Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200591
Authors: 
D'Amico, Stefania
Pancost, N. Aaron
Year of Publication: 
2018
Series/Report no.: 
Working Paper 2018-21
Abstract: 
We estimate the joint term-structure of U.S. Treasury cash and repo rates using daily prices of all outstanding Treasury securities and corresponding special collateral (SC) repo rates. This allows us to derive a risk premium associated to the SC value of Treasuries and quantitatively link this premium to various price anomalies, such as the on-the-run premium. We show that a time-varying SC risk premium can explain between 74%{90% of the on-the-run premium, and is highly correlated with a number of other Treasury market anomalies. This suggests a commonality across these price anomalies, explicitly linked to the SC value of the highest-quality securitiesecentlyissued U.S. nominal Treasuries.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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