An interpolated yield curve or “curve I” refers to a yield curve constructed using data on the yield and maturity of outstanding Treasury securities.
On-the-run Treasuries are the most recently issued U.S. Treasury bonds or bills with a specific maturity.
Interpolation refers to the methods used to create new estimated data points between known data points on a graph.
The two most common yield curve interpolation methods are bootstrapping and regression analysis.
Investors and financial analysts often interpolate yield curves to get a better idea of where bond markets and the economy might be heading in the future.
Average life is the average length of time it takes to pay off the outstanding principal on a debt instrument, such as a treasury bill, bond, loan, or mortgage-backed security.
Flattening of the yield curve is when short-term and long-term bonds do not undergo noticeable changes in rates. This makes long-term bonds less attractive to investors.
A normal yield curve is a yield curve in which short-term debt instruments have a lower yield than long-term debt instruments of the same credit quality.
The Treasury Current Yield Curve graphically shows the current yield versus maturity of the most recently traded US Treasury securities and is the primary benchmark used in the pricing of fixed income securities.