US Treasuries Zero-Coupon Yield Curve

The US zero-coupon yield curve is a graphical representation of spot interest rates on US government bonds depending on their maturity. This benchmark reflects market participants' expectations regarding interest rates and inflation, serving as a key reference point for risk assessment and forecasting economic activity. The US Federal Reserve constructs this curve using the Svensson model, based on yields of coupon-bearing Treasury securities; Treasury bills (T-bills), floating-rate notes (FRNs), and the most liquid issues are excluded from the calculation to avoid distortions related to liquidity premiums and REPO market specifics. The curve includes 129 tenors, ranging from 1 day to 30 years. Data updates are performed weekly: current values are typically published on Tuesdays for the period ending on the Friday of the previous week.

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