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When-Issued Yield

The when-issued (WI) yield is the yield at which a Treasury security trades before it exists. Once an auction is announced, dealers start quoting the coming issue on a when-issued basis, and they carry on until the new securities settle. Every one of those trades is a promise to deliver a bond that has not been sold yet.

WI is the benchmark every auction gets judged against. Where the WI yield sits at the 1:00 p.m. ET bidding deadline is the market's own fair value, and the auction's high yield minus that snapshot is the tail or the stop-through.

It is also how a dealer pre-hedges, which is hedging something you do not own yet. Sell WI before the auction, bid at the auction to cover, and the spread can be locked in. The WI quote converges with the outstanding on-the-run issue as auction day gets closer. A WI yield drifting higher into the deadline means dealers are building short concessions.

Say a 5-year note auction is announced on Thursday. By Monday the WI trades at 4.115%. It cheapens through the morning of the auction to 4.128% as dealers set up, and the 1:00 p.m. snapshot is 4.130%. The auction stops at 4.126%, a 0.4bp stop-through, so the dealers who sold WI at 4.128% cover a shade better than flat.

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 the when-issued yield?

It is the yield on a Treasury security before that security exists. The when-issued market runs from the auction announcement to the auction itself, and the level it quotes is the market's own forecast of where the auction will clear. So the result gets judged against it.

Why does the when-issued yield matter?

It is the only fair benchmark an auction has. The when-issued price already carries every expectation the market holds, so the gap between it and the stop-out yield is new information, not old news. That gap is the tail. Helious grabs the when-issued level seconds before the deadline because 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 not the when-issued yield, so no public file lets you rebuild a tail after the fact. Helious captures the level live at each auction and stores it, and that is the only reason the tails in the Helious dataset exist.
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