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Liquidity Woes Warping U.S. Treasuries Market

Premium that investors pay to own most recently auctioned 10-year Treasuries, vs. those issued a few months earlier, has almost doubled.

By Liz Capo McCormick and Alexandra Scaggs, Bloomberg | Updated on January 25, 2016

In today’s bond market, there’s plenty of hand-wringing about liquidity, or rather, the lack of it.

It’s become so pervasive that even in the market for U.S. Treasuries—the deepest and most liquid on the planet—buyers are gravitating to the newest, easiest-to-sell debt. This year, investors are paying almost twice the average premium to own the most recently auctioned 10-year notes, known as “on-the-run” securities, instead of “off-the-run” ones issued just a few months earlier, data compiled by Barclays Plc show.

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