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2-year FRN auction of 27 August 2014 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.055% on , with a bid-to-cover ratio of 4.38.

Announced
Issued
Matures

Discount margin

0.055%

Median discount margin 0.052%

Bid-to-cover

4.38

▲ +0.29 since 30 Jul

Sold

$13.00 billion

$13 billion offered

Indirect bidders

46.5%

Of competitive bids accepted

Discount margin at the last 8 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 8 2-year FRN auctions8 auctions from 29 January 2014 to 27 August 2014; the latest at 0.055%.0.0%0.1%0.1%0.1%0.1%2014This auction, 0.055%Discount margin at the last 8 2-year FRN auctions8 auctions from 29 January 2014 to 27 August 2014; the latest at 0.055%.0.0%0.1%0.1%0.1%0.1%20140.055%

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed .

The 8 auctions as a table
Discount margin and bid-to-cover of the last 8 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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 every earlier 2-year FRN auction we hold
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.384.676 of 71 of 7
High discount margin0.0550.0696 of 71 of 7
Indirect bidders' share46.539.71 of 76 of 7
Direct bidders' share3.35.16 of 71 of 7
Primary dealers' share50.254.65 of 72 of 7
High minus median, basis points0.30.44 of 72 of 7

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

Who bought the 2-year FRN?

Primary dealers took 50.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 30 July 2014

Primary dealers took 50.2% of the competitive bids acceptedIndirect bidders 46.5%, Direct bidders 3.3%, Primary dealers 50.2%Indirect bidders46.5%46.7%Direct bidders3.3%3.3%Primary dealers50.2%50.0%Primary dealers took 50.2% of the competitive bids acceptedIndirect bidders 46.5%, Direct bidders 3.3%, Primary dealers 50.2%Indirect bidders46.5%46.7%Direct bidders3.3%3.3%Primary dealers50.2%50.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders46.546.7
Direct bidders3.33.3
Primary dealers50.250.0

About these figures

Treasury's full result, how to read it, its limits and sources

Treasury's published result

FieldValue
Offered as1-Year 11-Month, reopening
Offering amount$13,000,000,000
Bids received$57,001,313,900
Sold$13,000,173,900
Competitive bids accepted$12,983,360,000
Non-competitive bids accepted$16,813,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.055
Median rate, %0.052
Low rate, %0.040
Interest rate (coupon), %–
Spread, %0.070
Bids at the high rate filled, %9.84
Bid-to-cover ratio4.38
Indirect bidders accepted$6,042,740,000
Direct bidders accepted$424,600,000
Primary dealers accepted$6,516,020,000
Indirect bidders' share, % (ours)46.5
Direct bidders' share, % (ours)3.3
Primary dealers' share, % (ours)50.2
High minus median, basis points (ours)0.3

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.

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 27 August 2014. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2014/R_20140827_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 August 2014 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2014-08-27.

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.