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2-year FRN auction of 27 September 2017 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.055% on , with a bid-to-cover ratio of 3.46.

Announced
Issued
Matures

Discount margin

0.055%

Median discount margin 0.050%

Bid-to-cover

3.46

▲ +0.37 since 23 Aug

Sold

$13.00 billion

$13 billion offered

Indirect bidders

47.1%

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 29 October 2014 to 27 September 2017; the latest at 0.055%.0.0%0.1%0.2%0.3%0.4%2014201520162017This auction, 0.055%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 October 2014 to 27 September 2017; the latest at 0.055%.0.0%0.1%0.2%0.3%0.4%201620170.055%

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
0.0553.46
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.463.241 of 1211 of 12
High discount margin0.0550.12111 of 121 of 12
Indirect bidders' share47.146.26 of 126 of 12
Direct bidders' share0.00.411 of 120 of 12
Primary dealers' share52.953.66 of 126 of 12
High minus median, basis points0.50.89 of 120 of 12

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

Who bought the 2-year FRN?

Primary dealers took 52.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 August 2017

Primary dealers took 52.9% of the competitive bids acceptedIndirect bidders 47.1%, Direct bidders 0.0%, Primary dealers 52.9%Indirect bidders47.1%50.1%Direct bidders0.0%0.4%Primary dealers52.9%49.6%Primary dealers took 52.9% of the competitive bids acceptedIndirect bidders 47.1%, Direct bidders 0.0%, Primary dealers 52.9%Indirect bidders47.1%50.1%Direct bidders0.0%0.4%Primary dealers52.9%49.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.150.1
Direct bidders0.00.4
Primary dealers52.949.6

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$44,949,098,400
Sold$13,000,463,400
Competitive bids accepted$12,986,905,000
Non-competitive bids accepted$13,558,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.055
Median rate, %0.050
Low rate, %0.030
Interest rate (coupon), %–
Spread, %0.060
Bids at the high rate filled, %67.13
Bid-to-cover ratio3.46
Indirect bidders accepted$6,117,735,000
Direct bidders accepted$0
Primary dealers accepted$6,869,170,000
Indirect bidders' share, % (ours)47.1
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)52.9
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 ratio3.46Last 24 auctions6 of 2417 of 243.32
Bid-to-cover ratio3.46All 44 since 29 January 201425 of 4418 of 443.58
High discount margin0.055Last 24 auctions23 of 241 of 240.169
High discount margin0.055All 44 since 29 January 201439 of 444 of 440.084
Indirect bidders' share47.1Last 24 auctions9 of 2415 of 2442.5
Indirect bidders' share47.1All 44 since 29 January 201417 of 4427 of 4444.2
Direct bidders' share0.0Last 24 auctions22 of 240 of 241.1
Direct bidders' share0.0All 44 since 29 January 201440 of 440 of 441.9
Primary dealers' share52.9Last 24 auctions14 of 2410 of 2455.9
Primary dealers' share52.9All 44 since 29 January 201421 of 4423 of 4451.7
High minus median, basis points0.5Last 24 auctions21 of 240 of 241.2
High minus median, basis points0.5All 44 since 29 January 201428 of 4412 of 440.9

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 27 September 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20170927_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 September 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-09-27.

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.