U.S. Treasury Buybacks Market impact, counterfactual simulations, and policy effectiveness

Publication date: 2026-09-11

Contributors: Ogdn Ames

Abstract

The September 10 operation is verified. Treasury accepted $5.187 billion in face value against a $6 billion ceiling. The accepted basket implies approximately $3.684 billion in settlement cash, including accrued interest. The 10-year benchmark yield nevertheless rose 12.20 basis points on operation day. That combination does not establish failure. Treasury’s stated objective is regular, predictable off-the-run liquidity support—not a benchmark-yield target. Daily quotations show a relative liquidity signal, but selection bias, imperfect matching, spillovers, and a failing yield pretrend prevent a clean causal verdict. The executed Monte Carlo model illustrates how yields can rise even when a buyback helps relative to the no-buyback counterfactual. Its intervention coefficients are assumptions, not estimates of the September operation’s causal impact

Keywords: U.S. Treasury Buybacks Market impact, counterfactual simulations, and policy effectiveness

Published by Ames Investment Systems

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