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Title:How do treasury dealers manage their positions? PDF Logo
Authors:Fleming, Michael J.
Rosenberg, Joshua V.
Issue Date:2007
Series/Report no.:Staff Report, Federal Reserve Bank of New York 299
Abstract:Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week.
Subjects:Treasury market, dealer, positions, inventory, hedging, issuance
JEL:G12
G20
G24
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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