On-the-run Treasuries

The on-the-run issue is the most recently auctioned security of its kind and term. It is the one dealers quote, the one that trades most, and the one a headline "10-year Treasury yield" almost always refers to. When the next ten-year note is auctioned, today's benchmark becomes the first off-the-run and the new issue takes its place.

Most recently auctioned, not newest, and the difference is the usual case rather than a technicality. Treasury often reopens an existing security instead of issuing a new one, selling more of the same CUSIP with the same coupon and maturity. A reopening returns that security to the front of its queue, so a bond first sold years ago can be on the run today. Across the tracked history the benchmark arrived there by reopening rather than by first issue on 68% of bond days, 69% of floating-rate days and 62% of TIPS days, against 14% for notes.

That distinction has a price. An on-the-run security is more liquid than the otherwise near-identical issue behind it, and typically yields slightly less as a result, the premium a buyer pays for being able to sell easily.

A term can have more than one benchmark. A ten-year note and a ten-year TIPS are both on the run, because they are different instruments answering different questions. Ranking them in one queue meant whichever was auctioned later took the slot, so a nominal benchmark could be displaced by a linker. Kind and term together is the correct key.

Only the 11 most recent issues of each queue are tracked. That is a ceiling rather than an omission: past ten issues back the concept stops meaning anything, and a security with no rank has aged out of the queue rather than lost a label. A term disappears from this page entirely once nothing has been auctioned into it for a while, rather than keeping a stale benchmark.