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Treasury auctions · 1-Year 11-Month FRN, reopening

2-year FRN auction of 21 February 2018 (reopening)

The 2-year FRN sold $15 billion at a high discount margin of 0.016% on , with a bid-to-cover ratio of 2.75.

Discount margin at each 2-year FRN auction

The last 36 auctions, this one last

Discount margin at each 2-year FRN auction, 25 Mar 2015 to 21 Feb 2018
Discount margin at each 2-year FRN auction, 24 Feb 2016 to 21 Feb 2018

Bid-to-cover ratio at each 2-year FRN auction

The last 36 auctions, this one last

Bid-to-cover ratio at each 2-year FRN auction, 25 Mar 2015 to 21 Feb 2018
Bid-to-cover ratio at each 2-year FRN auction, 24 Feb 2016 to 21 Feb 2018

Who bought the 2-year FRN of 21 Feb 2018

Shares of the competitive bids accepted

  • Indirect bidders 27.0%
  • Direct bidders 14.0%
  • Primary dealers 58.9%
This auction, 21 Feb 2018
  • Indirect bidders 37.2%
  • Direct bidders 0.0%
  • Primary dealers 62.8%
The 2-year FRN auction before, 24 Jan 2018

Each point is one 2-year FRN auction, this one last; pointing at the chart shows its date and figures.

Select a line to followLatest:

  • Indirect bidders27.0%
Inspect and compare dates
Discount margin and bid-to-cover of the last 36 2-year FRN auctions, newest first
AuctionDiscount margin, %Bid-to-cover
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
0.0863.50
0.0773.93
0.0763.74
0.0694.01
0.0743.81
0.0854.34

Observed .

Right now

The high discount margin was 0.016% on 21 February 2018, up from 0.000% at the auction before.

The bid-to-cover ratio of 2.75 was the lowest of all 49 earlier 2-year FRN auctions we hold.

The indirect bidders' share of 27.0% was the lowest for a 2-year FRN since 25 January 2017, with 12 auctions in between.

Higher than 1 of the 49 since 29 January 2014

Its own history

Against the previous 24 2-year FRN auctions, the direct bidders' share was higher than all 24.

The bid-to-cover ratio was lower than all 24.

See every measure against earlier auctions

Who bought

Primary dealers took the largest share of the competitive bids accepted.

  • Indirect bidders 27.0%
  • Direct bidders 14.0%
  • Primary dealers 58.9%

Size

Treasury sold $15 billion of the $15 billion offered.

Bids received came to $41.244 billion; the bid-to-cover ratio was 2.75.

Its bid-to-cover of 2.75 compares with the 24 auctions before it: lowest 2.75 on , highest 3.82 on ; 0.0% of the way from the low to the high.

2.75

Low 2.75 Midpoint 3.285 High 3.82

The security1-Year 11-Month, reopening

Announced
Issued
Matures

It adds to the debt that matures in January 2020.

Understanding this result

Where it stands today

The high discount margin was 0.016% at this 2-year FRN auction, the median discount margin 0.000% and a bid-to-cover ratio of 2.75.

What do these figures measure?

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.

Read more

What these figures cannot tell

  • 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 numbers behind the chart

What did Treasury publish for this auction?Every field, to the dollar
FieldValue
Offered as1-Year 11-Month, reopening
Offering amount$15,000,000,000
Bids received$41,243,852,400
Sold$15,000,012,400
Competitive bids accepted$14,982,160,000
Non-competitive bids accepted$17,852,400
Federal Reserve (SOMA) add-on$0
Foreign and international (FIMA) non-competitive$0
Discount margin, %0.016
Median rate, %0.000
Low rate, %-0.020
Interest rate (coupon), %–
Spread, %0.000
Bids at the high rate filled, %53.72
Bid-to-cover ratio2.75
Indirect bidders accepted$4,051,000,000
Direct bidders accepted$2,100,000,000
Primary dealers accepted$8,831,160,000
Indirect bidders' share, % (ours)27.0
Direct bidders' share, % (ours)14.0
Primary dealers' share, % (ours)58.9
High minus median, basis points (ours)1.6
How does it compare with earlier auctions?The previous 12 auctions, then every window
Against the previous 12 auctions of the 2-year FRN
MeasureThis auctionMedianHigherLower
Bid-to-cover ratio2.753.3412 of 120 of 12
High discount margin0.0160.05811 of 121 of 12
Indirect bidders' share27.049.812 of 120 of 12
Direct bidders' share14.00.40 of 1212 of 12
Primary dealers' share58.946.91 of 1211 of 12
High minus median, basis points1.60.60 of 1212 of 12

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

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 ratio2.75Last 24 auctions24 of 240 of 243.35
Bid-to-cover ratio2.75All 49 since 29 January 201449 of 490 of 493.56
High discount margin0.016Last 24 auctions23 of 241 of 240.136
High discount margin0.016All 49 since 29 January 201448 of 491 of 490.080
Indirect bidders' share27.0Last 24 auctions23 of 241 of 2443.9
Indirect bidders' share27.0All 49 since 29 January 201446 of 493 of 4946.5
Direct bidders' share14.0Last 24 auctions0 of 2424 of 240.4
Direct bidders' share14.0All 49 since 29 January 20140 of 4949 of 491.9
Primary dealers' share58.9Last 24 auctions8 of 2416 of 2455.6
Primary dealers' share58.9All 49 since 29 January 201413 of 4936 of 4950.9
High minus median, basis points1.6Last 24 auctions2 of 2422 of 240.9
High minus median, basis points1.6All 49 since 29 January 20146 of 4943 of 490.8

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

When are the figures from, and how are they cited?Dates and how to cite

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 to cite this

U.S. Treasury, Bureau of the Fiscal Service, Fiscal Data, Treasury Securities Auctions Data, auction of 21 February 2018. Results file: https://www.treasurydirect.gov/instit/annceresult/press/preanre/2018/R_20180221_1.pdf. Compiled by 500metrics, "2-year FRN auction of 21 February 2018 (reopening)", https://500metrics.com/treasury/auctions/2-year-frn/2018-02-21.

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