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2-year FRN auction of 25 September 2018 (reopening)

The 2-year FRN sold $17 billion at a high discount margin of 0.050% on , with a bid-to-cover ratio of 3.06.

Announced
Issued
Matures

Discount margin

0.050%

Median discount margin 0.040%

Bid-to-cover

3.06

▲ +0.12 since 29 Aug

Sold

$17.00 billion

$17 billion offered

Indirect bidders

57.5%

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 28 October 2015 to 25 September 2018; the latest at 0.050%.0.0%0.1%0.2%0.3%0.4%2015201620172018This auction, 0.050%Discount margin at the last 36 2-year FRN auctions36 auctions from 28 October 2015 to 25 September 2018; the latest at 0.050%.0.0%0.1%0.1%0.1%0.2%201720180.050%

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
0.0503.06
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.063.267 of 125 of 12
High discount margin0.0500.0381 of 1211 of 12
Indirect bidders' share57.547.12 of 1210 of 12
Direct bidders' share8.06.33 of 129 of 12
Primary dealers' share34.450.312 of 120 of 12
High minus median, basis points1.00.83 of 128 of 12

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

  • Primary dealers' share: Lowest for a 2-year FRN since 25 March 2015 (41 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 57.5% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 29 August 2018

Indirect bidders took 57.5% of the competitive bids acceptedIndirect bidders 57.5%, Direct bidders 8.0%, Primary dealers 34.4%Indirect bidders57.5%39.5%Direct bidders8.0%8.5%Primary dealers34.4%51.9%Indirect bidders took 57.5% of the competitive bids acceptedIndirect bidders 57.5%, Direct bidders 8.0%, Primary dealers 34.4%Indirect bidders57.5%39.5%Direct bidders8.0%8.5%Primary dealers34.4%51.9%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders57.539.5
Direct bidders8.08.5
Primary dealers34.451.9

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$17,000,000,000
Bids received$52,006,081,900
Sold$17,000,058,900
Competitive bids accepted$16,987,902,000
Non-competitive bids accepted$12,156,900
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.050
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.043
Bids at the high rate filled, %33.98
Bid-to-cover ratio3.06
Indirect bidders accepted$9,770,186,000
Direct bidders accepted$1,366,990,000
Primary dealers accepted$5,850,726,000
Indirect bidders' share, % (ours)57.5
Direct bidders' share, % (ours)8.0
Primary dealers' share, % (ours)34.4
High minus median, basis points (ours)1.0

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 ratio3.06Last 24 auctions18 of 246 of 243.26
Bid-to-cover ratio3.06All 56 since 29 January 201448 of 568 of 563.47
High discount margin0.050Last 24 auctions12 of 2411 of 240.052
High discount margin0.050All 56 since 29 January 201442 of 5613 of 560.072
Indirect bidders' share57.5Last 24 auctions5 of 2419 of 2447.1
Indirect bidders' share57.5All 56 since 29 January 20147 of 5649 of 5645.5
Direct bidders' share8.0Last 24 auctions3 of 2421 of 240.8
Direct bidders' share8.0All 56 since 29 January 20146 of 5650 of 562.0
Primary dealers' share34.4Last 24 auctions24 of 240 of 2451.2
Primary dealers' share34.4All 56 since 29 January 201455 of 561 of 5651.2
High minus median, basis points1.0Last 24 auctions7 of 2416 of 240.8
High minus median, basis points1.0All 56 since 29 January 201420 of 5635 of 560.8

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 September 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180925_2.pdf. Compiled by 500metrics, "2-year FRN auction of 25 September 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-09-25.

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.