An "on-the-run" Treasury security

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An "on-the-run" Treasury security will command a higher price than a nearly identical Treasury security with a maturity difference of only a few days. This is because the "on-the-run" security is more liquid and in higher demand than the off-the-run security. The bid-ask spread may be slightly higher for an "on-the-run" security, but it is still considered more liquid than an off-the-run security. The yield-to-maturity may also be slightly lower for an "on-the-run" security due to its higher demand and liquidity. However, it is still considered to be a more desirable investment due to its higher liquidity.

An "On-The-Run" Treasury Security