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Auction Tail

An auction tail is the amount by which a Treasury auction’s high yield (the stop) comes in above the when-issued yield trading in the market at the 1:00 p.m. ET bidding deadline. A tail means buyers demanded a concession: the government had to pay up to move the paper.

Traders care because the tail is the purest surprise in the auction: the when-issued market already embeds every known expectation, so any gap is new information about real-money demand. Large tails routinely knock the whole curve, drag equities lower on supply-indigestion fears, and get quoted on desks within seconds of the release.

  • Under ~0.5bp: essentially on-the-screws.
  • 1–2bp: soft, worth noting.
  • 3bp+: an ugly auction that usually moves the market.

Worked example: Ahead of a 30-year bond auction, the when-issued yield sits at 4.612%. The auction stops at 4.645%. The tail is 4.645 − 4.612 = 3.3 basis points: a poor result. Within minutes the 10-year cheapens 4bp, the long bond 6bp, and the 2s10s curve steepens as the long end bears the brunt. The opposite outcome, stopping below the when-issued yield, is a stop-through.

On the Helious desk right now

WORKED EXAMPLE: LAST FIVE 10-YEAR NOTE AUCTIONS, MEASURED BY HELIOUS
DATEHIGH YIELDTAIL VS WHEN-ISSUEDBID-TO-COVERINDIRECT
4.683% +0.1bp tail 2.53 76.7%
4.580% -0.6bp through 2.59 81.5%
2.438% not captured 2.30 65.2%
4.538% not captured 2.57 78.2%
4.468% not captured 2.40 64.0%
A tail needs the when-issued yield as it stood seconds before the 1:00 p.m. ET deadline, which appears in no official file, so rows Helious did not capture live show no tail rather than a guess. Full history on the 10-Year Note hub, downloadable at the tails dataset.

FAQ

What is a tail in a Treasury auction?

A tail is how far a Treasury auction's high yield (the stop) came in ABOVE the when-issued yield trading seconds before the 1:00 p.m. ET deadline, measured in basis points. It is the purest surprise in the auction: the when-issued market already prices every known expectation, so the gap is new information about real demand. Helious measures the tail on every coupon auction as it happens and publishes it free on the auctions board.

Was the last 10-year auction good or bad?

Read the tail first, then the bid-to-cover against the tenor's own twelve-auction average, then the indirect share. A tail under about 0.5bp with cover at or above the average is a fine auction; a 2bp tail with soft cover is a poor one. Helious publishes the tail, the cover, the twelve-auction average and a strong, in line or weak verdict for every auction on the 10-Year Note hub.

How big does a tail have to be to matter?

Under roughly 0.5bp is on the screws and the market shrugs. One to two basis points is soft and gets noted. Three or more is an ugly auction that usually moves the whole curve within minutes, steepens 2s10s as the long end takes the hit, and can drag equities on supply-indigestion fears. The thresholds do not move story to story: they are written down in the Helious methodology.

Where can I find Treasury auction tails for free?

Helious publishes them. The tail needs the when-issued yield as it stood seconds before the bidding deadline, and that number appears in no historical file, so it cannot be reconstructed after the fact. Helious captures it live and publishes the history at the auction tails dataset as CSV and JSON, with no account needed.
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