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2-year FRN auction of 23 September 2015 (reopening)

The 2-year FRN sold $13 billion at a high discount margin of 0.120% on , with a bid-to-cover ratio of 2.87.

Announced
Issued
Matures

Discount margin

0.120%

Median discount margin 0.105%

Bid-to-cover

2.87

▼ −0.63 since 26 Aug

Sold

$13.00 billion

$13 billion offered

Indirect bidders

22.0%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN of all 20 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN of all 20 earlier auctions we hold21 auctions from 29 January 2014 to 23 September 2015; the latest at 0.120%.0.0%0.1%0.1%0.1%0.1%20142015This auction, 0.120%The high discount margin was the highest for a 2-year FRN of all 20 earlier auctions we hold21 auctions from 29 January 2014 to 23 September 2015; the latest at 0.120%.0.0%0.1%0.1%0.1%0.1%201420150.120%

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

The 21 auctions as a table
Discount margin and bid-to-cover of the last 21 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.1202.87
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 ratio2.873.8712 of 120 of 12
High discount margin0.1200.0760 of 1212 of 12
Indirect bidders' share22.050.512 of 120 of 12
Direct bidders' share2.72.15 of 127 of 12
Primary dealers' share75.345.50 of 1212 of 12
High minus median, basis points1.50.71 of 1211 of 12

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

  • Bid-to-cover ratio: Lowest of all 20 earlier 2-year FRN auctions we hold.
  • Indirect bidders' share: Lowest of all 20 earlier 2-year FRN auctions we hold.
  • Primary dealers' share: Highest of all 20 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 75.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 26 August 2015

Primary dealers took 75.3% of the competitive bids acceptedIndirect bidders 22.0%, Direct bidders 2.7%, Primary dealers 75.3%Indirect bidders22.0%43.5%Direct bidders2.7%0.0%Primary dealers75.3%56.5%Primary dealers took 75.3% of the competitive bids acceptedIndirect bidders 22.0%, Direct bidders 2.7%, Primary dealers 75.3%Indirect bidders22.0%43.5%Direct bidders2.7%0.0%Primary dealers75.3%56.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders22.043.5
Direct bidders2.70.0
Primary dealers75.356.5

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$37,318,241,400
Sold$13,000,063,900
Competitive bids accepted$12,991,822,500
Non-competitive bids accepted$8,241,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.120
Median rate, %0.105
Low rate, %0.075
Interest rate (coupon), %–
Spread, %0.077
Bids at the high rate filled, %4.21
Bid-to-cover ratio2.87
Indirect bidders accepted$2,860,000,000
Direct bidders accepted$351,840,000
Primary dealers accepted$9,779,982,500
Indirect bidders' share, % (ours)22.0
Direct bidders' share, % (ours)2.7
Primary dealers' share, % (ours)75.3
High minus median, basis points (ours)1.5

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
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio2.87All 20 since 29 January 201420 of 200 of 204.18
High discount margin0.120All 20 since 29 January 20140 of 2020 of 200.069
Indirect bidders' share22.0All 20 since 29 January 201420 of 200 of 2046.6
Direct bidders' share2.7All 20 since 29 January 201413 of 207 of 203.8
Primary dealers' share75.3All 20 since 29 January 20140 of 2020 of 2049.9
High minus median, basis points1.5All 20 since 29 January 20141 of 2019 of 200.4

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 23 September 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20150923_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 September 2015 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2015-09-23.

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.