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

The 2-year FRN sold $18.978 billion at a high discount margin of 0.043% on , with a bid-to-cover ratio of 2.79.

Announced
Issued
Matures

Discount margin

0.043%

Median discount margin 0.035%

Bid-to-cover

2.79

▬ Unchanged since 27 Jun

Sold

$18.98 billion

$18 billion offered

Indirect bidders

51.4%

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 26 August 2015 to 25 July 2018; the latest at 0.043%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.043%Discount margin at the last 36 2-year FRN auctions36 auctions from 26 August 2015 to 25 July 2018; the latest at 0.043%.0.0%0.1%0.1%0.1%0.2%2016201720180.043%

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
0.0432.79
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.793.299 of 122 of 12
High discount margin0.0430.0385 of 127 of 12
Indirect bidders' share51.448.23 of 129 of 12
Direct bidders' share6.31.75 of 127 of 12
Primary dealers' share42.349.39 of 123 of 12
High minus median, basis points0.80.64 of 127 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 51.4% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 27 June 2018

Indirect bidders took 51.4% of the competitive bids acceptedIndirect bidders 51.4%, Direct bidders 6.3%, Primary dealers 42.3%Indirect bidders51.4%37.5%Direct bidders6.3%7.2%Primary dealers42.3%55.3%Indirect bidders took 51.4% of the competitive bids acceptedIndirect bidders 51.4%, Direct bidders 6.3%, Primary dealers 42.3%Indirect bidders51.4%37.5%Direct bidders6.3%7.2%Primary dealers42.3%55.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders51.437.5
Direct bidders6.37.2
Primary dealers42.355.3

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$18,000,000,000
Bids received$51,263,216,600
Sold$18,977,701,600
Competitive bids accepted$17,967,915,000
Non-competitive bids accepted$32,362,400
Federal Reserve (SOMA) add-on$977,424,200
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.043
Median rate, %0.035
Low rate, %0.000
Interest rate (coupon), %–
Spread, %0.043
Bids at the high rate filled, %92.77
Bid-to-cover ratio2.79
Indirect bidders accepted$9,235,145,000
Direct bidders accepted$1,125,000,000
Primary dealers accepted$7,607,770,000
Indirect bidders' share, % (ours)51.4
Direct bidders' share, % (ours)6.3
Primary dealers' share, % (ours)42.3
High minus median, basis points (ours)0.8

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 auctions21 of 242 of 243.32
Bid-to-cover ratio2.79All 54 since 29 January 201451 of 542 of 543.49
High discount margin0.043Last 24 auctions17 of 247 of 240.060
High discount margin0.043All 54 since 29 January 201446 of 548 of 540.075
Indirect bidders' share51.4Last 24 auctions5 of 2419 of 2445.6
Indirect bidders' share51.4All 54 since 29 January 201413 of 5441 of 5445.5
Direct bidders' share6.3Last 24 auctions5 of 2419 of 240.7
Direct bidders' share6.3All 54 since 29 January 20149 of 5445 of 541.9
Primary dealers' share42.3Last 24 auctions19 of 245 of 2452.2
Primary dealers' share42.3All 54 since 29 January 201446 of 548 of 5451.2
High minus median, basis points0.8Last 24 auctions11 of 2410 of 240.8
High minus median, basis points0.8All 54 since 29 January 201427 of 5424 of 540.8

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 25 July 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180725_1.pdf. Compiled by 500metrics, "2-year FRN auction of 25 July 2018 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2018-07-25.

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.