Stats › Intraday and market microstructure › Year-end funding
The turn of the year is a credit event in funding markets and nothing at all in Treasury bills
Mean change in three month money market yields across the turn of the year, in basis points, measured over twenty year ends from 1973 to 1993. Same maturity, different credit. The Eurodollar change was positive in all twenty years; the Treasury bill change was positive in nine.
Across twenty year ends, one month commercial paper yields rose 41 basis points and three month Treasury bill yields fell 0.55, which is statistically zero. The turn of the year is a credit and funding event, not a Treasury event.
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