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Interest rates on treasury.gov

This treasury.gov page lists the treasury security interest rates:

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Interest rates on FRED

Graphs for each of the above treasury securities are also on FRED:

For example, here's the DGS20 graph:

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Interest rates on TradingView

TradingView appears to have this same interest rate data under the following symbols:

  • US01MY
  • US02MY
  • US03MY
  • US06MY
  • US01Y
  • US02Y
  • US03Y
  • US05Y
  • US07Y
  • US10Y
  • US20Y
  • US30Y

For example, here's the 5 minute chart for US20Y:

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Questions

Treasury.gov and FRED publish the interest rate data per day.

However, TradingView apparently has realtime data for the interest rates as indicated by the symbols above.

Where is TradingView getting this realtime from? Shouldn't this interest rate data be coming directly from the treasury.gov?

Is there a government website where we can download the realtime interest rate data?

What's the ultimate "source of truth" for the treasury interest rate data? I'd assume that it is treasury.gov.

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  • $\begingroup$ You might want to lead with your questions to gather more interest. $\endgroup$
    – BrsG
    Jul 16, 2022 at 20:47

1 Answer 1

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When first issued, treasuries can be bought directly from the US treasury via auctions, but resulting data on yields is relatively infrequent and only gives a snapshot at issuance, which is then quickly outdated as time goes by. Continous data comes direct from the secondary market, where already issued treasuries are traded.

Unlike stocks, US treasuries are not traded at a formal exchange, so there is no central place where that market happens and where yield information comes from. Instead, treasuries are traded over the counter, that is, bilaterally between between parties. This can be done over the phone, and today trading is increasingly done electronically via so-called Electronic Commerce Networks (ECNs), see here (section on electronic broking) or here.

Financial data providers can plug into these platforms. These ECNs are where your real-time, secondary market data ultimately comes from (TradingView might have direct access or get this from a third party).

Because there are multiple platforms and some trades may not show up on them, there is no ultimate source of truth for yield data. However, arbitrage across platforms should ensure that yields for the same bond don't vary too much across platforms.

The Treasury gets the yield data from the market. They are

based on the closing market bid prices on the most recently auctioned Treasury securities in the over-the-counter market. The par yields are derived from input market prices, which are indicative quotations obtained by the Federal Reserve Bank of New York at approximately 3:30 PM each business day. (source)

So, the Treasury's own quotes are only daily. Finally, because not all maturities necessarily trade all the time, the Treasury then uses yield curve models to fill in any gaps (see here) before it reports the yields (the first table in your question).

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  • $\begingroup$ Amazing answer. Thank you! $\endgroup$
    – dharmatech
    Jul 16, 2022 at 21:35

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