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

The 2-year FRN sold $13 billion at a high discount margin of 0.165% on , with a bid-to-cover ratio of 3.46.

Announced
Issued
Matures

Discount margin

0.165%

Median discount margin 0.157%

Bid-to-cover

3.46

▼ −0.36 since 27 Jul

Sold

$13.00 billion

$13 billion offered

Indirect bidders

35.8%

Of competitive bids accepted

Discount margin at the last 32 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 32 2-year FRN auctions32 auctions from 29 January 2014 to 24 August 2016; the latest at 0.165%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.165%Discount margin at the last 32 2-year FRN auctions32 auctions from 29 January 2014 to 24 August 2016; the latest at 0.165%.0.0%0.1%0.2%0.3%0.4%201520160.165%

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

The 32 auctions as a table
Discount margin and bid-to-cover of the last 32 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1653.46
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 ratio3.463.426 of 126 of 12
High discount margin0.1650.18910 of 122 of 12
Indirect bidders' share35.842.49 of 123 of 12
Direct bidders' share1.92.07 of 125 of 12
Primary dealers' share62.356.02 of 1210 of 12
High minus median, basis points0.81.512 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year FRN since 25 March 2015 (16 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 62.3% of the competitive bids accepted

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

Primary dealers took 62.3% of the competitive bids acceptedIndirect bidders 35.8%, Direct bidders 1.9%, Primary dealers 62.3%Indirect bidders35.8%44.1%Direct bidders1.9%0.3%Primary dealers62.3%55.6%Primary dealers took 62.3% of the competitive bids acceptedIndirect bidders 35.8%, Direct bidders 1.9%, Primary dealers 62.3%Indirect bidders35.8%44.1%Direct bidders1.9%0.3%Primary dealers62.3%55.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders35.844.1
Direct bidders1.90.3
Primary dealers62.355.6

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$44,930,771,400
Sold$13,000,051,400
Competitive bids accepted$12,994,280,000
Non-competitive bids accepted$5,771,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.165
Median rate, %0.157
Low rate, %0.130
Interest rate (coupon), %–
Spread, %0.174
Bids at the high rate filled, %99.12
Bid-to-cover ratio3.46
Indirect bidders accepted$4,648,240,000
Direct bidders accepted$249,560,000
Primary dealers accepted$8,096,480,000
Indirect bidders' share, % (ours)35.8
Direct bidders' share, % (ours)1.9
Primary dealers' share, % (ours)62.3
High minus median, basis points (ours)0.8

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 ratio3.46Last 24 auctions17 of 247 of 243.65
Bid-to-cover ratio3.46All 31 since 29 January 201424 of 317 of 313.81
High discount margin0.165Last 24 auctions10 of 2414 of 240.098
High discount margin0.165All 31 since 29 January 201410 of 3121 of 310.084
Indirect bidders' share35.8Last 24 auctions20 of 244 of 2446.8
Indirect bidders' share35.8All 31 since 29 January 201425 of 316 of 3144.4
Direct bidders' share1.9Last 24 auctions15 of 249 of 242.1
Direct bidders' share1.9All 31 since 29 January 201422 of 319 of 313.2
Primary dealers' share62.3Last 24 auctions3 of 2421 of 2450.0
Primary dealers' share62.3All 31 since 29 January 20144 of 3127 of 3150.2
High minus median, basis points0.8Last 24 auctions17 of 247 of 241.1
High minus median, basis points0.8All 31 since 29 January 201417 of 3114 of 310.9

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 24 August 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160824_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 August 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-08-24.

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.