Appendix m — Data Card — U.S. Treasury (TreasuryDirect + Daily Yield Curve) and FINRA TRACE

Provider & what it is

Two providers on the same shelf: the risk-free curve and the corporate-bond tape.

U.S. Department of the Treasury runs two things you will use. TreasuryDirect is the record of Treasury security auctions — every bill, note, bond, TIPS, and FRN sold, with auction date, high yield, bid-to-cover ratio, and CUSIP. The Daily Treasury Par Yield Curve is a separate, daily table of constant-maturity yields (1-month to 30-year), the canonical “risk-free rate today” series that anchors discounting and the macro event studies of Capstone 5.
FINRA (Financial Industry Regulatory Authority) runs TRACE — the Trade Reporting and Compliance Engine, which since 2002 requires dealers to report secondary-market trades in corporate (now also agency/securitized) bonds. The public dissemination feed is the post-trade tape: price, size (capped), and time per transaction, on a delay. This is how a high-schooler can see that corporate bonds, unlike stocks, trade rarely and in lumps.

The reveal: the “interest rate” is not one number. It is a curve the Treasury republishes every afternoon, and the spread between a corporate bond’s TRACE price and the matching point on that curve is the credit risk premium you spend Week 3 onward learning to measure.

Coverage

TreasuryDirect auctions: all marketable Treasury auctions; the API goes back to the late 1970s for some series, with consistent coverage from the late 1990s. [CHECK] exact earliest date per security type.
Daily Treasury Yield Curve: business days from 1990 to present for the par yield curve; the constant-maturity (CMT) tenors are 1, 2, 3, 4, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years (some tenors begin later — the 20-year and 4-month were added in different decades). [CHECK] tenor start dates.
TRACE public dissemination: corporate bonds from July 2002 (phased in by issue size, fully disseminated by 2005); agency debt and later securitized products added afterward. The free public view is end-of-day / delayed and trade-size-capped (large trades show “$5MM+” rather than the true size). The full, uncapped, real-time academic file is a separate licensed WRDS product, not the free feed.

Key identifiers

CUSIP (9-character security id) is the spine for both Treasury auctions and TRACE bonds. A bond’s CUSIP links its TRACE trades to its issuance terms.
For yields, the join key is (date, tenor) — there is no CUSIP, because the par curve is a synthetic constant-maturity construct, not a tradable security.
TRACE adds a bond symbol and the trade timestamp; the issuer ties back to a parent company via a separate mapping (you will need a CUSIP-to-issuer crosswalk, which the free feed does not give you).

Access path

Treasury Fiscal Data API (auctions, debt, rates): base https://api.fiscaldata.treasury.gov/services/api/fiscal_service/. JSON, paginated, no key required, generous rate limits. Auctions live under an /v1/accounting/od/auctions_query style endpoint. [CHECK] exact endpoint slug for your pinned vintage.
Daily Treasury Yield Curve: published as XML/CSV at https://home.treasury.gov/... and also queryable through the Fiscal Data API; the most reproducible route for the camp is pandas_datareader against FRED (series like DGS10, DGS2, DGS3MO), which mirrors the Treasury CMT series and is what nb appears to use for the macro labs. No key for the CSV; a free FRED key for the FRED route, via env var ${FRED_API_KEY}.
FINRA TRACE public feed: the human-facing tool is the FINRA Fixed Income / Market Data site (finra-markets.morningstar.com-style pages, migrating to FINRA’s own portal). There is no clean, free, programmatic bulk API for the public delayed tape; you query a bond at a time, or you use the licensed WRDS Enhanced TRACE file on GMU infrastructure for any real panel. [CHECK] current public-feed URL after FINRA’s site migration.

import requests
BASE = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service"
# Recent Treasury auctions, newest first (public, no key):
r = requests.get(f"{BASE}/v1/accounting/od/auctions_query",
                 params={"sort": "-auction_date", "page[size]": 10}, timeout=60)
auctions = r.json()["data"]   # list of dicts; see schema sketch below

License & note

Both are free and public. Treasury data is U.S. government work, effectively public domain — cite it, no permission needed. FINRA’s public dissemination tape is free to view under SEC-approved rules, but bulk TRACE redistribution is restricted, and the uncapped Academic/Enhanced TRACE file carries a WRDS/FINRA license. Rule of thumb: the delayed, capped public view is free to quote; any panel of corporate trades you regress on should come from the licensed WRDS file on Hopper (CONVENTIONS §5).

