Chapter 6

Auctions of Treasury debt securities

Chapter Summary

This chapter examines the auctions conducted by the U.S. Treasury to sell Treasury debt securities. After describing the auction schedule, the chapter analyzes the process by which the auctions are conducted, including how the bidding primary dealers build their order books in the when-issued markets. The chapter presents the uniform and discriminatory auction mechanisms and the evidence on winner’s curse and bid shading in Treasury auctions. The effect of the auction procedure and auction cycles on the behavior of financing rates is presented. The chapter concludes with the evidence that the underlying market institutions tend to cause on-the-run Treasuries to trade “special” in repo ...

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