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Federal
Yield Curve Models and Data - Nominal Yield Curve
Board of Governors of the Federal Reserve System —
These are nominal yield curves, obtained by fitting a parametric form to the prices of off-the-run nominal Treasury coupon securities. The data are available at daily... -
Federal
Tips from TIPS: Update and Discussions
Board of Governors of the Federal Reserve System —
D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk... -
Federal
What Drives U.S. Treasury Re-use?
Board of Governors of the Federal Reserve System —
Based on confidential supervisory data, this dataset estimates the degree of collateral re-use at the dealer level through their collateral multiplier: the ratio... -
Federal
Treasury Securities and Agency Debt and Mortgage-Backed Securities Reporting Requirements
Board of Governors of the Federal Reserve System —
The FR 2956 collects detailed data on depository institutions’ daily transactions trading of marketable U.S. Treasury securities and transactions trading of the debt...