What is ‘Off-The-Run Treasury Yield Curve’
The U.S. Treasury yield curve derived using off-the-run treasuries. Off-the-run treasuries refer to U.S. government bonds of a given maturity that are not the most recently issued. While they are not as recent as on-the-run treasuries, off-the-run treasuries can be used to construct a yield curve if there is a problem or distortion with the yield curve as represented by on-the-run treasuries.
Explaining ‘Off-The-Run Treasury Yield Curve’
While the on-the-run treasury yield curve is the primary benchmark used for pricing fixed-income securities, fixed-income analytics are sometimes run by investors and traders based on the off-the-run treasury yield curve because they believe the on-the-run treasury yield curve has price distortions caused by the current market demand for the on-the-run bonds.
Further Reading
- The effect of transaction size on off-the-run Treasury prices – www.jstor.org [PDF]
- The US Treasury yield curve: 1961 to the present – www.sciencedirect.com [PDF]
- Term structure estimation from on-the-run Treasuries – www.sciencedirect.com [PDF]
- Estimating liquidity premium of corporate bonds using the spread information in on-and off-the-run Treasury securities – www.emerald.com [PDF]
- A Model of the Convenience Yields in On-the-run Treasuries – link.springer.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]
- Repo counterparty risk and on-/off-the-run treasury spreads – academic.oup.com [PDF]
