2-year FRN auction of 25 March 2015 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.085% on 25 March 2015, with a bid-to-cover ratio of 4.34.

Announced: 19 Mar 2015
Issued: 27 Mar 2015
Matures: 31 Jan 2017

Discount margin

0.085%

Median discount margin 0.080%

Bid-to-cover

4.34

▲ +0.06 since 25 Feb

Sold

$13.00 billion

$13 billion offered

Indirect bidders

75.5%

Of competitive bids accepted

Discount margin at the last 15 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 25 Mar 2015.

The 15 auctions as a table

Discount margin and bid-to-cover of the last 15 2-year FRN auctions, newest first
Auction	Discount margin, %	Bid-to-cover
25 Mar 2015	0.085	4.34
25 Feb 2015	0.084	4.28
28 Jan 2015	0.084	3.72
23 Dec 2014	0.110	2.90
25 Nov 2014	0.068	4.00
29 Oct 2014	0.053	3.58
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 the previous 12 auctions of the 2-year FRN
Measure	This auction	Median	Higher	Lower
Bid-to-cover ratio	4.34	4.33	6 of 12	6 of 12
High discount margin	0.085	0.069	1 of 12	11 of 12
Indirect bidders' share	75.5	46.5	0 of 12	12 of 12
Direct bidders' share	0.0	4.7	12 of 12	0 of 12
Primary dealers' share	24.5	50.1	12 of 12	0 of 12
High minus median, basis points	0.5	0.3	1 of 12	11 of 12

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

Indirect bidders' share: Highest of all 14 earlier 2-year FRN auctions we hold.
Direct bidders' share: Lowest of all 14 earlier 2-year FRN auctions we hold.
Primary dealers' share: Lowest of all 14 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Indirect bidders took 75.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 February 2015

The shares as a table

Shares of competitive bids accepted, %
Bidder	This auction	Previous
Indirect bidders	75.5	48.2
Direct bidders	0.0	1.9
Primary dealers	24.5	49.9

About these figures

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

Treasury's published result

2-year FRN auction of 25 March 2015: 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	$56,400,600,500
Sold	$13,000,215,000
Competitive bids accepted	$12,994,614,500
Non-competitive bids accepted	$5,600,500
Federal Reserve (SOMA) add-on	$0
Foreign and international (FIMA) non-competitive	$0
Discount margin, %	0.085
Median rate, %	0.080
Low rate, %	0.060
Interest rate (coupon), %	–
Spread, %	0.084
Bids at the high rate filled, %	91.17
Bid-to-cover ratio	4.34
Indirect bidders accepted	$9,814,029,500
Direct bidders accepted	$0
Primary dealers accepted	$3,180,585,000
Indirect bidders' share, % (ours)	75.5
Direct bidders' share, % (ours)	0.0
Primary dealers' share, % (ours)	24.5
High minus median, basis points (ours)	0.5

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.

The longer windows

Each measure against earlier 2-year FRN auctions: how many were higher and lower, and their median
Measure	This auction	Window	Higher	Lower	Median
Bid-to-cover ratio	4.34	All 14 since 29 January 2014	8 of 14	6 of 14	4.40
High discount margin	0.085	All 14 since 29 January 2014	1 of 14	13 of 14	0.068
Indirect bidders' share	75.5	All 14 since 29 January 2014	0 of 14	14 of 14	44.1
Direct bidders' share	0.0	All 14 since 29 January 2014	14 of 14	0 of 14	4.9
Primary dealers' share	24.5	All 14 since 29 January 2014	14 of 14	0 of 14	50.1
High minus median, basis points	0.5	All 14 since 29 January 2014	2 of 14	12 of 14	0.3

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

Sources

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed 25 Mar 2015.

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 25 March 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20150325_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 March 2015 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2015-03-25.

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.