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3 votes

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

"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 ...
AlRacoon's user avatar
  • 6,532
2 votes

US treasuries TRACE

It is publicly available as of very recently. https://www.finra.org/rules-guidance/notices/24-06
dm63's user avatar
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1 vote

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

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-...
Helin's user avatar
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1 vote
Accepted

Approximate 5y swap rate move in 1 tick move in 5y treasury

You'd be assuming swap spreads are constant, but a 1tick change in the 5y otr, is approximately -0.7bps on the swap
user68819's user avatar
  • 395

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