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2-year FRN auction of 21 November 2017 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.035% on , with a bid-to-cover ratio of 3.69.

Announced
Issued
Matures

Discount margin

0.035%

Median discount margin 0.029%

Bid-to-cover

3.69

▲ +0.13 since 25 Oct

Sold

$13.00 billion

$13 billion offered

Indirect bidders

49.6%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN of all 46 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN of all 46 earlier auctions we hold36 auctions from 23 December 2014 to 21 November 2017; the latest at 0.035%.0.0%0.1%0.2%0.3%0.4%201520162017This auction, 0.035%The high discount margin was the lowest for a 2-year FRN of all 46 earlier auctions we hold36 auctions from 23 December 2014 to 21 November 2017; the latest at 0.035%.0.0%0.1%0.2%0.3%0.4%201620170.035%

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
0.0353.69
0.0483.56
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.693.321 of 1211 of 12
High discount margin0.0350.07512 of 120 of 12
Indirect bidders' share49.649.46 of 126 of 12
Direct bidders' share6.30.40 of 1212 of 12
Primary dealers' share44.150.28 of 124 of 12
High minus median, basis points0.60.87 of 123 of 12

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

  • Direct bidders' share: Highest for a 2-year FRN since 24 February 2016 (20 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 49.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 October 2017

Indirect bidders took 49.6% of the competitive bids acceptedIndirect bidders 49.6%, Direct bidders 6.3%, Primary dealers 44.1%Indirect bidders49.6%60.2%Direct bidders6.3%0.7%Primary dealers44.1%39.2%Indirect bidders took 49.6% of the competitive bids acceptedIndirect bidders 49.6%, Direct bidders 6.3%, Primary dealers 44.1%Indirect bidders49.6%60.2%Direct bidders6.3%0.7%Primary dealers44.1%39.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.660.2
Direct bidders6.30.7
Primary dealers44.139.2

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$47,909,797,900
Sold$13,000,127,900
Competitive bids accepted$12,977,330,000
Non-competitive bids accepted$22,797,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.035
Median rate, %0.029
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.048
Bids at the high rate filled, %56.94
Bid-to-cover ratio3.69
Indirect bidders accepted$6,435,280,000
Direct bidders accepted$813,880,000
Primary dealers accepted$5,728,170,000
Indirect bidders' share, % (ours)49.6
Direct bidders' share, % (ours)6.3
Primary dealers' share, % (ours)44.1
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 ratio3.69Last 24 auctions2 of 2422 of 243.35
Bid-to-cover ratio3.69All 46 since 29 January 201419 of 4627 of 463.56
High discount margin0.035Last 24 auctions24 of 240 of 240.169
High discount margin0.035All 46 since 29 January 201446 of 460 of 460.084
Indirect bidders' share49.6Last 24 auctions8 of 2416 of 2443.9
Indirect bidders' share49.6All 46 since 29 January 201415 of 4631 of 4645.5
Direct bidders' share6.3Last 24 auctions1 of 2423 of 240.7
Direct bidders' share6.3All 46 since 29 January 20144 of 4642 of 461.9
Primary dealers' share44.1Last 24 auctions19 of 245 of 2455.6
Primary dealers' share44.1All 46 since 29 January 201436 of 4610 of 4651.7
High minus median, basis points0.6Last 24 auctions18 of 244 of 241.0
High minus median, basis points0.6All 46 since 29 January 201426 of 4617 of 460.8

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 21 November 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20171121_2.pdf. Compiled by 500metrics, "2-year FRN auction of 21 November 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-11-21.

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.