When Is a Treasury Security On‐the‐Run?

• DOI: http://doi.org/10.1111/fire.12026
• Published date: 01 February 2014
• Date: 01 February 2014

The Financial Review 49 (2014) 77–88

When Is a Treasury Security On-the-Run?

Mark E. Moore

TexasTech University

Drew B. Winters∗

TexasTech University

Abstract

The literature contains two conflicting definitions of the on-the-run period for Treasury

securities. We address the conflict by empirically examining the implications of the two

definitions. Weconclude that it is important that researchers clearly understand the implications

of each definition. Our results suggest that on-the-run activity spans different auction calendar

time in T-notes and T-bills.

Keywords: treasury securities, on-the-run

JEL Classifications: G10, G18

1. Introduction

Akay, Cyree, Griffiths and Winters (2012) note in their footnote 10 that more

than one definition for the on-the-run period in Treasury securities exists in the aca-

demic literature. For example, Fleming (2003) states that the most recently auctioned

security is on-the-run, whereas Furfine and Remolona (2002) state that the most

recently issued Treasury security is the on-the-run security.1The differencebetween

∗Corresponding author: Area of Finance, Rawls College of Business, TexasTech University, Box 42101,

Lubbock, TX 79409-2101; Phone: (806) 834-3350; Fax: (806) 742-3197; E-mail: drew.winters@ttu.edu.

1We note that the two definitions also appear in textbooks. Stigum (1990) and Fabozzi and Modigliani

(2009) use the most recently auctioned definition, whereas VanHorne (2001) and Blackwell, Griffiths and

Winters (2007) use the most recently issued definition.

C2014 The Eastern Finance Association 77