I understand that each week the US Treasury issues new T-bills at different maturities (1-month, 3-months, 1-year, etc). As far as I understand, this issuance happens every Tuesday. After the auction, agents trade these securities in the secondary market. However, for example, in the day following issuance the 1-month security issued on Tuesday is not a 1-month security anymore. It's a 29-day security. Similarly, the 3-month security issued a month ago is now a 2-month security.

The Federal Reserve publishes the H.15 report everyday: see it here. They list, every day, the secondary market rates for different maturities. I am puzzled by how they make this computation since, in any day that is not a Tuesday, there is no US Government security being issued. The 4-week security from two days ago cannot be traded as a 4-week security from the point of view of today and so on. I cannot find the documentation on how the Fed (or by that matter, Yahoo Finance) collects this data. Only once a week they should be able to observe rates on securities that really are 4-week securities, or 3-month ones, etc.

I understand how the "Constant Maturity Rates" are computed, but they are a different beast and are reported alongside the t-bill rates on the H.15 report. Those make a lot of sense to me since we see many points of the yield curve every day and we interpolate across them. Importantly, these points move in time. Since we do the interpolation, I can see why we can compute the Constant Maturity Rates for any maturity, and we can do it every day.

Since everyone uses this in practice, I am clearly missing something. Is there any reference where I can understand how the measurements are made? Are the t-bill rates also interpolations? What really do I see when I go to Bloomberg and check the rates for different maturities (United States Rates & Bonds - Bloomberg)? Are those rates for the last batch issued?

  • $\begingroup$ This question is quite convoluted, I don’t understand what you are actually asking. In that statistics 1 month securities are all securities which had 1 month time to maturity when they were issued. You can always calculate yield for bond on any day so I don’t get the confusion there. $\endgroup$
    – 1muflon1
    Commented Nov 8, 2021 at 21:09
  • $\begingroup$ @1muflon1 Let me use another example. Today is Monday. The Treasury issued 1-month bonds last Tuesday and also on the Tuesday before that. When I look up 1-month bond rates, what asset are we talking about? The last batch of 1-month bonds? Because the second batch I mention was issued roughly 2 weeks ago and is expiring in roughly two weeks, so it should be seen as a 2-week bond. $\endgroup$ Commented Nov 8, 2021 at 21:32
  • $\begingroup$ It looks to me like they are referring to the most recent issuance. $\endgroup$
    – dm63
    Commented Nov 9, 2021 at 10:38
  • $\begingroup$ @dm63 thanks for your answer! That is a possibility, I agree. May I ask what brought you to that conclusion? $\endgroup$ Commented Nov 9, 2021 at 15:42


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.