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All Daily Rates
The US Treasury yield curve from one month to thirty years, daily back to 1962, the effective fed funds rate back to 1954, the target range, and the overnight funding complex (OBFR, TGCR, SOFR) with volumes and percentiles.
Shape measured at the next refresh of dataset_cards/facts.json. Refreshed monthly.
Why It Matters
Every long-short strategy in the catalogue was missing its cash leg, and every term-structure or carry paper its curve. All-Monthly-CoreEconomicData is monthly and lagged a month; the yields reconstructed from Bonds-Daily-Price start with that dataset. This is the daily series, from the day each one begins. A column is empty before its series existed -- SOFR starts in 2018, the one-month bill in 2001.
Load It
pip install --upgrade pwb-toolbox
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("All-Daily-Rates")
print(df.iloc[-1, :])
Columns
| Column Name | Description |
|---|---|
| date | Observation date. |
| yield_1_month ... yield_30_year | Constant-maturity Treasury yields, in percent. |
| effective_fed_funds_rate / effective_fed_funds_volume | The overnight rate and the volume behind it. |
| fed_funds_target_upper / fed_funds_target_lower | The FOMC target range. |
overnight_bank_funding_rate and its obfr_* volume and percentiles |
OBFR. |
tri_party_general_collateral_rate and its tgcr_* fields |
TGCR. |
secured_overnight_financing_rate and its sofr_* fields |
SOFR. |
| financial_commercial_paper_90d_rate / nonfinancial_commercial_paper_90d_rate | 90-day commercial paper. |
| fed_overnight_repo_treasury_amount / fed_overnight_reverse_repo_treasury_amount | Fed overnight operations. |
| interest_on_reserve_balances | IORB. |
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers every dataset in this organisation and the strategy catalogue.
Elsewhere
- The strategy catalogue
pwb-toolbox, the loader used in the snippet above- Every dataset in this organisation
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