The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis A.
• 署名单位: University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.006
• 发表日期: 2020
• 关键词: Treasury floating rate notes; Mark-to-market stability; Asset pricing premia; Convenience yield; Money market funds

摘要

We find that Treasury floating rate notes (FRNs) trade at a significant premium relative to the prices of Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and is correlated with measures reflecting investor demand for safe assets. Money market funds are often the primary investors in FRNs, and the FRN premium is related to flows into funds with fixed net asset values, but not to flows into funds with variable net asset values. These results provide strong evidence that the FRN premium represents a convenience yield for the mark-to-market stability feature of FRNs. (C) 2020 Published by Elsevier B.V.