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

The 2-year FRN sold $16.525 billion at a high discount margin of 0.060% on , with a bid-to-cover ratio of 3.32.

Announced
Issued
Matures

Discount margin

0.060%

Median discount margin 0.055%

Bid-to-cover

3.32

▲ +0.19 since 28 Jun

Sold

$16.53 billion

$15 billion offered

Indirect bidders

59.2%

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 27 August 2014 to 26 July 2017; the latest at 0.060%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.060%Discount margin at the last 36 2-year FRN auctions36 auctions from 27 August 2014 to 26 July 2017; the latest at 0.060%.0.0%0.1%0.2%0.3%0.4%2015201620170.060%

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
0.0603.32
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.323.346 of 125 of 12
High discount margin0.0600.15211 of 121 of 12
Indirect bidders' share59.242.32 of 1210 of 12
Direct bidders' share2.00.40 of 1212 of 12
Primary dealers' share38.757.310 of 122 of 12
High minus median, basis points0.50.910 of 120 of 12

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

  • Direct bidders' share: Highest for a 2-year FRN since 23 March 2016 (15 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 59.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 June 2017

Indirect bidders took 59.2% of the competitive bids acceptedIndirect bidders 59.2%, Direct bidders 2.0%, Primary dealers 38.7%Indirect bidders59.2%63.1%Direct bidders2.0%0.2%Primary dealers38.7%36.7%Indirect bidders took 59.2% of the competitive bids acceptedIndirect bidders 59.2%, Direct bidders 2.0%, Primary dealers 38.7%Indirect bidders59.2%63.1%Direct bidders2.0%0.2%Primary dealers38.7%36.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders59.263.1
Direct bidders2.00.2
Primary dealers38.736.7

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$51,311,189,600
Sold$16,525,444,600
Competitive bids accepted$14,991,978,000
Non-competitive bids accepted$8,347,200
Federal Reserve (SOMA) add-on$1,525,119,400
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.060
Median rate, %0.055
Low rate, %0.039
Interest rate (coupon), %–
Spread, %0.060
Bids at the high rate filled, %61.06
Bid-to-cover ratio3.32
Indirect bidders accepted$8,882,703,000
Direct bidders accepted$305,300,000
Primary dealers accepted$5,803,975,000
Indirect bidders' share, % (ours)59.2
Direct bidders' share, % (ours)2.0
Primary dealers' share, % (ours)38.7
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 ratio3.32Last 24 auctions13 of 2410 of 243.35
Bid-to-cover ratio3.32All 42 since 29 January 201430 of 4211 of 423.60
High discount margin0.060Last 24 auctions23 of 241 of 240.169
High discount margin0.060All 42 since 29 January 201437 of 425 of 420.086
Indirect bidders' share59.2Last 24 auctions2 of 2422 of 2442.4
Indirect bidders' share59.2All 42 since 29 January 20144 of 4238 of 4243.9
Direct bidders' share2.0Last 24 auctions5 of 2419 of 241.1
Direct bidders' share2.0All 42 since 29 January 201419 of 4223 of 421.9
Primary dealers' share38.7Last 24 auctions22 of 242 of 2456.3
Primary dealers' share38.7All 42 since 29 January 201438 of 424 of 4252.8
High minus median, basis points0.5Last 24 auctions22 of 240 of 241.2
High minus median, basis points0.5All 42 since 29 January 201427 of 4212 of 420.9

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 July 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170726_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 July 2017 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2017-07-26.

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.