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Federal Reserve Bank of St. Louis

Published in Alternative Indices

The breakeven inflation rate represents a measure of expected inflation derived from 10-Year Treasury Constant Maturity Securities (BC_10YEAR) and 10-Year Treasury Inflation-Indexed Constant Maturity Securities (TC_10YEAR). The latest value implies what market participants expect inflation to be in the next 10 years, on average.
Starting with the update on June 21, 2019, the Treasury bond data used in calculating interest rate spreads is obtained directly from the U.S. Treasury Department.

A Ted Spread is an Interest Rate Spread. The Series is calculated as the spread between 3-Month LIBOR based on US dollars and 3-Month Treasury Bill . The series is lagged by one week because the LIBOR series is lagged by one week due to an agreement with the source. Starting with the update on June 21, 2019, the Treasury bond data used in calculating interest rate spreads is obtained directly from the U.S. Treasury Department. There are many TEDs, but the TED in FRED is a spread. That is, the spread between the 3-month LIBOR and the 3-month Treasury bill. A little background: LIBOR is the rate banks would charge each other for lending, which can be used to measure economy-wide credit risk. Treasuries are basically the safest assets on the market. So, a large TED spread would indicate a lot of credit risk in the U.S. economy.

Key Features and Coverage on RIMES

For this data source, RIMES hosts an economic indicator, TED Spread, and a reference rate, the 10-Year Breakeven Inflation Rate.

Some of the data items available include:

  • Database Domain Code, Database Source, Database Symbol, Description,
  • Last Price Date, Monthly Rate Value, Monthly Times Series Value,
  • Series Value, Target Rate Lower-Bound, Target Rate Upper-Bound, Times Series Value,
  • Frequency, Geography Type, Release, Seasonal Adjustment, Source, Citation & Copyright, etc.

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