What are ‘Off-The-Run Treasuries’
Off-the-run treasuries are all Treasury bonds and notes issued before the most recently issued bond or note of a particular maturity. These are the opposite of “on-the-run treasuries.”
Explaining ‘Off-The-Run Treasuries’
Once a new Treasury security of any maturity is issued, the previously issued security with the same maturity becomes the off-the-run bond or note.
Because off-the-run securities are less frequently traded, they typically are less expensive and carry a slightly greater yield.
Further Reading
- A Model of the Convenience Yields in On-the-run Treasuries – link.springer.com [PDF]
- Term structure estimation from on-the-run Treasuries – www.sciencedirect.com [PDF]
- Who makes on-the-run Treasuries special? – www.sciencedirect.com [PDF]
- Who makes on-the-run Treasuries special? – papers.ssrn.com [PDF]
- The effect of transaction size on off-the-run Treasury prices – www.jstor.org [PDF]
- Automation versus intermediation: Evidence from Treasuries going off the run – onlinelibrary.wiley.com [PDF]
- The on-the-run liquidity phenomenon – www.sciencedirect.com [PDF]
- The term structure of bond market liquidity and its implications for expected bond returns – www.jstor.org [PDF]
- The price of future liquidity: Time-varying liquidity in the US Treasury market – academic.oup.com [PDF]
