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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.

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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.

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  • $\begingroup$ Thank you for your answer. But how can I access dealers' quotes? $\endgroup$ – Carlos F. Sep 28 '14 at 12:49
  • $\begingroup$ On Bloomberg, you should see a box that let's you change the price source. If I remember correct, BGN (Bloomberg generic) is the default, but you can change it to stuff like BBT or other codes (assuming you have the access privilege). Alternatively, if you're a client of these dealers, you should have access to their quotes on either their trading platform or their research website. But what are you trying to do? Is USGG10Y not sufficient for you? $\endgroup$ – Helin Sep 28 '14 at 21:24
  • $\begingroup$ Again, thank you for your response. I was trying to compute to a yield curve for another currency (because it's not available in Bloomberg). That's why I want to know how to compute for the yield curve. $\endgroup$ – Carlos F. Oct 2 '14 at 14:14
  • $\begingroup$ I see. I would recommend that you read about curve fitting techniques. The on-the-run yield curve (i.e, connecting benchmark bond yield's) is pretty useless from an analytical perspective... $\endgroup$ – Helin Oct 2 '14 at 14:35

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