2-year FRN auction of 24 September 2014 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.041% on 24 September 2014, with a bid-to-cover ratio of 4.45.

Announced: 18 Sep 2014
Issued: 26 Sep 2014
Matures: 31 Jul 2016

Discount margin

0.041%

Median discount margin 0.039%

Bid-to-cover

4.45

▲ +0.07 since 27 Aug

Sold

$13.00 billion

$13 billion offered

Indirect bidders

54.4%

Of competitive bids accepted

Discount margin at the last 9 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed 24 Sep 2014.

The 9 auctions as a table

Discount margin and bid-to-cover of the last 9 2-year FRN auctions, newest first
Auction	Discount margin, %	Bid-to-cover
24 Sep 2014	0.041	4.45
27 Aug 2014	0.055	4.38
30 Jul 2014	0.070	4.09
25 Jun 2014	0.069	4.43
28 May 2014	0.063	4.69
29 Apr 2014	0.069	4.64
26 Mar 2014	0.069	4.67
26 Feb 2014	0.064	5.29
29 Jan 2014	0.045	5.67

Against its own history

Against every earlier 2-year FRN auction we hold
Measure	This auction	Median	Higher	Lower
Bid-to-cover ratio	4.45	4.66	5 of 8	3 of 8
High discount margin	0.041	0.066	8 of 8	0 of 8
Indirect bidders' share	54.4	39.9	0 of 8	8 of 8
Direct bidders' share	4.6	4.9	5 of 8	3 of 8
Primary dealers' share	41.0	53.9	8 of 8	0 of 8
High minus median, basis points	0.2	0.4	6 of 8	2 of 8

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

Who bought the 2-year FRN?

Indirect bidders took 54.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 August 2014

The shares as a table

Shares of competitive bids accepted, %
Bidder	This auction	Previous
Indirect bidders	54.4	46.5
Direct bidders	4.6	3.3
Primary dealers	41.0	50.2

About these figures

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

Treasury's published result

2-year FRN auction of 24 September 2014: Treasury's published result, with our shares and spread marked "ours"
Field	Value
Offered as	1-Year 10-Month, reopening
Offering amount	$13,000,000,000
Bids received	$57,898,529,200
Sold	$13,000,059,200
Competitive bids accepted	$12,980,530,000
Non-competitive bids accepted	$19,529,200
Federal Reserve (SOMA) add-on	$0
Foreign and international (FIMA) non-competitive	$0
Discount margin, %	0.041
Median rate, %	0.039
Low rate, %	0.035
Interest rate (coupon), %	–
Spread, %	0.070
Bids at the high rate filled, %	94.76
Bid-to-cover ratio	4.45
Indirect bidders accepted	$7,059,280,000
Direct bidders accepted	$600,000,000
Primary dealers accepted	$5,321,250,000
Indirect bidders' share, % (ours)	54.4
Direct bidders' share, % (ours)	4.6
Primary dealers' share, % (ours)	41.0
High minus median, basis points (ours)	0.2

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 24 Sep 2014.

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 24 September 2014. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2014/R_20140924_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 September 2014 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2014-09-24.

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.