Roll

The difference in yield between an on-the-run Treasury security and its when-issued partner. For instance, if the on-the-run 10-year note is trading at a yield of 6% and the w.i. 10-year note is trading at a yield of 5.95%, the roll is negative 5 basis points, or "give 5" in trader speech. (You "give" up 5 basis points to claim the w.i. note rather than the one-the-run note.) On the other hand, if the w.i. note is trading at a yield of 6.02%, the roll would be 2 basis points, or "get 2."
Regardless, the roll is the net of three things:
--The longer maturity of the w.i. security (except if it is a resuming). Typically, investors demand higher yields on longer-maturity issues.
--The better liquidity of the w.i. issue. Typically, investors will sacrifice some yield for liquidity.
--The cost of financing the on-the-run issue in repo. On the off chance that the financing rate is lower than the issue's yield, an owner of the issue has "positive carry." The owner of a w.i. issue has no carry, so would demand some extra yield for renouncing positive carry. In any case, on the off chance that the financing rate is higher than the on-the-run issue's yield, an owner of the issue has "negative carry," and the owner of a w.i. issue might want to sacrifice some yield.
Rolls are normally negative, even when on-the-run issues offer positive carry. This confirms the high value put on liquidity - - it very well may be worth more than the sum of a longer maturity and positive carry.