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Stats › Intraday et microstructure de marché › On the run premium

The newest Treasury costs a few basis points in yield and several times that in execution

2 year on the runFull sample: 0.66March 2020: 1.381.382 year first off the runFull sample: 1.22March 2020: 4.234.235 year on the runFull sample: 1.18March 2020: 2.682.685 year first off the runFull sample: 2.30March 2020: 10.4510.4510 year on the runFull sample: 2.07March 2020: 5.135.1310 year first off the runFull sample: 3.73March 2020: 16.8616.8630 year on the runFull sample: 4.96March 2020: 12.5912.5930 year first off the runFull sample: 5.18March 2020: 26.7726.77Full sampleMarch 2020

Proportional effective bid-ask spreads in basis points, from executed trades, July 2017 to June 2024 with March 2020 shown separately. Moving from on the run to first off the run roughly doubles the spread in normal conditions and does far more than that under stress.

The thirty year on the run yield premium averaged 6.25 basis points and the ten year about 14. Transaction costs show a wider gap: the first off the run ten year has an effective spread of 3.73 basis points against 2.07 on the run, and 16.86 in March 2020.

6.25bpAverage thirty year old-bond minus on the run yield spread
2.07 against 3.73bpTen year effective spread, on the run against first off the run
5.13 against 16.86bpThe same pair in March 2020
$262.9bn against $51.3bnAverage daily volume, on the run against off the run notes and bonds

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