HAN, BING; LONGSTAFF, FRANCIS A.; MERRILL, CRAIG - In: Journal of Finance 62 (2007) 6, pp. 2673-2693
We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its illiquid off-the-run debt. The Treasury was successful in buying back large amounts of illiquid debt while suffering only a small market-impact cost. The Treasury included the...