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How Bloomberg’s US Treasury Tenor Series Tracks On-the-Run Notes

Article Quant Q&A · Author: Carlos F.
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Summary

USGG10Y and similar Treasury tenor series are described as rolling yields tied to the current on-the-run security. For the ten-year series, the tracked note changes when a newly issued ten-year Treasury becomes the on-the-run issue. The series therefore represents a succession of securities rather than a constant bond held through time.

The quoted explanation says the default series is built from composite dealer quotes and that deep liquidity makes on-the-run yields similar across dealers. It suggests that a single dealer’s quotes can closely approximate the composite. This is a practical description rather than a full construction specification: it does not identify the contributing dealers, quote rules, timing, or precise calculation method, and the stated close replication is not supported with a measured error analysis.

Key ideas

  • The ten-year series rolls to the newly issued on-the-run Treasury note.
  • The series follows the current issue rather than a single bond over time.
  • The default value is described as a composite of dealer quotes.
  • The explanation claims individual dealer quotes can closely approximate the composite in the liquid on-the-run market.

Tags

Fixed incomeUS markets
Full text
# How is USGG10Y (or any tenor) constructed?


# How is USGG10Y (or any tenor) constructed?












I was wondering how the yield curve for US treasuries are constructed (ex. USGG10Y, USGG5Y, etc.). How to compute for it exactly (what deals/quotes are included in it, what financial institutions are involved, etc.)?

Thank you.

## Answer by Helin (score 1)

https://quant.stackexchange.com/a/14875

USGG10Y is the rolling 10-year on-the-run series. On each day, it reflects the yield of the current 10-year on-the-run note. On an auction date, after a new 10-year Treasury is issued, it starts tracking the new 10-year bond yield.

The default USGG10Y series is a composite quote from a few dealers. But frankly, given the liquidity and depth of the Treasury market, the quotes of on-the-run issues are pretty much identical from dealer to dealer. Using the quotes from any dealer will allow you to replicate USGG*Y very closely.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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