Desk Slang · Core
On-the-Run vs Off-the-Run
On-the-run is the latest issued Treasury (or benchmark) in a maturity; off-the-runs are older issues. The on-the-run is richer and more liquid; the spread is a liquidity and specials object.
Definition
The 10-year on-the-run is the current 10s. After a new auction it becomes off-the-run and usually cheapens versus the new one. Futures cheapest-to-deliver and specials repo live in this gap.
Why it matters
A lot of ‘Treasury cheapness’ is OTR/OFTR, not a deficit view. Basis traders eat this spread for a living.
Case
March 2020: off-the-runs cheapened violently versus on-the-runs as balance-sheet and mutual-fund selling hit the less liquid issues. The Fed bought both.
How to read it
Quote the specific CUSIPs and the repo specialness, not ‘Treasuries.’
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