Daily Treasury Long-Term Rates
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February 2005
Treasury Long-Term Average Rate and Extrapolation Factors. 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. The Long-Term Average Rate, "LT>25," 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. Linear Extrapolation Factors 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%. The Long-Term Composite Rate 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) 622-1876. For other Public Debt information contact (202) 219-3350. |
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