Interpreting the Quoted Frequency of Ten-Year Government Bond Yields

Summary

The document clarifies how to interpret a monthly time series of ten-year government bond yields. Monthly frequency describes how often observations are recorded; it does not mean the quoted yield is a one-month rate. The answer states that the yield quotes are annual, so each monthly observation reports an annualized yield level.

As a check, the response points to the Federal Reserve’s H.15 release as another source for interest-rate data. The note is brief and does not discuss compounding conventions, day-count rules, whether yields are spot or par yields, or how to convert quoted yields into monthly returns. Those details should be checked in the series metadata before using the data in a pricing or return calculation.

Key ideas

• Monthly observation frequency does not change the annual quotation convention of the yield.
• The ten-year government bond yield series reports annualized yields at monthly intervals.
• The H.15 release is suggested as a cross-check for the quoted rates.
• The note does not specify compounding, day-count, or yield-curve conventions.

Tags

# Long-Term Government Bond Yields


# Long-Term Government Bond Yields












On the Federal Reserve of St. Louis FRED website we can find the 10-year government bond yields: https://research.stlouisfed.org/fred2/data/IRLTLT01USM156N.txt.

I chose monthly frequency and percent units. I'm wondering if the yields are quoted annually even though they have a monthly frequency.

## Answer by phdstudent (score 0, accepted)

https://quant.stackexchange.com/a/18631

Yes, the quotes are annually. You can cross-check with these: http://www.federalreserve.gov/releases/h15/data.htm

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