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2-year FRN auction of 24 October 2018 (new issue)

The 2-year FRN sold $19 billion at a high discount margin of 0.045% on , with a bid-to-cover ratio of 3.32.

Announced
Issued
Matures

Discount margin

0.045%

Median discount margin 0.040%

Bid-to-cover

3.32

▲ +0.26 since 25 Sep

Sold

$19.00 billion

$19 billion offered

Indirect bidders

51.9%

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 November 2015 to 24 October 2018; the latest at 0.045%.0.0%0.1%0.2%0.3%0.4%201620172018This auction, 0.045%Discount margin at the last 36 2-year FRN auctions36 auctions from 24 November 2015 to 24 October 2018; the latest at 0.045%.0.0%0.1%0.1%0.1%0.2%201720180.045%

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
0.0453.32
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio3.323.164 of 128 of 12
High discount margin0.0450.0384 of 128 of 12
Indirect bidders' share51.948.23 of 129 of 12
Direct bidders' share0.16.710 of 122 of 12
Primary dealers' share48.046.66 of 126 of 12
High minus median, basis points0.50.810 of 121 of 12

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

Who bought the 2-year FRN?

Indirect bidders took 51.9% of the competitive bids accepted

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

Indirect bidders took 51.9% of the competitive bids acceptedIndirect bidders 51.9%, Direct bidders 0.1%, Primary dealers 48.0%Indirect bidders51.9%57.5%Direct bidders0.1%8.0%Primary dealers48.0%34.4%Indirect bidders took 51.9% of the competitive bids acceptedIndirect bidders 51.9%, Direct bidders 0.1%, Primary dealers 48.0%Indirect bidders51.9%57.5%Direct bidders0.1%8.0%Primary dealers48.0%34.4%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders51.957.5
Direct bidders0.18.0
Primary dealers48.034.4

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$19,000,000,000
Bids received$63,109,118,500
Sold$19,000,368,500
Competitive bids accepted$18,963,250,000
Non-competitive bids accepted$37,118,500
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.045
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.045
Bids at the high rate filled, %88.76
Bid-to-cover ratio3.32
Indirect bidders accepted$9,841,770,000
Direct bidders accepted$25,000,000
Primary dealers accepted$9,096,480,000
Indirect bidders' share, % (ours)51.9
Direct bidders' share, % (ours)0.1
Primary dealers' share, % (ours)48.0
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 ratio3.32Last 24 auctions9 of 2413 of 243.26
Bid-to-cover ratio3.32All 57 since 29 January 201435 of 5720 of 573.46
High discount margin0.045Last 24 auctions16 of 248 of 240.050
High discount margin0.045All 57 since 29 January 201447 of 579 of 570.070
Indirect bidders' share51.9Last 24 auctions6 of 2418 of 2447.9
Indirect bidders' share51.9All 57 since 29 January 201413 of 5744 of 5746.5
Direct bidders' share0.1Last 24 auctions20 of 244 of 241.1
Direct bidders' share0.1All 57 since 29 January 201448 of 579 of 572.0
Primary dealers' share48.0Last 24 auctions15 of 249 of 2450.2
Primary dealers' share48.0All 57 since 29 January 201439 of 5718 of 5750.9
High minus median, basis points0.5Last 24 auctions19 of 241 of 240.8
High minus median, basis points0.5All 57 since 29 January 201438 of 5713 of 570.8

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 24 October 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20181024_1.pdf. Compiled by 500metrics, "2-year FRN auction of 24 October 2018 (new issue)", https://500metrics.com/treasury/auctions/2-year-frn/2018-10-24.

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.