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We are currently in the US Treasury roll period when investors are rolling from the previously issued notes and bonds into the currently issued notes and bonds, aka "Rolling from Off-The-Runs to On-The-Runs".

By some measures, such as yield give up, these are quite rich currently when compared to past historical spreads. Some are attributing this to the illiquidity of the bond markets in the face of inflation.

Is there a heuristic or quantitatively driven rule to decide when these rolls are too rich? At what point does the pursuit of liquidity to be in the current issuance not worth the cost?

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