Treasury Benchmark Curve

Treasury curve or treasury benchmark curve is the term structures of treasury bill/bond prices vs maturities. The two major types of marketable securities issued by government are treasury bills and treasury bonds.

Treasury bills, that do not pay coupons but rather are issued at a discount and mature at their par value, are issued at short terms. Issurance occurs through a competitive auction.

Treasury bonds pay a fixed semi-annual coupon and have a fixed maturity date. Issurance involves maturities across the yield curve with original terms to maturity. Each issue is reopened several times to improve liquidity. They are currently on a comparatitive yield auction rotation.

At any given time, there are benchmark bonds outstanding bills or bonds outstanding with terms to maturity. These notes are the most actively traded in the market.

Treasury yield curves or treasury zero-coupon yield curve are derived from these benchmark bills/bonds. The main interest in the market to estimate treasury yield curves is to provide insights into the evolution of market expectations. It is considered essential that the information contained in these bonds be incorporated into the yield curve construction.

• Zenodo treasury benchmark curve
• Fliphtml5 treasury curve
• osf gic
• github flexible gic
• pubpub gamma agg
• zenodo double cms