Buybacks in Treasury cash and debt management
K Garbade, M Rutherford - FRB of New York Staff Report, 2007 - papers.ssrn.com
This paper examines the use of buybacks in Treasury cash and debt management. We
review the mechanics and results of the buyback operations conducted in 2000-01, during a …
review the mechanics and results of the buyback operations conducted in 2000-01, during a …
Does deliverability enhance the value of US Treasury bonds?
DR Kuipers - Journal of Futures Markets: Futures, Options, and …, 2008 - Wiley Online Library
This study presents the first examination of the value associated with long‐term US Treasury
bonds related to their delivery eligibility in the Treasury bond futures market. The opportunity …
bonds related to their delivery eligibility in the Treasury bond futures market. The opportunity …
A Long‐Term Perspective on the Determinants of Treasury Bond Stripping Levels
M Bulter, M Livingston, L Zhou - Financial Markets, Institutions …, 2014 - Wiley Online Library
We examine the proportion of individual Treasury bonds held as strips over the entire history
of the STRIPS program. First, we document a secular decline in the Treasury bond stripping …
of the STRIPS program. First, we document a secular decline in the Treasury bond stripping …
Treasury Buybacks, the Fed's Portfolio, and Changes in Local Supply
M Connolly, E Struby - Available at SSRN 4457207, 2023 - papers.ssrn.com
We estimate the effects of the 2000-2002 Treasury Buyback program on Treasury returns
and the Federal Reserve's System Open Market Account (SOMA) portfolio. The buybacks …
and the Federal Reserve's System Open Market Account (SOMA) portfolio. The buybacks …
Coupon spreads and illiquidity in the market for 10-year Treasury notes
CG Lamoureux, G Theocharides - Available at SSRN 1364812, 2012 - papers.ssrn.com
We find a strong systematic component in coupon spreads-the differences between notes'
values and the values of replicating portfolios of fungible strips-that is strengthening over …
values and the values of replicating portfolios of fungible strips-that is strengthening over …