The US Treasury buyback auctions: The cost of retiring illiquid bonds

• 成果类型: Article
• 署名作者: Han, Bing; Longstaff, Francis A.; Merrill, Craig
• 署名单位: University of Texas System; University of Texas Austin; University of California System; University of California Los Angeles; National Bureau of Economic Research; Brigham Young University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01289.x
• 发表日期: 2007
• 页码: 2673-2693
• 关键词: BIDDING STRATEGIES; price; liquidity; BEHAVIOR; MARKET; work; RISK

摘要

We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the most-illiquid bonds more frequently in the auctions, but tended to buy back the least-illiquid of these bonds. Although the Treasury had the option to cherry pick from among the bonds offered, we find that the Treasury was actually penalized for being spread too thinly in the buybacks.