The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has resulted in a distinctive configuration, where a single T-Bond (the 4 1/2% of 2036) remains positioned at the top of the deliverable basket for a five-year period. This situation would have been inconsequential if three other conditions were not simultaneously present, ensuring that this single bond will most probably be the cheapest-to-deliver during the next five years. In this paper, we show that a similar alignment of conditions happened in 1994-1999, during the "long dry spell of the 11 1/4%." We recall the detrimental repercussions of this dry spell on the bond markets, and we suggest some possible steps that could be taken to remedy the current situation.
Published January 2016 , 25 pages