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Treasury auctions · 1-Year 10-Month FRN, reopening

2-year FRN auction of 23 March 2016 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.240% on , with a bid-to-cover ratio of 3.07.

Discount margin at each 2-year FRN auction

The last 27 auctions, this one last

Discount margin at each 2-year FRN auction, 29 Jan 2014 to 23 Mar 2016
Discount margin at each 2-year FRN auction, 26 Mar 2014 to 23 Mar 2016

Bid-to-cover ratio at each 2-year FRN auction

The last 27 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 29 Jan 2014 to 23 Mar 2016
Bid-to-cover ratio at each 2-year FRN auction, 26 Mar 2014 to 23 Mar 2016

Who bought the 2-year FRN of 23 Mar 2016

Shares of the competitive bids accepted

  • Indirect bidders 41.2%
  • Direct bidders 3.2%
  • Primary dealers 55.6%
This auction, 23 Mar 2016
  • Indirect bidders 29.2%
  • Direct bidders 10.0%
  • Primary dealers 60.8%
The 2-year FRN auction before, 24 Feb 2016

Each point is one 2-year FRN auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders41.2%
Inspect and compare dates
Discount margin and bid-to-cover of the last 27 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Observed .

Right now

The high discount margin was 0.240% on 23 March 2016, up from 0.237% at the auction before.

Higher than 24 of the 26 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the discount margin was higher than 22 of the 24.

The bid-to-cover ratio was higher than 2 of them.

See every measure against earlier auctions

Who bought

Primary dealers took the largest share of the competitive bids accepted.

  • Indirect bidders 41.2%
  • Direct bidders 3.2%
  • Primary dealers 55.6%

Size

Treasury sold $13 billion of the $13 billion offered.

Bids received came to $39.849 billion; the bid-to-cover ratio was 3.07.

Its bid-to-cover of 3.07 compares with the 24 auctions before it: lowest 2.87 on , highest 4.69 on ; 11.0% of the way from the low to the high.

3.07

Low 2.87 Midpoint 3.780 High 4.69

The security1-Year 10-Month, reopening

Announced
Issued
Matures

It adds to the debt that matures in January 2018.

Understanding this result

Where it stands today

The high discount margin was 0.240% at this 2-year FRN auction, the median discount margin 0.225% and a bid-to-cover ratio of 3.07.

What do these figures measure?

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.

Read more

What these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$13,000,000,000
Bids received$39,848,737,400
Sold$13,000,085,900
Competitive bids accepted$12,997,848,600
Non-competitive bids accepted$2,237,300
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.240
Median rate, %0.225
Low rate, %0.200
Interest rate (coupon), %–
Spread, %0.272
Bids at the high rate filled, %20.26
Bid-to-cover ratio3.07
Indirect bidders accepted$5,349,133,600
Direct bidders accepted$420,260,000
Primary dealers accepted$7,228,455,000
Indirect bidders' share, % (ours)41.2
Direct bidders' share, % (ours)3.2
Primary dealers' share, % (ours)55.6
High minus median, basis points (ours)1.5
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.073.6511 of 121 of 12
High discount margin0.2400.1032 of 1210 of 12
Indirect bidders' share41.249.49 of 123 of 12
Direct bidders' share3.21.81 of 1211 of 12
Primary dealers' share55.648.44 of 128 of 12
High minus median, basis points1.51.24 of 127 of 12

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

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 ratio3.07Last 24 auctions22 of 242 of 243.87
Bid-to-cover ratio3.07All 26 since 29 January 201424 of 262 of 263.96
High discount margin0.240Last 24 auctions2 of 2422 of 240.076
High discount margin0.240All 26 since 29 January 20142 of 2624 of 260.075
Indirect bidders' share41.2Last 24 auctions17 of 247 of 2446.6
Indirect bidders' share41.2All 26 since 29 January 201417 of 269 of 2646.5
Direct bidders' share3.2Last 24 auctions12 of 2412 of 243.2
Direct bidders' share3.2All 26 since 29 January 201414 of 2612 of 263.3
Primary dealers' share55.6Last 24 auctions7 of 2417 of 2449.9
Primary dealers' share55.6All 26 since 29 January 20147 of 2619 of 2650.1
High minus median, basis points1.5Last 24 auctions5 of 2418 of 240.7
High minus median, basis points1.5All 26 since 29 January 20145 of 2620 of 260.6

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

When are the figures from, and how are they cited?Dates and how to cite

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 to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 23 March 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160323_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 March 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-03-23.

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