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2-year FRN auction of 26 October 2016 (new issue)

The 2-year FRN sold $15.907 billion at a high discount margin of 0.170% on , with a bid-to-cover ratio of 3.35.

Announced
Issued
Matures

Discount margin

0.170%

Median discount margin 0.155%

Bid-to-cover

3.35

▲ +0.26 since 28 Sep

Sold

$15.91 billion

$15 billion offered

Indirect bidders

37.4%

Of competitive bids accepted

Discount margin at the last 34 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 34 2-year FRN auctions34 auctions from 29 January 2014 to 26 October 2016; the latest at 0.170%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.170%Discount margin at the last 34 2-year FRN auctions34 auctions from 29 January 2014 to 26 October 2016; the latest at 0.170%.0.0%0.1%0.2%0.3%0.4%201520160.170%

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

The 34 auctions as a table
Discount margin and bid-to-cover of the last 34 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1703.35
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 ratio3.353.406 of 125 of 12
High discount margin0.1700.18910 of 122 of 12
Indirect bidders' share37.442.59 of 123 of 12
Direct bidders' share1.31.98 of 124 of 12
Primary dealers' share61.355.92 of 1210 of 12
High minus median, basis points1.51.45 of 126 of 12

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

Who bought the 2-year FRN?

Primary dealers took 61.3% of the competitive bids accepted

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

Primary dealers took 61.3% of the competitive bids acceptedIndirect bidders 37.4%, Direct bidders 1.3%, Primary dealers 61.3%Indirect bidders37.4%43.8%Direct bidders1.3%0.0%Primary dealers61.3%56.2%Primary dealers took 61.3% of the competitive bids acceptedIndirect bidders 37.4%, Direct bidders 1.3%, Primary dealers 61.3%Indirect bidders37.4%43.8%Direct bidders1.3%0.0%Primary dealers61.3%56.2%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.443.8
Direct bidders1.30.0
Primary dealers61.356.2

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$51,208,078,800
Sold$15,906,838,800
Competitive bids accepted$14,992,260,000
Non-competitive bids accepted$7,772,800
Federal Reserve (SOMA) add-on$906,806,000
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.170
Median rate, %0.155
Low rate, %0.140
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %12.68
Bid-to-cover ratio3.35
Indirect bidders accepted$5,606,180,000
Direct bidders accepted$200,000,000
Primary dealers accepted$9,186,080,000
Indirect bidders' share, % (ours)37.4
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)61.3
High minus median, basis points (ours)1.5

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 ratio3.35Last 24 auctions16 of 247 of 243.58
Bid-to-cover ratio3.35All 33 since 29 January 201425 of 337 of 333.74
High discount margin0.170Last 24 auctions10 of 2414 of 240.142
High discount margin0.170All 33 since 29 January 201410 of 3323 of 330.084
Indirect bidders' share37.4Last 24 auctions19 of 245 of 2445.5
Indirect bidders' share37.4All 33 since 29 January 201426 of 337 of 3344.1
Direct bidders' share1.3Last 24 auctions16 of 248 of 241.9
Direct bidders' share1.3All 33 since 29 January 201425 of 338 of 332.7
Primary dealers' share61.3Last 24 auctions4 of 2420 of 2451.3
Primary dealers' share61.3All 33 since 29 January 20145 of 3328 of 3352.4
High minus median, basis points1.5Last 24 auctions6 of 2416 of 241.1
High minus median, basis points1.5All 33 since 29 January 20146 of 3325 of 330.9

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 26 October 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161026_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 October 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2016-10-26.

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.