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Treasury yields rise 2.5bp before an auction and fall after

2-year, 5 days before: 2.53bp+2.53bp2-year, 5 days before2-year, 5 days after: -2.32bp-2.32bp2-year, 5 days after5-year, 5 days before: 2.67bp+2.67bp5-year, 5 days before5-year, 5 days after: -2.74bp-2.74bp5-year, 5 days after10-year, 5 days before: 1.57bp+1.57bp10-year, 5 days before10-year, 5 days after: -2bp-2bp10-year, 5 days after

Source: Dong Lou, Hongjun Yan and Jinfan Zhang, Anticipated and Repeated Shocks in Liquid Markets, Review of Financial Studies 26(8), 2013. Sample January 1980 to June 2008, covering 332 two-year, 210 five-year and 132 ten-year auctions.

The US Treasury publishes its auction dates months ahead. Primary dealers must bid in every one. The two year yield rose 2.53 basis points in the five days before an auction and fell back after. Since 2015 the effect has more than halved.

+2.53bp2-year, 5 days before
-2.32bp2-year, 5 days after
0.84Sharpe after costs
$649mCost to Treasury, 2007

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