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2-year FRN auction of 28 December 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 3.80.

Announced
Issued
Matures

Discount margin

0.169%

Median discount margin 0.160%

Bid-to-cover

3.80

▲ +0.48 since 22 Nov

Sold

$13.00 billion

$13 billion offered

Indirect bidders

37.4%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 29 January 2014 to 28 December 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 36 2-year FRN auctions36 auctions from 29 January 2014 to 28 December 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 36 auctions as a table
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1693.80
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 ratio3.803.401 of 1211 of 12
High discount margin0.1690.18810 of 121 of 12
Indirect bidders' share37.440.69 of 123 of 12
Direct bidders' share0.01.410 of 122 of 12
Primary dealers' share62.657.71 of 1211 of 12
High minus median, basis points0.91.48 of 122 of 12

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

Who bought the 2-year FRN?

Primary dealers took 62.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 22 November 2016

Primary dealers took 62.6% of the competitive bids acceptedIndirect bidders 37.4%, Direct bidders 0.0%, Primary dealers 62.6%Indirect bidders37.4%51.3%Direct bidders0.0%0.4%Primary dealers62.6%48.3%Primary dealers took 62.6% of the competitive bids acceptedIndirect bidders 37.4%, Direct bidders 0.0%, Primary dealers 62.6%Indirect bidders37.4%51.3%Direct bidders0.0%0.4%Primary dealers62.6%48.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.451.3
Direct bidders0.00.4
Primary dealers62.648.3

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$49,345,378,800
Sold$13,000,063,300
Competitive bids accepted$12,984,009,500
Non-competitive bids accepted$16,053,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.169
Median rate, %0.160
Low rate, %0.125
Interest rate (coupon), %–
Spread, %0.170
Bids at the high rate filled, %82.27
Bid-to-cover ratio3.80
Indirect bidders accepted$4,854,125,000
Direct bidders accepted$200,000
Primary dealers accepted$8,129,684,500
Indirect bidders' share, % (ours)37.4
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)62.6
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 ratio3.80Last 24 auctions6 of 2418 of 243.49
Bid-to-cover ratio3.80All 35 since 29 January 201416 of 3519 of 353.72
High discount margin0.169Last 24 auctions11 of 2412 of 240.168
High discount margin0.169All 35 since 29 January 201411 of 3523 of 350.085
Indirect bidders' share37.4Last 24 auctions19 of 245 of 2444.2
Indirect bidders' share37.4All 35 since 29 January 201428 of 357 of 3544.1
Direct bidders' share0.0Last 24 auctions20 of 244 of 241.8
Direct bidders' share0.0All 35 since 29 January 201431 of 354 of 352.3
Primary dealers' share62.6Last 24 auctions3 of 2421 of 2454.0
Primary dealers' share62.6All 35 since 29 January 20144 of 3531 of 3552.4
High minus median, basis points0.9Last 24 auctions14 of 245 of 241.2
High minus median, basis points0.9All 35 since 29 January 201414 of 3516 of 350.9

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 December 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20161228_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 December 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-12-28.

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.