Influences of Treasury Bill futures trading on the primary sale of the deliverable Treasury Bill

A premium is paid in the primary market for Treasury bills (T-bills) that are deliverable against the T-bill futures market on the Chicago Mercantile Exchange. That premium is three to six basis points for the six-month bill, while there is practically none for the three-month bill. No increase in the number of bidders in the deliverable T-bill market was observed. Increased demand may then be attributed to changing market attitudes or preferences rather than increase in market size. There are 52 weekly auctions for three and six month T-bills.