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2-year FRN auction of 23 May 2018 (reopening)

The 2-year FRN sold $16 billion at a high discount margin of 0.028% on , with a bid-to-cover ratio of 3.26.

Announced
Issued
Matures

Discount margin

0.028%

Median discount margin 0.023%

Bid-to-cover

3.26

▼ −0.39 since 25 Apr

Sold

$16.00 billion

$16 billion offered

Indirect bidders

49.3%

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 24 June 2015 to 23 May 2018; the latest at 0.028%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.028%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 June 2015 to 23 May 2018; the latest at 0.028%.0.0%0.1%0.1%0.1%0.2%2016201720180.028%

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
0.0283.26
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.263.296 of 125 of 12
High discount margin0.0280.04810 of 122 of 12
Indirect bidders' share49.348.46 of 126 of 12
Direct bidders' share7.50.72 of 1210 of 12
Primary dealers' share43.149.38 of 124 of 12
High minus median, basis points0.50.89 of 121 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 49.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 25 April 2018

Indirect bidders took 49.3% of the competitive bids acceptedIndirect bidders 49.3%, Direct bidders 7.5%, Primary dealers 43.1%Indirect bidders49.3%38.0%Direct bidders7.5%13.0%Primary dealers43.1%49.1%Indirect bidders took 49.3% of the competitive bids acceptedIndirect bidders 49.3%, Direct bidders 7.5%, Primary dealers 43.1%Indirect bidders49.3%38.0%Direct bidders7.5%13.0%Primary dealers43.1%49.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders49.338.0
Direct bidders7.513.0
Primary dealers43.149.1

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$16,000,000,000
Bids received$52,172,170,100
Sold$16,000,041,600
Competitive bids accepted$15,982,911,500
Non-competitive bids accepted$17,130,100
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.028
Median rate, %0.023
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.033
Bids at the high rate filled, %83.23
Bid-to-cover ratio3.26
Indirect bidders accepted$7,886,451,500
Direct bidders accepted$1,200,000,000
Primary dealers accepted$6,896,460,000
Indirect bidders' share, % (ours)49.3
Direct bidders' share, % (ours)7.5
Primary dealers' share, % (ours)43.1
High minus median, basis points (ours)0.5

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 ratio3.26Last 24 auctions14 of 249 of 243.34
Bid-to-cover ratio3.26All 52 since 29 January 201437 of 5214 of 523.53
High discount margin0.028Last 24 auctions22 of 242 of 240.075
High discount margin0.028All 52 since 29 January 201450 of 522 of 520.076
Indirect bidders' share49.3Last 24 auctions8 of 2416 of 2443.9
Indirect bidders' share49.3All 52 since 29 January 201417 of 5235 of 5245.5
Direct bidders' share7.5Last 24 auctions2 of 2422 of 240.5
Direct bidders' share7.5All 52 since 29 January 20145 of 5247 of 521.9
Primary dealers' share43.1Last 24 auctions19 of 245 of 2454.2
Primary dealers' share43.1All 52 since 29 January 201441 of 5211 of 5251.2
High minus median, basis points0.5Last 24 auctions19 of 241 of 240.8
High minus median, basis points0.5All 52 since 29 January 201434 of 5213 of 520.8

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 23 May 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180523_1.pdf. Compiled by 500metrics, "2-year FRN auction of 23 May 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-05-23.

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.