ZipLime/us-treasury-events

US Treasury Events

Every Treasury auction since 1979 and every official daily yield curve since 1990 — and, for each of them, the instant it became public.

11 114 auctions · 11 108 results · 113 836 nominal curve points · 34 141 real · 26 453 bill rates · 268 960 point-in-time rows · October 1979 to today

The pipeline lives in recipe/ at the same revision as the data. See PIPELINE.md for the method.

Two timestamps, and the reason they are in one dataset

An auction result and a yield curve are dated in opposite ways, and a strategy that reads both has to respect both.

The auction states its own minute

The Treasury publishes a small artifact for every auction since March 2008, and it settles the question outright:

<CompetitiveClosingTime>13:00</CompetitiveClosingTime>
<ReleaseTime>13:02</ReleaseTime>

Two minutes after the close, stated by the Treasury. That is knowledge_at, and knowledge_time_precision is minute.

4 872 results carry a stated release minute, the first on 7 April 2008. The other 6 236 do not, and say so.

Before March 2008 there is no artifact. Those results are dated to the end of the auction day, because the alternative — assuming the result was public at the close — would hand a backtest the number minutes before anyone had it, on every auction for twenty-nine years.

The curve does not

This is the line most Treasury datasets get wrong, so it is worth quoting the Treasury directly. Its methodology page says the inputs are

indicative, bid-side market price quotations (not actual transactions) for the most recently auctioned securities obtained by the Federal Reserve Bank of New York at or near 3:30 PM each trading day

and, further down the same page,

Yield curve rates are usually available at Treasury's interest rate website by 6:00 PM Eastern Time each trading day, but may be delayed due to system problems or other issues.

Those are two different instants. 3:30 p.m. is what the number measures; 6:00 p.m. is when anyone could read it. So every curve row carries both:

Column
market_observation_at	15:30 Eastern — what the number describes
knowledge_at	18:00 Eastern — when it could be read
knowledge_time_precision	modeled_conservative
availability_time_basis	treasury_usually_available_by_1800_et

Dating a curve to 3:30 p.m. would hand a backtest two and a half hours of the afternoon it did not have, every trading day for thirty-five years. The gate fails the build if any curve row is knowable before 18:00 Eastern, and tests/test_quality.py proves the check by breaking it.

What is deliberately missing

wi_yield and auction_tail are null on every row, and the gate fails the build if either is ever populated.

The tail is the auction's high yield minus the when-issued market yield. No official point-in-time when-issued series exists. The daily par yield curve is not one — it is struck from indicative quotations at 3:30 p.m., hours after most auctions close — and subtracting it from the high yield produces a plausible number measuring something else. A column called auction_tail that does not contain an auction tail is worse than no column at all.

A null is not a zero

The Treasury did not start publishing all of this at once, and the differences are large enough to change an analysis.

	Begins
auction query	October 1979
bidder categories — indirect, direct, primary dealer	2008
the artifact that states the release minute	April 2008
nominal par yield curve	January 1990
bill rates	January 2002
TIPS real yield curve	January 2003

Read a 1995 auction expecting an indirect bid share and you get null, because the Treasury did not publish one. It is not zero, and this dataset never turns it into zero.

metadata/field_coverage.parquet records the first date every numeric field is populated, so a reader can tell "the Treasury had not started publishing this" apart from "nobody bid". Nowhere in this dataset does an absent field become a zero.

The methodology changed, and the rates are not recomputed

The par yield curve is the output of a procedure, and the procedure changed: the monotone convex method replaced the quasi-cubic hermite spline as of 6 December 2021, which the Treasury states on its methodology page.

A rate from 2015 and a rate from 2022 are therefore not the same kind of number. Neither is recomputed under the other's method — the published values stand as published. methodology_id on every nominal curve row says which procedure produced it, and metadata/yield_curve_methodology.parquet says what each one was, with the Treasury's own description and the source URL.

Maturities come and go, and nothing is filled in

The 20-year bond returned in May 2020 after seventeen years away. The 4-month bill was added in October 2022. The set of maturities on the curve is not constant, and this dataset stores the curve in long form so that a maturity the Treasury did not publish is an absent row, not a null that looks like missing data and invites interpolation.

