Daily Treasury Long-Term Rates
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Date |
LT Composite (>10 yrs) |
Treasury 20-yr CMT |
Extrapolation Factor |
. Beginning 02/18/02, Treasury ceased publication
of the 30-year constant maturity series. Instead, from 02/19/02
through 05/28/04, Treasury published a Long-Term Average Rate, "LT>25,"
(not to be confused with the Long-Term Composite Rate, definitions
below). In addition, Treasury published daily linear extrapolation
factors that could be added to the Long-Term Average Rate to allow
interested parties to compute an estimated 30-year rate. On June
1, 2004, Treasury discontinued the "LT>25" average
due to a dearth of eligible bonds. In place of the "LT>25"
average, Treasury will now publish the Treasury 20-year Constant
Maturity rate on this page. The extrapolation factor shown in the
3rd column can be added to the 20-year Constant Maturity to obtain
an estimate for a theoretical 30-year rate.
was the arithmetic average of the bid yields on all outstanding
fixed-coupon securities (i.e., excluding Inflation-Indexed securities)
with 25 years or more remaining to maturity. This series first appeared
on 2/19/02, following discontinuation of the 30-year Treasury constant
maturity series. Subsequently, the "LT>25" average
was discontinued on June 1, 2004.
are
determined by considering the slope of the yield curve at it's long
end and extrapolating out to a theoretical 30-year point. To use
the Extrapolation Factor to determine a 30-year proxy rate, simple
add the factor to the 20-year Constant Maturity Rate. For example,
if on a particular day the 20-year Constant Maturity is 5.40% and
the Extrapolation Factor is 0.02%, then a 30-year theoretical rate
would be 5.40% + 0.02% = 5.42%.
is the unweighted average of bid yields
on all outstanding fixed-coupon bonds neither due
nor callable in less than 10 years.
For more information regarding these statistics
contact the Office of Debt Management (202)
622-1118.
For other Public Debt information contact (202)
219-3350.
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