100*((((1 + Fitted Yield on a 10 Year Zero Coupon Bond/100)^10)/(1 + Fitted Yield on a 2 Year Zero Coupon Bond/100)^2)^(1/8)-1) | FRED

Notes

Fitted Yield on a 10 Year Zero Coupon Bond (THREEFY10)

Source: Board of Governors of the Federal Reserve System (US)

Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Units: Percent, Not Seasonally Adjusted

Frequency: Daily

Notes:

Kim and Wright (2005) produced this data by fitting a simple three-factor arbitrage-free term structure model to U.S. Treasury yields since 1990, in order to evaluate the behavior of long-term yields, distant-horizon forward rates, and term premiums. For the full paper, please go to http://www.federalreserve.gov/pubs/feds/2005/200533/200533abs.html

Suggested Citation:

Board of Governors of the Federal Reserve System (US), Fitted Yield on a 10 Year Zero Coupon Bond [THREEFY10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFY10, .

Fitted Yield on a 2 Year Zero Coupon Bond (THREEFY2)

Source: Board of Governors of the Federal Reserve System (US)

Release: An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Units: Percent, Not Seasonally Adjusted

Frequency: Daily

Notes:

Suggested Citation:

Board of Governors of the Federal Reserve System (US), Fitted Yield on a 2 Year Zero Coupon Bond [THREEFY2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/THREEFY2, .

10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity (T10Y2Y)

Source: Federal Reserve Bank of St. Louis

Release: Interest Rate Spreads

Units: Percent, Not Seasonally Adjusted

Frequency: Daily

Notes:

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.
Series is calculated as the spread between 10-Year Treasury Constant Maturity (BC_10YEAR) and 2-Year Treasury Constant Maturity (BC_2YEAR). Both underlying series are published at the U.S. Treasury Department.

Suggested Citation:

Federal Reserve Bank of St. Louis, 10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity [T10Y2Y], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/T10Y2Y, .

Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Quoted on an Investment Basis (DGS10)

Source: Board of Governors of the Federal Reserve System (US)

Release: H.15 Selected Interest Rates

Units: Percent, Not Seasonally Adjusted

Frequency: Daily

Notes:

For further information regarding treasury constant maturity data, please refer to the H.15 Statistical Release notes and Treasury Yield Curve Methodology.

For questions on the data, please contact the data source. For questions on FRED functionality, please contact us here.

Suggested Citation:

Board of Governors of the Federal Reserve System (US), Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Quoted on an Investment Basis [DGS10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS10, .