Treasury Auction Results: Did the 10-Year Really Tail?

A ten-year Treasury auction clears at 4.287%. A news alert calls demand weak. That conclusion is missing the number traders needed just before the result: the when-issued yield for the same security. A high yield can still represent a strong auction relative to the market a moment earlier.

Start with Treasury result for the exact CUSIP. Look for high yield and when-issued quote from just before the deadline. The calculation you want is the auction clearing yield relative to a timed market reference. A common reason for a discrepancy is a reopening or noncomparable Treasury maturity. The first worked figures below are illustrative. The historical section identifies the actual observations used and lets you change one assumption at a time.

Measure the surprise in basis points

With a hypothetical when-issued yield of 4.274% and an auction high yield of 4.287%, the difference is 0.013 percentage points, or 1.3 basis points. At a when-issued yield of 4.302%, that same auction would instead stop through by 1.5 basis points. To reproduce either statement you need a secure timestamp and the correct CUSIP.

Bid-to-cover compares bids tendered with the amount accepted under the published convention. An auction can attract many bids well below a competitive price. Coverage and the marginal clearing price describe different parts of demand. Use Treasury’s published ratio when summarizing the result and inspect the category details before attempting to rebuild its denominator.

Compare a reopening with the right security

A reopening adds to an outstanding issue. The remaining term can read nine years and ten months while the original security term is ten years. Filtering a database on current term alone can remove reopenings and bias the sample. Compare nominal fixed-rate notes with other nominal notes, keeping inflation-indexed issues separate.

A US dollar reaction may begin before the result or reverse while the cash Treasury market reprices. For USD/JPY, compare Treasury and Japanese yields at relevant maturities, the immediately preceding quote and the next executable spread. The official result does not contain a when-issued market quote or evidence of who bought dollars.

Read the result behind a dramatic headline

One investor labels an auction weak because dealer awards are large. Another points to a high coverage ratio. To investigate, compare with auctions of the same issue type and look at the pre-auction market. Dealer, direct and indirect awards classify bids under Treasury conventions. They cannot identify the nationality, trading motive or future plans of every ultimate holder. Avoid translating an entire bidder class into foreign central banks or leveraged traders.

Bid-to-cover is dimensionless; yield is quoted as a percentage; a tail or stop-through is a difference usually expressed in basis points. Write the units beside every number in a note. A move from 4.280% to 4.290% is one basis point even though the percentage figures differ by only 0.010. A rounding error on the market reference can be a meaningful share of a small measured tail.

How to check the figures yourself

Keep high yield, bid-to-cover and the distribution of accepted bids in separate fields. Comparing the high yield at two monthly auctions includes changes in prevailing market yields between the dates. The true tail calculation needs a comparable when-issued market reference at each deadline.

If your archive has official auction results alone, report what those results establish. You can show the high yield and coverage and demonstrate a conditional tail with a labelled hypothetical quote. Filling the missing market reference with an old on-the-run close would turn the example into a false historical claim.

Historical cases and a reproducible dollar comparison

To see what changes the dollar decision, take one clearly defined exposure: JPY 3,765,000 purchase around US auctions. The historical column follows USD/JPY, using daily Federal Reserve exchange-rate observations distributed through FRED as DEXJPUS. The exercise uses 96 complete or selected calendar months from 2017-01 through 2024-12. The fixed research window runs from January 2017 through December 2024. Rates are publicly observed. Retail fees, contract terms and decision rules in the examples are assumptions.

Divide the invoice by the observed yen per US dollar. Treat the result as the dollar exposure a business might track during a Treasury auction month. It is not a valuation of a Treasury note or an estimate of the dollar reaction at the bidding deadline.

The modeled output is measured in US dollars. Its sign and units are essential when you work backward from a chart. Write the initial reference, the final reference, their dates and the modeled result in separate columns. Calculate with unrounded inputs, then round for display. A dollar-cent display may conceal small changes in the reference, especially where the model floors an outcome at zero. Bond auction details apply to a specific issue and timestamp. A month of yen valuations can illustrate dollar exposure while leaving the precise behavior of the when-issued Treasury market unanswered.

Across these months the exchange quote rose 47 times, fell 48 times and was unchanged 1 times. The median absolute endpoint change was 1.38%. The 25th and 75th percentiles of signed endpoint returns, using the sorted observation at the floor of the fractional rank on a zero-based scale, were -1.14% and 1.91%. These are descriptive sample figures. A frequency of rising quotes is neither a rate of profitable trades nor the chance of a favorable outcome on a future payment.

