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Off-The-Run Treasury Yield Curve

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]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

The US Treasury yield curve: 1961 to the presentThe US Treasury yield curve: 1961 to the present
www.sciencedirect.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

Term structure estimation from on-the-run TreasuriesTerm structure estimation from on-the-run Treasuries
www.sciencedirect.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

Estimating liquidity premium of corporate bonds using the spread information in on-and off-the-run Treasury securitiesEstimating liquidity premium of corporate bonds using the spread information in on-and off-the-run Treasury securities
www.emerald.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

A Model of the Convenience Yields in On-the-run TreasuriesA Model of the Convenience Yields in On-the-run Treasuries
link.springer.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

The on-the-run liquidity phenomenonThe on-the-run liquidity phenomenon
www.sciencedirect.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

The term structure of bond market liquidity and its implications for expected bond returnsThe term structure of bond market liquidity and its implications for expected bond returns
www.jstor.org [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …

Repo counterparty risk and on-/off-the-run treasury spreadsRepo counterparty risk and on-/off-the-run treasury spreads
academic.oup.com [PDF]
… To serve as a baseline for measuring price pressure effects, we constructed an on-the-run Treasury spot rate curve to coincide with every off-the-run transaction during 1993 and 1996 … In fact, about 75% of all transactions occurred in the first year of a bond going off-the-run …


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