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Quantitative Finance · Glossary

What is Auction concession?

Definition 13.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapter 13 — Supply Trades

An auction concession is the cheapening of a security, and of those close to it, in the days before a new issue is sold: the price the market charges for absorbing a known supply, recovered in part once the issue has been distributed.

The average path of the benchmark Treasury yield around 1 338 note and bond auctions, 2010–2026, relative to ten trading days before, from TreasuryDirect’s auction records and the Board’s constant-maturity yields on FRED. Derived statistics only. Data: s2_fetch_auctions.
Figure 13.1. The average path of the benchmark Treasury yield around 1 338 note and bond auctions, 2010–2026, relative to ten trading days before, from TreasuryDirect’s auction records and the Board’s constant-maturity yields on FRED. Derived statistics only. Data: s2_fetch_auctions.
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