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2-year FRN auction of 27 June 2018 (reopening)

The 2-year FRN sold $16 billion at a high discount margin of 0.042% on , with a bid-to-cover ratio of 2.79.

Announced
Issued
Matures

Discount margin

0.042%

Median discount margin 0.030%

Bid-to-cover

2.79

▼ −0.47 since 23 May

Sold

$16.00 billion

$16 billion offered

Indirect bidders

37.5%

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 July 2015 to 27 June 2018; the latest at 0.042%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.042%Discount margin at the last 36 2-year FRN auctions36 auctions from 29 July 2015 to 27 June 2018; the latest at 0.042%.0.0%0.1%0.1%0.1%0.2%2016201720180.042%

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
0.0422.79
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.793.2910 of 122 of 12
High discount margin0.0420.0426 of 126 of 12
Indirect bidders' share37.549.510 of 122 of 12
Direct bidders' share7.21.03 of 129 of 12
Primary dealers' share55.346.62 of 1210 of 12
High minus median, basis points1.20.62 of 129 of 12

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

Who bought the 2-year FRN?

Primary dealers took 55.3% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 23 May 2018

Primary dealers took 55.3% of the competitive bids acceptedIndirect bidders 37.5%, Direct bidders 7.2%, Primary dealers 55.3%Indirect bidders37.5%49.3%Direct bidders7.2%7.5%Primary dealers55.3%43.1%Primary dealers took 55.3% of the competitive bids acceptedIndirect bidders 37.5%, Direct bidders 7.2%, Primary dealers 55.3%Indirect bidders37.5%49.3%Direct bidders7.2%7.5%Primary dealers55.3%43.1%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders37.549.3
Direct bidders7.27.5
Primary dealers55.343.1

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$16,000,000,000
Bids received$44,700,477,700
Sold$16,000,077,700
Competitive bids accepted$15,992,600,000
Non-competitive bids accepted$7,477,700
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.042
Median rate, %0.030
Low rate, %0.010
Interest rate (coupon), %–
Spread, %0.033
Bids at the high rate filled, %48.96
Bid-to-cover ratio2.79
Indirect bidders accepted$5,998,000,000
Direct bidders accepted$1,150,000,000
Primary dealers accepted$8,844,600,000
Indirect bidders' share, % (ours)37.5
Direct bidders' share, % (ours)7.2
Primary dealers' share, % (ours)55.3
High minus median, basis points (ours)1.2

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 ratio2.79Last 24 auctions22 of 242 of 243.32
Bid-to-cover ratio2.79All 53 since 29 January 201451 of 532 of 533.50
High discount margin0.042Last 24 auctions18 of 246 of 240.065
High discount margin0.042All 53 since 29 January 201446 of 537 of 530.076
Indirect bidders' share37.5Last 24 auctions18 of 246 of 2445.6
Indirect bidders' share37.5All 53 since 29 January 201441 of 5312 of 5346.5
Direct bidders' share7.2Last 24 auctions3 of 2421 of 240.5
Direct bidders' share7.2All 53 since 29 January 20146 of 5347 of 531.9
Primary dealers' share55.3Last 24 auctions11 of 2413 of 2452.2
Primary dealers' share55.3All 53 since 29 January 201420 of 5333 of 5350.9
High minus median, basis points1.2Last 24 auctions6 of 2417 of 240.8
High minus median, basis points1.2All 53 since 29 January 201415 of 5336 of 530.8

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 27 June 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180627_1.pdf. Compiled by 500metrics, "2-year FRN auction of 27 June 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-06-27.

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.