Who makes on-the-run Treasuries special?
AbstractThe most recently issued, on-the-run, Treasuries are extremely liquid and frequently trade at a premium in both the cash and repo, or financing, markets. Previous research suggests that both the cash and repo premiums reflect demand from buy-and-hold investors who value the superior liquidity of these securities and are reluctant to lend them in the repo market. We find evidence that premiums in the repo market are also closely related to market participants' demand to hedge interest rate risk associated with their holdings of fixed income securities.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Intermediation.
Volume (Year): 20 (2011)
Issue (Month): 4 (October)
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Web page: http://www.elsevier.com/locate/inca/622875
On-the-run Treasuries Short-selling Liquidity Repo specials Repurchase agreements;
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