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2-year FRN auction of 22 November 2016 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.169% on , with a bid-to-cover ratio of 3.32.

Announced
Issued
Matures

Discount margin

0.169%

Median discount margin 0.160%

Bid-to-cover

3.32

▼ −0.03 since 26 Oct

Sold

$13.00 billion

$13 billion offered

Indirect bidders

51.3%

Of competitive bids accepted

Discount margin at the last 35 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 35 2-year FRN auctions35 auctions from 29 January 2014 to 22 November 2016; the latest at 0.169%.0.0%0.1%0.2%0.3%0.4%201420152016This auction, 0.169%Discount margin at the last 35 2-year FRN auctions35 auctions from 29 January 2014 to 22 November 2016; the latest at 0.169%.0.0%0.1%0.2%0.3%0.4%201520160.169%

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

The 35 auctions as a table
Discount margin and bid-to-cover of the last 35 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1693.32
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 ratio3.323.408 of 124 of 12
High discount margin0.1690.18911 of 121 of 12
Indirect bidders' share51.340.62 of 1210 of 12
Direct bidders' share0.41.78 of 124 of 12
Primary dealers' share48.357.710 of 122 of 12
High minus median, basis points0.91.49 of 122 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 51.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 October 2016

Indirect bidders took 51.3% of the competitive bids acceptedIndirect bidders 51.3%, Direct bidders 0.4%, Primary dealers 48.3%Indirect bidders51.3%37.4%Direct bidders0.4%1.3%Primary dealers48.3%61.3%Indirect bidders took 51.3% of the competitive bids acceptedIndirect bidders 51.3%, Direct bidders 0.4%, Primary dealers 48.3%Indirect bidders51.3%37.4%Direct bidders0.4%1.3%Primary dealers48.3%61.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders51.337.4
Direct bidders0.41.3
Primary dealers48.361.3

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$43,205,128,100
Sold$13,000,003,100
Competitive bids accepted$12,989,875,000
Non-competitive bids accepted$10,128,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.169
Median rate, %0.160
Low rate, %0.139
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %1.50
Bid-to-cover ratio3.32
Indirect bidders accepted$6,662,325,000
Direct bidders accepted$50,750,000
Primary dealers accepted$6,276,800,000
Indirect bidders' share, % (ours)51.3
Direct bidders' share, % (ours)0.4
Primary dealers' share, % (ours)48.3
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 ratio3.32Last 24 auctions17 of 247 of 243.54
Bid-to-cover ratio3.32All 34 since 29 January 201427 of 347 of 343.73
High discount margin0.169Last 24 auctions11 of 2413 of 240.166
High discount margin0.169All 34 since 29 January 201411 of 3423 of 340.084
Indirect bidders' share51.3Last 24 auctions7 of 2417 of 2444.2
Indirect bidders' share51.3All 34 since 29 January 20148 of 3426 of 3443.9
Direct bidders' share0.4Last 24 auctions18 of 246 of 241.9
Direct bidders' share0.4All 34 since 29 January 201428 of 346 of 342.5
Primary dealers' share48.3Last 24 auctions16 of 248 of 2454.0
Primary dealers' share48.3All 34 since 29 January 201425 of 349 of 3452.8
High minus median, basis points0.9Last 24 auctions14 of 246 of 241.2
High minus median, basis points0.9All 34 since 29 January 201414 of 3416 of 340.9

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 November 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161122_1.pdf. Compiled by 500metrics, "2-year FRN auction of 22 November 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-11-22.

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.