500metrics

All sources checked Checked

2-year FRN auction of 25 April 2018 (new issue)

The 2-year FRN sold $19.17 billion at a high discount margin of 0.033% on , with a bid-to-cover ratio of 3.65.

Announced
Issued
Matures

Discount margin

0.033%

Median discount margin 0.029%

Bid-to-cover

3.65

▲ +0.87 since 28 Mar

Sold

$19.17 billion

$17 billion offered

Indirect bidders

38.0%

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 28 May 2015 to 25 April 2018; the latest at 0.033%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.033%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 May 2015 to 25 April 2018; the latest at 0.033%.0.0%0.1%0.1%0.1%0.2%2016201720180.033%

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
0.0333.65
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.653.291 of 1211 of 12
High discount margin0.0330.05010 of 122 of 12
Indirect bidders' share38.049.810 of 122 of 12
Direct bidders' share13.00.51 of 1211 of 12
Primary dealers' share49.146.96 of 126 of 12
High minus median, basis points0.40.812 of 120 of 12

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

  • High minus median, basis points: Lowest for a 2-year FRN since 25 February 2015 (37 auctions in between).

Who bought the 2-year FRN?

Primary dealers took 49.1% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 March 2018

Primary dealers took 49.1% of the competitive bids acceptedIndirect bidders 38.0%, Direct bidders 13.0%, Primary dealers 49.1%Indirect bidders38.0%47.2%Direct bidders13.0%1.3%Primary dealers49.1%51.5%Primary dealers took 49.1% of the competitive bids acceptedIndirect bidders 38.0%, Direct bidders 13.0%, Primary dealers 49.1%Indirect bidders38.0%47.2%Direct bidders13.0%1.3%Primary dealers49.1%51.5%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders38.047.2
Direct bidders13.01.3
Primary dealers49.151.5

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$17,000,000,000
Bids received$64,232,166,300
Sold$19,169,908,300
Competitive bids accepted$16,959,289,000
Non-competitive bids accepted$40,793,700
Federal Reserve (SOMA) add-on$2,169,825,600
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.033
Median rate, %0.029
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.033
Bids at the high rate filled, %91.62
Bid-to-cover ratio3.65
Indirect bidders accepted$6,437,669,000
Direct bidders accepted$2,200,000,000
Primary dealers accepted$8,321,620,000
Indirect bidders' share, % (ours)38.0
Direct bidders' share, % (ours)13.0
Primary dealers' share, % (ours)49.1
High minus median, basis points (ours)0.4

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
MeasureThis auctionWindowHigherLowerMedian
Bid-to-cover ratio3.65Last 24 auctions3 of 2421 of 243.34
Bid-to-cover ratio3.65All 51 since 29 January 201421 of 5130 of 513.50
High discount margin0.033Last 24 auctions22 of 242 of 240.094
High discount margin0.033All 51 since 29 January 201449 of 512 of 510.077
Indirect bidders' share38.0Last 24 auctions17 of 247 of 2445.6
Indirect bidders' share38.0All 51 since 29 January 201438 of 5113 of 5146.5
Direct bidders' share13.0Last 24 auctions1 of 2423 of 240.4
Direct bidders' share13.0All 51 since 29 January 20141 of 5150 of 511.9
Primary dealers' share49.1Last 24 auctions16 of 248 of 2454.2
Primary dealers' share49.1All 51 since 29 January 201432 of 5119 of 5151.5
High minus median, basis points0.4Last 24 auctions24 of 240 of 240.9
High minus median, basis points0.4All 51 since 29 January 201439 of 518 of 510.9

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 25 April 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180425_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 April 2018 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2018-04-25.

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.