dealers58.4%36.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders40.862.8
Direct bidders0.80.3
Primary dealers58.436.9

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$38,857,407,400
Sold$13,000,007,400
Competitive bids accepted$12,992,350,000
Non-competitive bids accepted$7,657,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.050
Median rate, %0.035
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.070
Bids at the high rate filled, %17.20
Bid-to-cover ratio2.99
Indirect bidders accepted$5,299,750,000
Direct bidders accepted$100,000,000
Primary dealers accepted$7,592,600,000
Indirect bidders' share, % (ours)40.8
Direct bidders' share, % (ours)0.8
Primary dealers' share, % (ours)58.4
High minus median, basis points (ours)1.5

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 ratio2.99Last 24 auctions23 of 241 of 243.39
Bid-to-cover ratio2.99All 40 since 29 January 201438 of 402 of 403.65
High discount margin0.050Last 24 auctions24 of 240 of 240.169
High discount margin0.050All 40 since 29 January 201438 of 402 of 400.098
Indirect bidders' share40.8Last 24 auctions14 of 2410 of 2443.7
Indirect bidders' share40.8All 40 since 29 January 201424 of 4016 of 4043.9
Direct bidders' share0.8Last 24 auctions15 of 249 of 241.4
Direct bidders' share0.8All 40 since 29 January 201429 of 4011 of 402.0
Primary dealers' share58.4Last 24 auctions10 of 2414 of 2455.9
Primary dealers' share58.4All 40 since 29 January 201413 of 4027 of 4052.8
High minus median, basis points1.5Last 24 auctions5 of 2416 of 241.2
High minus median, basis points1.5All 40 since 29 January 20146 of 4031 of 400.9

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 24 May 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170524_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 May 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-05-24.

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.