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

The 2-year FRN sold $16.048 billion at a high discount margin of 0.174% on , with a bid-to-cover ratio of 3.82.

Announced
Issued
Matures

Discount margin

0.174%

Median discount margin 0.165%

Bid-to-cover

3.82

▲ +0.67 since 22 Jun

Sold

$16.05 billion

$15 billion offered

Indirect bidders

44.1%

Of competitive bids accepted

Discount margin at the last 31 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 31 2-year FRN auctions31 auctions from 29 January 2014 to 27 July 2016; the latest at 0.174%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.174%Discount margin at the last 31 2-year FRN auctions31 auctions from 29 January 2014 to 27 July 2016; the latest at 0.174%.0.0%0.1%0.2%0.3%0.4%2014201520160.174%

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

The 31 auctions as a table
Discount margin and bid-to-cover of the last 31 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1743.82
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 ratio3.823.421 of 1211 of 12
High discount margin0.1740.1898 of 124 of 12
Indirect bidders' share44.142.45 of 127 of 12
Direct bidders' share0.32.09 of 123 of 12
Primary dealers' share55.656.07 of 125 of 12
High minus median, basis points0.91.511 of 120 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, 22 June 2016

Primary dealers took 55.6% of the competitive bids acceptedIndirect bidders 44.1%, Direct bidders 0.3%, Primary dealers 55.6%Indirect bidders44.1%40.1%Direct bidders0.3%0.0%Primary dealers55.6%59.9%Primary dealers took 55.6% of the competitive bids acceptedIndirect bidders 44.1%, Direct bidders 0.3%, Primary dealers 55.6%Indirect bidders44.1%40.1%Direct bidders0.3%0.0%Primary dealers55.6%59.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders44.140.1
Direct bidders0.30.0
Primary dealers55.659.9

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$58,361,226,600
Sold$16,047,631,600
Competitive bids accepted$14,993,200,000
Non-competitive bids accepted$6,922,700
Federal Reserve (SOMA) add-on$1,047,508,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.174
Median rate, %0.165
Low rate, %0.130
Interest rate (coupon), %–
Spread, %0.174
Bids at the high rate filled, %80.41
Bid-to-cover ratio3.82
Indirect bidders accepted$6,612,870,000
Direct bidders accepted$45,000,000
Primary dealers accepted$8,335,330,000
Indirect bidders' share, % (ours)44.1
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)55.6
High minus median, basis points (ours)0.9

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 ratio3.82Last 24 auctions8 of 2416 of 243.65
Bid-to-cover ratio3.82All 30 since 29 January 201414 of 3016 of 303.78
High discount margin0.174Last 24 auctions8 of 2416 of 240.086
High discount margin0.174All 30 since 29 January 20148 of 3022 of 300.080
Indirect bidders' share44.1Last 24 auctions16 of 248 of 2446.9
Indirect bidders' share44.1All 30 since 29 January 201416 of 3014 of 3045.5
Direct bidders' share0.3Last 24 auctions20 of 244 of 242.2
Direct bidders' share0.3All 30 since 29 January 201426 of 304 of 303.2
Primary dealers' share55.6Last 24 auctions8 of 2416 of 2449.9
Primary dealers' share55.6All 30 since 29 January 201410 of 3020 of 3050.1
High minus median, basis points0.9Last 24 auctions13 of 248 of 241.1
High minus median, basis points0.9All 30 since 29 January 201413 of 3014 of 300.9

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 27 July 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160727_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 July 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2016-07-27.

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.