Why Treasury Yield Series Differ During Negative Market Yields
Summary
The document explains why Yahoo Finance’s 13-week Treasury yield values can differ from the U.S. Treasury’s three-month constant-maturity series. It points to a Treasury methodology note: when market conditions produce negative yields on securities used as inputs, the Treasury resets those inputs to zero before calculating nominal constant-maturity rates. The quoted dates illustrate that the two series can diverge around a period of unusually low rates.
The explanation distinguishes secondary-market trading yields from the inputs used to derive the Treasury’s published CMT series. The adjustment is a specific convention for the nominal series, not evidence that every Treasury yield source follows the same calculation. The brief discussion gives no complete description of Yahoo Finance’s data source, instrument selection, or calculation method, so it cannot account for every possible difference between the feeds.
Key ideas
- Treasury nominal constant-maturity rates may use adjusted inputs when observed yields are negative.
- The Treasury resets negative input yields to zero before deriving the CMT series.
- Secondary-market yields and published constant-maturity rates can therefore differ.
- The document does not establish Yahoo Finance’s full methodology or explain all differences between the two data sources.
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Full text
# Why is the treasury yield on Yahoo finance different from that on U.S. Department of Treasury? # Why is the treasury yield on Yahoo finance different from that on U.S. Department of Treasury? The 13 Week Treasury Yield on Yahoo Finance is ``` Date Open High Low Close* Adj. close** 31 Mar 2020 0.0700 0.0700 0.0280 0.0300 0.0300 30 Mar 2020 -0.0430 0.0200 -0.0530 0.0130 0.0130 27 Mar 2020 -0.1080 -0.0580 -0.1080 -0.0580 -0.0580 ``` The 3 month Treasury Yield on U.S. Department of Treasury website is ``` 03/27/20 0.03 03/30/20 0.12 03/31/20 0.11 ``` Why are they so different? ## Answer by Lliane (score 5, accepted) https://quant.stackexchange.com/a/52971 It's actually written on the treasury page > Negative Yields and Nominal Constant Maturity Treasury Series Rates (CMTs): At times, financial market conditions, in conjunction with extraordinary low levels of interest rates, may result in negative yields for some Treasury securities trading in the secondary market. Negative yields for Treasury securities most often reflect highly technical factors in Treasury markets related to the cash and repurchase agreement markets, and are at times unrelated to the time value of money. At such times, Treasury will restrict the use of negative input yields for securities used in deriving interest rates for the Treasury nominal Constant Maturity Treasury series (CMTs). Any CMT input points with negative yields will be reset to zero percent prior to use as inputs in the CMT derivation. This decision is consistent with Treasury not accepting negative yields in Treasury nominal security auctions.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.