I attached screenshot of US treasury yields from bloomberg today and try to understand it. A few questions are below, taking the example of 2-year bond:

  • Is maturity exactly 2-year later today? If not, how should I know exact date of the maturity.
  • Is coupon semi-annual, i.e. the investor gains 13 cents every six months per bond unit?
  • Can the yield (3rd column) be deduced from the first two columns (coupon and price)? how?
  • What are 4-6 columns?

enter image description here

  • 1
    $\begingroup$ In Bloomberg GT2 "Generic Treasury 2" denotes the yield of the current (aka on-the-run or most recently issued) 2 year treasury, i.e right now it is the one auctioned August 25, 2020 (this will change after the next auction on Sept 22 when GT2 will denote the new bond). After you identify the specific bond you can compute its yield duration days to maturity, etc. in the usual manner. 1 MONTH +1 means the yield increased by one basis point in the past month. In the past year the yield had dropped by 154 bips or 1.54 percentage points. $\endgroup$
    – noob2
    Sep 10 '20 at 21:57
  • $\begingroup$ The Cusip for the current two year bond is 91282CAG6 and its maturity date is 8/31/2022. I got this info here treasurydirect.gov/instit/annceresult/annceresult_query.htm $\endgroup$
    – noob2
    Sep 10 '20 at 22:11
  • $\begingroup$ If you have a phone app or calculator that can compute treasury bond yields you can check the calculation of course. But Bloomberg is very accurate, I trust their number more than the one you (or I) could compute by hand. $\endgroup$
    – noob2
    Sep 10 '20 at 22:35
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    $\begingroup$ @kenneth The coupon is actually rounded up from 0.125% and coupon rates are always quoted in annualized terms. $\endgroup$
    – Helin
    Sep 11 '20 at 6:50
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    $\begingroup$ They need to show 3 decimal places for their coupons, for example 10 year coupon is 0.625, not 0.63 like they show. This rounding to 2 decimals looks ugly and is inappropriate. $\endgroup$
    – noob2
    Sep 11 '20 at 15:06

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