Bid-to-Cover Ratio
Bid-to-cover is total bids in a Treasury auction divided by the amount sold. What a strong cover looks like by tenor, plus a worked example.
Rates and auction mechanics, explained
Short explainers on the mechanics behind every number on the desk, each one worked through on live data Helious captured itself.
Glossary
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Auction Tail
A tail is a Treasury auction stopping above the when-issued yield. Why it moves the curve, how big counts as ugly, and a worked 30-year example. -
Stop-Through
A stop-through is a Treasury auction that stops below the when-issued yield. What it says about hidden demand, plus a worked 2-year note example. -
When-Issued Yield
The when-issued yield is where a Treasury trades before it exists. The 1pm WI snapshot sets the tail an auction is judged by, with a worked 5-year example. -
Indirect Bidders
Indirect bidders bid through a primary dealer, mostly foreign central banks. Their share is the market's proxy for foreign demand, with a 10-year example. -
Direct Bidders
Direct bidders send competitive bids straight to the Treasury, skipping the dealers. What a high direct share means, with a worked 7-year auction example. -
Primary Dealers
Primary dealers are the banks that must bid at every Treasury auction. Why a high dealer takedown is bearish, with a worked 30-year bond example. -
2s10s Spread
The 2s10s spread is the 10-year Treasury yield minus the 2-year, in basis points. What bull and bear steepening mean, plus a worked CPI-day example. -
Yield Curve Inversion
Yield curve inversion explained: why a negative 2s10s has come before every modern US recession, why un-inversion is the danger, plus a worked example. -
Basis Points
1bp is 0.01%, one hundredth of a percentage point. Why the rates market quotes yields, spreads and tails in bips, and what a 13bp move costs in dollars. -
Duration
Duration turns a yield move into money. What the number means, the rough figures by tenor, and a worked P&L example on a 6bp move in 10s. -
Term Premium
The extra yield you get for holding a long bond instead of rolling bills. Why it drives bear steepening and supply selloffs, with a worked 10-year example. -
SOFR
SOFR is set each morning from real repo trades. What the rate measures, why it spikes at quarter-end, and how to read a spike that lasts. -
Fed Funds Rate
The fed funds rate is the overnight rate banks charge each other, and the range the FOMC sets. How it anchors US rates, plus a worked CPI example. -
Dot Plot
The Fed dot plot is the FOMC's own rate forecast, one anonymous dot per policymaker. It lands four times a year, and a shifted median moves yields. -
Core CPI
Core CPI is inflation with food and energy stripped out. Why traders read it to the second decimal, and why a 0.1pp miss moves the whole rate path. -
Nonfarm Payrolls (NFP)
Nonfarm payrolls is the monthly US jobs count and the biggest print in macro. What is in the report, and why the internals often beat the headline. -
Surprise Z-Score
A surprise z-score sizes a beat or miss in sigma, so CPI, NFP and retail sales prints compare on one scale. Thresholds and a worked example.