The following Treasury securities can be used to construct a default-free theoretical spot rate curve: 1) On-the-Run Treasury - the newest Treasury issues of a given maturity:
- T-Bills: zero-coupon securities with 3-month, 6-month, and 1-year maturities.
- Treasury Notes: coupon instruments with 2-year, 5-year, and 10-year maturities.
- Treasury Bonds: coupon instruments with 30-year maturities.
2) On-the-run Treasury issues and selected off-the-run Treasury issues.
3) All Treasury coupon securities and Bills.
4) Treasury coupon strips.
|
