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Daily Treasury Real Yield Curve Rates

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Tuesday Oct 16, 2018, 4:09 PM

Treasury Real Yield Curve Rates. These rates are commonly referred to as "Real Constant Maturity Treasury" rates, or R-CMTs. Real yields on Treasury Inflation Protected Securities (TIPS) at "constant maturity" are interpolated by the U.S. Treasury from Treasury's daily real yield curve. These real market yields are calculated from composites of secondary market quotations obtained by the Federal Reserve Bank of New York. The real yield values are read from the real yield curve at fixed maturities, currently 5, 7, 10, 20, and 30 years. This method provides a real yield for a 10 year maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity.

* On February 22, 2010,Treasury sold a new 30-Year TIP security and expanded this table to include a 30-Year Real CMT rate.

* Starting 12/01/2008, the TIPS yield curve will use on-the-run TIPS as knot points rather than all securities. For comparison to the old methodology, a historic data set is available which utilizes the new methodology to generate observations back to September 2, 2008. Please note the previously reported values from September 2 to November 28, 2008, utilizing the old methodology, remain official.

* On July 27, 2004, Treasury sold a new long-term TIP security and expanded this table to include a 20-year Real CMT rate. The 20-Year was discontinued at the November 2009 Quarterly Refunding in favor of a 30-Year TIP security.

Treasury Yield Curve Methodology. The Treasury yield real curve is estimated daily using a cubic spline model. Inputs to the model are bid-side real yields for outstanding TIPS securities.

For more information regarding these statistics contact the Office of Debt Management by email at

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