A Public Data Framework for Vendor-Style U.S. Treasury Valuation

Abstract

The objective of this study is to replicate vendor-style valuations of U.S. Treasury securities using only publicly available data. The methodology combines two approaches: (1) the Federal Reserve’s Gürkaynak–Sack–Wright zero-coupon parameters as the primary input, and (2) a Nelson–Siegel–Svensson fit of Constant Maturity Treasury yields as a fallback. Six Treasury bonds with maturities of 2, 3, 5, 10, 20, and 30 years were priced across three observation dates in 2025. The results indicate that the vendor-style framework achieves valuations closer to market prices than the simpler Treasury yield curve method, especially for medium- and long-term maturities, with lower error metrics and higher explanatory power (R² ≈ 0.80). Limitations include the absence of intraday data, liquidity-based weighting, and adjustments for non-sovereign instruments, which may reduce comparability with commercial vendor outputs. Overall, the study concludes that vendor-grade valuations can be reproduced with free data, offering a transparent and cost-free alternative for researchers, regulators, and institutions lacking access to proprietary services, and providing a transferable template for other sovereign bond markets, including those in Latin America.