The largest rise | 2022-04

Start with the largest signed monthly rise in this sample. At the last observation of 2022-03, the quote was 121.440. At 2022-04-29 it was 129.840, a signed change of 6.92%. Applying the exposure rule to the earlier price gives 31,002.96 US dollars. Applying it to the later price gives 28,997.23 US dollars. The resulting difference is -2,005.74 US dollars. The quote and the modeled amount need not move in the same direction. Read the numerator and denominator of the actual contract before interpreting a rising candle as a higher bill.

For a plausible contemporaneous alternative, use the first observation of the new month, 122.600 on 2022-04-01, as the budget anchor. The modeled change to the same ending date becomes -1,712.40 US dollars. You have altered only the starting timestamp. That small adjustment matters when the prior month ended before a weekend or holiday. A report that chooses the better anchor afterward mixes performance evaluation with hindsight. Use the timestamp of the actual invoice, forecast or mandate if one exists.

Pair an official result with a conditional tail calculation

The Treasury’s nominal ten-year result on 2022-04-12, CUSIP 91282CDY4, shows a high yield of 2.720% and a bid-to-cover ratio of 2.43. The remaining term is listed as 9-Year 10-Month. The selection uses original term and takes the last matching auction of the month where multiple results exist. These are actual published fields. They do not identify the pre-deadline market yield or tell you how much surprise was in the price.

Set a hypothetical comparable when-issued yield of 2.738%. Subtracting it from the auction high yield gives -1.8 basis points, a conditional stop-through. Increasing that assumed pre-deadline yield by one basis point reduces the measured difference by one basis point. Coverage would stay exactly the same because the official bids and awards are unchanged. This simple change in the missing input explains why ranking auctions solely by coverage can give a misleading account of marginal demand.

The largest decline | 2024-07

The steepest fall among the remaining months went from 160.880 to 150.380. The cross rate expressed in reverse would instead move from 0.00622 to 0.00665. Its signed percentage change is 6.98%, whereas the original quote changed by -6.53%. Reversing a percentage sign is only an approximation. Arithmetic returns in reciprocal currencies have different denominators. Use full-precision quotes when translating a dollar budget in either direction.

In the working example the unchanged exposure generated a modeled 25,036.57 US dollars at the end, against an original 23,402.54 US dollars. At the arithmetic midpoint of the two observed rates the modeled result would be 24,191.99 US dollars. By comparison the mean of the two modeled endpoint amounts is 24,219.56 US dollars. A linear conversion can make these coincide; a reciprocal or an option-like floor can separate them. This is a practical unit test for a budget spreadsheet built by averaging rates before conversion.

The quietest finish | 2020-06

A quiet monthly finish concealed a sequence of 22 observations. The first budget mark and last mark differed by only 0.00% in absolute quote terms. Between them, the lowest sampled exchange rate was 106.440 on 2020-06-23 and the highest was 109.680 on 2020-06-05. Their ordering is observable at the daily reference frequency. It says nothing about whether a stop or limit was touched first inside an individual trading day.

Including the original budget mark, the lowest and highest modeled amounts were 34,327.13 US dollars and 35,372.04 US dollars. A payment falling due inside this interval would use the terms available on its own date. Picking the cheapest date after seeing the month grants an option the original decision maker may never have had. Ask whether the underlying agreement allowed early settlement, whether the counterparty would accept it, and what financing or fees would accompany changing the date. The end-to-end change alone leaves out all three questions.

The widest daily range | 2020-03

For the widest remaining sample range, compare the recorded low of 102.520 with the high of 111.440. That spread is 8.25% of the previous month-end reference. If the exposure were valued separately at those two observations, the modeled amounts would be 36,724.54 US dollars and 33,785.00 US dollars. A full intraday high-low range could be larger than this sampled range. Treat these as independent reference valuations, not executable bid and offer quotes sitting on a dealer screen at the same instant.

Now place an administrative review on the middle observation, 2020-03-16. At 105.640 the modeled amount was 35,639.91 US dollars. The remaining change to the final observation was -626.42 US dollars. This separates currency exposure before and after the person responsible could act. It is especially useful when a headline about the full month sounds alarming but the invoice was approved or the policy decision released much later. Use an actual approval timestamp for a real case.

Pair an official result with a conditional tail calculation

The Treasury’s nominal ten-year result on 2020-03-11, CUSIP 912828Z94, shows a high yield of 0.849% and a bid-to-cover ratio of 2.36. The remaining term is listed as 9-Year 11-Month. The selection uses original term and takes the last matching auction of the month where multiple results exist. These are actual published fields. They do not identify the pre-deadline market yield or tell you how much surprise was in the price.

Set a hypothetical comparable when-issued yield of 0.828%. Subtracting it from the auction high yield gives 2.1 basis points, a conditional tail. Increasing that assumed pre-deadline yield by one basis point reduces the measured difference by one basis point. Coverage would stay exactly the same because the official bids and awards are unchanged. This simple change in the missing input explains why ranking auctions solely by coverage can give a misleading account of marginal demand.

