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2-year FRN auction of 23 December 2014 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.110% on , with a bid-to-cover ratio of 2.90.

Announced
Issued
Matures

Discount margin

0.110%

Median discount margin 0.092%

Bid-to-cover

2.90

▼ −1.10 since 25 Nov

Sold

$13.00 billion

$13 billion offered

Indirect bidders

24.7%

Of competitive bids accepted

Discount margin at the last 12 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 12 2-year FRN auctions12 auctions from 29 January 2014 to 23 December 2014; the latest at 0.110%.0.0%0.1%0.1%0.1%0.1%2014This auction, 0.110%Discount margin at the last 12 2-year FRN auctions12 auctions from 29 January 2014 to 23 December 2014; the latest at 0.110%.0.0%0.1%0.1%0.1%0.1%20140.110%

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

The 12 auctions as a table
Discount margin and bid-to-cover of the last 12 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Against its own history

Against every earlier 2-year FRN auction we hold
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.904.4511 of 110 of 11
High discount margin0.1100.0640 of 1111 of 11
Indirect bidders' share24.741.711 of 110 of 11
Direct bidders' share5.24.84 of 117 of 11
Primary dealers' share70.150.20 of 1111 of 11
High minus median, basis points1.80.30 of 1111 of 11

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

Who bought the 2-year FRN?

Primary dealers took 70.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 November 2014

Primary dealers took 70.1% of the competitive bids acceptedIndirect bidders 24.7%, Direct bidders 5.2%, Primary dealers 70.1%Indirect bidders24.7%51.8%Direct bidders5.2%5.4%Primary dealers70.1%42.8%Primary dealers took 70.1% of the competitive bids acceptedIndirect bidders 24.7%, Direct bidders 5.2%, Primary dealers 70.1%Indirect bidders24.7%51.8%Direct bidders5.2%5.4%Primary dealers70.1%42.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders24.751.8
Direct bidders5.25.4
Primary dealers70.142.8

About these figures

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

Treasury's published result

FieldValue
Offered as1-Year 10-Month, reopening
Offering amount$13,000,000,000
Bids received$37,658,143,200
Sold$13,000,223,200
Competitive bids accepted$12,994,430,000
Non-competitive bids accepted$5,793,200
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.110
Median rate, %0.092
Low rate, %0.065
Interest rate (coupon), %–
Spread, %0.053
Bids at the high rate filled, %30.24
Bid-to-cover ratio2.90
Indirect bidders accepted$3,207,350,000
Direct bidders accepted$680,240,000
Primary dealers accepted$9,106,840,000
Indirect bidders' share, % (ours)24.7
Direct bidders' share, % (ours)5.2
Primary dealers' share, % (ours)70.1
High minus median, basis points (ours)1.8

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 23 December 2014. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2014/R_20141223_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 December 2014 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2014-12-23.

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.