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They Yankees bullpen doesn't necessarily have the most valuable changeup in baseball overall, but they're pretty darn close. What they do have is the most relievers with the most valuable changeups in baseball and that still carries a lot of weight for them.
In total, their bullpen's collective changeup is worth 1.62 runs above average per 100 pitches. That's the third-best in all of baseball behind only the Pirates and the Nationals. No other team has more than two pitchers in the top 30.
To get them to that level, the Yankees have four different pitchers who are in the top 30 of most valuable changeups; Shawn Kelly, David Robertson, Preston Claiborne, and Adam Warren. Kelley's has been worth 4.03 runs above average, Robertson's has been worth 3.74 runs, Claiborne's has been worth 3.58 runs, and Warren's has been worth 1.82 runs. Besides these four, Joba Chamberlain is the only other reliever on the team to post a positive value (1.56) on his changeup.
The interesting thing is that those four, along with Mariano Rivera, make up the only five qualified Yankees relievers. They've also been some of the best relievers the Yankees have. Of the seven pitchers who have thrown more that 30 innings for the Yankees this season, David Robertson has been the best (53 ERA-) while Rivera and Boone Logan have been better than Warren (87), Kelley (99), and Claiborne (101).
It probably also helps when these same pitchers have the most valuable fastballs, sliders, and curveballs on the team, but who's really counting? The Yankees' bullpen is one of the best bullpens at throwing the changeup.