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Identifying On-the-Run and First-Off-the-Run Treasury Securities

Article Quant Q&A · Author: D H
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Summary

The document describes how to identify on-the-run and first-off-the-run U.S. Treasury securities when working with bond data. The latest auctioned security in a given maturity category is classified as on-the-run; the previous one becomes first-off-the-run. It outlines the auction and issuance cadence for Treasury bills, shorter notes, and longer notes and bonds, explaining that the interval between successive issues determines how much shorter the first-off-the-run security is by maturity.

A second response addresses timing: researchers may switch the classification on the auction date, when a new security has been auctioned, or wait until its issue date before including it in an estimation sample. The document offers a practical filtering convention for reproducing research with CRSP data, but does not provide code or a detailed mapping from individual CRSP records. The chosen timing rule should match the study’s data and estimation design.

Key ideas

  • The most recently auctioned Treasury in a maturity category is on-the-run.
  • The previous on-the-run security becomes first-off-the-run when a new one is auctioned.
  • Auction schedules vary across Treasury bill, note, and bond maturities.
  • Researchers can classify a new security from its auction date or wait until its issue date.
  • The classification convention should be aligned with the estimation sample and research design.

Tags

Fixed incomeUS markets
Full text
# How close to the issue date should the "on-the-run" and "first-off-the-run" treasuries be?


# How close to the issue date should the "on-the-run" and "first-off-the-run" treasuries be?












I was trying to replicate the paper by Gürkaynak

and wondering how I could filter out the "on-the-run" and "first-off-the-run" from CRSP dataset.

## Answer by AlRacoon (score 3)

https://quant.stackexchange.com/a/78982

"On the run" USTs are the most recently issued UST. The previous on-the-run becomes the "first-off-the-run" or the "old".

T-bills are auction weekly (4,8,13,26,17,52 week maturities). 4,8,17 week bills are issued on Tuesdays following the auction week; 13,26,52 week maturities are issued on Thursdays of the auction week. The "on-the-run" is the most recently auctioned T-bill. The "first-off-the-run"s are therefore 1 week shorter in maturity.

The 2,3,5,7 year Notes are auctioned monthly. 2,5,7 are issued on the last calendar day of the month. The 3Yr is issued on the 15th. The "on-the-run" is the most recently auctioned. The "first-off-the-run"s are therefore 1 month shorter in maturity.

The 10Yr Note, 20Yr and 30Yr Bonds are auctioned quarterly (Feb, May, Aug, Nov). The 20Yr is issued on the last calendar day of the auction month. The 10Yr and the 30Yr are issued on the 15th of the auction month. The "on-the-run" is the most recently auctioned Note/Bond. The "first-off-the-run"s are therefore 1 quarter shorter in maturity.

## Answer by Helin (score 1)

https://quant.stackexchange.com/a/78980

Typically, we'd classify a new bond as "on-the-run" as soon as it has been auctioned (i.e., as of the auction date). On that day, the old "on-the-run" becomes "first-off-the-run." Alternatively, you could also introduce new bonds into the estimation set after the "issue date."

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.