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

2-year FRN auction of 28 September 2016 (reopening)

The 2-year FRN sold $13.792 billion at a high discount margin of 0.180% on , with a bid-to-cover ratio of 3.09.

Discount margin at each 2-year FRN auction

The last 33 auctions, this one last

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

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

The last 33 auctions, this one last

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

Who bought the 2-year FRN of 28 Sep 2016

Shares of the competitive bids accepted

  • Indirect bidders 43.8%
  • Direct bidders 0.0%
  • Primary dealers 56.2%
This auction, 28 Sep 2016
  • Indirect bidders 35.8%
  • Direct bidders 1.9%
  • Primary dealers 62.3%
The 2-year FRN auction before, 24 Aug 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 bidders43.8%
Inspect and compare dates
Discount margin and bid-to-cover of the last 33 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Observed .

Right now

The high discount margin was 0.180% on 28 September 2016, up from 0.165% at the auction before.

The high minus median of 0.5 basis points was the lowest for a 2-year FRN since 25 March 2015, with 17 auctions in between.

Higher than 24 of the 32 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the discount margin was higher than 16 of the 24.

The direct bidders' share was higher than 0 of them.

See every measure against earlier auctions

Who bought

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

  • Indirect bidders 43.8%
  • Direct bidders 0.0%
  • Primary dealers 56.2%

Size

Treasury sold $13.792 billion of the $13 billion offered.

Bids received came to $41.02 billion; the bid-to-cover ratio was 3.09.

Its bid-to-cover of 3.09 compares with the 24 auctions before it: lowest 2.87 on , highest 4.45 on ; 13.9% of the way from the low to the high.

3.09

Low 2.87 Midpoint 3.660 High 4.45

The security1-Year 10-Month, reopening

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 0.180% at this 2-year FRN auction, the median discount margin 0.175% and a bid-to-cover ratio of 3.09.

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$41,019,879,800
Sold$13,792,479,300
Competitive bids accepted$12,993,599,500
Non-competitive bids accepted$6,420,900
Federal Reserve (SOMA) add-on$792,458,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.180
Median rate, %0.175
Low rate, %0.150
Interest rate (coupon), %–
Spread, %0.174
Bids at the high rate filled, %84.93
Bid-to-cover ratio3.09
Indirect bidders accepted$5,685,204,500
Direct bidders accepted$0
Primary dealers accepted$7,308,395,000
Indirect bidders' share, % (ours)43.8
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)56.2
High minus median, basis points (ours)0.5
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 ratio3.093.4010 of 122 of 12
High discount margin0.1800.1898 of 124 of 12
Indirect bidders' share43.840.65 of 127 of 12
Direct bidders' share0.02.011 of 120 of 12
Primary dealers' share56.257.36 of 126 of 12
High minus median, basis points0.51.512 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 ratio3.09Last 24 auctions21 of 243 of 243.60
Bid-to-cover ratio3.09All 32 since 29 January 201429 of 323 of 323.78
High discount margin0.180Last 24 auctions8 of 2416 of 240.115
High discount margin0.180All 32 since 29 January 20148 of 3224 of 320.084
Indirect bidders' share43.8Last 24 auctions15 of 249 of 2446.8
Indirect bidders' share43.8All 32 since 29 January 201417 of 3215 of 3244.2
Direct bidders' share0.0Last 24 auctions21 of 240 of 242.0
Direct bidders' share0.0All 32 since 29 January 201429 of 320 of 323.0
Primary dealers' share56.2Last 24 auctions8 of 2416 of 2450.0
Primary dealers' share56.2All 32 since 29 January 201410 of 3222 of 3251.3
High minus median, basis points0.5Last 24 auctions18 of 245 of 241.1
High minus median, basis points0.5All 32 since 29 January 201419 of 3212 of 320.9

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 28 September 2016. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2016/R_20160928_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 September 2016 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2016-09-28.

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