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Treasury auctions · 2-Year FRN

2-year FRN auction of 27 July 2016 (new issue)

The 2-year FRN sold $16.048 billion at a high discount margin of 0.174% on , with a bid-to-cover ratio of 3.82.

Discount margin at each 2-year FRN auction

The last 31 auctions, this one last

Discount margin at each 2-year FRN auction, 29 Jan 2014 to 27 Jul 2016
Discount margin at each 2-year FRN auction, 30 Jul 2014 to 27 Jul 2016

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

The last 31 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 29 Jan 2014 to 27 Jul 2016
Bid-to-cover ratio at each 2-year FRN auction, 30 Jul 2014 to 27 Jul 2016

Who bought the 2-year FRN of 27 Jul 2016

Shares of the competitive bids accepted

  • Indirect bidders 44.1%
  • Direct bidders 0.3%
  • Primary dealers 55.6%
This auction, 27 Jul 2016
  • Indirect bidders 40.1%
  • Direct bidders 0.0%
  • Primary dealers 59.9%
The 2-year FRN auction before, 22 Jun 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 bidders44.1%
Inspect and compare dates
Discount margin and bid-to-cover of the last 31 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Observed .

Right now

The high discount margin of 0.174% on 27 July 2016 was the lowest for a 2-year FRN since 28 October 2015.

Higher than 22 of the 30 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the bid-to-cover ratio was higher than 16 of the 24.

The direct bidders' share was higher than 4 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 44.1%
  • Direct bidders 0.3%
  • Primary dealers 55.6%

Size

Treasury sold $16.048 billion of the $15 billion offered.

Bids received came to $58.361 billion; the bid-to-cover ratio was 3.82.

Its bid-to-cover of 3.82 compares with the 24 auctions before it: lowest 2.87 on , highest 4.45 on ; 60.1% of the way from the low to the high.

3.82

Low 2.87 Midpoint 3.660 High 4.45

The security2-Year, new issue

Announced
Issued
Matures

It adds to the debt that matures in July 2018.

Understanding this result

Where it stands today

The high discount margin was 0.174% at this 2-year FRN auction, the median discount margin 0.165% and a bid-to-cover ratio of 3.82.

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$58,361,226,600
Sold$16,047,631,600
Competitive bids accepted$14,993,200,000
Non-competitive bids accepted$6,922,700
Federal Reserve (SOMA) add-on$1,047,508,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.174
Median rate, %0.165
Low rate, %0.130
Interest rate (coupon), %–
Spread, %0.174
Bids at the high rate filled, %80.41
Bid-to-cover ratio3.82
Indirect bidders accepted$6,612,870,000
Direct bidders accepted$45,000,000
Primary dealers accepted$8,335,330,000
Indirect bidders' share, % (ours)44.1
Direct bidders' share, % (ours)0.3
Primary dealers' share, % (ours)55.6
High minus median, basis points (ours)0.9
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 ratio3.823.421 of 1211 of 12
High discount margin0.1740.1898 of 124 of 12
Indirect bidders' share44.142.45 of 127 of 12
Direct bidders' share0.32.09 of 123 of 12
Primary dealers' share55.656.07 of 125 of 12
High minus median, basis points0.91.511 of 120 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 ratio3.82Last 24 auctions8 of 2416 of 243.65
Bid-to-cover ratio3.82All 30 since 29 January 201414 of 3016 of 303.78
High discount margin0.174Last 24 auctions8 of 2416 of 240.086
High discount margin0.174All 30 since 29 January 20148 of 3022 of 300.080
Indirect bidders' share44.1Last 24 auctions16 of 248 of 2446.9
Indirect bidders' share44.1All 30 since 29 January 201416 of 3014 of 3045.5
Direct bidders' share0.3Last 24 auctions20 of 244 of 242.2
Direct bidders' share0.3All 30 since 29 January 201426 of 304 of 303.2
Primary dealers' share55.6Last 24 auctions8 of 2416 of 2449.9
Primary dealers' share55.6All 30 since 29 January 201410 of 3020 of 3050.1
High minus median, basis points0.9Last 24 auctions13 of 248 of 241.1
High minus median, basis points0.9All 30 since 29 January 201413 of 3014 of 300.9

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 27 July 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160727_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 July 2016 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2016-07-27.

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