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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 …



Q&A About Off-The-Run Treasury Yield Curve


How do you describe the relation between yield and time to maturity in mathematical terms?

The relation between yield and time to maturity can be described by the term structure of interest rates .

What is the U.S. Treasury yield curve?

The U.S. Treasury yield curve is derived using off-the-run treasuries.

What are 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 bonds.

Why is there a relationship between maturity and interest rates?

There are two common explanations for this relationship. First, it may be that investors want to receive more income as they hold their investments for longer periods of time. Second, it may be that investors demand higher interest rates on long-term bonds because these bonds have more risk than short-term bonds.

What causes distortions in on the run treasury yields?

Market demand for on the run bonds cause price distortions in on the run treasury yields.

What does an upward sloping yield curve show?

An upward sloping yield curve shows that the longer the maturity, the higher the interest rate.

How does market demand affect prices of on the run bonds?

Market demand for on the run bonds can cause them to trade at premiums or discounts relative to their par values, which affects their yields and therefore changes how they fit into a yield curve based on those yields."

What is a term structure of interest rates?

A term structure of interest rates is a graph showing several yields to maturity or interest rates across different contract lengths (2 month, 2 year, 2 year, etc.) for a similar debt contract.