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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 watch the tail because it is the cleanest surprise an auction gives you. The when-issued market has already priced everything anyone knew going in, so whatever gap opens up at the stop is new information about real-money demand. Large tails routinely knock the whole curve and drag equities lower with them, on fears the market cannot digest the supply. Desks quote the number within seconds of the release.

Size decides how much anyone cares. Under about 0.5bp and the auction went on the screws. Between 1 and 2bp it is soft, worth noting but not much more. At 3bp or more you have an ugly auction, the kind that usually moves the market.

Take a 30-year bond auction. The when-issued yield ahead of it is 4.612%, and the auction stops at 4.645%. The tail is 4.645 minus 4.612, or 3.3 basis points, and that is a poor result. Within minutes the 10-year cheapens 4bp, the long bond 6bp, and 2s10s steepens because the long end takes the worst of it. Stop below the when-issued yield instead and you get the opposite, a stop-through.

On the Helious desk right now

THE LAST FIVE 10-YEAR NOTE AUCTIONS, MEASURED BY HELIOUS
DATEHIGH YIELDTAIL VS WHEN-ISSUEDBID-TO-COVERINDIRECT
4.834% -1.5bp through 2.71 79.2%
4.683% +0.1bp tail 2.53 76.7%
4.580% -0.6bp through 2.59 81.5%
4.538% not captured 2.57 78.2%
4.468% not captured 2.40 64.0%
Measuring a tail means knowing the when-issued yield in the seconds before the 1:00 p.m. ET deadline. That number appears in no official file, so any auction Helious did not watch live shows "not captured" instead of 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, in basis points. It is the cleanest surprise an auction gives you: 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 that 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 ugly: the whole curve usually moves within minutes and 2s10s steepens as the long end takes the hit. A tail that big 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. A tail needs the when-issued yield as it stood seconds before the bidding deadline, and that number is in no historical file, so the tail cannot be rebuilt 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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