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2-year FRN auction of 29 August 2018 (reopening)

The 2-year FRN sold $18.198 billion at a high discount margin of 0.047% on , with a bid-to-cover ratio of 2.94.

Announced
Issued
Matures

Discount margin

0.047%

Median discount margin 0.040%

Bid-to-cover

2.94

▲ +0.15 since 25 Jul

Sold

$18.20 billion

$17 billion offered

Indirect bidders

39.5%

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 23 September 2015 to 29 August 2018; the latest at 0.047%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.047%Discount margin at the last 36 2-year FRN auctions36 auctions from 23 September 2015 to 29 August 2018; the latest at 0.047%.0.0%0.1%0.1%0.1%0.2%201720180.047%

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
0.0472.94
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.943.268 of 124 of 12
High discount margin0.0470.0384 of 128 of 12
Indirect bidders' share39.548.28 of 124 of 12
Direct bidders' share8.53.82 of 1210 of 12
Primary dealers' share51.949.34 of 128 of 12
High minus median, basis points0.70.86 of 125 of 12

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

Who bought the 2-year FRN?

Primary dealers took 51.9% of the competitive bids accepted

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

Primary dealers took 51.9% of the competitive bids acceptedIndirect bidders 39.5%, Direct bidders 8.5%, Primary dealers 51.9%Indirect bidders39.5%51.4%Direct bidders8.5%6.3%Primary dealers51.9%42.3%Primary dealers took 51.9% of the competitive bids acceptedIndirect bidders 39.5%, Direct bidders 8.5%, Primary dealers 51.9%Indirect bidders39.5%51.4%Direct bidders8.5%6.3%Primary dealers51.9%42.3%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders39.551.4
Direct bidders8.56.3
Primary dealers51.942.3

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$17,000,000,000
Bids received$51,241,660,200
Sold$18,198,222,700
Competitive bids accepted$16,974,762,500
Non-competitive bids accepted$25,290,100
Federal Reserve (SOMA) add-on$1,198,170,100
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.047
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.043
Bids at the high rate filled, %66.65
Bid-to-cover ratio2.94
Indirect bidders accepted$6,712,837,500
Direct bidders accepted$1,450,000,000
Primary dealers accepted$8,811,925,000
Indirect bidders' share, % (ours)39.5
Direct bidders' share, % (ours)8.5
Primary dealers' share, % (ours)51.9
High minus median, basis points (ours)0.7

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 ratio2.94Last 24 auctions20 of 244 of 243.29
Bid-to-cover ratio2.94All 55 since 29 January 201449 of 556 of 553.48
High discount margin0.047Last 24 auctions16 of 248 of 240.058
High discount margin0.047All 55 since 29 January 201445 of 5510 of 550.074
Indirect bidders' share39.5Last 24 auctions16 of 248 of 2447.1
Indirect bidders' share39.5All 55 since 29 January 201439 of 5516 of 5546.5
Direct bidders' share8.5Last 24 auctions2 of 2422 of 240.8
Direct bidders' share8.5All 55 since 29 January 20145 of 5550 of 551.9
Primary dealers' share51.9Last 24 auctions11 of 2413 of 2451.2
Primary dealers' share51.9All 55 since 29 January 201426 of 5529 of 5550.9
High minus median, basis points0.7Last 24 auctions14 of 249 of 240.8
High minus median, basis points0.7All 55 since 29 January 201431 of 5523 of 550.8

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 29 August 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180829_1.pdf. Compiled by 500metrics, "2-year FRN auction of 29 August 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-08-29.

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.