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Quantitative Finance · Glossary

What is On-the-run premium?

Definition 13.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapter 13 — Supply Trades

The on-the-run premium is the amount by which the most recently issued security at a maturity trades rich to older securities of similar maturity, for its liquidity and its value in repo; it shrinks as the issue ages and a newer one takes its place.

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