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?


1 Answer 1


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.

  • $\begingroup$ In other words the yield on the USTR web site is a computed number, not the yield on a specific security. "The Treasury yield curve is estimated daily using a cubic spline model. Inputs to the model are primarily indicative bid-side yields for on-the-run Treasury securities.", with the additional proviso about negative yields mentioned above. They are points on a mathematical curve obtained through an algorithm, not market quotations. $\endgroup$
    – nbbo2
    Commented Apr 1, 2020 at 9:18
  • $\begingroup$ Is Yahoo Finance data the actual trade data? $\endgroup$
    – Lei Hao
    Commented Apr 1, 2020 at 10:56
  • $\begingroup$ Probably. It is not clear to me where Yahoo gets ^IRX from. I have more trust in the figure for "Treasury bills (secondary market) 3 months" in the Fed H.15 release, it shows slightly different numbers. But clearly on some days the yield has been negative. federalreserve.gov/releases/h15 $\endgroup$
    – nbbo2
    Commented Apr 1, 2020 at 12:37

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