More on treasury convenience yield..

I found this interesting abstract as a follow up to where I ended the previous post on treasury convenience yield

The convenience yield diferential between on- and off-the-run Treasury securities with identical maturities has two components. A non-cyclical component may arise due to the higher illiquidity of off-the-run bonds. Also, trading in the market for the next issue often causes cyclical shortages of the on-the-runs. When this occurs, owners of the on-the-run bond can earn riskless profits by borrowing at a special repo rate while lending at the prevailing risk free market rate...

for more, http://neumann.hec.ca/pages/eric.jacquier/papers/abs.repo.rdr04.html