RT Journal Article SR Electronic T1 Relative Repo Specialness in U.S. Treasuries JF The Journal of Fixed Income FD Institutional Investor Journals SP 40 OP 47 DO 10.3905/jfi.2004.419572 VO 14 IS 1 A1 Pamela C. Moulton YR 2004 UL https://pm-research.com/content/14/1/40.abstract AB This investigation of the determinants of relative repo specialness compares the most recently issued U.S. Treasury security and its immediate predecessor. The relative specialness of the on-the-run increases as the next auction approaches, indicating that pre-auction positioning pressures and declining collateral supply outweigh the on-the-run's approaching loss of better liquidity. Both relative issue size and repo volatility affect relative specialness in ways that suggest a squeeze option is priced into term special rates. Credit spreads and their volatility are important influences on relative specialness, indicating the integration of credit markets and the Treasury market. There is evidence of a clear reduction in relative specialness in the note sector following expansion of the Fed's securities lending program in 1999.