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2-year FRN auction of 21 February 2018 (reopening)

The 2-year FRN sold $15 billion at a high discount margin of 0.016% on , with a bid-to-cover ratio of 2.75.

Announced
Issued
Matures

Discount margin

0.016%

Median discount margin 0.000%

Bid-to-cover

2.75

▼ −0.63 since 24 Jan

Sold

$15.00 billion

$15 billion offered

Indirect bidders

27.0%

Of competitive bids accepted

Discount margin at the last 36 2-year FRN auctions

Discount margin at each 2-year FRN auction, %

Discount margin at the last 36 2-year FRN auctions36 auctions from 25 March 2015 to 21 February 2018; the latest at 0.016%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.016%Discount margin at the last 36 2-year FRN auctions36 auctions from 25 March 2015 to 21 February 2018; the latest at 0.016%.0.0%0.1%0.2%0.3%2016201720180.016%

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
0.0162.75
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.753.3412 of 120 of 12
High discount margin0.0160.05811 of 121 of 12
Indirect bidders' share27.049.812 of 120 of 12
Direct bidders' share14.00.40 of 1212 of 12
Primary dealers' share58.946.91 of 1211 of 12
High minus median, basis points1.60.60 of 1212 of 12

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

  • Bid-to-cover ratio: Lowest of all 49 earlier 2-year FRN auctions we hold.
  • Indirect bidders' share: Lowest for a 2-year FRN since 25 January 2017 (12 auctions in between).
  • Direct bidders' share: Highest of all 49 earlier 2-year FRN auctions we hold.
  • High minus median, basis points: Highest for a 2-year FRN since 28 April 2016 (21 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 58.9% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 January 2018

Primary dealers took 58.9% of the competitive bids acceptedIndirect bidders 27.0%, Direct bidders 14.0%, Primary dealers 58.9%Indirect bidders27.0%37.2%Direct bidders14.0%0.0%Primary dealers58.9%62.8%Primary dealers took 58.9% of the competitive bids acceptedIndirect bidders 27.0%, Direct bidders 14.0%, Primary dealers 58.9%Indirect bidders27.0%37.2%Direct bidders14.0%0.0%Primary dealers58.9%62.8%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders27.037.2
Direct bidders14.00.0
Primary dealers58.962.8

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$15,000,000,000
Bids received$41,243,852,400
Sold$15,000,012,400
Competitive bids accepted$14,982,160,000
Non-competitive bids accepted$17,852,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.016
Median rate, %0.000
Low rate, %-0.020
Interest rate (coupon), %–
Spread, %0.000
Bids at the high rate filled, %53.72
Bid-to-cover ratio2.75
Indirect bidders accepted$4,051,000,000
Direct bidders accepted$2,100,000,000
Primary dealers accepted$8,831,160,000
Indirect bidders' share, % (ours)27.0
Direct bidders' share, % (ours)14.0
Primary dealers' share, % (ours)58.9
High minus median, basis points (ours)1.6

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 ratio2.75Last 24 auctions24 of 240 of 243.35
Bid-to-cover ratio2.75All 49 since 29 January 201449 of 490 of 493.56
High discount margin0.016Last 24 auctions23 of 241 of 240.136
High discount margin0.016All 49 since 29 January 201448 of 491 of 490.080
Indirect bidders' share27.0Last 24 auctions23 of 241 of 2443.9
Indirect bidders' share27.0All 49 since 29 January 201446 of 493 of 4946.5
Direct bidders' share14.0Last 24 auctions0 of 2424 of 240.4
Direct bidders' share14.0All 49 since 29 January 20140 of 4949 of 491.9
Primary dealers' share58.9Last 24 auctions8 of 2416 of 2455.6
Primary dealers' share58.9All 49 since 29 January 201413 of 4936 of 4950.9
High minus median, basis points1.6Last 24 auctions2 of 2422 of 240.9
High minus median, basis points1.6All 49 since 29 January 20146 of 4943 of 490.8

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 21 February 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180221_1.pdf. Compiled by 500metrics, "2-year FRN auction of 21 February 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-02-21.

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.