Sources for Treasury Yield Bars and Auction-Based Market Stress Measures
Article Quant Q&A · Author: rubikscube09
Summary
The document surveys sources for daily open, high, low, and close observations of U.S. Treasury yields. It identifies a market data vendor’s yield bars, notes that Treasury data provides closing interpolated yields across maturities, and mentions institutional data providers and trading platforms as other possible sources. The discussion distinguishes intraday market-derived bars from the Treasury’s closing curve observations, which do not provide the same OHLC detail.
It also describes using the spread between weighted average accepted and least favorable accepted prices or rates in Treasury operations as a possible indicator of market strain. A volume-weighted calculation is outlined, with separate treatment for bills and floating-rate notes versus other securities, and the example points to elevated spreads during March 2020. The data may have delays, particularly in downloadable results files, and the document does not establish that the measure is a validated volatility signal or provide a systematic evaluation of the cited sources.
Key ideas
- Daily Treasury yield OHLC bars may be available from market data vendors even when official series report only closing yields.
- Treasury closing interpolated yields offer a historical curve but do not supply daily OHLC values.
- Auction weighted average and least favorable accepted prices or rates can be compared as a market stress measure.
- A volume-weighted spread calculation can aggregate auction outcomes across accepted amounts.
- Some auction results files may be delayed, so source timeliness should be considered.
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Full text
# OHLC Data for US Govt. Treasury Yields?
# OHLC Data for US Govt. Treasury Yields?
Is there open-high-low-close data available at the daily timescale for yields? The data I can find from the Federal Reserve reports only one price, and moreover, I'm not sure when the data is reported. I know most bonds are not traded on exchanges, so it makes sense that this data is readily available, but I was wondering if this data was available anywhere.
## Answer by Sergei Rodionov (score 4, accepted)
https://quant.stackexchange.com/a/61594
MarketWatch daily OHLC bars for bonds yields are sourced from Tullett Prebon.
Here's a sample output for U.S. 10 Year Treasury Note yields in CSV format.
```
Date,Open,High,Low,Close
03/11/2021,"1.518%","1.554%","1.479%","1.538%"
03/10/2021,"1.532%","1.571%","1.506%","1.518%"
03/09/2021,"1.599%","1.599%","1.526%","1.596%"
03/08/2021,"1.568%","1.617%","1.568%","1.599%"
03/05/2021,"1.564%","1.614%","1.538%","1.568%"
```
The Closing interpolated yields are also available directly from the Treasury, in XML format, starting with 1997.
```
<m:properties>
<d:Id m:type="Edm.Int32">7802</d:Id>
<d:NEW_DATE m:type="Edm.DateTime">2021-03-08T00:00:00</d:NEW_DATE>
<d:BC_1MONTH m:type="Edm.Double">0.04</d:BC_1MONTH>
<d:BC_2MONTH m:type="Edm.Double">0.04</d:BC_2MONTH>
<d:BC_3MONTH m:type="Edm.Double">0.05</d:BC_3MONTH>
<d:BC_6MONTH m:type="Edm.Double">0.06</d:BC_6MONTH>
<d:BC_1YEAR m:type="Edm.Double">0.09</d:BC_1YEAR>
<d:BC_2YEAR m:type="Edm.Double">0.17</d:BC_2YEAR>
<d:BC_3YEAR m:type="Edm.Double">0.34</d:BC_3YEAR>
<d:BC_5YEAR m:type="Edm.Double">0.86</d:BC_5YEAR>
<d:BC_7YEAR m:type="Edm.Double">1.28</d:BC_7YEAR>
<d:BC_10YEAR m:type="Edm.Double">1.59</d:BC_10YEAR>
<d:BC_20YEAR m:type="Edm.Double">2.2</d:BC_20YEAR>
<d:BC_30YEAR m:type="Edm.Double">2.31</d:BC_30YEAR>
<d:BC_30YEARDISPLAY m:type="Edm.Double">2.31</d:BC_30YEARDISPLAY>
</m:properties>
```
Another pricing source is the Treasury Securities Ops : Results : Excel : `Weighted Avg. Accpt. Price/Rate` (WAP) and `Least Favorable Accpt. Price/Rate` (LFP) columns. These two columns can be used as a measure of volatility in the bond market. For example, the volume-weighted spread between WAP and LFP showed signs of liquidity issues in the Treasury market during March 2020:
The peak day on the chart, March 19, was the day when Fed WAP for UST 2.875% 05/15/2049 during the day auction was `125.808` whereas LFP was `128.25390625`!
The Excel Results files maybe delayed by several weeks, but the TSY API and the derived chart example above are more current. The volume weighted LFP/WAP spread is calculated as follows in SQL:
```
SELECT datetime, acc.entity AS "entity", acc.tags.operation_id AS "tags.operation_id", acc.tags.Operation_Type AS "tags.Operation_Type", acc.tags."Maturity/Call_Date_Range" AS "tags.Maturity/Call_Date_Range", acc.tags.operation_direction AS "tags.operation_direction",
MAX(sub.value) AS tsy_submitted, sum(acc.value/1000000) AS tsy_accepted,
ABS(100*(SUM( acc.value*
CASE
-- Rounding per Note 1 https://www.newyorkfed.org/markets/desk-operations/treasury-securities
WHEN acc.tags.operation_type IN ('Outright Bill Purchase', 'Outright FRN Purchase') THEN
-- wap=1.516, lfp=1.5125, rlfp=1.513 pwap= 100/(1+wap/100) prlfp = 100/(1+rlfp/100) spread=100*(prlfp/pwap-1)
(1+ROUND(lfp.value,3)/100)/(1+wap.value/100)
ELSE
-- wap=120.717 , lfp=120.7578125, rlfp=120.758 spread=100*(120.758/120.717-1)=0.0339637333598%
ROUND(lfp.value,3)/wap.value
END
) / SUM(acc.value)-1)) AS tsy_lfp_wap_spread
FROM "total_par_amt_submitted_($millions)" sub
JOIN "par_amt_accepted_($)" acc
JOIN "least_favorable_accpt._price/rate" lfp
JOIN "weighted_avg._accpt._price/rate" wap
WHERE acc.entity = 'us.fed.nyc'
AND acc.datetime BETWEEN today-14*day AND next_day
GROUP BY acc.entity, acc.tags.operation_id, acc.tags.Operation_Type, acc.tags."Maturity/Call_Date_Range", acc.tags.operation_direction, datetime
WITH TIMEZONE = 'US/Eastern'
ORDER BY datetime DESC, acc.tags.operation_id
```
## Answer by user42108 (score 2)
https://quant.stackexchange.com/a/61588
Bloomberg, Reuters (now Refinitiv), IDBs (ICAP used to sell rates/IRD data), trading platforms (e.g. BrokerTec, now part of CME)...this is only a partial list, I'm sure there are other sources.
## Answer by Animesh Saxena (score 1)
https://quant.stackexchange.com/a/61696
you can try this. www.quandl.comShown 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.