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2-year FRN auction of 28 September 2016 (reopening)

The 2-year FRN sold $13.792 billion at a high discount margin of 0.180% on , with a bid-to-cover ratio of 3.09.

Announced
Issued
Matures

Discount margin

0.180%

Median discount margin 0.175%

Bid-to-cover

3.09

▼ −0.37 since 24 Aug

Sold

$13.79 billion

$13 billion offered

Indirect bidders

43.8%

Of competitive bids accepted

Discount margin at the last 33 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 33 2-year FRN auctions33 auctions from 29 January 2014 to 28 September 2016; the latest at 0.180%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.180%Discount margin at the last 33 2-year FRN auctions33 auctions from 29 January 2014 to 28 September 2016; the latest at 0.180%.0.0%0.1%0.2%0.3%0.4%201520160.180%

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

The 33 auctions as a table
Discount margin and bid-to-cover of the last 33 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1803.09
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 ratio3.093.4010 of 122 of 12
High discount margin0.1800.1898 of 124 of 12
Indirect bidders' share43.840.65 of 127 of 12
Direct bidders' share0.02.011 of 120 of 12
Primary dealers' share56.257.36 of 126 of 12
High minus median, basis points0.51.512 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 (17 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 56.2% of the competitive bids accepted

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

Primary dealers took 56.2% of the competitive bids acceptedIndirect bidders 43.8%, Direct bidders 0.0%, Primary dealers 56.2%Indirect bidders43.8%35.8%Direct bidders0.0%1.9%Primary dealers56.2%62.3%Primary dealers took 56.2% of the competitive bids acceptedIndirect bidders 43.8%, Direct bidders 0.0%, Primary dealers 56.2%Indirect bidders43.8%35.8%Direct bidders0.0%1.9%Primary dealers56.2%62.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders43.835.8
Direct bidders0.01.9
Primary dealers56.262.3

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$41,019,879,800
Sold$13,792,479,300
Competitive bids accepted$12,993,599,500
Non-competitive bids accepted$6,420,900
Federal Reserve (SOMA) add-on$792,458,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.180
Median rate, %0.175
Low rate, %0.150
Interest rate (coupon), %–
Spread, %0.174
Bids at the high rate filled, %84.93
Bid-to-cover ratio3.09
Indirect bidders accepted$5,685,204,500
Direct bidders accepted$0
Primary dealers accepted$7,308,395,000
Indirect bidders' share, % (ours)43.8
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)56.2
High minus median, basis points (ours)0.5

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 ratio3.09Last 24 auctions21 of 243 of 243.60
Bid-to-cover ratio3.09All 32 since 29 January 201429 of 323 of 323.78
High discount margin0.180Last 24 auctions8 of 2416 of 240.115
High discount margin0.180All 32 since 29 January 20148 of 3224 of 320.084
Indirect bidders' share43.8Last 24 auctions15 of 249 of 2446.8
Indirect bidders' share43.8All 32 since 29 January 201417 of 3215 of 3244.2
Direct bidders' share0.0Last 24 auctions21 of 240 of 242.0
Direct bidders' share0.0All 32 since 29 January 201429 of 320 of 323.0
Primary dealers' share56.2Last 24 auctions8 of 2416 of 2450.0
Primary dealers' share56.2All 32 since 29 January 201410 of 3222 of 3251.3
High minus median, basis points0.5Last 24 auctions18 of 245 of 241.1
High minus median, basis points0.5All 32 since 29 January 201419 of 3212 of 320.9

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 28 September 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160928_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 September 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-09-28.

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.