What is the purpose of this app?
This is a privately owned technical project that allows easier analysis of historical US Treasuries interest rates. Yield curve inversions have in the past been a reliable indicator of impending economic recessions, and this app allows you retroactively explore the yield curve shape on various dates. This website is not affiliated or sponsored by any government institution.
Where is the data compiled from?
The data on this website is a compilation of figures from various publicly available sources. Treasury yield curve data from 1990 to present is collected from the Treasury Department website and represent market rates at the end of day. Older data sets are obtained from the St. Louis Federal Reserve Economic Data (FRED) repository.
Some treasury rates are based on secondary market rates, and others are estimated based on constant maturity. This article on the US Deparment of the Treasury website provides information about the “monotone convex (MC)” method used for determining the officially published rates, which is based on secondary market data.
Treasury Yield Curve Data (after 1990)
1/2/1990 - Present (Daily)
US Department of Treasury, retrieved from https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield
Rates for the current day are not available until after 4:30pm ET. Weekends and banking holidays are excluded.
The 2M T-bill and respective data only available beginning 10/17/18, and the 4M T-bill beginning 10/19/22.
Federal Funds Target Rates
Board of Governors of the Federal Reserve System (US), Federal Funds Target Rate (DISCONTINUED) [DFEDTAR], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFEDTAR, August 16, 2023.
Board of Governors of the Federal Reserve System (US), Federal Funds Target Range - Upper Limit [DFEDTARU], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFEDTARU, August 16, 2023.
Board of Governors of the Federal Reserve System (US), Federal Funds Target Range - Lower Limit [DFEDTARL], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFEDTARL, August 16, 2023.
Federal Funds Effective Rate
Board of Governors of the Federal Reserve System (US), Federal Funds Effective Rate [DFF], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DFF, August 16, 2023.
3 Month Treasury Bills (before 1990)
1/4/1982 - 12/31/1989 (Daily)
Board of Governors of the Federal Reserve System (US), 3-Month Treasury Constant Maturity Rate [DGS3MO], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS3MO, May 4, 2019.
1/4/1954 - 12/31/1981 (Daily)
Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary Market Rate [DTB3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DTB3, April 14, 2019.
1/1/1934 - 1/4/1954 (Monthly)
Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary Market Rate [TB3MS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/TB3MS, April 14, 2019.
- Because only monthly data is available, data is estimated and filled in for the days of each month.
6 Month Treasury Bills (before 1990)
1/4/1982 - 12/31/1989 (Daily)
Board of Governors of the Federal Reserve System (US), 6-Month Treasury Constant Maturity Rate [DGS6MO], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS6MO, May 4, 2019.
12/9/1958 - 12/31/1981 (Daily)
Board of Governors of the Federal Reserve System (US), 6-Month Treasury Bill: Secondary Market Rate [DTB6], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DTB6, April 28, 2019.
1 Year Treasuries (before 1990)
1/2/1962 - 12/31/1989 (Daily)
Board of Governors of the Federal Reserve System (US), 1-Year Treasury Constant Maturity Rate [DGS1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS1, May 4, 2019.
4/1/1952 - 12/31/1961 (Monthly)
Board of Governors of the Federal Reserve System (US), 1-Year Treasury Constant Maturity Rate [GS1], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GS1, April 28, 2019.
2 Year Treasuries (before 1990)
6/1/1976 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 2-Year Treasury Constant Maturity Rate [DGS2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS2, April 28, 2019.
3 Year Treasuries (before 1990)
1/2/1962 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 3-Year Treasury Constant Maturity Rate [DGS3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS3, April 28, 2019.
4/1/1953 - 12/31/1989 (Monthly, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 3-Year Treasury Constant Maturity Rate [GS3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GS3, April 28, 2019.
5 Year Treasuries (before 1990)
1/2/1962 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 5-Year Treasury Constant Maturity Rate [DGS5], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS5, April 28, 2019.
4/1/1953 - 12/31/1961 (Monthly, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 5-Year Treasury Constant Maturity Rate [GS5], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GS5, April 28, 2019.
7 Year Treasuries (before 1990)
7/1/1969 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 7-Year Treasury Constant Maturity Rate [DGS7], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS7, April 28, 2019.
10 Year Treasuries (before 1990)
1/2/1962 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 10-Year Treasury Constant Maturity Rate [DGS10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS10, April 28, 2019.
4/1/1953 - 12/31/1961 (Monthly, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 10-Year Treasury Constant Maturity Rate [GS10], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GS10, April 28, 2019.
20 Year Treasuries Bond (before 1990)
4/1/1953 - 12/31/1989 (Monthly, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 20-Year Treasury Constant Maturity Rate [GS20], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/GS20, April 28, 2019.
30 Year Treasury Bond (before 1990)
2/15/1977 - 12/31/1989 (Daily, Constant Maturity)
Board of Governors of the Federal Reserve System (US), 30-Year Treasury Constant Maturity Rate [DGS30], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS30, April 28, 2019.
Past US Recessions
1968 - Present
Hamilton, James, Dates of U.S. recessions as inferred by GDP-based recession indicator [JHDUSRGDPBR], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/JHDUSRGDPBR, July 7, 2019.
1929 - 1968
Wikipedia - List of Recessions in the United States
Canada Yield Curve 2001-Present
Bank of Canada Statistics Website
When is the data updated?
Data is updated daily. For US Treasuries, the latest information becomes available sometime after 4pm ET every day that markets are open. For Canada, information is updated between 10am and noon ET the following business day.
Links to More Information on Interest Rate Data Calculation Methodologies
FAQ on CMT (Constant Maturity) Rates - treasury.gov
CMT calculation methodology - treasury.gov
Constant Maturity on Investopedia