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Can the 6-month yield point on the US Treasury Yield Curve represent yields from securities originally issued with longer maturities (e.g., 1 year) but now have only 6 months left until maturity?

..Or does it exclusively reflect yields from securities issued with a 6-month maturity?

Put differently, is 30-year bonds maturing in 6 months plotted at the 6-month point on the x-axis, alongside newly issued 6-month bonds.

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  • If they pay the same amount on the same date, what difference would remain between them?
    – keshlam
    Feb 14 at 23:02

1 Answer 1

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According to the US Treasury:

This par yield curve, which relates the par yield on a security to its time to maturity, is 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.

However, the 6-month node is not based strictly on 6-month bills, or bills/notes/bonds with 6 months to maturity, but a combination of yields for all bonds, since it uses a sophisticated interpolation/fitting algorithm to fit the yield curve to all points.

The yield that is reported is the yield that you should expect to get from any US bond that has exactly 6 months to maturity. However, since bonds are issues only once a month, it's not common to find bonds that represent exact points on the yield curve.

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