Discussion Paper

Treasury Market When-Issued Trading Activity


Abstract: When the U.S. Treasury sells a new security, the security is announced to the public, auctioned a number of days later, and then issued sometime after that. When-issued (WI) trading refers to trading of the new security after the announcement but before issuance. Such trading promotes price discovery, which may reduce uncertainty at auction, potentially lowering government borrowing costs. Despite the importance of WI trading, and the advent of Treasury trading volume statistics from the Financial Industry Regulatory Authority (FINRA), little is known publicly about the level of WI activity. In this post, we address this gap by analyzing WI transactions recorded in FINRA’s Trade Reporting and Compliance Engine (TRACE) database.

Keywords: Treasury market; trading volume; when issued; TRACE;

JEL Classification: G1;

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Bibliographic Information

Provider: Federal Reserve Bank of New York

Part of Series: Liberty Street Economics

Publication Date: 2020-11-30

Number: 20201130