Why Treasury Yield Quotes Differ Across Financial Sources
Summary
The document explains why Treasury yields shown by financial media may differ from yields published by the US Treasury. It identifies differences in observation timing and in the instruments or methodology used. The Treasury figure is described as using bid prices observed around mid-afternoon, while media figures may use the latest traded yield later in the day.
The sources may also report different yield concepts: financial media may quote on-the-run issues, whereas the Treasury publishes constant-maturity par yields derived with a cubic spline. Since Treasuries trade over the counter, dealers can also quote slightly different yields at the same time. The response points to standard software that follows market conventions as a way to calculate or check yields. It offers practical explanations, but no worked calculation or academic references.
Key ideas
- Yield comparisons depend on the time at which prices are observed.
- Media quotes may reflect on-the-run securities and recent trades.
- Treasury constant-maturity par yields are model-derived rather than direct quotes on a single bond.
- Over-the-counter quoting can produce small differences across dealers.
- Convention-based software can help calculate yields consistently.
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# How to compute treasury yields as reported in the online financial newspapers? # How to compute treasury yields as reported in the online financial newspapers? I am trying to compute treasury yields (with different data) similar to what has been done by bloomberg, yahoo finance, msn money, and wall street. I find the data reported by these are not the same and also do not match with that of US treasury. Please let me know how should I proceed (academic articles reference is also welcomed). ## Answer by nbbo2 (score 2) https://quant.stackexchange.com/a/28268 There are standard software packages for yield calculations according to "Street" conventions. One is FICALC, endorsed by SIFMA: http://www.tipsinc.com/ficalc/calc.tips It is probably hte closest you can get to an industry standard, and is widely used by itself or to check the correctness of other software. ## Answer by Helin (score 1) https://quant.stackexchange.com/a/28266 By virtue of being OTC instruments, you'll get different yields from different sources. At the very same point of time, Goldman and JPM might quote slightly different yields (although the difference is virtually nonexistent for hot-run Treasuries). The biggest differences in this case are: 1) Timing: US Treasury computes their yields using bid-side prices at around 3:30pm EST, while financial media usually reports the last traded yield (as of 5pm). 2) Methodology: Financial media reports the yields of on-the-run issues, while the US Treasury reports hypothetical, constant maturity par yields calculated using a cubic spline model.
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