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2-year FRN auction of 27 December 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 3.26.

Announced
Issued
Matures

Discount margin

0.035%

Median discount margin 0.028%

Bid-to-cover

3.26

▼ −0.43 since 21 Nov

Sold

$13.00 billion

$13 billion offered

Indirect bidders

62.7%

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 28 January 2015 to 27 December 2017; the latest at 0.035%.0.0%0.1%0.2%0.3%0.4%201520162017This auction, 0.035%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 January 2015 to 27 December 2017; the latest at 0.035%.0.0%0.1%0.2%0.3%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
0.0353.26
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.263.347 of 125 of 12
High discount margin0.0350.06511 of 120 of 12
Indirect bidders' share62.749.22 of 1210 of 12
Direct bidders' share0.00.511 of 120 of 12
Primary dealers' share37.350.210 of 122 of 12
High minus median, basis points0.70.76 of 126 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 62.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 21 November 2017

Indirect bidders took 62.7% of the competitive bids acceptedIndirect bidders 62.7%, Direct bidders 0.0%, Primary dealers 37.3%Indirect bidders62.7%49.6%Direct bidders0.0%6.3%Primary dealers37.3%44.1%Indirect bidders took 62.7% of the competitive bids acceptedIndirect bidders 62.7%, Direct bidders 0.0%, Primary dealers 37.3%Indirect bidders62.7%49.6%Direct bidders0.0%6.3%Primary dealers37.3%44.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders62.749.6
Direct bidders0.06.3
Primary dealers37.344.1

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$42,323,693,100
Sold$13,000,051,100
Competitive bids accepted$12,991,358,000
Non-competitive bids accepted$8,693,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.035
Median rate, %0.028
Low rate, %0.005
Interest rate (coupon), %–
Spread, %0.048
Bids at the high rate filled, %84.52
Bid-to-cover ratio3.26
Indirect bidders accepted$8,151,080,000
Direct bidders accepted$0
Primary dealers accepted$4,840,278,000
Indirect bidders' share, % (ours)62.7
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)37.3
High minus median, basis points (ours)0.7

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 ratio3.26Last 24 auctions16 of 248 of 243.35
Bid-to-cover ratio3.26All 47 since 29 January 201435 of 4712 of 473.57
High discount margin0.035Last 24 auctions23 of 240 of 240.167
High discount margin0.035All 47 since 29 January 201446 of 470 of 470.084
Indirect bidders' share62.7Last 24 auctions2 of 2422 of 2443.9
Indirect bidders' share62.7All 47 since 29 January 20143 of 4744 of 4746.5
Direct bidders' share0.0Last 24 auctions21 of 240 of 240.7
Direct bidders' share0.0All 47 since 29 January 201442 of 470 of 471.9
Primary dealers' share37.3Last 24 auctions22 of 242 of 2455.6
Primary dealers' share37.3All 47 since 29 January 201443 of 474 of 4750.9
High minus median, basis points0.7Last 24 auctions17 of 247 of 240.9
High minus median, basis points0.7All 47 since 29 January 201426 of 4721 of 470.8

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 27 December 2017. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2017/R_20171227_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 December 2017 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2017-12-27.

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.