When-issued trading, or WI, is the grey market for a Treasury that has been announced but not yet auctioned. It trades yield-only, when-as-and-if-issued, from the announcement through to the settlement date. The WI yield at the 1:00pm ET bidding deadline is the level the auction gets measured against, because the auction tail is the stop (high yield) minus that WI mark.
So you watch WI cheapen into the supply as the concession gets built, note where it sits at the deadline, then see whether the auction stops through that level or tails it. Helious takes the WI mark off the squawk at the deadline rather than a stale screen print, which is why our tail dataset agrees with what the desk saw. Follow WI into the deadline and you know how the auction went before the results tape prints.
Treasury announces a new issue, usually a few business days before the sale, and dealers start quoting it that day in the when-issued market. WI is a forward that settles on the issue date, and it settles only if the auction actually happens. For a new coupon issue the coupon rate is not struck until the auction clears, so WI trades on a yield basis alone and the dollar price gets backed out once the coupon is set. For a reopening, where Treasury sells extra size of an existing CUSIP, the coupon is already known, so WI trades against the outstanding line.
Either way it is a tradable market and not a theoretical fair value. Primary dealers quote it two-way, bid and offer, in yield.
WI lets dealers and their clients take a view on the new supply, and hedge it, before a single competitive bid is submitted. If the auction is cancelled, the WI contracts void. That contingency is what people mean by a grey market. You are trading a security that does not legally exist yet, priced off the deadline yield it will be issued at.
The number that tells you whether an auction went well is the tail: the high yield the auction stopped at, minus the WI yield at the 1:00pm ET competitive deadline, or 11:30am for bills. A positive tail means the stop printed above WI, so bidders wanted extra yield to take the size down, and that is soft demand. A negative tail is a stop-through, where the auction cleared below the level the security had been trading at, and that is strong demand. On a coupon, a tail of even one or two basis points is a real market event. The 2s and 3s trade in a tighter distribution, so there a 0.5bp tail already reads soft.
Which is why the WI mark has to be exact and stamped to the deadline. Grab the WI print even 90 seconds early, while the market is still cheapening into the bid, and you will understate the tail, or invent a stop-through that never happened.
Everything else on the release is context. The verdict, the bid-to-cover read and the bidder split all tell you something, but the tail, struck off the right WI mark, is the headline. How to Read a Treasury Auction Result walks through the rest of the results tape.
In the days before an auction the WI issue usually cheapens against its neighbors on the curve. Dealers and investors sell it, or sell the surrounding tenor, to build an auction concession, so they can bid with a cushion and not get run over after the award. On screen that shows up as the WI yield backing up versus the on-the-runs, or the relevant sector steepening and cheapening on the curve board. A healthy concession into the deadline is bullish for the auction, because the price has already moved to clear the size, and that is the setup a stop-through comes out of.
The reverse is the setup to worry about. WI richens into the auction, no concession gets built, and dealers have to reach on the bid. That is the classic tail, and it bites hardest at the long end where the duration risk is biggest, so keep an eye on where the 30-year bond and the 20-year bond are trading in WI in the final hour. A 30-year that has not cheapened at all by the deadline is the one to be nervous about. Front-end names like the 2-year note rarely need much concession, because the risk is small and the demand is driven by where rates are going. Read the concession against each tenor's own history, not in absolute bp.
WI and the auction are the same demand seen from two sides. A dealer who is short WI going into the sale has every incentive to bid the auction to cover, and that bidding supports the stop. One who is long WI has already taken the inventory in and can afford to bid softer. So street positioning in WI partly predicts the dealer take. A heavily short street tends to produce tighter stops and stronger covers. A long, well-supplied street more often lets it tail.
After the results, the indirect share and direct share tell you who actually took the paper down, and you read that next to how the issue had been trading in WI. A stop-through on a high indirect take is the cleanest strong print there is, because end investors turned up exactly where WI said they would. A stop-through carried entirely by dealers, high dealer allotment and thin indirects, is a weaker signal even though the tail came through. The backstop bought the concession there, not the market, and that inventory often has to be re-marketed.
The main trade here is the concession itself. Sell the WI, or the sector, as it cheapens into the deadline, then cover on a strong auction as the issue snaps back richer after the award. A stop-through usually richens the issue straight away, the old 'sell the rumor, buy the fact' reversal, so the money is in being short the concession into 1:00pm and flat to long into the snapback. A tail runs the other way. The issue cheapens further after a weak stop as the dealers who got stuffed try to move inventory, and that cheapening can bleed into the whole tenor for the rest of the session.
Size the trade to the tenor. A 1bp tail on the 10-year note moves the complex. The same tail on a front-end name is noise. And do not trade the snapback off a screen mid that is lagging the WI. By the time a delayed feed shows you the tail, the richening is half over, so you want to be reading WI live and positioned before the results tape lands. The [live desk](/) arms per-symbol alerts on the move, which is how you catch the snapback while it is happening.
Most auction recaps quote a WI level lifted off a screen at some fuzzy time near the deadline, which is why their tails routinely disagree with the desk by a basis point or more. Helious pulls the when-issued yield off the squawk at the competitive deadline, computes the tail against that mark, and calls the auction strong, in line or weak within seconds of Treasury releasing the results. The tail you see is the one the trading desk is reacting to. Our auction tails dataset and the per-tenor auction hubs are built on that captured WI, not on a reconstruction after the fact.
Get the WI mark right and the tail is right, and once the tail is right you can trust the history of how each tenor has been clearing. That history is what lets you tell a genuinely alarming 2bp tail from one that is perfectly in line for a beaten-up sector. The methodology page sets out how the WI mark and the tail are sourced and timestamped.
