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2-year FRN auction of 27 January 2016 (new issue)

The 2-year FRN sold $15.273 billion at a high discount margin of 0.272% on , with a bid-to-cover ratio of 3.67.

Announced
Issued
Matures

Discount margin

0.272%

Median discount margin 0.260%

Bid-to-cover

3.67

▲ +0.19 since 23 Dec

Sold

$15.27 billion

$15 billion offered

Indirect bidders

55.2%

Of competitive bids accepted

Discount margin at the last 25 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 25 2-year FRN auctions25 auctions from 29 January 2014 to 27 January 2016; the latest at 0.272%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.272%Discount margin at the last 25 2-year FRN auctions25 auctions from 29 January 2014 to 27 January 2016; the latest at 0.272%.0.0%0.1%0.2%0.3%0.4%2014201520160.272%

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

The 25 auctions as a table
Discount margin and bid-to-cover of the last 25 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
0.0704.09
0.0694.43
0.0634.69
0.0694.64
0.0694.67
0.0645.29
0.0455.67

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.673.737 of 125 of 12
High discount margin0.2720.0841 of 1211 of 12
Indirect bidders' share55.248.73 of 129 of 12
Direct bidders' share2.21.84 of 128 of 12
Primary dealers' share42.748.49 of 123 of 12
High minus median, basis points1.21.04 of 128 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 55.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 December 2015

Indirect bidders took 55.2% of the competitive bids acceptedIndirect bidders 55.2%, Direct bidders 2.2%, Primary dealers 42.7%Indirect bidders55.2%39.4%Direct bidders2.2%1.5%Primary dealers42.7%59.1%Indirect bidders took 55.2% of the competitive bids acceptedIndirect bidders 55.2%, Direct bidders 2.2%, Primary dealers 42.7%Indirect bidders55.2%39.4%Direct bidders2.2%1.5%Primary dealers42.7%59.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders55.239.4
Direct bidders2.21.5
Primary dealers42.759.1

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$55,355,958,800
Sold$15,273,078,800
Competitive bids accepted$14,988,533,000
Non-competitive bids accepted$11,483,500
Federal Reserve (SOMA) add-on$273,062,300
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.272
Median rate, %0.260
Low rate, %0.225
Interest rate (coupon), %–
Spread, %0.272
Bids at the high rate filled, %1.06
Bid-to-cover ratio3.67
Indirect bidders accepted$8,268,533,000
Direct bidders accepted$325,000,000
Primary dealers accepted$6,395,000,000
Indirect bidders' share, % (ours)55.2
Direct bidders' share, % (ours)2.2
Primary dealers' share, % (ours)42.7
High minus median, basis points (ours)1.2

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 ratio3.67All 24 since 29 January 201417 of 247 of 244.00
High discount margin0.272All 24 since 29 January 20141 of 2423 of 240.072
Indirect bidders' share55.2All 24 since 29 January 20143 of 2421 of 2446.5
Direct bidders' share2.2All 24 since 29 January 201416 of 248 of 243.3
Primary dealers' share42.7All 24 since 29 January 201420 of 244 of 2450.1
High minus median, basis points1.2All 24 since 29 January 20145 of 2419 of 240.4

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 January 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160127_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 January 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2016-01-27.

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.