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Quantitative Finance · Glossary

What is On-the-run and off-the-run?

Also known as: on-the-run · off-the-run

Definition 4.7 Markets II: Rates, FX and Credit · Chapter 4 — The Treasury Market

The most recently auctioned security of each original maturity is on-the-run (the benchmark); all earlier issues of that maturity are off-the-run. Each new auction makes the previous benchmark off-the-run.

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