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U.S. Treasury Yield Curve Rates

Published in Alternative Indices

The U.S. Department of the Treasury’s mission is to maintain a strong economy and create economic and job opportunities by promoting the conditions that enable economic growth and stability at home and abroad, strengthen national security by combating threats and protecting the integrity of the financial system, and manage the U.S. Government’s finances and resources effectively Treasury Yield Curve Rates commonly referred to as “Constant Maturity Treasury” rates, or CMTs.

Yields are interpolated by the Treasury from the daily yield curve. This curve, which relates the yield on a security to its time to maturity is based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal Reserve Bank of New York. The yield values are read from the yield curve at fixed maturities, currently 1, 3 and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10 year maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. The Treasury yield curve is estimated daily using a cubic spline model. Inputs to the model are primarily bid-side yields for on-the-run Treasury securities.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 12 reference rates (U.S. Treasury Daily Yield Curve Rates). Some of the data items available include:

  • Description
  • Database Domain Code
  • Database Source
  • Database Symbol
  • Series Value

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