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Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Working Paper No. 2018-21
Verlag: 
Federal Reserve Bank of Chicago, Chicago, IL
Zusammenfassung: 
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.
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