Choosing a Yield Series for a Domestic Risk-Free Rate

Summary

The document addresses how to obtain interest-rate yields for a country when a data platform returns currency performance instead. Its central point is that there is no single domestic risk-free rate suitable for every analysis: the analyst must choose a maturity that matches the investment horizon. A yield curve represents rates across maturities and may be assembled by interpolating government bond yields, although government bonds are not necessarily risk-free in every market or context.

The answer suggests looking for a country and maturity-specific yield series, using a ticker convention that encodes the country and tenor, and selecting the mid-yield field. It gives examples for two-year US and euro rates and notes that similar instruments may be available across data vendors. Those examples illustrate a lookup approach, not a universal identifier standard. Ticker syntax and field availability depend on the vendor, and the appropriate benchmark still depends on the currency, horizon, and definition of risk-free required by the analysis.

Key ideas

• A risk-free rate must be specified for a particular currency and investment horizon.
• Yield curves provide rates across maturities and may be constructed by interpolating bond yields.
• Government bond yields may not be risk-free in every market or analytical context.
• Look for a country- and maturity-specific yield series, then select the relevant yield field.
• Vendor ticker conventions and data availability can vary.

Tags

# How to download risk free rate?


# How to download risk free rate?












I've been trying to download the national interest rates for some countries. When i use Datastream, it only gives me the currency return (while i need yield).

Can someone please tell how to download the series. I do use the correct Mnemonic ( BBJPY3M SNGTB3M ADBR090 HKEFB3M). Should i use maybe Thomson instead?

I know this is kind of a nooby question, but i've been dealing with this over 2 hours now.

Help is highly appreciated!

## Answer by lemarin (score 0, accepted)

https://quant.stackexchange.com/a/7732

There is no such thing as a single domestic "risk-free rate". At the very least, you need an investment horizon to be able to find the corresponding risk-free rate on a domestic interest rate curve. The curve itself is typically constructed out of an interpolation of government bond yields, which may or may not be "risk-free".

I don't have access to Datastream but Reuters codes tend to be similar across platforms.

For example, let's say you're looking at a 2-Year risk-free rate for the US and the Euro. Mnemonics will likely follow this pattern:

[cc][tt]T=RR

Where [cc] is the 2-digit country code [US and EU respectively].

[tt] the horizon, with M = Month and Y = Year. e.g. 3M, 2Y.

In the case in question you would be looking at pulling "US2YT=RR" and "EU2YT=RR". You will then need to pull a mid-yield for each of these tickers.

Bloomberg also provides a similar function.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.