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| DATE | LT COMPOSITE (>10 yrs) |
|---|
| 05/01/12 | 2.72 | | 05/02/12 | 2.68 | | 05/03/12 | 2.69 | | 05/04/12 | 2.64 | | 05/07/12 | 2.64 | | 05/08/12 | 2.60 | | 05/09/12 | 2.59 | | 05/10/12 | 2.61 | | 05/11/12 | 2.57 | | 05/14/12 | 2.50 | | 05/15/12 | 2.48 | | 05/16/12 | 2.47 | | 05/17/12 | 2.38 | | 05/18/12 | 2.39 | | 05/21/12 | 2.40 | | 05/22/12 | 2.46 | | 05/23/12 | 2.39 |
| | DATE | TREASURY 20-yr CMT | EXTRAPOLATION FACTOR |
|---|
| 05/01/12 | 2.76 | N/A | | 05/02/12 | 2.72 | N/A | | 05/03/12 | 2.72 | N/A | | 05/04/12 | 2.67 | N/A | | 05/07/12 | 2.67 | N/A | | 05/08/12 | 2.63 | N/A | | 05/09/12 | 2.63 | N/A | | 05/10/12 | 2.64 | N/A | | 05/11/12 | 2.59 | N/A | | 05/14/12 | 2.53 | N/A | | 05/15/12 | 2.50 | N/A | | 05/16/12 | 2.48 | N/A | | 05/17/12 | 2.39 | N/A | | 05/18/12 | 2.40 | N/A | | 05/21/12 | 2.42 | N/A | | 05/22/12 | 2.48 | N/A | | 05/23/12 | 2.41 | N/A |
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Wednesday May 23, 2012, 4:35 PM
Treasury Long-Term Average Rate and Extrapolation Factors. Beginning February 18, 2002, Treasury ceased publication of the 30-year constant maturity series. Instead, from February 19, 2002 through May 28, 2004, 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 published the Treasury 20-year Constant Maturity rate on this page along with an extrapolation factor that was added to the 20-year Constant Maturity to obtain an estimate for a theoretical 30-year rate. On February 9, 2006, Treasury reintroduced the 30-year constant maturity and is no longer publishing the extrapolation factor.
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 February 19, 2002, following discontinuation of the 30-year Treasury constant maturity series. Subsequently, the "LT>25" average was discontinued on June 1, 2004.
Linear Extrapolation Factors were 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, add the factor to the 20-year Constant Maturity Rate. For example, if on a particular day the 20-year Constant Maturity was 5.40% and the Extrapolation Factor was 0.02%, then a 30-year theoretical rate would have been 5.40% + 0.02% = 5.42%. Publishing of the Linear Extrapolation Factors was discontinued on February 9, 2006 with the reintroduction of the 30-year Constant Maturity Rate.
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 by email at debt.management@do.treas.gov.