USTreasuryTradeweb: USTreasuryTradeweb

In PCRA: Companion to Portfolio Construction and Risk Analysis

USTreasuryTradeweb

Description

A data frame with end-of-day quotes from Tradeweb Markets LLC of bid and ask prices and yields on the On-the-Run and First-Off-the-Run US Treasury Notes and Bonds at 4 maturities: 2 Years, 5 Years, 10 Years and 30 Years.

Usage

data(USTreasuryTradeweb)

Format

A data frame with end-of-day quotes from Tradeweb Markets LLC of bid and ask prices and yields on the On-the-Run and First-Off-the-Run US Treasury Notes and Bonds at 4 maturities: 2 Years, 5 Years, 10 Years and 30 Years. Prices are reported to the nearest 1/256 (0.00390625), while yields are reported to 3 decimal places. Yields are percentages, i.e. a yield of 2.125 should be interpreted as 2.125

• Date: type 'Date'. Trade Date. Not all bonds have data on all days.

• US2Y_OTR_BidPrice: type 'num'. Closing Bid Price for the 2 Year On-the-Run bond.

• US2Y_OTR_AskPrice: type 'num'. Closing Ask Price for the 2 Year On-the-Run bond.

• US2Y_OTR_BidYield: type 'num'. Closing Bid Yield to Maturity for the 2 Year On-the-Run bond.

• US2Y_OTR_AskYield: type 'num'. Closing Ask Yield to Maturity for the 2 Year On-the-Run bond.

• US2Y_OFTR_1_BidPrice: type 'num'. Closing Bid Price for the 2 Year First-Off-the-Run bond.

• US2Y_OFTR_1_AskPrice: type 'num'. Closing Ask Price for the 2 Year First-Off-the-Run bond.

• US2Y_OFTR_1_BidYield: type 'num'. Closing Bid Yield to Maturity for the 2 Year First-Off-the-Run bond.

• US2Y_OFTR_1_AskYield: type 'num'. Closing Ask Yield to Maturity for the 2 Year First-Off-the-Run bond.

• US5Y_OTR_BidPrice: type 'num'. Closing Bid Price for the 5 Year On-the-Run bond.

• US5Y_OTR_AskPrice: type 'num'. Closing Ask Price for the 5 Year On-the-Run bond.

• US5Y_OTR_BidYield: type 'num'. Closing Bid Yield to Maturity for the 5 Year On-the-Run bond.

• US5Y_OTR_AskYield: type 'num'. Closing Ask Yield to Maturity for the 5 Year On-the-Run bond.

• US5Y_OFTR_1_BidPrice: type 'num'. Closing Bid Price for the 5 Year First-Off-the-Run bond.

• US5Y_OFTR_1_AskPrice: type 'num'. Closing Ask Price for the 5 Year First-Off-the-Run bond.

• US5Y_OFTR_1_BidYield: type 'num'. Closing Bid Yield to Maturity for the 5 Year First-Off-the-Run bond.

• US5Y_OFTR_1_AskYield: type 'num'. Closing Ask Yield to Maturity for the 5 Year First-Off-the-Run bond.

• US10Y_OTR_BidPrice: type 'num'. Closing Bid Price for the 10 Year On-the-Run bond.

• US10Y_OTR_AskPrice: type 'num'. Closing Ask Price for the 10 Year On-the-Run bond.

• US10Y_OTR_BidYield: type 'num'. Closing Bid Yield to Maturity for the 10 Year On-the-Run bond.

• US10Y_OTR_AskYield: type 'num'. Closing Ask Yield to Maturity for the 10 Year On-the-Run bond.

• US10Y_OFTR_1_BidPrice: type 'num'. Closing Bid Price for the 10 Year First-Off-the-Run bond.

• US10Y_OFTR_1_AskPrice: type 'num'. Closing Ask Price for the 10 Year First-Off-the-Run bond.

• US10Y_OFTR_1_BidYield: type 'num'. Closing Bid Yield to Maturity for the 10 Year First-Off-the-Run bond.

• US10Y_OFTR_1_AskYield: type 'num'. Closing Ask Yield to Maturity for the 10 Year First-Off-the-Run bond.

• US30Y_OTR_BidPrice: type 'num'. Closing Bid Price for the 30 Year On-the-Run bond.

• US30Y_OTR_AskPrice: type 'num'. Closing Ask Price for the 30 Year On-the-Run bond.

• US30Y_OTR_BidYield: type 'num'. Closing Bid Yield to Maturity for the 30 Year On-the-Run bond.

• US30Y_OTR_AskYield: type 'num'. Closing Ask Yield to Maturity for the 30 Year On-the-Run bond.

• US30Y_OFTR_1_BidPrice: type 'num'. Closing Bid Price for the 30 Year First-Off-the-Run bond.

• US30Y_OFTR_1_AskPrice: type 'num'. Closing Ask Price for the 30 Year First-Off-the-Run bond.

• US30Y_OFTR_1_BidYield: type 'num'. Closing Bid Yield to Maturity for the 30 Year First-Off-the-Run bond.

• US30Y_OFTR_1_AskYield: type 'num'. Closing Ask Yield to Maturity for the 30 Year First-Off-the-Run bond.

Details

This data set with the bid and ask prices and yields of 2, 5, 10 and 30-year U.S. Treasuries is supplied by Tradeweb Markets LLC. All prices and yields are reported at the end of the trading day. Prices are reported to the nearest 1/256 (0.00390625), while yields are reported to 3 decimal places.

Source

Tradeweb OTR-OFTR Spread Data is provided by Tradeweb Markets LLC for educational purposes only. Tradeweb Markets LLC makes no representation or warranty of any kind, express or implied, including regarding the accuracy, adequacy, validity, reliability, availability or completeness of the Tradeweb OTR-OFTR Spread Data. All rights reserved.

References

Chapter 14 (Fixed Income Portfolio Management) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

 
data(USTreasuryTradeweb)
names(USTreasuryTradeweb)
head(USTreasuryTradeweb, 5)
tail(USTreasuryTradeweb, 5)

PCRA documentation built on July 15, 2026, 9:06 a.m.