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Expected Repo Specialness Costs and the Treasury Auction Cycle, Research Paper 9504

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Expected Repo Specialness Costs and the Treasury Auction Cycle, Research Paper 9504

DATE: March 1995

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ABSTRACT: Repo rates for the most recently issued or "on-the-run" securities often diverge from general repo rates. The purpose of this study is to convey that relatively sizable divergences in repo rates for on-the-run issues are normal repeating events for the Treasury market, rather than evidence of abnormal circumstances. The costs associated with these repo market premia are small for short holding periods and are sometimes offset by gains from declining cash market premia for longer holding periods. Moreover, repo specialness costs seem small when considered against the alternative of not using the repo market.

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Keane, Frank M. "Expected Repo Specialness Costs and the Treasury Auction Cycle, Research Paper 9504," Research Papers (Federal Reserve Bank of New York) (March 1995). https://fraser.stlouisfed.org/title/6570/item/615490, accessed on March 20, 2023.

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THEMES: CLASSIFICATION:
  • lcc: HG136 .R45 no.9504
IDENTIFIERS:
  • oclc: 32916065
  • repec: fip:fednrp:9504
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