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2-year FRN auction of 26 August 2015 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.086% on , with a bid-to-cover ratio of 3.50.

Announced
Issued
Matures

Discount margin

0.086%

Median discount margin 0.075%

Bid-to-cover

3.50

▼ −0.43 since 29 Jul

Sold

$13.00 billion

$13 billion offered

Indirect bidders

43.5%

Of competitive bids accepted

Discount margin at the last 20 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 20 2-year FRN auctions20 auctions from 29 January 2014 to 26 August 2015; the latest at 0.086%.0.0%0.1%0.1%0.1%0.1%20142015This auction, 0.086%Discount margin at the last 20 2-year FRN auctions20 auctions from 29 January 2014 to 26 August 2015; the latest at 0.086%.0.0%0.1%0.1%0.1%0.1%201420150.086%

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

The 20 auctions as a table
Discount margin and bid-to-cover of the last 20 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.0863.50
0.0773.93
0.0763.74
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 ratio3.503.9611 of 121 of 12
High discount margin0.0860.0751 of 1211 of 12
Indirect bidders' share43.550.511 of 121 of 12
Direct bidders' share0.02.811 of 120 of 12
Primary dealers' share56.545.51 of 1211 of 12
High minus median, basis points1.10.41 of 1210 of 12

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

Who bought the 2-year FRN?

Primary dealers took 56.5% of the competitive bids accepted

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

Primary dealers took 56.5% of the competitive bids acceptedIndirect bidders 43.5%, Direct bidders 0.0%, Primary dealers 56.5%Indirect bidders43.5%53.3%Direct bidders0.0%1.7%Primary dealers56.5%45.1%Primary dealers took 56.5% of the competitive bids acceptedIndirect bidders 43.5%, Direct bidders 0.0%, Primary dealers 56.5%Indirect bidders43.5%53.3%Direct bidders0.0%1.7%Primary dealers56.5%45.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders43.553.3
Direct bidders0.01.7
Primary dealers56.545.1

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$45,457,845,700
Sold$13,000,085,700
Competitive bids accepted$12,997,240,000
Non-competitive bids accepted$2,845,700
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.086
Median rate, %0.075
Low rate, %0.065
Interest rate (coupon), %–
Spread, %0.077
Bids at the high rate filled, %28.84
Bid-to-cover ratio3.50
Indirect bidders accepted$5,660,000,000
Direct bidders accepted$0
Primary dealers accepted$7,337,240,000
Indirect bidders' share, % (ours)43.5
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)56.5
High minus median, basis points (ours)1.1

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 ratio3.50All 19 since 29 January 201418 of 191 of 194.28
High discount margin0.086All 19 since 29 January 20141 of 1918 of 190.069
Indirect bidders' share43.5All 19 since 29 January 201412 of 197 of 1946.7
Direct bidders' share0.0All 19 since 29 January 201418 of 190 of 194.3
Primary dealers' share56.5All 19 since 29 January 20143 of 1916 of 1949.9
High minus median, basis points1.1All 19 since 29 January 20141 of 1917 of 190.4

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 26 August 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20150826_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 August 2015 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2015-08-26.

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.