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2-year FRN auction of 28 November 2018 (reopening)

The 2-year FRN sold $19.581 billion at a high discount margin of 0.050% on , with a bid-to-cover ratio of 2.62.

Announced
Issued
Matures

Discount margin

0.050%

Median discount margin 0.040%

Bid-to-cover

2.62

▼ −0.70 since 24 Oct

Sold

$19.58 billion

$18 billion offered

Indirect bidders

33.6%

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 December 2015 to 28 November 2018; the latest at 0.050%.0.0%0.1%0.2%0.3%0.4%201620172018This auction, 0.050%Discount margin at the last 36 2-year FRN auctions36 auctions from 23 December 2015 to 28 November 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
0.0502.62
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.623.1612 of 120 of 12
High discount margin0.0500.0380 of 1211 of 12
Indirect bidders' share33.648.211 of 121 of 12
Direct bidders' share5.86.78 of 124 of 12
Primary dealers' share60.648.51 of 1211 of 12
High minus median, basis points1.00.83 of 127 of 12

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

  • Bid-to-cover ratio: Lowest of all 58 earlier 2-year FRN auctions we hold.

Who bought the 2-year FRN?

Primary dealers took 60.6% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 24 October 2018

Primary dealers took 60.6% of the competitive bids acceptedIndirect bidders 33.6%, Direct bidders 5.8%, Primary dealers 60.6%Indirect bidders33.6%51.9%Direct bidders5.8%0.1%Primary dealers60.6%48.0%Primary dealers took 60.6% of the competitive bids acceptedIndirect bidders 33.6%, Direct bidders 5.8%, Primary dealers 60.6%Indirect bidders33.6%51.9%Direct bidders5.8%0.1%Primary dealers60.6%48.0%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders33.651.9
Direct bidders5.80.1
Primary dealers60.648.0

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$18,000,000,000
Bids received$48,709,960,600
Sold$19,580,708,100
Competitive bids accepted$17,975,557,500
Non-competitive bids accepted$24,482,900
Federal Reserve (SOMA) add-on$1,580,667,700
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.050
Median rate, %0.040
Low rate, %0.020
Interest rate (coupon), %–
Spread, %0.045
Bids at the high rate filled, %93.01
Bid-to-cover ratio2.62
Indirect bidders accepted$6,034,487,500
Direct bidders accepted$1,050,000,000
Primary dealers accepted$10,891,070,000
Indirect bidders' share, % (ours)33.6
Direct bidders' share, % (ours)5.8
Primary dealers' share, % (ours)60.6
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 ratio2.62Last 24 auctions24 of 240 of 243.26
Bid-to-cover ratio2.62All 58 since 29 January 201458 of 580 of 583.46
High discount margin0.050Last 24 auctions10 of 2412 of 240.050
High discount margin0.050All 58 since 29 January 201442 of 5814 of 580.070
Indirect bidders' share33.6Last 24 auctions22 of 242 of 2449.0
Indirect bidders' share33.6All 58 since 29 January 201451 of 587 of 5846.5
Direct bidders' share5.8Last 24 auctions8 of 2416 of 240.8
Direct bidders' share5.8All 58 since 29 January 201412 of 5846 of 582.0
Primary dealers' share60.6Last 24 auctions3 of 2421 of 2449.3
Primary dealers' share60.6All 58 since 29 January 201411 of 5847 of 5850.5
High minus median, basis points1.0Last 24 auctions6 of 2416 of 240.8
High minus median, basis points1.0All 58 since 29 January 201420 of 5836 of 580.8

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 28 November 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20181128_1.pdf. Compiled by 500metrics, "2-year FRN auction of 28 November 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-11-28.

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.