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2-year FRN auction of 22 June 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 3.15.

Announced
Issued
Matures

Discount margin

0.188%

Median discount margin 0.174%

Bid-to-cover

3.15

▼ −0.20 since 25 May

Sold

$13.00 billion

$13 billion offered

Indirect bidders

40.1%

Of competitive bids accepted

Discount margin at the last 30 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 30 2-year FRN auctions30 auctions from 29 January 2014 to 22 June 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 30 2-year FRN auctions30 auctions from 29 January 2014 to 22 June 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 30 auctions as a table
Discount margin and bid-to-cover of the last 30 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
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 ratio3.153.498 of 124 of 12
High discount margin0.1880.1896 of 125 of 12
Indirect bidders' share40.144.08 of 124 of 12
Direct bidders' share0.02.011 of 120 of 12
Primary dealers' share59.954.03 of 129 of 12
High minus median, basis points1.41.57 of 125 of 12

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

Who bought the 2-year FRN?

Primary dealers took 59.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 May 2016

Primary dealers took 59.9% of the competitive bids acceptedIndirect bidders 40.1%, Direct bidders 0.0%, Primary dealers 59.9%Indirect bidders40.1%31.9%Direct bidders0.0%1.9%Primary dealers59.9%66.1%Primary dealers took 59.9% of the competitive bids acceptedIndirect bidders 40.1%, Direct bidders 0.0%, Primary dealers 59.9%Indirect bidders40.1%31.9%Direct bidders0.0%1.9%Primary dealers59.9%66.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders40.131.9
Direct bidders0.01.9
Primary dealers59.966.1

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$41,008,826,000
Sold$13,000,016,000
Competitive bids accepted$12,996,190,000
Non-competitive bids accepted$3,826,000
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.188
Median rate, %0.174
Low rate, %0.150
Interest rate (coupon), %–
Spread, %0.190
Bids at the high rate filled, %68.73
Bid-to-cover ratio3.15
Indirect bidders accepted$5,215,000,000
Direct bidders accepted$0
Primary dealers accepted$7,781,190,000
Indirect bidders' share, % (ours)40.1
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)59.9
High minus median, basis points (ours)1.4

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 ratio3.15Last 24 auctions19 of 245 of 243.70
Bid-to-cover ratio3.15All 29 since 29 January 201424 of 295 of 293.81
High discount margin0.188Last 24 auctions6 of 2417 of 240.084
High discount margin0.188All 29 since 29 January 20146 of 2922 of 290.077
Indirect bidders' share40.1Last 24 auctions18 of 246 of 2446.9
Indirect bidders' share40.1All 29 since 29 January 201419 of 2910 of 2946.5
Direct bidders' share0.0Last 24 auctions22 of 240 of 242.5
Direct bidders' share0.0All 29 since 29 January 201427 of 290 of 293.2
Primary dealers' share59.9Last 24 auctions4 of 2420 of 2449.9
Primary dealers' share59.9All 29 since 29 January 20146 of 2923 of 2950.1
High minus median, basis points1.4Last 24 auctions8 of 2416 of 241.0
High minus median, basis points1.4All 29 since 29 January 20148 of 2921 of 290.9

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 22 June 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160622_1.pdf. Compiled by 500metrics, "2-year FRN auction of 22 June 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-06-22.

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.