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2-year FRN auction of 25 May 2016 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.188% on , with a bid-to-cover ratio of 3.35.

Announced
Issued
Matures

Discount margin

0.188%

Median discount margin 0.175%

Bid-to-cover

3.35

▼ −0.22 since 28 Apr

Sold

$13.00 billion

$13 billion offered

Indirect bidders

31.9%

Of competitive bids accepted

Discount margin at the last 29 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 29 2-year FRN auctions29 auctions from 29 January 2014 to 25 May 2016; the latest at 0.188%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.188%Discount margin at the last 29 2-year FRN auctions29 auctions from 29 January 2014 to 25 May 2016; the latest at 0.188%.0.0%0.1%0.2%0.3%0.4%2014201520160.188%

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

The 29 auctions as a table
Discount margin and bid-to-cover of the last 29 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
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 ratio3.353.548 of 124 of 12
High discount margin0.1880.1796 of 126 of 12
Indirect bidders' share31.946.810 of 122 of 12
Direct bidders' share1.92.17 of 125 of 12
Primary dealers' share66.150.41 of 1211 of 12
High minus median, basis points1.31.57 of 125 of 12

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

Who bought the 2-year FRN?

Primary dealers took 66.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 April 2016

Primary dealers took 66.1% of the competitive bids acceptedIndirect bidders 31.9%, Direct bidders 1.9%, Primary dealers 66.1%Indirect bidders31.9%53.2%Direct bidders1.9%0.0%Primary dealers66.1%46.8%Primary dealers took 66.1% of the competitive bids acceptedIndirect bidders 31.9%, Direct bidders 1.9%, Primary dealers 66.1%Indirect bidders31.9%53.2%Direct bidders1.9%0.0%Primary dealers66.1%46.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders31.953.2
Direct bidders1.90.0
Primary dealers66.146.8

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$43,580,458,800
Sold$13,000,013,800
Competitive bids accepted$12,987,555,000
Non-competitive bids accepted$12,458,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.188
Median rate, %0.175
Low rate, %0.140
Interest rate (coupon), %–
Spread, %0.190
Bids at the high rate filled, %52.73
Bid-to-cover ratio3.35
Indirect bidders accepted$4,148,000,000
Direct bidders accepted$250,000,000
Primary dealers accepted$8,589,555,000
Indirect bidders' share, % (ours)31.9
Direct bidders' share, % (ours)1.9
Primary dealers' share, % (ours)66.1
High minus median, basis points (ours)1.3

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 ratio3.35Last 24 auctions19 of 245 of 243.73
Bid-to-cover ratio3.35All 28 since 29 January 201423 of 285 of 283.87
High discount margin0.188Last 24 auctions6 of 2418 of 240.084
High discount margin0.188All 28 since 29 January 20146 of 2822 of 280.076
Indirect bidders' share31.9Last 24 auctions21 of 243 of 2446.9
Indirect bidders' share31.9All 28 since 29 January 201425 of 283 of 2846.5
Direct bidders' share1.9Last 24 auctions16 of 248 of 243.0
Direct bidders' share1.9All 28 since 29 January 201420 of 288 of 283.2
Primary dealers' share66.1Last 24 auctions2 of 2422 of 2449.4
Primary dealers' share66.1All 28 since 29 January 20142 of 2826 of 2850.1
High minus median, basis points1.3Last 24 auctions8 of 2416 of 240.9
High minus median, basis points1.3All 28 since 29 January 20148 of 2820 of 280.8

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 25 May 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160525_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 May 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-05-25.

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.