The Treasury Bill Auction and the When-Issued Market: Some Evidence (Classic Reprint)

Excerpt from The Treasury Bill Auction and the When-Issued Market: Some Evidence

Consequently, these alleged abuses have prompted a review of the Treasury securities market.1 At the same time these violations reveal how little is known about the market for Treasury securities. This is in part because data are not readily available to researchers as these markets are over-the counter. Although some auction data is announced by the Department of Treasury, information on forward contracts for Treasury securities is difficult to obtain. We have gathered data on forward contract prices by calling a dealer over a three year period. We use this data to examine the link between the forward market and the auction for Treasury bills.

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