2-year FRN auction of 28 October 2015 (new issue)

The 2-year FRN sold $15 billion at a high discount margin of 0.168% on 28 October 2015, with a bid-to-cover ratio of 3.10.

Announced: 22 Oct 2015
Issued: 2 Nov 2015
Matures: 31 Oct 2017

Discount margin

0.168%

Median discount margin 0.144%

Bid-to-cover

3.10

▲ +0.23 since 23 Sep

Sold

$15.00 billion

$15 billion offered

Indirect bidders

49.6%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN of all 21 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

Source: U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data. Observed 28 Oct 2015.

The 22 auctions as a table

Discount margin and bid-to-cover of the last 22 2-year FRN auctions, newest first
Auction	Discount margin, %	Bid-to-cover
28 Oct 2015	0.168	3.10
23 Sep 2015	0.120	2.87
26 Aug 2015	0.086	3.50
29 Jul 2015	0.077	3.93
24 Jun 2015	0.076	3.74
28 May 2015	0.069	4.01
29 Apr 2015	0.074	3.81
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	3.10	3.78	10 of 12	2 of 12
High discount margin	0.168	0.080	0 of 12	12 of 12
Indirect bidders' share	49.6	48.7	5 of 12	7 of 12
Direct bidders' share	2.0	2.1	6 of 12	6 of 12
Primary dealers' share	48.4	47.2	6 of 12	6 of 12
High minus median, basis points	2.4	0.9	0 of 12	12 of 12

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

High minus median, basis points: Highest of all 21 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Indirect bidders took 49.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 September 2015

The shares as a table

Shares of competitive bids accepted, %
Bidder	This auction	Previous
Indirect bidders	49.6	22.0
Direct bidders	2.0	2.7
Primary dealers	48.4	75.3

About these figures

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

Treasury's published result

2-year FRN auction of 28 October 2015: Treasury's published result, with our shares and spread marked "ours"
Field	Value
Offered as	2-Year, new issue
Offering amount	$15,000,000,000
Bids received	$46,459,581,400
Sold	$15,000,016,400
Competitive bids accepted	$14,995,435,000
Non-competitive bids accepted	$4,581,400
Federal Reserve (SOMA) add-on	$0
Foreign and international (FIMA) non-competitive	$0
Discount margin, %	0.168
Median rate, %	0.144
Low rate, %	0.100
Interest rate (coupon), %	–
Spread, %	0.168
Bids at the high rate filled, %	84.66
Bid-to-cover ratio	3.10
Indirect bidders accepted	$7,445,000,000
Direct bidders accepted	$300,000,000
Primary dealers accepted	$7,250,435,000
Indirect bidders' share, % (ours)	49.6
Direct bidders' share, % (ours)	2.0
Primary dealers' share, % (ours)	48.4
High minus median, basis points (ours)	2.4

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	3.10	All 21 since 29 January 2014	19 of 21	2 of 21	4.09
High discount margin	0.168	All 21 since 29 January 2014	0 of 21	21 of 21	0.069
Indirect bidders' share	49.6	All 21 since 29 January 2014	6 of 21	15 of 21	46.6
Direct bidders' share	2.0	All 21 since 29 January 2014	15 of 21	6 of 21	3.3
Primary dealers' share	48.4	All 21 since 29 January 2014	14 of 21	7 of 21	50.0
High minus median, basis points	2.4	All 21 since 29 January 2014	0 of 21	21 of 21	0.4

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 28 Oct 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 28 October 2015. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2015/R_20151028_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 October 2015 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2015-10-28.

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.