- High yield (the "stop")
- The highest yield accepted, which every winning bidder receives. It matters more than bid-to-cover, because it is what Treasury actually has to pay.
- Compare it with the when-issued yield: a stop below the WI means the auction was overbid (strong); a stop above it means it was underbid (weak).
- High rate (bills)
- Bills are sold at a discount and quoted on a discount-rate basis. The high rate is the highest discount rate accepted.
- Investment rate (bills)
- The bill's high rate converted to a bond-equivalent yield, so it can be compared with note and bond yields.
- High real yield (TIPS)
- TIPS principal adjusts with CPI, so their yield is a real (after-inflation) yield and is much lower than a nominal yield of the same maturity.
- High discount margin (FRN)
- Floating-rate notes pay the 13-week bill rate plus a spread. The discount margin is the spread the auction cleared at.
- Median yield
- The yield at which half of the accepted competitive amount was bid at or below. A wide gap between high and median means bids were spread out.
- When-issued yield (the "snap")
- Where the security was trading in the when-issued market right before the 1:00 pm ET bid deadline: the market's expectation going into the auction. Treasury does not publish it; it is entered by hand here.
- Tail
- High yield minus when-issued yield, in basis points. Positive = the auction needed a higher yield than the market expected (weak). The bigger the tail, the worse the auction.
- Scale used here, following Lavish: about 0 bp is "on the screws"; a tail around 3 bp is significant (the April 2024 10-year tailed 3.1 bp, the biggest in years); 4 to 6 bp would be considered disastrous and a sign of a dysfunctional market. Labels: ≤ −0.3 bp stopped through, under 0.3 bp on the screws, under 2 bp tailed, 2–4 bp big tail, 4 bp and over disastrous.
- On the screws
- The auction stopped right at the when-issued yield: no measurable tail. Demand matched expectations.
- Stopped through
- A negative tail: the auction cleared at a lower yield than the when-issued market expected, meaning stronger-than-expected demand.
- Bid-to-cover (BTC)
- Total bids divided by the amount sold. 2.5x means $2.50 was bid for every $1 sold. What matters is the change: a falling BTC versus recent auctions is an early sign that demand is drying up.
- Failed auction
- Fewer bids than the amount offered (bid-to-cover below 1x), so Treasury could not raise what it set out to. It would be considered catastrophic for the Treasury market.
- vs prior 6 / vs avg
- This site compares each auction with the average of the previous six auctions of the same security. Green = stronger demand than usual, red = weaker.