When-issued (i.e., forward) trading in T-bills yet to be auctioned provides a unique environment for examining price discovery. Because T-bills are auctioned in a sealed-bid process, when-issued traders cannot observe the spot market price. Yet the forward price must ultimately converge on the auction outcome price. Our results indicate that traders in the when-issued market “discover” the ultimate auction price. Little evidence is found that standard order flow variables contribute to price discovery. Instead, the ability to observe a few trades with relatively small volume in the when-issued market is sufficient to discover the auction price resulting from the sealed-bid process.