The busiest path | 2022-12

This month has the greatest remaining sum of absolute observation-to-observation log changes: 19.38 percentage points. Its net endpoint change in ordinary percentage terms was -5.38%. Offsetting moves can make the first number large while leaving the second small. Absolute log movement is a path statistic. It includes both directions and must never be booked as the return someone earned by holding the exposure. Collecting every move would require knowing each reversal and being able to execute it after costs.

The annualized sample standard deviation calculated from the 21 log changes was 22.23%, using 252 observations per trading year. The mean level across this month’s daily exchange marks was 134.915, whereas its median was 135.140. Valuing the exposure at those two central rates gives 27,906.51 US dollars and 27,860.00 US dollars. The mean answers a question about evenly weighted observations and the median is the middle observation or average middle pair. Neither is necessarily the benchmark named in a specific agreement.

A month near the middle | 2023-10

Extreme outcomes attract attention. This case was chosen for being close to the median absolute monthly move among the remaining candidates, with an absolute change of 1.36%. Its 21 daily marks give an average modeled value of 25,168.69 US dollars. Valuing the same exposure only at the last mark produces 24,858.05 US dollars. The final observation therefore differs from the typical daily valuation measured by that average by a signed -310.64 US dollars. The difference can go either way; the average has no privileged status for a one-date settlement.

Suppose a report allowed one person to choose a monthly average and another to use the last observation. They could disagree by that amount while applying identical formulas and the same published data. Settle the disagreement by identifying the decision the figure supports. A month of evenly spread expenses calls for transaction weights or a stated approximation. A single invoice calls for its conversion date. A policy announcement needs a timed quote. The right measurement rule follows from the economic event and should be fixed before examining the answer.

Pair an official result with a conditional tail calculation

The Treasury’s nominal ten-year result on 2023-10-11, CUSIP 91282CHT1, shows a high yield of 4.610% and a bid-to-cover ratio of 2.50. The remaining term is listed as 9-Year 10-Month. The selection uses original term and takes the last matching auction of the month where multiple results exist. These are actual published fields. They do not identify the pre-deadline market yield or tell you how much surprise was in the price.

Set a hypothetical comparable when-issued yield of 4.606%. Subtracting it from the auction high yield gives 0.4 basis points, a conditional tail. Increasing that assumed pre-deadline yield by one basis point reduces the measured difference by one basis point. Coverage would stay exactly the same because the official bids and awards are unchanged. This simple change in the missing input explains why ranking auctions solely by coverage can give a misleading account of marginal demand.

A sharp single step | 2022-11

The largest remaining single-step move was from 146.150 on 2022-11-09 to 141.780 on 2022-11-10. In ordinary percentage terms that is -2.99%. Against the exposure rule, this step changes the modeled amount by 794.02 US dollars. Because the observations can be separated by nonbusiness days, describe this as an observation-to-observation change. The file cannot reveal which hour accounted for it or whether liquidity was available at either published level.

To check a claim about that step, identify the calendar of releases and local holidays for both currencies, then match each event with its precise published time. Look for an independent price series that actually traded in the proposed interval. A gap between daily reference marks invites a hypothesis; following the sequence of executable quotes is how you could test it. Changing an amount solely because of the two marks is an accounting exercise. Attributing the difference to a particular trader, institution or economic release needs additional evidence.

A split-date budget | 2022-03

Take the average modeled valuation on the first five available dates, 32,671.92 US dollars, and on the last five available dates, 30,798.34 US dollars. Their difference is -1,873.58 US dollars. This case has the largest remaining absolute gap by that definition. A plan fixed in advance to value half the exposure against each group would give a weighted amount of 31,735.13 US dollars if the exposure and its charges can be divided proportionately. The result is a comparison of timing policies. It does not reveal an optimal execution date.

A fixed charge can break that proportional assumption if two actual transactions each incur the full charge. An indivisible futures contract or option can prevent splitting the quantity at all. An announcement time cannot be averaged across ten dates. Before applying the exercise, identify the specific constraint: a reopening or noncomparable Treasury maturity. Then identify which of the two windows an actual mandate would allow. Where the timing choice is unavailable, read the two amounts as a sensitivity range instead of an executable plan.

Compare a new issue with its reopening

A newly issued ten-year note is auctioned in a different supply and trading context from a reopening of the same security. Coupon, issue size and time remaining can matter for how active the when-issued market is. Follow the CUSIP through the announcement, result and issue date. A description shortened to the ten-year bond can accidentally conflate a nominal note with an inflation-protected issue or another security.

