Bond Auction Cut Off Yield Calculator

Work out bond auction cut off yield instantly with clear inputs, formula shown and shareable results.

About Bond Auction Cut Off Yield Calculator

In a multiple-price auction the cut-off is the highest yield accepted and the weighted average is what successful bidders paid on average. The gap between them — the tail — measures how thin demand was at the margin.

Formula

Auction price

Price = Σ coupon/(1+y)^t + 100/(1+y)^n; tail = cut-off yield - weighted average yield

Worked example

With the default values below, Bond Auction Cut Off Yield Calculator returns Price At The Cut-Off Yield of $98.0586. Change any input above and every figure here is recalculated in your browser.

Inputs used

Cut-Off Yieldaccepts 0–100 %: 7.28 %
Coupon Rateaccepts 0–100 %: 7 %
Years To Maturityaccepts 1–40: 10
Weighted Average Yieldaccepts 0–100 %: 7.24 %

Results

Price At The Cut-Off Yield: $98.0586
Premium Or Discount To Par: -$1.9414
Price At The Weighted Average Yield: $98.3329
Auction Tail In Basis Points: 4.0

Step by step

1Values used
2Auction price
3Price At The Cut-Off Yield= 98.0586
4Premium Or Discount To Par= -1.9414
5Price At The Weighted Average Yield= 98.3329
6Auction Tail In Basis Points= 4.0

Assumptions and limits

The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

What does a wide tail signal?

Weak demand — bidders were only willing to take the last bonds at a materially higher yield.

Why is the price below par here?

Because the cut-off yield exceeds the coupon, so the bond must be discounted to deliver that yield.