Price Discovery in the Treasury-Bill When-Issued Market

Jeffrey M. Mercer, Mark E. Moore, Ryan J. Whitby, Drew B. Winters

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


When-issued (i.e., forward) trading in T-bills yet to be auctioned provides a unique environment for examining price discovery. Because T-bills are auctioned in a sealed-bid process, when-issued traders cannot observe the spot market price. Yet the forward price must ultimately converge on the auction outcome price. Our results indicate that traders in the when-issued market "discover" the ultimate auction price. Little evidence is found that standard order flow variables contribute to price discovery. Instead, the ability to observe a few trades with relatively small volume in the when-issued market is sufficient to discover the auction price resulting from the sealed-bid process.

Original languageEnglish
Pages (from-to)1-24
Number of pages24
JournalFinancial Review
Issue number1
StatePublished - Feb 2013


  • G10
  • Price discovery
  • When-issued trading


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