Is There an On-the-Run Premium in TIPS?


Jose A. Lopez

Patrick Shultz

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2017-10 | September 1, 2017

In the U.S. Treasury market, the most recently issued, or so-called “on-the-run,” security typically trades at a price above those of more seasoned but otherwise comparable securities. This difference is known as the on-the-run premium. In this paper, yield spreads between pairs of Treasury Inflation-Protected Securities (TIPS) with identical maturities but of separate vintages are analyzed. Adjusting for differences in coupon rates and values of embedded deflation options, the results show a small, positive premium on recently issued TIPS – averaging between one and four basis points – that persists even after new similar TIPS are issued and hence is different from the on-the-run phenomenon observed in the nominal Treasury market.

Article Citation

Christensen, Jens H. E., Jose A. Lopez, and Patrick Shultz. 2017. “Is There an On-the-Run Premium in TIPS?,” Federal Reserve Bank of San Francisco Working Paper 2017-10. Available at

About the Author
Jens Christensen
Jens Christensen is a research advisor in the Economic Research Department of the Federal Reserve Bank of San Francisco. Learn more about Jens Christensen