Data Documentation & Code › United States
U.S. discount bond returns
Daily returns and excess returns of zero-coupon bonds, which are tradable portfolios of U.S. Treasuries.
File format
Each file begins with the observation date, followed by one column per maturity. Five files are published, all CSV.
| File | Columns |
|---|---|
| Returns, daily maturities | Date, then one column per day of maturity |
| Returns, annual maturities | Date, then 1-yr … 10-yr |
| Excess returns, daily maturities | Date, then one column per day of maturity |
| Excess returns, annual maturities | Date, then 1-yr … 10-yr |
| Risk-free returns | Date, then One-period risk-free rate |
The date column carries no header text, so a reader that names columns
from the header row will leave it unnamed. Dates are YYYY-MM-DD.
Data availability
Daily from June 14, 1961, with maturities up to ten years. Returns at daily frequency are one-business-day returns on the usual 365-day year: the return on day t is the return relative to business day t+1. Excess returns are returns minus the risk-free return.
Construction
The zero-coupon bonds are tradable portfolios of U.S. Treasuries, formed within the same reproducing-kernel framework that estimates the curve, so the returns are those of investable positions rather than of a fitted curve. The risk-free return is the one-day rate read off the estimated discount curve, compounded over the days between consecutive business days.
Shrinking the Term Structure · Paper & citation → · the risk-free return is from Stripping the Discount Curve (paper & citation)