Anecdotal reports suggest that bid-offer spreads on Treasury securities widened from their normal levels of 1.6 [cts.] or less per $100 to as high as 16[cts.] for on-the-run issues and 25 [cts.] for off-the-run issues.
Soon thereafter, bid-offer spreads on Treasury securities, premiums for on-the-run issues, and yield spreads between government-sponsored enterprise and Treasury securities began to decline.
The specialness typically peaks around the announcement of the next auction, after which it declines as short positions begin to shift to the next on-the-run issue.(29) In addition to this regular pattern, other factors influence the specialness of these securities.