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2-year FRN auction of 28 March 2018 (reopening)

The 2-year FRN sold $17.642 billion at a high discount margin of 0.049% on , with a bid-to-cover ratio of 2.78.

Announced
Issued
Matures

Discount margin

0.049%

Median discount margin 0.028%

Bid-to-cover

2.78

▲ +0.03 since 21 Feb

Sold

$17.64 billion

$15 billion offered

Indirect bidders

47.2%

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 29 April 2015 to 28 March 2018; the latest at 0.049%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.049%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 April 2015 to 28 March 2018; the latest at 0.049%.0.0%0.1%0.1%0.1%0.2%2016201720180.049%

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
0.0492.78
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.783.3411 of 121 of 12
High discount margin0.0490.0527 of 125 of 12
Indirect bidders' share47.249.87 of 125 of 12
Direct bidders' share1.30.53 of 129 of 12
Primary dealers' share51.546.95 of 127 of 12
High minus median, basis points2.10.60 of 1212 of 12

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

  • High minus median, basis points: Highest for a 2-year FRN since 23 December 2015 (26 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 51.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 21 February 2018

Primary dealers took 51.5% of the competitive bids acceptedIndirect bidders 47.2%, Direct bidders 1.3%, Primary dealers 51.5%Indirect bidders47.2%27.0%Direct bidders1.3%14.0%Primary dealers51.5%58.9%Primary dealers took 51.5% of the competitive bids acceptedIndirect bidders 47.2%, Direct bidders 1.3%, Primary dealers 51.5%Indirect bidders47.2%27.0%Direct bidders1.3%14.0%Primary dealers51.5%58.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders47.227.0
Direct bidders1.314.0
Primary dealers51.558.9

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$15,000,000,000
Bids received$44,323,487,900
Sold$17,642,362,900
Competitive bids accepted$14,983,875,000
Non-competitive bids accepted$16,131,000
Federal Reserve (SOMA) add-on$2,642,356,900
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.049
Median rate, %0.028
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.000
Bids at the high rate filled, %47.55
Bid-to-cover ratio2.78
Indirect bidders accepted$7,065,000,000
Direct bidders accepted$200,000,000
Primary dealers accepted$7,718,875,000
Indirect bidders' share, % (ours)47.2
Direct bidders' share, % (ours)1.3
Primary dealers' share, % (ours)51.5
High minus median, basis points (ours)2.1

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 ratio2.78Last 24 auctions23 of 241 of 243.34
Bid-to-cover ratio2.78All 50 since 29 January 201449 of 501 of 503.53
High discount margin0.049Last 24 auctions19 of 245 of 240.121
High discount margin0.049All 50 since 29 January 201443 of 507 of 500.078
Indirect bidders' share47.2Last 24 auctions10 of 2414 of 2443.9
Indirect bidders' share47.2All 50 since 29 January 201420 of 5030 of 5045.5
Direct bidders' share1.3Last 24 auctions7 of 2417 of 240.4
Direct bidders' share1.3All 50 since 29 January 201429 of 5021 of 501.9
Primary dealers' share51.5Last 24 auctions14 of 2410 of 2455.6
Primary dealers' share51.5All 50 since 29 January 201425 of 5025 of 5051.7
High minus median, basis points2.1Last 24 auctions0 of 2424 of 240.9
High minus median, basis points2.1All 50 since 29 January 20143 of 5047 of 500.8

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 28 March 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180328_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 March 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-03-28.

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.