Modern electricity market design is dominated by locational marginal pricing (LMP) of energy and transmission, coupled with periodic auctions of financial transmission rights (FTRs or TCCs) to hedge congestion price risks. For these market designs to be effective, participants must be able to efficiently discover forward locational prices. With data from monthly TCC auctions in New York, we use time series ARCH-ARMA models to postulate how clearing prices for TCCs are formed and the resulting implications for market efficiency. This analysis confirms recent studies suggesting that these auctions remain highly inefficient, even after allowing for risk aversion among bidders in the auctions.