What is the difference between the “Daily Treasury Long-Term Rates” and the “Daily Treasury Yield Curve Rates”?
The “Daily Treasury Long-Term Rates” are simply the arithmetic average of the daily closing bid yields on all outstanding fixed coupon bonds (i.e., inflation indexed bonds are excluded) that are neither due nor callable for at least 10 years as of the date calculated. As of February 15, 2008, there were 34 bonds included in the calculation of this average rate. “The Daily Treasury Yield Curve Rates” are specific rates read from the daily Treasury yield curve at the specific “constant maturity” indicated. Thus a yield curve rate is the single yield at a specific point on the yield curve. For example, the 20-year daily yield curve rate (i.e., the 20-year CMT) represents the yield for a new theoretical 20-year bond as of that date.
