Three things tell you how a Treasury auction went, and once you know them a result takes about 30 seconds to read: the tail, the bid-to-cover and the bidder split. Strong on all three and the auction was well received, which supports the market. Weak on all three and the Treasury has paid a concession to place the supply, which can push yields up.
The tail is the auction's high yield, the stop-out, minus the when-issued yield just before bidding closes. If that number is positive the auction tailed, stopping at a higher yield than the market was showing, and that is weak. If it is negative the auction stopped through: it cleared richer than when-issued, which is strong. On a coupon auction even a 1 or 2bp tail is a real event.
Cover is total bids divided by the amount sold, and the absolute number tells you nothing on its own. Read it against the tenor's own trailing average: a 2.35 cover is soft for a 10-year and strong for a 30-year. Cover that slips auction after auction is the classic tell that demand is fading.
Indirect, direct and primary-dealer takedowns split 100% of the competitive award between them. When indirects run high and the dealer take is low, real end investors did the buying. When the dealer take is swollen, the street was left holding what investors didn't want.
A stop-through with above-average cover and high indirects is a strong auction and bullish for bonds. Reverse all three, a tail with weak cover and a fat dealer take, and you have a poor auction that can lift yields. Helious scores every auction on all three of them, seconds after the results cross. You can see the scores in the running Treasury auction tails dataset, and each tenor's history on the auction hubs.
