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When-Issued Yield

The when-issued (WI) yield is the yield at which a Treasury security trades before it exists. From the moment an auction is announced until the securities settle, dealers quote the upcoming issue on a when-issued basis: trades are agreements to deliver bonds that have not yet been sold.

The WI market matters because it is the benchmark every auction is judged against. The snapshot of the WI yield at the 1:00 p.m. ET bidding deadline is the market’s consensus fair value; the auction’s high yield minus that snapshot defines the tail or stop-through. WI trading also lets dealers pre-hedge: they can sell WI ahead of the auction, bid at the auction to cover, and lock in a spread.

  • WI quotes converge with the outstanding on-the-run issue as auction day approaches.
  • A WI yield drifting higher into the deadline signals dealers building short concessions.

Worked example: A 5-year note auction is announced Thursday; by Monday the WI trades at 4.115%. Through the morning of the auction it cheapens to 4.128% as dealers set up. The 1:00 p.m. snapshot is 4.130%. The auction stops at 4.126%, a 0.4bp stop-through, and dealers who sold WI at 4.128% cover slightly better than flat.

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 the when-issued yield?

It is the yield at which a Treasury security trades BEFORE it exists, in the when-issued market that runs from the auction announcement to the auction itself. It is the market's own forecast of where the auction will clear, which is what makes it the benchmark the result is judged against.

Why does the when-issued yield matter?

Because it is the only fair benchmark for an auction. The when-issued price already embeds every known expectation, so the gap between it and the stop-out yield is new information rather than old news. That gap is the tail, and it is why Helious captures the when-issued level seconds before the deadline: the auctions board cannot compute a tail without it.

Can I get historical when-issued yields?

Not from the official record. TreasuryDirect publishes auction results but no when-issued yield, so tails cannot be reconstructed from any public file after the fact. Helious captures the level live at each auction and keeps it, which is why the tails in the Helious dataset exist at all.
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