Daily Treasury PAR Yield Curve Rates
The par yield curve demonstrates the connection between the par yield of a Treasury security and the time it takes for that security to reach maturity. Par yield is essentially the return an investor can expect from a security if it is held to maturity. This curve is derived from the most recent Treasury securities auctioned in the over-the-counter market.
The Federal Reserve Bank of New York gathers the market bid prices, which are indicative quotes, at around 3:30 PM each business day. These prices are then used to calculate the par yields.
Daily Treasury PAR Real Yield Curve Rates
The par real yield curve functions similarly to the standard par yield curve but applies specifically to Treasury Inflation-Protected Securities (TIPS). It connects the par real yield—which is adjusted for inflation—and the time until the security matures. Just like the regular par yield, this real yield curve is based on the most recently auctioned TIPS and the bid prices obtained in the over-the-counter market.
The Federal Reserve Bank of New York collects these prices at around 3:30 PM on business days. The Treasury started publishing this data on January 2, 2004 and released a year’s worth of historical data at that time. These rates help investors understand the returns on inflation-protected securities over different periods.
Daily Treasury Bill Rates
Treasury Bill rates are the rates derived from the closing market bid prices of the most recently auctioned Treasury Bills. These prices are collected from the over-the-counter market and, like other Treasury data, are obtained by the Federal Reserve Bank of New York at around 3:30 PM on business days.
Treasury Bills are short-term securities, and their rates reflect short-term interest rate trends. Investors often look to Treasury Bill rates for a sense of how short-term borrowing and lending costs are changing.
Daily Treasury Long-Term Rates and Extrapolation Factors
The Treasury paused the publication of the 30-year constant maturity rate on February 18, 2002, and resumed it again on February 9, 2006. During this gap, the Treasury used the 20-year Constant Maturity rate along with an “adjustment factor” to estimate what the 30-year rate would have been.
This adjustment factor could be added to the 20-year rate to give an approximate 30-year rate during the time when 30-year bonds were not being issued. More details on these extrapolations are provided along with the data, allowing those interested to understand how long-term rates were estimated.
Daily Treasury Real Long-Term Rate Averages
On January 2, 2004, the Treasury introduced the publication of a Long-Term Real Rate Average. This data series is used as a proxy for long-term real rates and offers insight into the trends of long-term yields. The Treasury also provided historical data that goes back to the year 2000. This long-term real rate data can be useful for investors looking to assess long-term investment opportunities, as it helps show how real yields have fluctuated over time.
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