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2-year FRN auction of 26 December 2018 (reopening)

The 2-year FRN sold $18 billion at a high discount margin of 0.150% on , with a bid-to-cover ratio of 2.71.

Announced
Issued
Matures

Discount margin

0.150%

Median discount margin 0.120%

Bid-to-cover

2.71

▲ +0.09 since 28 Nov

Sold

$18.00 billion

$18 billion offered

Indirect bidders

67.7%

Of competitive bids accepted

The high discount margin was the highest for a 2-year FRN since 28 December 2016

Discount margin at each 2-year FRN auction, %

The high discount margin was the highest for a 2-year FRN since 28 December 201636 auctions from 27 January 2016 to 26 December 2018; the latest at 0.150%.0.0%0.1%0.2%0.3%201620172018This auction, 0.150%The high discount margin was the highest for a 2-year FRN since 28 December 201636 auctions from 27 January 2016 to 26 December 2018; the latest at 0.150%.0.0%0.1%0.1%0.1%201720180.150%

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
0.1502.71
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

Against its own history

Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.713.0011 of 121 of 12
High discount margin0.1500.0420 of 1212 of 12
Indirect bidders' share67.743.30 of 1212 of 12
Direct bidders' share0.16.79 of 123 of 12
Primary dealers' share32.250.312 of 120 of 12
High minus median, basis points3.00.90 of 1212 of 12

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

  • Indirect bidders' share: Highest for a 2-year FRN since 25 March 2015 (44 auctions in between).
  • Primary dealers' share: Lowest for a 2-year FRN since 25 March 2015 (44 auctions in between).
  • High minus median, basis points: Highest for a 2-year FRN since 23 December 2015 (35 auctions in between).

Who bought the 2-year FRN?

Indirect bidders took 67.7% of the competitive bids accepted

Share of competitive bids accepted, %. Grey: the previous 2-year FRN auction, 28 November 2018

Indirect bidders took 67.7% of the competitive bids acceptedIndirect bidders 67.7%, Direct bidders 0.1%, Primary dealers 32.2%Indirect bidders67.7%33.6%Direct bidders0.1%5.8%Primary dealers32.2%60.6%Indirect bidders took 67.7% of the competitive bids acceptedIndirect bidders 67.7%, Direct bidders 0.1%, Primary dealers 32.2%Indirect bidders67.7%33.6%Direct bidders0.1%5.8%Primary dealers32.2%60.6%
The shares as a table
Shares of competitive bids accepted, %
BidderThis auctionPrevious
Indirect bidders67.733.6
Direct bidders0.15.8
Primary dealers32.260.6

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$18,000,000,000
Bids received$48,770,294,800
Sold$18,000,034,800
Competitive bids accepted$17,989,740,000
Non-competitive bids accepted$10,294,800
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.150
Median rate, %0.120
Low rate, %0.080
Interest rate (coupon), %–
Spread, %0.045
Bids at the high rate filled, %52.82
Bid-to-cover ratio2.71
Indirect bidders accepted$12,180,000,000
Direct bidders accepted$25,000,000
Primary dealers accepted$5,784,740,000
Indirect bidders' share, % (ours)67.7
Direct bidders' share, % (ours)0.1
Primary dealers' share, % (ours)32.2
High minus median, basis points (ours)3.0

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 ratio2.71Last 24 auctions23 of 241 of 243.21
Bid-to-cover ratio2.71All 59 since 29 January 201458 of 591 of 593.46
High discount margin0.150Last 24 auctions1 of 2423 of 240.050
High discount margin0.150All 59 since 29 January 201415 of 5944 of 590.070
Indirect bidders' share67.7Last 24 auctions0 of 2424 of 2447.9
Indirect bidders' share67.7All 59 since 29 January 20141 of 5958 of 5946.5
Direct bidders' share0.1Last 24 auctions19 of 245 of 241.1
Direct bidders' share0.1All 59 since 29 January 201449 of 5910 of 592.0
Primary dealers' share32.2Last 24 auctions24 of 240 of 2450.2
Primary dealers' share32.2All 59 since 29 January 201458 of 591 of 5950.9
High minus median, basis points3.0Last 24 auctions0 of 2424 of 240.8
High minus median, basis points3.0All 59 since 29 January 20142 of 5957 of 590.8

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 26 December 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20181226_1.pdf. Compiled by 500metrics, "2-year FRN auction of 26 December 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-12-26.

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.