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INTRODUCTION: Market Yields
The table in this section presents yields on Treasury quoted in the secondary bond market as of approximately
marketable securities for maturities ranging from 1 month to 3:30 p.m. each trading day. CMT yields are based on
30 years. semiannual interest payments and are read at constant
Table MY-1 lists Treasury market bid yields at constant maturity points to develop a consistent data series.
maturities for bills, notes, and bonds. These Constant The quotations used by Treasury to calculate the bid
Maturity Treasury rates (CMTs) are interpolated from the yields and fit the yield curve are obtained by the Federal
Treasury yield curve and published daily at Treasury’s Reserve Bank of New York. The Board of Governors of the
Domestic Finance web site, www.ustreas.gov/offices/domestic- Federal Reserve System also publishes the Treasury constant
finance/debt-management/interest-rate/yield.shtml. The maturity data series in its weekly Statistical Release H.15.
yield curve is fitted daily using a hermite cubic spline. For Treasury discontinued the 30-year constant maturity
inputs, Treasury primarily uses the bid yields of the on-the- yield during the time period February 18, 2002, through
run securities (most recently auctioned Treasury securities in February 8, 2006. Thus, 30-year yields for that time frame
all maturity tranches that Treasury currently auctions) as are not available.
TABLE MY-1.—Treasury Market Bid Yields at Constant Maturities:
Bills, Notes, and Bonds*
[In percentages. Source: Office of Debt Management, Office of the Under Secretary for Domestic Finance]
1-mo. 3-mo. 6-mo. 1-yr. 2-yr. 3-yr. 5-yr. 7-yr. 10-yr. 20-yr. 30-yr.
Period (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11)
Monthly average:
1.07 1.31
2008 - Apr .......................................................................... 1.58 1.74 2.05 2.23 2.84 3.19 3.68 4.44 4.44
1.76 1.76
May ........................................................................ 1.86 2.06 2.45 2.69 3.15 3.46 3.88 4.60 4.60
1.72 1.89
June ....................................................................... 2.19 2.42 2.77 3.08 3.49 3.73 4.10 4.74 4.69
1.60 1.66
July ........................................................................ 1.98 2.28 2.57 2.87 3.30 3.60 4.01 4.62 4.57
1.68 1.75
Aug ........................................................................ 1.97 2.18 2.42 2.70 3.14 3.46 3.89 4.53 4.50
0.89 1.15
Sept ....................................................................... 1.64 1.91 2.08 2.32 2.88 3.25 3.69 4.32 4.27
0.29 0.69
Oct ......................................................................... 1.23 1.42 1.61 1.86 2.73 3.19 3.81 4.45 4.17
0.09 0.19
Nov ........................................................................ 0.74 1.07 1.21 1.51 2.29 2.82 3.53 4.27 4.00
0.03 0.03
Dec ........................................................................ 0.26 0.49 0.82 1.07 1.52 1.89 2.42 3.18 2.87
0.05 0.13
2009 - Jan .......................................................................... 0.30 0.44 0.81 1.13 1.60 1.98 2.52 3.46 3.13
0.22 0.30
Feb......................................................................... 0.46 0.62 0.98 1.37 1.87 2.30 2.87 3.83 3.59
0.10 0.22
Mar......................................................................... 0.43 0.64 0.93 1.31 1.82 2.42 2.82 3.78 3.64
End of month:
1.17 1.43
2008 - Apr .......................................................................... 1.64 1.85 2.29 2.49 3.03 3.34 3.77 4.49 4.49
1.98 1.89
May ........................................................................ 2.01 2.22 2.66 2.93 3.41 3.68 4.06 4.74 4.72
1.60 1.90
June ....................................................................... 2.17 2.36 2.63 2.91 3.34 3.61 3.99 4.59 4.53
1.55 1.68
July ........................................................................ 1.89 2.27 2.52 2.81 3.25 3.56 3.99 4.63 4.59
1.63 1.72
Aug ........................................................................ 1.97 2.17 2.36 2.60 3.10 3.45 3.83 4.47 4.43
1.02 0.92
Sept ....................................................................... 1.60 1.78 2.00 2.28 2.98 3.38 3.85 4.43 4.31
0.12 0.46
Oct ......................................................................... 0.94 1.34 1.56 1.80 2.80 3.29 4.01 4.74 4.35
0.02 0.01
Nov ........................................................................ 0.44 0.90 1.00 1.27 1.93 2.35 2.93 3.71 3.45
0.11 0.11
Dec ........................................................................ 0.27 0.37 0.76 1.00 1.55 1.87 2.25 3.05 2.69
0.15 0.24
2009 - Jan .......................................................................... 0.36 0.51 0.94 1.32 1.85 2.27 2.87 3.86 3.58
0.16 0.26
Feb......................................................................... 0.45 0.72 1.00 1.40 1.99 2.69 3.02 3.98 3.71
0.17 0.21
Mar......................................................................... 0.43 0.57 0.81 1.15 1.67 2.28 2.71 3.61 3.56
* Rates are from the Treasury yields curve.
June 2009