500metrics

All sources checked Checked

2-year FRN auction of 23 August 2017 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.060% on , with a bid-to-cover ratio of 3.09.

Announced
Issued
Matures

Discount margin

0.060%

Median discount margin 0.054%

Bid-to-cover

3.09

▼ −0.23 since 26 Jul

Sold

$13.00 billion

$13 billion offered

Indirect bidders

50.1%

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 24 September 2014 to 23 August 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 24 September 2014 to 23 August 2017; the latest at 0.060%.0.0%0.1%0.2%0.3%0.4%201620170.060%

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
0.0603.09
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.093.329 of 122 of 12
High discount margin0.0600.13610 of 121 of 12
Indirect bidders' share50.142.34 of 128 of 12
Direct bidders' share0.40.68 of 124 of 12
Primary dealers' share49.657.38 of 124 of 12
High minus median, basis points0.60.88 of 123 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 50.1% of the competitive bids accepted

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

Indirect bidders took 50.1% of the competitive bids acceptedIndirect bidders 50.1%, Direct bidders 0.4%, Primary dealers 49.6%Indirect bidders50.1%59.2%Direct bidders0.4%2.0%Primary dealers49.6%38.7%Indirect bidders took 50.1% of the competitive bids acceptedIndirect bidders 50.1%, Direct bidders 0.4%, Primary dealers 49.6%Indirect bidders50.1%59.2%Direct bidders0.4%2.0%Primary dealers49.6%38.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders50.159.2
Direct bidders0.42.0
Primary dealers49.638.7

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$40,161,859,300
Sold$13,000,065,300
Competitive bids accepted$12,993,206,000
Non-competitive bids accepted$6,859,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.060
Median rate, %0.054
Low rate, %0.040
Interest rate (coupon), %–
Spread, %0.060
Bids at the high rate filled, %47.88
Bid-to-cover ratio3.09
Indirect bidders accepted$6,503,742,000
Direct bidders accepted$47,880,000
Primary dealers accepted$6,441,584,000
Indirect bidders' share, % (ours)50.1
Direct bidders' share, % (ours)0.4
Primary dealers' share, % (ours)49.6
High minus median, basis points (ours)0.6

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 ratio3.09Last 24 auctions19 of 244 of 243.34
Bid-to-cover ratio3.09All 43 since 29 January 201437 of 435 of 433.58
High discount margin0.060Last 24 auctions22 of 241 of 240.169
High discount margin0.060All 43 since 29 January 201437 of 435 of 430.085
Indirect bidders' share50.1Last 24 auctions6 of 2418 of 2442.4
Indirect bidders' share50.1All 43 since 29 January 201412 of 4331 of 4344.1
Direct bidders' share0.4Last 24 auctions16 of 248 of 241.1
Direct bidders' share0.4All 43 since 29 January 201434 of 439 of 431.9
Primary dealers' share49.6Last 24 auctions17 of 247 of 2456.3
Primary dealers' share49.6All 43 since 29 January 201427 of 4316 of 4352.4
High minus median, basis points0.6Last 24 auctions20 of 243 of 241.2
High minus median, basis points0.6All 43 since 29 January 201425 of 4316 of 430.9

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 23 August 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170823_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 August 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-08-23.

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.