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2-year FRN auction of 24 January 2018 (new issue)

The 2-year FRN sold $17.205 billion at a high discount margin of 0.000% on , with a bid-to-cover ratio of 3.38.

Announced
Issued
Matures

Discount margin

0.000%

Median discount margin -0.010%

Bid-to-cover

3.38

▲ +0.12 since 27 Dec

Sold

$17.20 billion

$15 billion offered

Indirect bidders

37.2%

Of competitive bids accepted

The high discount margin was the lowest for a 2-year FRN of all 48 earlier auctions we hold

Discount margin at each 2-year FRN auction, %

The high discount margin was the lowest for a 2-year FRN of all 48 earlier auctions we hold36 auctions from 25 February 2015 to 24 January 2018; the latest at 0.000%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.000%The high discount margin was the lowest for a 2-year FRN of all 48 earlier auctions we hold36 auctions from 25 February 2015 to 24 January 2018; the latest at 0.000%.0.0%0.1%0.2%0.3%2016201720180.000%

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

The 36 auctions as a table
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
0.0003.38
0.0353.26
0.0353.69
0.0483.56
0.0553.46
0.0603.09
0.0603.32
0.0803.13
0.0502.99
0.0703.35
0.1093.43
0.1333.08
0.1403.16
0.1693.80
0.1693.32
0.1703.35
0.1803.09
0.1653.46
0.1743.82
0.1883.15
0.1883.35
0.1903.57
0.2403.07
0.2373.63
0.2723.67
0.3303.48
0.2163.11
0.1683.10
0.1202.87
0.0863.50
0.0773.93
0.0763.74
0.0694.01
0.0743.81
0.0854.34
0.0844.28

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.383.294 of 128 of 12
High discount margin0.0000.06012 of 120 of 12
Indirect bidders' share37.249.811 of 121 of 12
Direct bidders' share0.00.510 of 120 of 12
Primary dealers' share62.846.91 of 1211 of 12
High minus median, basis points1.00.63 of 129 of 12

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

Who bought the 2-year FRN?

Primary dealers took 62.8% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 December 2017

Primary dealers took 62.8% of the competitive bids acceptedIndirect bidders 37.2%, Direct bidders 0.0%, Primary dealers 62.8%Indirect bidders37.2%62.7%Direct bidders0.0%0.0%Primary dealers62.8%37.3%Primary dealers took 62.8% of the competitive bids acceptedIndirect bidders 37.2%, Direct bidders 0.0%, Primary dealers 62.8%Indirect bidders37.2%62.7%Direct bidders0.0%0.0%Primary dealers62.8%37.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.262.7
Direct bidders0.00.0
Primary dealers62.837.3

About these figures

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

Treasury's published result

FieldValue
Offered as2-Year, new issue
Offering amount$15,000,000,000
Bids received$52,851,269,800
Sold$17,204,781,800
Competitive bids accepted$14,979,942,000
Non-competitive bids accepted$20,292,100
Federal Reserve (SOMA) add-on$2,204,547,700
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.000
Median rate, %-0.010
Low rate, %-0.035
Interest rate (coupon), %–
Spread, %0.000
Bids at the high rate filled, %97.36
Bid-to-cover ratio3.38
Indirect bidders accepted$5,578,582,000
Direct bidders accepted$0
Primary dealers accepted$9,401,360,000
Indirect bidders' share, % (ours)37.2
Direct bidders' share, % (ours)0.0
Primary dealers' share, % (ours)62.8
High minus median, basis points (ours)1.0

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 ratio3.38Last 24 auctions10 of 2414 of 243.35
Bid-to-cover ratio3.38All 48 since 29 January 201430 of 4818 of 483.56
High discount margin0.000Last 24 auctions24 of 240 of 240.152
High discount margin0.000All 48 since 29 January 201448 of 480 of 480.082
Indirect bidders' share37.2Last 24 auctions20 of 244 of 2445.6
Indirect bidders' share37.2All 48 since 29 January 201440 of 488 of 4846.5
Direct bidders' share0.0Last 24 auctions20 of 240 of 240.5
Direct bidders' share0.0All 48 since 29 January 201442 of 480 of 481.9
Primary dealers' share62.8Last 24 auctions2 of 2422 of 2454.2
Primary dealers' share62.8All 48 since 29 January 20145 of 4843 of 4850.5
High minus median, basis points1.0Last 24 auctions10 of 2414 of 240.9
High minus median, basis points1.0All 48 since 29 January 201417 of 4831 of 480.8

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 24 January 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180124_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 January 2018 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2018-01-24.

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.