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 real curve, which relates the real yield on a
Treasury Inflation Protected Security (TIPS) to its
time to maturity, is based on the closing market real
bid yields on actively traded TIPS in the over-the-counter
market. These market real yields are calculated from
composites of quotations obtained by the Federal Reserve
Bank of New York. Treasury began publishing this series
on January 2, 2004. At that time Treasury released 1
year of historical data.
Beginning 02/18/02, Treasury ceased publication of
the 30-year constant maturity series. Instead, from
02/18/02 through 05/28/04, Treasury published a Long-Term
Average Rate ("LT>25"). Due to the dearth
of eligible bonds, the "LT>25" average
was discontinued on June 1, 2004 and replaced with the
Treasury 20-year Constant Maturity. Detailed information
is provided with the data.
Begining on January 2, 2004, Treasury began publishing
a Long Term Real Rate Average. This series in intended
for use as a proxy for long-term real rates. At that
time Treasury released 1 year of historical data.
An estimate calculated by Treasury of the yield on a "typical"
corporate bond (new offering) with 20 or more years to
maturity and rated Aa by Moody's Investor Service. The Aa Corporate Bond Index
was discontinued on January 31, 2003.
