U.S. Treasury 1M Constant Maturity Yield

USTSY1M is the raw series that records the one-month U.S. Treasury constant maturity yield exactly as published, in percent per annum and without any transformation. A constant maturity yield is read at a fixed remaining maturity from a fitted yield curve, so the value is not the yield of any particular outstanding security.

What is read is a par yield, the single discount rate equating a security's remaining cash flows to a price of par, which is the yield-to-maturity construct of Macaulay (1938), and a level that decomposes into the average short rate expected over the term plus a premium (Hicks 1939). Curves of this kind are recovered from observed Treasury prices by spline estimation of the discount function (McCulloch 1971, 1975; Vasicek and Fong 1982) or by imposing a parametric level-slope-curvature form and its second-term extension (Nelson and Siegel 1987; Svensson 1994), and a daily construction of that class is specified by Gürkaynak, Sack, and Wright (2007), with the competing estimators compared by Bliss (1997). KRED neither fits the curve nor interpolates the maturity point, and the fitting method behind the published value is not restated here.

A par curve is not the zero-coupon term structure that underlies the duration measure of Fisher and Weil (1971), so the recorded value is not a spot rate and is a different object from the zero-coupon and forward curves KRED estimates elsewhere. At one month the premium for so short a commitment is small, so the level sits close to the average overnight rate expected over the month. The rate being expected is an operating target, whose corridor and standing-facility mechanics Bindseil (2004) sets out.

KRED applies no transformation to USTSY1M and stores the published constant maturity yield exactly as recorded, with no rescaling, deflating, smoothing, annualizing, or differencing, and it neither fits the curve nor interpolates the maturity point. What follows is therefore the measurement basis by which such a value comes to exist rather than a procedure KRED carries out.

A par yield is the single discount rate equating a security's coupons and principal to a price of par (Macaulay 1938), and the timing of those cash flows is summarized by the zero-coupon-based duration of Fisher and Weil (1971). Inside one year the securities involved are discount instruments carrying no coupon, so their quoted yields enter such a fit on a coupon-equivalent basis. A point one month out lies inside the shortest observed maturities, so the fitted value there is governed by the nearest observations. Recovering a continuous discount function from observed prices proceeds by cubic spline, by its refinement for differential coupon taxation, or by exponential splines (McCulloch 1971, 1975; Vasicek and Fong 1982), while parametric construction instead imposes a level-slope-curvature form or its forward-rate extension (Nelson and Siegel 1987; Svensson 1994). A daily version of that class, producing par, zero-coupon, and forward rates at any maturity, is specified by Gürkaynak, Sack, and Wright (2007), and the estimators are evaluated against one another by Bliss (1997).

Fits of this kind are commonly estimated from off-the-run prices, since an issue trading special in the secured financing market prices richer than the curve, a specialness defined by Duffie (1996). The identity tying a fitted par curve to expected future short rates and a term premium is that of Hicks (1939).

At the money-market end the premium for so short a commitment is small, so the level is close to the average overnight rate expected over the term, which is the decomposition of Hicks (1939). That rate is an operating target, whose corridor and standing-facility mechanics are set out by Bindseil (2004) and whose design across operating frameworks is surveyed by Borio (1997), and it is steered day to day in the manner modelled by Bartolini, Bertola, and Prati (2002) and determined as characterized by Hamilton (1996). Over a single month little beyond that steering is priced.

Front-end government yields also move with secured funding, since collateral and specialness set repo below the general riskless rate in the framework of Duffie (1996). Read across maturities on the common yield concept of Macaulay (1938), this level fixes the front of the slope and curvature of a fitted form (Nelson and Siegel 1987; Svensson 1994; Gürkaynak, Sack, and Wright 2007), and it discounts near-dated cash flows through the discount function of McCulloch (1971).

In fixed-income practice this level is the discount rate for near-dated cash flows, and the rate sensitivity it implies is the duration of Macaulay (1938) in the zero-coupon-consistent form of Fisher and Weil (1971). A one-month exposure carries almost no duration, so the level matters as a cash-management and financing rate rather than as a source of price risk.

Relative value is judged by reading the node against a fitted curve, whether a parametric form and its extension (Nelson and Siegel 1987; Svensson 1994), exponential splines (Vasicek and Fong 1982), or a spline discount function and its tax-adjusted variant (McCulloch 1971, 1975), so a cheapness measured against one fit need not survive another (Bliss 1997).

Positions are financed in the secured market, where collateral and specialness set the repo rate below the general riskless rate (Duffie 1996), and the forward rates implied by the curve price the carry and roll-down on the holding (Hicks 1939; Gürkaynak, Sack, and Wright 2007).

On the 6,247 daily observations spanning 2001-07-31 to 2026-07-24, fit with a constant and trend, the unit-root battery agrees that the one-month constant-maturity Treasury par yield is integrated of order one. The augmented Dickey-Fuller test of Dickey and Fuller (1979), in the ARMA-consistent lag-augmented form of Said and Dickey (1984) and with lag length set as in Ng and Perron (2001), does not reject a unit root with p = 0.893, the nonparametric Phillips and Perron (1988) test concurs with p = 0.8104, and the Kwiatkowski et al. (1992) stationarity test rejects its trend-stationary null at p < 0.01, so the verdict is an unambiguous I(1). The GLS-detrended power escalation of Elliott, Rothenberg, and Stock (1996) is reserved for ambiguous outcomes under the house protocol and is not required on this clean reading.

Because the level is integrated, the mean-shift and serial-correlation diagnostics are run on the first difference, the stationary object those procedures require, since a break search or a portmanteau on an integrated level would spuriously segment and read near-unit autocorrelations (Bai and Perron 1998; Perron 1989). The multiple-break procedure of Bai and Perron (1998), computed by the dynamic-programming algorithm of Bai and Perron (2003), finds no break in the mean of the differenced series, consistent with the parameter-instability inference of Andrews (1993). The Ljung and Box (1978) portmanteau statistic, refining the original Box and Pierce (1970) form, is computed on the first difference and rejects the white-noise null at lags 10 and 20, with Q = 394.934 and Q = 709.051 and p = 0.000 in both cases, and the automatic portmanteau test of Escanciano and Lobato (2009) concurs with a statistic of 8.71416 at p = 0.00315748, the short-horizon dependence expected of a daily yield change.

The series is daily and has no low-integer seasonal period, so the seasonal-unit-root machinery of Hylleberg et al. (1990) and the Canova and Hansen (1995) seasonal-stationarity test are not applicable and are deliberately not run, the degeneracy of the seasonal auxiliary regression at a daily period being the standard ground (Beaulieu and Miron 1992; Ghysels and Osborn 2001).