Discriminatory Versus Uniform Treasury Auctions

Abstract:     
We use when-issued transactions data to assess the US Treasury's current experiment with uniform auctions. When-issued volume is higher under uniform as compared to discriminatory auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Consistent with this, mark-ups tend to be smaller under uniform auctions. Also, under uniform auctions, when-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information production and lower the short squeeze.

JEL Classification: G20

working papers series