This study fills a decade-long gap in U.S. Treasury auction research, focusing on the impact of auction surprises on returns of Treasury securities. Utilizing a comprehensive dataset, bid-to-cover ratios, noncompetitive bids, and volumes are examined across the term structure. Findings reveal a positive relationship between auction surprises and returns, but with inconsistencies in the significance of auction statistics across different maturities, a departure from previous studies that assess impact on TIPS and futures markets. Lower returns are found for the 1-year bill when auction size changes. This research contributes to the literature by highlighting the influence of structural changes in auction cycles on model specifications of Treasury return movements, with varying implications across different maturities.