United States
U.S. Treasury yield curves, discount bond returns, term structure factors, and bond market condition measures.
- Coverage
- June 14, 1961 - June 30, 2025
- Maturities
- Daily maturities to 10,950 days (30 years); monthly maturities to 360 months
- Yields
- Annualized, continuously compounded · decimal · 365-day year
- Returns
- One-business-day returns · maturities to 10 years
KR yields
Details and file format →Kernel Ridge Regression zero-coupon yield curves for U.S. Treasuries. 10-, 20-, and 30-year estimates begin on June 14, 1961, January 5, 1973, and November 25, 1985, respectively.
Yield file layout changed in October 2026.Details →
The yield values are unchanged. The files now use date,
min_observed_ttm, max_observed_ttm and max_curve_ttm before
the maturity columns. The old MAX_DATA_TTM column has been removed.
Full file documentation →
Discount bond returns
Details and file format →Daily returns and excess returns of zero-coupon bonds, constructed as tradable portfolios of U.S. Treasuries. This dataset and the two below are based on Shrinking the Term Structure.
Term structure factors
Details and file format →The four KR-4 factors provide an excellent representation of the discount bond excess return curve. When modelling discount returns rather than excess returns, the risk-free returns should be added.
Bond market condition measures
Details and file format →Idiosyncratic Treasury Volatility (IT-VOL) measures idiosyncratic volatility normalised by overall volatility. Treasury Market Complexity (T-COM) measures the complexity of the term structure.