News
·
The Treasury Curve, Live on Pyth
Pyth's new Constant Maturity U.S. Treasury indices stream the live Treasury curve at seven tenors, par yields and discount factors, updated every 200 ms.
The U.S. Treasury curve is the price of money. Corporate bonds, swaps and mortgages in dollars are all quoted off it. The Treasury publishes its official constant-maturity curve once a day.
Pyth now publishes a constant-maturity Treasury par curve, updated every 200 milliseconds.
Pyth’s Constant Maturity U.S. Treasury indices are live at seven tenors, from 2 to 30 years, with a par yield and a discount factor at each point. Treasury bill tenors (1M to 1Y) are not yet live and will be added as publisher coverage comes online.
A fixed horizon, not a fixed bond
A 10-year Treasury note stops being a 10-year note the day after it is issued. Its maturity shortens every day, and every few weeks an auction brings a newer 10-year that takes over as the most recently issued security. A feed tied to one bond follows that bond as it ages. A series built from successive issues has to switch at every auction.
CMUS10Y measures something steadier: the par yield of a hypothetical Treasury maturing exactly ten years from now, read off a curve fitted through the current on-the-run securities. The bonds underneath change after auctions. The symbol and the horizon stay the same. There are no CUSIPs to track and nothing to re-point on auction day.
That is what separates the new indices from Pyth Pro’s existing Treasury bond price and yield feeds. The bond feeds describe securities. The CMT indices describe the curve.
The curve, intraday
The U.S. Treasury’s official par yield curve is built from quotes taken at or near 3:30 p.m. New York time and is published by 6 p.m. It is one observation a day.
Rates move all session. CPI lands at 8:30 a.m. FOMC statements land at 2 p.m. The 10-year can reprice within minutes of either, and a daily print shows none of it.
Pyth’s indices are calculated independently from Pyth Treasury price data. They run from 02:30 to 17:00 New York time on weekdays, across European and U.S. hours, and stream on Pyth’s 200 ms channel.
Two ways to read the curve
Each of the seven live tenors (2Y, 3Y, 5Y, 7Y, 10Y, 20Y and 30Y) publishes two feeds, read off the same curve at the same instant.
Par yields (
CMUS2YtoCMUS30Y) are constant-maturity rates in the form the market quotes. They are used for rate markets, curve analysis and spreads such as 2s10s.Discount factors (
CMUS2YDFtoCMUS30YDF) give the present value of a dollar paid at each tenor. They are the building block for valuing cash flows, from a tokenized Treasury position to a fixed-rate loan.
Where rates go next
More dollar assets now trade through the day, and many of them need a view of the Treasury curve while they do. Tokenized Treasury funds value their holdings against it. Lending protocols can use it as an input when assessing fixed rates. Rate markets track it. Each of them is better served by the curve as it is now than by the curve as it was at 3:30 the previous afternoon.
Pyth has been building toward this since the summer. Fixed-income publishers joined the network in July. Treasury bond prices and yields went live on Pyth Pro in August. Constant-maturity commodity indices followed in September. The Treasury curve is the next layer, with bill tenors to come at the short end.
Built in the open
Pyth’s indices use security prices and cash-flow terms to build a bootstrapped discount curve, with both outputs read at fixed maturities. The full methodology is public: [insert approved CMT methodology link].
The two curves use different inputs and can differ, most visibly on auction days. The Treasury’s curve switches to the new security at its 3:30 p.m. snapshot, while Pyth’s rolls at 17:30 New York time, after its 17:00 session close. Each feed’s metadata carries the auction date, coupon and maturity of the current on-the-run security, so every consumer can see exactly when a roll happens.
Access
The CMT family is part of Pyth Indices. See the full curve in Pyth Terminal or request Pyth Indices access to integrate all seven tenors.
Disclaimer:
This document is provided by Douro Labs LLC (“Douro Labs”) for informational purposes only. Nothing in this document should be construed as legal, financial, tax or investment advice.
The information contained herein is provided “as is” without warranty of any kind, express or implied. Douro Labs makes no representations or warranties regarding the accuracy, completeness, reliability, timeliness or suitability of the CMT Index, its underlying data or methodology for any particular purpose. The CMT Index relies on data from third-party sources which Douro Labs does not independently verify.
The CMT Index is not intended to serve as, and should not be construed as, a regulated benchmark within the meaning of the EU Benchmarks Regulation (Regulation (EU) 2016/1011), the UK Benchmarks Regulation (as onshored), or any analogous regulatory framework. It is not intended for use as a reference rate for regulated financial products.
Product scope, tenor availability, methodology and pricing may be updated, modified or withdrawn without notice. The CMT Index is not an official U.S. Treasury yield curve, and references to the U.S. Treasury do not imply affiliation with or endorsement by the U.S. Treasury.
