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Treasury auctions · 2-Year FRN

2-year FRN auction of 28 April 2016 (new issue)

The 2-year FRN sold $18.986 billion at a high discount margin of 0.190% on , with a bid-to-cover ratio of 3.57.

Discount margin at each 2-year FRN auction

The last 28 auctions, this one last

Discount margin at each 2-year FRN auction, 29 Jan 2014 to 28 Apr 2016
Discount margin at each 2-year FRN auction, 29 Apr 2014 to 28 Apr 2016

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

The last 28 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 29 Jan 2014 to 28 Apr 2016
Bid-to-cover ratio at each 2-year FRN auction, 29 Apr 2014 to 28 Apr 2016

Who bought the 2-year FRN of 28 Apr 2016

Shares of the competitive bids accepted

  • Indirect bidders 53.2%
  • Direct bidders 0.0%
  • Primary dealers 46.8%
This auction, 28 Apr 2016
  • Indirect bidders 41.2%
  • Direct bidders 3.2%
  • Primary dealers 55.6%
The 2-year FRN auction before, 23 Mar 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 bidders53.2%
Inspect and compare dates
Discount margin and bid-to-cover of the last 28 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Observed .

Right now

The high discount margin of 0.190% on 28 April 2016 was the lowest for a 2-year FRN since 28 October 2015.

Higher than 22 of the 27 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the high minus median was higher than 21 of the 24.

The direct bidders' share was higher than 2 of them.

See every measure against earlier auctions

Who bought

Indirect bidders took the largest share of the competitive bids accepted.

  • Indirect bidders 53.2%
  • Direct bidders 0.0%
  • Primary dealers 46.8%

Size

Treasury sold $18.986 billion of the $15 billion offered.

Bids received came to $57.5 billion; the bid-to-cover ratio was 3.57.

Its bid-to-cover of 3.57 compares with the 24 auctions before it: lowest 2.87 on , highest 4.69 on ; 38.5% of the way from the low to the high.

3.57

Low 2.87 Midpoint 3.780 High 4.69

The security2-Year, new issue

Announced
Issued
Matures

It adds to the debt that matures in April 2018.

Understanding this result

Where it stands today

The high discount margin was 0.190% at this 2-year FRN auction, the median discount margin 0.170% and a bid-to-cover ratio of 3.57.

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 as2-Year, new issue
Offering amount$15,000,000,000
Bids received$57,499,545,400
Sold$18,986,101,400
Competitive bids accepted$14,976,652,000
Non-competitive bids accepted$23,354,800
Federal Reserve (SOMA) add-on$3,986,094,600
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.190
Median rate, %0.170
Low rate, %0.140
Interest rate (coupon), %–
Spread, %0.190
Bids at the high rate filled, %0.72
Bid-to-cover ratio3.57
Indirect bidders accepted$7,965,352,000
Direct bidders accepted$720,000
Primary dealers accepted$7,010,580,000
Indirect bidders' share, % (ours)53.2
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)46.8
High minus median, basis points (ours)2.0
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 ratio3.573.566 of 126 of 12
High discount margin0.1900.1445 of 127 of 12
Indirect bidders' share53.246.84 of 128 of 12
Direct bidders' share0.02.111 of 121 of 12
Primary dealers' share46.850.48 of 124 of 12
High minus median, basis points2.01.43 of 129 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 ratio3.57Last 24 auctions17 of 247 of 243.78
Bid-to-cover ratio3.57All 27 since 29 January 201420 of 277 of 273.93
High discount margin0.190Last 24 auctions5 of 2419 of 240.080
High discount margin0.190All 27 since 29 January 20145 of 2722 of 270.076
Indirect bidders' share53.2Last 24 auctions6 of 2418 of 2446.6
Indirect bidders' share53.2All 27 since 29 January 20146 of 2721 of 2746.5
Direct bidders' share0.0Last 24 auctions22 of 242 of 243.2
Direct bidders' share0.0All 27 since 29 January 201425 of 272 of 273.3
Primary dealers' share46.8Last 24 auctions16 of 248 of 2449.9
Primary dealers' share46.8All 27 since 29 January 201419 of 278 of 2750.1
High minus median, basis points2.0Last 24 auctions3 of 2421 of 240.9
High minus median, basis points2.0All 27 since 29 January 20143 of 2724 of 270.6

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 28 April 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160428_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 April 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2016-04-28.

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