On-The-Run Treasury Yield Curve
The U.S. Treasury yield curve derived using on-the-run treasuries. The on-the-run Treasury curve is the primary benchmark used in pricing-fixed income securities. Investopedia Says:
While the on-the-run Treasury yield curve is typically used to price fixed-income securities, its shape is sometimes distorted by up to several basis points if an on-the-run Treasury goes "on special". A Treasury goes on special when its price is temporarily bid up, usually as the result of demand by securities dealers to use the security as a hedging vehicle. Related Terms:
Off-The-Run Treasuries
On-The-Run Treasuries
Spot Rate Treasury Curve
Term Structure of Interest Rates
U.S. Treasury
Yield Curve |