For decades, U.S. Treasury securities commanded a pricing premium that economists call the convenience yield — the extra return investors were willing to forgo in exchange for holding the world’s most liquid, safest, most universally accepted collateral. That premium is eroding. The GAO’s March 2026 federal debt management report (GAO-26-107529) treats this as a structural shift, not a market fluctuation, and the data support that reading. The convenience yield is not directly observable.