Rates & macro Lab 05
Bond Auction Tail
Does a Treasury auction's tail, bid-to-cover, indirect participation, and dealer takedown indicate demand stress?
Saved example run
Generated using bundled data. These values illustrate the diagnostic and are not current market observations.
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Bond Auction Tail Monitor Report
| Date | Tenor | Tail bp | Bid/Cover | Indirect % | Dealer % | Score | Regime | Drivers |
|---|---|---|---|---|---|---|---|---|
| 2026-04-10 | 10Y | 3.50 | 2.05 | 54.0 | 32.0 | 100 | strained | large positive tail, soft bid-to-cover, weak indirect demand, elevated dealer takedown |
| 2026-04-05 | 5Y | 0.20 | 2.47 | 66.0 | 16.0 | 10 | orderly | near-normal auction versus tenor history |
| 2026-04-15 | 30Y | -0.50 | 2.55 | 70.0 | 13.0 | 0 | orderly | firm bid-to-cover, strong indirect demand |
The paper trail
Inspect. Reproduce. Extend.
Run this command from the finance-labs repository root to reproduce the bundled example.
Exact command
PYTHONPATH=labs/bond-auction-tail/src python3 -m bond_auction_tail_monitor labs/bond-auction-tail/examples/sample_auctions.csv --latest-only
View original captured output
# Bond Auction Tail Monitor Report
| Date | Tenor | Tail bp | Bid/Cover | Indirect % | Dealer % | Score | Regime | Drivers |
|---|---:|---:|---:|---:|---:|---:|---|---|
| 2026-04-10 | 10Y | 3.50 | 2.05 | 54.0 | 32.0 | 100 | strained | large positive tail, soft bid-to-cover, weak indirect demand, elevated dealer takedown |
| 2026-04-05 | 5Y | 0.20 | 2.47 | 66.0 | 16.0 | 10 | orderly | near-normal auction versus tenor history |
| 2026-04-15 | 30Y | -0.50 | 2.55 | 70.0 | 13.0 | 0 | orderly | firm bid-to-cover, strong indirect demand |
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