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.

Part of it can be explained by the turmoil in financial markets, which has boosted demand for haven assets. At the same time, selling by emerging-market central banks, which typically own older Treasuries, to shore up their economies has also widened the gap in prices.