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2-year FRN auction of 23 March 2016 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.240% on , with a bid-to-cover ratio of 3.07.

Announced
Issued
Matures

Discount margin

0.240%

Median discount margin 0.225%

Bid-to-cover

3.07

▼ −0.56 since 24 Feb

Sold

$13.00 billion

$13 billion offered

Indirect bidders

41.2%

Of competitive bids accepted

Discount margin at the last 27 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 27 2-year FRN auctions27 auctions from 29 January 2014 to 23 March 2016; the latest at 0.240%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.240%Discount margin at the last 27 2-year FRN auctions27 auctions from 29 January 2014 to 23 March 2016; the latest at 0.240%.0.0%0.1%0.2%0.3%0.4%2014201520160.240%

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

The 27 auctions as a table
Discount margin and bid-to-cover of the last 27 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
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 ratio3.073.6511 of 121 of 12
High discount margin0.2400.1032 of 1210 of 12
Indirect bidders' share41.249.49 of 123 of 12
Direct bidders' share3.21.81 of 1211 of 12
Primary dealers' share55.648.44 of 128 of 12
High minus median, basis points1.51.24 of 127 of 12

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

Who bought the 2-year FRN?

Primary dealers took 55.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 February 2016

Primary dealers took 55.6% of the competitive bids acceptedIndirect bidders 41.2%, Direct bidders 3.2%, Primary dealers 55.6%Indirect bidders41.2%29.2%Direct bidders3.2%10.0%Primary dealers55.6%60.8%Primary dealers took 55.6% of the competitive bids acceptedIndirect bidders 41.2%, Direct bidders 3.2%, Primary dealers 55.6%Indirect bidders41.2%29.2%Direct bidders3.2%10.0%Primary dealers55.6%60.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders41.229.2
Direct bidders3.210.0
Primary dealers55.660.8

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$39,848,737,400
Sold$13,000,085,900
Competitive bids accepted$12,997,848,600
Non-competitive bids accepted$2,237,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.240
Median rate, %0.225
Low rate, %0.200
Interest rate (coupon), %–
Spread, %0.272
Bids at the high rate filled, %20.26
Bid-to-cover ratio3.07
Indirect bidders accepted$5,349,133,600
Direct bidders accepted$420,260,000
Primary dealers accepted$7,228,455,000
Indirect bidders' share, % (ours)41.2
Direct bidders' share, % (ours)3.2
Primary dealers' share, % (ours)55.6
High minus median, basis points (ours)1.5

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 ratio3.07Last 24 auctions22 of 242 of 243.87
Bid-to-cover ratio3.07All 26 since 29 January 201424 of 262 of 263.96
High discount margin0.240Last 24 auctions2 of 2422 of 240.076
High discount margin0.240All 26 since 29 January 20142 of 2624 of 260.075
Indirect bidders' share41.2Last 24 auctions17 of 247 of 2446.6
Indirect bidders' share41.2All 26 since 29 January 201417 of 269 of 2646.5
Direct bidders' share3.2Last 24 auctions12 of 2412 of 243.2
Direct bidders' share3.2All 26 since 29 January 201414 of 2612 of 263.3
Primary dealers' share55.6Last 24 auctions7 of 2417 of 2449.9
Primary dealers' share55.6All 26 since 29 January 20147 of 2619 of 2650.1
High minus median, basis points1.5Last 24 auctions5 of 2418 of 240.7
High minus median, basis points1.5All 26 since 29 January 20145 of 2620 of 260.6

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 23 March 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160323_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 March 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-03-23.

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.