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2-year FRN auction of 28 June 2017 (reopening)

The 2-year FRN sold $14.58 billion at a high discount margin of 0.080% on , with a bid-to-cover ratio of 3.13.

Announced
Issued
Matures

Discount margin

0.080%

Median discount margin 0.068%

Bid-to-cover

3.13

▲ +0.14 since 24 May

Sold

$14.58 billion

$13 billion offered

Indirect bidders

63.1%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 30 July 2014 to 28 June 2017; the latest at 0.080%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.080%Discount margin at the last 36 2-year FRN auctions36 auctions from 30 July 2014 to 28 June 2017; the latest at 0.080%.0.0%0.1%0.2%0.3%0.4%2015201620170.080%

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
0.0803.13
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.133.349 of 123 of 12
High discount margin0.0800.16710 of 122 of 12
Indirect bidders' share63.140.60 of 1212 of 12
Direct bidders' share0.20.49 of 123 of 12
Primary dealers' share36.758.612 of 120 of 12
High minus median, basis points1.20.94 of 128 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 (26 auctions in between).
  • Primary dealers' share: Lowest for a 2-year FRN since 25 March 2015 (26 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 63.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 May 2017

Indirect bidders took 63.1% of the competitive bids acceptedIndirect bidders 63.1%, Direct bidders 0.2%, Primary dealers 36.7%Indirect bidders63.1%40.8%Direct bidders0.2%0.8%Primary dealers36.7%58.4%Indirect bidders took 63.1% of the competitive bids acceptedIndirect bidders 63.1%, Direct bidders 0.2%, Primary dealers 36.7%Indirect bidders63.1%40.8%Direct bidders0.2%0.8%Primary dealers36.7%58.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders63.140.8
Direct bidders0.20.8
Primary dealers36.758.4

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$13,000,000,000
Bids received$42,321,646,200
Sold$14,580,256,200
Competitive bids accepted$12,995,110,000
Non-competitive bids accepted$4,934,000
Federal Reserve (SOMA) add-on$1,580,212,200
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.080
Median rate, %0.068
Low rate, %0.050
Interest rate (coupon), %–
Spread, %0.070
Bids at the high rate filled, %63.30
Bid-to-cover ratio3.13
Indirect bidders accepted$8,202,510,000
Direct bidders accepted$25,000,000
Primary dealers accepted$4,767,600,000
Indirect bidders' share, % (ours)63.1
Direct bidders' share, % (ours)0.2
Primary dealers' share, % (ours)36.7
High minus median, basis points (ours)1.2

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 ratio3.13Last 24 auctions17 of 247 of 243.35
Bid-to-cover ratio3.13All 41 since 29 January 201433 of 418 of 413.63
High discount margin0.080Last 24 auctions20 of 244 of 240.169
High discount margin0.080All 41 since 29 January 201424 of 4117 of 410.086
Indirect bidders' share63.1Last 24 auctions0 of 2424 of 2442.4
Indirect bidders' share63.1All 41 since 29 January 20141 of 4140 of 4143.8
Direct bidders' share0.2Last 24 auctions19 of 245 of 241.2
Direct bidders' share0.2All 41 since 29 January 201435 of 416 of 411.9
Primary dealers' share36.7Last 24 auctions24 of 240 of 2456.3
Primary dealers' share36.7All 41 since 29 January 201440 of 411 of 4153.2
High minus median, basis points1.2Last 24 auctions12 of 2411 of 241.2
High minus median, basis points1.2All 41 since 29 January 201413 of 4127 of 410.9

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 28 June 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170628_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 June 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-06-28.

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.