Between announcement day and settlement the security does not yet exist, but dealers trade it forward anyway. That lets them pre-hedge auction positions and lets the market discover a clearing yield before bids are due.
The WI level at the bid deadline is the reference against which the auction-tail is measured. WI yields also drift in the days before a large auction as dealers make room, which is the concession effect: the market cheapens ahead of supply and often richens again once the supply is absorbed.
Example: a 3-year auction is announced Thursday. WI opens at 3.92% and drifts to 3.97% by Monday as dealers set up short. The auction stops at 3.965%, a half basis point stop-through, and WI snaps back to 3.94% within the hour.
Related: treasury-auction, auction-tail, primary-dealer, on-the-run