Datasets/US Treasury

US Treasury Yields

Name: US Treasury Yields
Creator: US Treasury

Available

Daily nominal and real yield curves and Treasury bill rates, in percent.

Three tables from the US Treasury, one row per business day: NOMINAL, the par yield curve from 1 month to 30 years, from 1990; REAL, the inflation-adjusted curve from 5 to 30 years, from 2004; and BILLS, bank discount and coupon equivalent rates for bills from 4 to 52 weeks, from 2002.

Use them as signals: the shape of the curve, real rates, or the short rate behind a cash return. They are yields, not prices you can trade.

Original source ↗

How the data works

Rates come from quotes taken at about 15:30 New York time. Treasury doesn't say when it posts them, so 18:00 is our assumption, and a daily equity strategy trades on a row the next morning.
A rate Treasury didn't quote that day is None, so check before doing arithmetic on it. Newer maturities start later: 1 month in 2001, 2 months in 2018, 4 months in 2022 and 1.5 months in 2025. The 30-year has a gap from February 2002 to February 2006, and the 20-year starts in 1993. In REAL, the 20-year starts in July 2004 and the 30-year in February 2010. In BILLS, 8 weeks starts in 2018, 17 weeks in 2022 and 6 weeks in 2025.
REAL starts on 2 January 2004, when Treasury began publishing it. Its files reach back further, but those rows couldn't have been seen at the time, so they are left out.
Values are as they stand today. Any correction Treasury has made is not dated separately.
This dataset is a snapshot to 30 October 2026, and doesn't update yet.

Fields

7 columns

Field	Description
available_time	When the row becomes visible to an algorithm: 18:00 New York time on its date
date	Day the rates were quoted
m1, m1_5, m2, m3, m4, m6	NOMINAL: par yields for 1, 1.5, 2, 3, 4 and 6 months
y1, y2, y3, y5, y7, y10, y20, y30	NOMINAL and REAL: par yields by years to maturity. REAL starts at y5
long_term_average	NOMINAL: composite rate over 10 years, from 2000. REAL: long-term real average
w4_discount, w6_discount, w8_discount, w13_discount, w17_discount, w26_discount, w52_discount	BILLS: bank discount rate by weeks to maturity
w4_coupon, w6_coupon, w8_coupon, w13_coupon, w17_coupon, w26_coupon, w52_coupon	BILLS: coupon equivalent rate by weeks to maturity

Example algorithm

Use in a new project

# region imports
from AlgorithmImports import *
# endregion
from lean_platform_data import TreasuryYields


class YieldCurveAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2005, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
        # NOMINAL, REAL or BILLS. Rows arrive at 18:00 New York time on their date.
        self.curve = self.add_data(TreasuryYields, "NOMINAL").symbol

    def on_data(self, slice):
        if self.curve not in slice:
            return
        y = slice[self.curve]
        # Hold SPY unless the curve is inverted: 2-year yields above 10-year yields.
        if y.y10 - y.y2 > 0:
            self.set_holdings(self.spy, 1)
        else:
            self.liquidate(self.spy)