Gotchas

The yield curve is par yields, not spot/zero rates. For multi-year discounting you bootstrap a zero curve from the par curve — quoting the 10-year par yield as if it were the 10-year spot rate is a beginner error.
TRACE size is capped. The public feed shows “1MM+” or “5MM+” for large trades, so you cannot sum reported volume and get true volume. Do not compute “total traded” from the free feed.
TRACE is delayed and bonds barely trade. Most bonds go days without a print; a “stale” last price is the norm, not a data error. This illiquidity is the lesson, not a nuisance.
CUSIP, not ticker. A company has one stock ticker but dozens of bond CUSIPs (different maturities/coupons). You must aggregate to the issuer yourself.
CMT tenors changed over time. The 20-year was discontinued (2002) then reintroduced (2020); the 4-month was added in 2022. A long time series has structural gaps — [CHECK] before charting a single tenor across decades.

First 10 rows (illustrative schema sketch — not real values)

TreasuryDirect auctions (Fiscal Data API), shape only:

cusip	security_type	auction_date	maturity_date	high_yield	bid_to_cover_ratio	offering_amt
912797XX1	Bill	2026-05-21	2026-08-20	5.210	2.84	80000000000
91282CXX3	Note	2026-05-14	2036-05-15	4.382	2.51	42000000000
…	…	…	…	…	…	…

Daily Treasury par yield curve (one row per date), shape only:

date	dgs1mo	dgs3mo	dgs2	dgs5	dgs10	dgs30
2026-05-26	5.31	5.22	4.61	4.20	4.39	4.71
…	…	…	…	…	…	…

FINRA TRACE public print (per trade, size capped), shape only:

trade_datetime	cusip	symbol	price	yield	size_indicator
2026-05-26 14:31:07	037833XX2	AAPL4.xx	98.412	4.55	1MM+
…	…	…	…	…	…

Which chapter / lab / capstone uses it

Daily Treasury Yield Curve is the risk-free anchor for Capstone 5 (FRED Macro Event Study) and any discounting/term-premium discussion; the FRED DGSxx route is the reproducible path.
TreasuryDirect auctions support fixed-income worked examples and the bid-to-cover “demand for safety” intuition behind the risk-free rate.
FINRA TRACE is the public window onto corporate-bond illiquidity, a contrast to equity markets (Week 2 returns work) and a feed into the credit-spread framing that connects to the municipal-market thread (msrb-emma.md) and Mentor Session 5. For any panel, swap the capped public feed for the licensed WRDS Enhanced TRACE file on GMU infrastructure.

