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When computing the next iterate, one solves an unconstrained trust-region subproblem that involves also Lagrange multipliers. Several solution approaches, as for example the Steihaug-Toint CG method [\\textit{T. Steihaug}, SIAM J. Numer. Anal. 20, 626--637 (1983; Zbl 0518.65042); \\textit{Ph. L.  Toint}, in: Proc. IMANA Conf., Reading 1980, 57--88 (1981; Zbl 0463.65045)] only require approximations of the Lagrange multipliers.   This paper proves a property of the Lagrange multipliers generated when using a Krylov subspace method for the solution of the subproblems. That is, it is shown that the Lagrange multipliers grow monotonically. 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