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2-year FRN auction of 28 May 2015 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.069% on , with a bid-to-cover ratio of 4.01.

Announced
Issued
Matures

Discount margin

0.069%

Median discount margin 0.060%

Bid-to-cover

4.01

▲ +0.20 since 29 Apr

Sold

$13.00 billion

$13 billion offered

Indirect bidders

49.2%

Of competitive bids accepted

Discount margin at the last 17 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 17 2-year FRN auctions17 auctions from 29 January 2014 to 28 May 2015; the latest at 0.069%.0.0%0.1%0.1%0.1%0.1%20142015This auction, 0.069%Discount margin at the last 17 2-year FRN auctions17 auctions from 29 January 2014 to 28 May 2015; the latest at 0.069%.0.0%0.1%0.1%0.1%0.1%201420150.069%

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

The 17 auctions as a table
Discount margin and bid-to-cover of the last 17 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio4.014.187 of 125 of 12
High discount margin0.0690.0706 of 125 of 12
Indirect bidders' share49.246.94 of 128 of 12
Direct bidders' share2.34.09 of 123 of 12
Primary dealers' share48.549.47 of 125 of 12
High minus median, basis points0.90.31 of 1210 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 49.2% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 29 April 2015

Indirect bidders took 49.2% of the competitive bids acceptedIndirect bidders 49.2%, Direct bidders 2.3%, Primary dealers 48.5%Indirect bidders49.2%62.7%Direct bidders2.3%0.4%Primary dealers48.5%36.9%Indirect bidders took 49.2% of the competitive bids acceptedIndirect bidders 49.2%, Direct bidders 2.3%, Primary dealers 48.5%Indirect bidders49.2%62.7%Direct bidders2.3%0.4%Primary dealers48.5%36.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.262.7
Direct bidders2.30.4
Primary dealers48.536.9

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$52,066,840,800
Sold$13,000,020,800
Competitive bids accepted$12,998,280,000
Non-competitive bids accepted$1,740,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.069
Median rate, %0.060
Low rate, %0.050
Interest rate (coupon), %–
Spread, %0.074
Bids at the high rate filled, %99.38
Bid-to-cover ratio4.01
Indirect bidders accepted$6,400,100,000
Direct bidders accepted$300,000,000
Primary dealers accepted$6,298,180,000
Indirect bidders' share, % (ours)49.2
Direct bidders' share, % (ours)2.3
Primary dealers' share, % (ours)48.5
High minus median, basis points (ours)0.9

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
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio4.01All 16 since 29 January 201411 of 165 of 164.36
High discount margin0.069All 16 since 29 January 20146 of 167 of 160.069
Indirect bidders' share49.2All 16 since 29 January 20144 of 1612 of 1646.5
Direct bidders' share2.3All 16 since 29 January 201413 of 163 of 164.7
Primary dealers' share48.5All 16 since 29 January 201411 of 165 of 1650.1
High minus median, basis points0.9All 16 since 29 January 20141 of 1614 of 160.4

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 .

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 28 May 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20150528_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 May 2015 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2015-05-28.

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.