To build a comparison set, hold the instrument type and original term constant and note reopening status separately. Then inspect the distribution of tails using archived same-security when-issued quotes where available. If those quotes are unavailable, compare only observable features such as published high yields and bid-to-cover. A historical chart of yield levels answers a macro question about rates across months; a distribution of tails answers a microstructure question about clearing relative to contemporaneous expectations. Their units may look similar while their meaning differs.

How to identify a usable USD/JPY setup on a chart

Open a five-minute USD/JPY replay and hide everything to the right of your intended decision. This is a hypothetical long case, constructed to show how a reopening or noncomparable Treasury maturity fits into an execution record. Use New York local time for the chart, retaining the actual offset for the date. For a restricted or offshore currency, this drawing describes a price sequence, not the availability of a US retail contract. An economic reference period, a release time and a bar timestamp belong in separate fields.

In the first diagram the reference low is 151.369. The candle that trades below it reaches 151.294 before price returns into the range. To describe that move as a sweep in ICT terminology, mark the existing level first. If the level only becomes obvious after the reversal, save the observation as a retrospective pattern. An increase in volume or a financial headline cannot reveal whose orders traded there.

The displaced leg reaches beyond 151.554. Read bars five, six and seven as a sequence. A gap between the outer wicks brackets the interval from 151.496 to 151.541. It is a chart definition of an imbalance. Price could fill that interval, pass straight through it or never revisit it. Only the first return that satisfies a rule written in advance can provide a candidate entry for this particular exercise.

How to trade the idea on demo and define failure

For the rehearsal, a buy at 151.517 follows a return into the marked interval. If the order fails to fill, record an unfilled setup and retain the original timestamp. Moving the order toward the next favorable candle after that candle forms changes the test. Keep the macro or account question separate: The independent document check concerns a reopening or noncomparable Treasury maturity. A convincing answer about that issue cannot make a missed entry executable.

The protective exit is 151.252, beyond the sweep, and the planned target is 152.113. For this long idea the favorable direction in the pair is higher. A live position can experience partial fills, a spread jump or a gap past the stop. For this drawing only we assume all levels execute exactly as stated. The second chart displays one favorable sequence so that the accounting can be checked. It supplies no evidence about how often such a sequence occurs.

Set an expiry for the entry and cancel the study if the invalidation trades before entry or if the spread makes the gross plan infeasible. If a coarse chart touches stop and target within one bar, lower-frequency OHLC cannot settle the order of events. Use properly timestamped executable quotes if available. Otherwise keep a separate ambiguous sample, and state that rule before counting wins. For this rehearsal the underlying document remains the source for the auction clearing yield relative to a timed market reference.

Worked example in a US dollar account

Calculate the distance before calculating the money. The entry-to-stop distance is |151.517 minus 151.252| = 0.265, or 26.5 pips. The target distance is |152.113 minus 151.517| = 0.596, or 59.6 pips. Keeping absolute distances here avoids giving a short setup a negative risk amount. The sign of the actual result belongs on the fill record after closing.

At 24,000 base units, the distance to the stop represents 6,360.00 JPY and the distance to the target represents 14,304.00 JPY. Convert to a USD result separately at each assumed exit by dividing by 151.252 or 152.113 JPY per US dollar. The conversion is slightly different on the two outcomes. Gross reward divided by gross risk is USD 94.04 / USD 42.05 = 2.24. Written as risk:reward this is 1:2.24.

Assume a round-trip cost of USD 3.00 on either completed outcome. We use executable entry and exit prices, so a spread already inside those prices must not be charged again. The simplified net reward is USD 94.04 minus USD 3.00 = USD 91.04. Net planned loss is USD 42.05 plus USD 3.00 = USD 45.05. Net R:R is 1:2.02 because USD 91.04 / USD 45.05 = 2.02. Financing, slippage and tax are excluded from this short rehearsal.

Check the losing branch with the same care as the winning one. If the exit slips by one additional pip against you, the quote-currency impact on this size is 240.00 JPY before any conversion. A plan denominated in dollars should reserve for an adverse fill or skip a setup that cannot fit the intended budget. Keep the original quote and the executed price alongside the size and currency of the exposure.

To annotate the rehearsal, mark the existing swing first, then identify displacement and the interval between the outer candle wicks. For definitions and session context, see the school’s lessons on fair value gaps, order blocks, the London session, market structure shifts, and the Judas swing.

Sources and calculation notes

US Treasury auction results dataset. TreasuryDirect auction mechanics.

Historical series and original records. DEXJPUS observations and units. The calculations use observations available when checked on November 14, 2026. Subsequent revisions can change retrospective comparisons.

Frequently asked questions

To take the release from the data table to a dated trading record, use the news-release filter, bond-market fundamentals, liquidity sweeps, and hindsight-free replay.