# Data Card — U.S. Treasury (TreasuryDirect + Daily Yield Curve) and FINRA TRACE ## Provider & what it is Two providers on the same shelf: the **risk-free curve** and the **corporate-bond tape**. - **U.S. Department of the Treasury** runs two things you will use. **TreasuryDirect** is the record of Treasury security *auctions* — every bill, note, bond, TIPS, and FRN sold, with auction date, high yield, bid-to-cover ratio, and CUSIP. The **Daily Treasury Par Yield Curve** is a separate, daily table of constant-maturity yields (1-month to 30-year), the canonical "risk-free rate today" series that anchors discounting and the macro event studies of Capstone 5. - **FINRA** (Financial Industry Regulatory Authority) runs **TRACE** — the Trade Reporting and Compliance Engine, which since 2002 requires dealers to report secondary-market trades in corporate (now also agency/securitized) bonds. The *public dissemination* feed is the post-trade tape: price, size (capped), and time per transaction, on a delay. This is how a high-schooler can see that corporate bonds, unlike stocks, trade rarely and in lumps. The reveal: the "interest rate" is not one number. It is a *curve* the Treasury republishes every afternoon, and the spread between a corporate bond's TRACE price and the matching point on that curve is the credit risk premium you spend Week 3 onward learning to measure. ## Coverage - **TreasuryDirect auctions:** all marketable Treasury auctions; the API goes back to the late 1970s for some series, with consistent coverage from the late 1990s. `[CHECK]` exact earliest date per security type. - **Daily Treasury Yield Curve:** business days from 1990 to present for the par yield curve; the constant-maturity (CMT) tenors are 1, 2, 3, 4, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years (some tenors begin later — the 20-year and 4-month were added in different decades). `[CHECK]` tenor start dates. - **TRACE public dissemination:** corporate bonds from July 2002 (phased in by issue size, fully disseminated by 2005); agency debt and later securitized products added afterward. The free public view is end-of-day / delayed and **trade-size-capped** (large trades show "$5MM+" rather than the true size). The full, uncapped, real-time academic file is a separate licensed WRDS product, not the free feed. ## Key identifiers - **CUSIP** (9-character security id) is the spine for both Treasury auctions and TRACE bonds. A bond's CUSIP links its TRACE trades to its issuance terms. - For yields, the join key is **(date, tenor)** — there is no CUSIP, because the par curve is a synthetic constant-maturity construct, not a tradable security. - TRACE adds a **bond symbol** and the **trade timestamp**; the issuer ties back to a parent company via a separate mapping (you will need a CUSIP-to-issuer crosswalk, which the free feed does not give you). ## Access path - **Treasury Fiscal Data API** (auctions, debt, rates): base `https://api.fiscaldata.treasury.gov/services/api/fiscal_service/`. JSON, paginated, **no key required**, generous rate limits. Auctions live under an `/v1/accounting/od/auctions_query` style endpoint. `[CHECK]` exact endpoint slug for your pinned vintage. - **Daily Treasury Yield Curve:** published as XML/CSV at `https://home.treasury.gov/...` and also queryable through the Fiscal Data API; the most reproducible route for the camp is `pandas_datareader` against **FRED** (series like `DGS10`, `DGS2`, `DGS3MO`), which mirrors the Treasury CMT series and is what nb appears to use for the macro labs. No key for the CSV; a free FRED key for the FRED route, via env var `${FRED_API_KEY}`. - **FINRA TRACE public feed:** the human-facing tool is the FINRA Fixed Income / Market Data site (`finra-markets.morningstar.com`-style pages, migrating to FINRA's own portal). There is **no clean, free, programmatic bulk API** for the public delayed tape; you query a bond at a time, or you use the licensed WRDS *Enhanced TRACE* file on GMU infrastructure for any real panel. `[CHECK]` current public-feed URL after FINRA's site migration. ```python import requests BASE = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service" # Recent Treasury auctions, newest first (public, no key): r = requests.get(f"{BASE}/v1/accounting/od/auctions_query", params={"sort": "-auction_date", "page[size]": 10}, timeout=60) auctions = r.json()["data"] # list of dicts; see schema sketch below ``` ## License & note Both are **free and public**. Treasury data is U.S. government work, effectively public domain — cite it, no permission needed. FINRA's *public dissemination* tape is free to view under SEC-approved rules, but **bulk TRACE redistribution is restricted**, and the uncapped Academic/Enhanced TRACE file carries a WRDS/FINRA license. Rule of thumb: the *delayed, capped public view* is free to quote; any *panel* of corporate trades you regress on should come from the licensed WRDS file on Hopper (CONVENTIONS §5). ## Gotchas - **The yield curve is *par* yields, not spot/zero rates.** For multi-year discounting you bootstrap a zero curve from the par curve — quoting the 10-year par yield as if it were the 10-year spot rate is a beginner error. - **TRACE size is capped.** The public feed shows "1MM+" or "5MM+" for large trades, so you cannot sum reported volume and get true volume. Do not compute "total traded" from the free feed. - **TRACE is delayed and bonds barely trade.** Most bonds go days without a print; a "stale" last price is the norm, not a data error. This illiquidity is the lesson, not a nuisance. - **CUSIP, not ticker.** A company has one stock ticker but dozens of bond CUSIPs (different maturities/coupons). You must aggregate to the issuer yourself. - **CMT tenors changed over time.** The 20-year was discontinued (2002) then reintroduced (2020); the 4-month was added in 2022. A long time series has structural gaps — `[CHECK]` before charting a single tenor across decades. ## First 10 rows (illustrative schema sketch — not real values) *TreasuryDirect auctions (Fiscal Data API), shape only:* | cusip | security_type | auction_date | maturity_date | high_yield | bid_to_cover_ratio | offering_amt | |---|---|---|---|---|---|---| | 912797XX1 | Bill | 2026-05-21 | 2026-08-20 | 5.210 | 2.84 | 80000000000 | | 91282CXX3 | Note | 2026-05-14 | 2036-05-15 | 4.382 | 2.51 | 42000000000 | | … | … | … | … | … | … | … | *Daily Treasury par yield curve (one row per date), shape only:* | date | dgs1mo | dgs3mo | dgs2 | dgs5 | dgs10 | dgs30 | |---|---|---|---|---|---|---| | 2026-05-26 | 5.31 | 5.22 | 4.61 | 4.20 | 4.39 | 4.71 | | … | … | … | … | … | … | … | *FINRA TRACE public print (per trade, size capped), shape only:* | trade_datetime | cusip | symbol | price | yield | size_indicator | |---|---|---|---|---|---| | 2026-05-26 14:31:07 | 037833XX2 | AAPL4.xx | 98.412 | 4.55 | 1MM+ | | … | … | … | … | … | … | ## Which chapter / lab / capstone uses it - **Daily Treasury Yield Curve** is the risk-free anchor for **Capstone 5 (FRED Macro Event Study)** and any discounting/term-premium discussion; the FRED `DGSxx` route is the reproducible path. - **TreasuryDirect auctions** support fixed-income worked examples and the bid-to-cover "demand for safety" intuition behind the risk-free rate. - **FINRA TRACE** is the public window onto corporate-bond illiquidity, a contrast to equity markets (Week 2 returns work) and a feed into the credit-spread framing that connects to the municipal-market thread (`msrb-emma.md`) and **Mentor Session 5**. For any *panel*, swap the capped public feed for the licensed WRDS Enhanced TRACE file on GMU infrastructure.