US Treasuries Zero-Coupon Yield Curve

US Treasuries zero-coupon yield curve is a graphical representation of spot interest rates on US government bonds across different maturities. The zero-coupon rates represented by this benchmark form the foundation of many bond valuation and derivatives pricing models. The Federal Reserve constructs the curve using the Svensson model and coupon Treasury yield data. Treasury bills (T-bills), floating-rate notes (FRNs), and the most recently issued liquid securities are excluded from the calculation to avoid distortions related to liquidity premiums and repo market effects. The curve includes 129 tenors ranging from 1 day to 30 years. Data are updated weekly, with new values typically published on Tuesdays for the period ending on the previous Friday.

The data on the curves on the page is available for the past 3 years — access to additional data is available through the Cbn-data API