Maturity	First published
3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y	2 January 1990	the original set
20Y	1 October 1993
30Y	2 January 1990	absent 15 Feb 2002 – 9 Feb 2006, four years
1M	31 July 2001
2M	16 October 2018
4M	19 October 2022
1.5M	18 February 2025

The 30-year gap is the one that catches people: 1 455 days with no long bond on the curve, in the middle of a series that otherwise runs unbroken. Here those days simply have no 30-year row.

Nothing is interpolated. A curve published without a 20-year point is published here without one.

Using it

import polars as pl

pit = pl.read_parquet("data/pit/*.parquet")

# The 10-year constant maturity, as it was actually knowable
ten = pit.filter(pl.col("entity_id") == "UST_CMT_10Y").select(
    "event_date", "knowledge_date", "actual", "change"
)

# Every 10-year note auction, at the minute its result was released
auctions = pit.filter(pl.col("entity_id") == "UST_AUCTION_10Y_BID_TO_COVER")

# Everything a strategy could have known at 4pm Eastern on a given day
known = pit.filter(
    pl.col("knowledge_date") <= pl.lit("2026-09-10T20:00:00").str.to_datetime(time_zone="UTC")
)

That last filter is the one that matters. Run it against 4:00 p.m. Eastern and the day's auction results are there — they came out at 1:02 p.m. — but the day's yield curve is correctly absent, because it was not on the Treasury's site until six.

What is in it

Config	Rows	What one row is
pit	268 960	one number becoming public — 1 287 series, plus a Delta table
auction_results	11 108	one completed auction, at the minute its result was released
auction_calendar	11 114	one auctioned or announced security, dated from its announcement
auction_announcements	11 114	one announcement, with its competitive and noncompetitive closing times
nominal_yield_curve	113 836	one maturity of one day's par yield curve, 1990→
real_yield_curve	34 141	one maturity of one day's TIPS par real curve, 2003→
bill_rates	26 453	one bill maturity of one day, on both quote conventions
curve_features	9 180	derived slopes and one spread, per trading day

Auctions split 7 396 bills, 1 967 notes, 934 cash management bills, 394 bonds, 269 TIPS and 154 floating rate notes. Six are announced but not yet held.

pit keys auction metrics by term rather than by CUSIP, so UST_AUCTION_10Y_BID_TO_COVER runs across issues instead of stopping when one bond is auctioned. Curve points are UST_CMT_10Y, UST_REAL_CMT_10Y, UST_BILL_13W_CE; a bill becomes two series because it is quoted two ways.

One limitation worth knowing: in 1984-85 the Treasury occasionally auctioned two securities of the same odd term on the same day, and with no artifact to give them different minutes, 12 pit rows share an entity, a date and an instant. record_id keeps them apart, and the gate reports them rather than hiding them.

Derived, and labelled as such

curve_features is arithmetic on two numbers that were public at the same instant, so it inherits that instant. Where a leg is missing — no 20-year point between 2002 and 2020, no real curve before 2003 — the feature is null rather than interpolated.

One caution on nominal_10y_minus_real_10y_bp: it is a spread between two official curves published for the same day. It is not a market breakeven. Both legs are par yields struck from indicative quotations, and neither is a traded inflation instrument.

In auction_results, dealer_accepted_pct, direct_accepted_pct, indirect_accepted_pct, noncompetitive_accepted_pct and tendered_to_offering are computed only from numbers in the same result, and are null wherever either side is absent. In pit they carry value_method = "derived"; everything else is "reported".

Provenance

Every row carries source_url and, where an artifact was read, raw_sha256 — the digest of the exact bytes the Treasury served. Nothing here comes from FRED, a vendor, or a mirror: a secondary copy of a Treasury rate cannot carry the one thing this dataset exists to record.

Source: the United States Department of the Treasury, a US Government work in the public domain. The Department does not endorse, certify or verify this dataset. The additions here — the release instants, the long-form curves, the validation — are Apache-2.0.

Rebuilding it

The first build reads 6 229 auction artifacts and 185 rate files, and takes about thirty-five minutes. Every run after that reuses them — a finished auction's result cannot change, and neither can a year of rates that is over — and finishes in under three seconds, having asked the Treasury for seven documents: the auction query, the announced list, and the current year of each of the five rate feeds.

python -m recipe.cli build            # incremental
python -m recipe.cli build --rebuild  # read everything again; what a parser change needs

The two produce identical tables; tests/test_auctions.py covers which rows are eligible for reuse and why a date-precision row is not.

Related

us-economic-events · fomc-events · commitments-of-traders