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2-year FRN auction of 24 February 2016 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.237% on , with a bid-to-cover ratio of 3.63.

Announced
Issued
Matures

Discount margin

0.237%

Median discount margin 0.220%

Bid-to-cover

3.63

▼ −0.04 since 27 Jan

Sold

$13.00 billion

$13 billion offered

Indirect bidders

29.2%

Of competitive bids accepted

Discount margin at the last 26 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 26 2-year FRN auctions26 auctions from 29 January 2014 to 24 February 2016; the latest at 0.237%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.237%Discount margin at the last 26 2-year FRN auctions26 auctions from 29 January 2014 to 24 February 2016; the latest at 0.237%.0.0%0.1%0.2%0.3%0.4%2014201520160.237%

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

The 26 auctions as a table
Discount margin and bid-to-cover of the last 26 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
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 ratio3.633.707 of 125 of 12
High discount margin0.2370.0862 of 1210 of 12
Indirect bidders' share29.249.411 of 121 of 12
Direct bidders' share10.01.80 of 1212 of 12
Primary dealers' share60.848.41 of 1211 of 12
High minus median, basis points1.71.13 of 129 of 12

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

  • Direct bidders' share: Highest of all 25 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 60.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 January 2016

Primary dealers took 60.8% of the competitive bids acceptedIndirect bidders 29.2%, Direct bidders 10.0%, Primary dealers 60.8%Indirect bidders29.2%55.2%Direct bidders10.0%2.2%Primary dealers60.8%42.7%Primary dealers took 60.8% of the competitive bids acceptedIndirect bidders 29.2%, Direct bidders 10.0%, Primary dealers 60.8%Indirect bidders29.2%55.2%Direct bidders10.0%2.2%Primary dealers60.8%42.7%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders29.255.2
Direct bidders10.02.2
Primary dealers60.842.7

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$47,129,050,800
Sold$13,000,110,800
Competitive bids accepted$12,986,560,000
Non-competitive bids accepted$13,550,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.237
Median rate, %0.220
Low rate, %0.200
Interest rate (coupon), %–
Spread, %0.272
Bids at the high rate filled, %18.24
Bid-to-cover ratio3.63
Indirect bidders accepted$3,796,560,000
Direct bidders accepted$1,300,000,000
Primary dealers accepted$7,890,000,000
Indirect bidders' share, % (ours)29.2
Direct bidders' share, % (ours)10.0
Primary dealers' share, % (ours)60.8
High minus median, basis points (ours)1.7

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 ratio3.63Last 24 auctions17 of 247 of 243.96
Bid-to-cover ratio3.63All 25 since 29 January 201418 of 257 of 254.00
High discount margin0.237Last 24 auctions2 of 2422 of 240.075
High discount margin0.237All 25 since 29 January 20142 of 2523 of 250.074
Indirect bidders' share29.2Last 24 auctions22 of 242 of 2446.6
Indirect bidders' share29.2All 25 since 29 January 201423 of 252 of 2546.6
Direct bidders' share10.0Last 24 auctions0 of 2424 of 243.2
Direct bidders' share10.0All 25 since 29 January 20140 of 2525 of 253.3
Primary dealers' share60.8Last 24 auctions3 of 2421 of 2449.9
Primary dealers' share60.8All 25 since 29 January 20143 of 2522 of 2550.0
High minus median, basis points1.7Last 24 auctions4 of 2420 of 240.4
High minus median, basis points1.7All 25 since 29 January 20144 of 2521 of 250.5

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 24 February 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160224_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 February 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-02-24.

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.