GSW: Gurkaynak-Sack-Wright Treasury yield curve

The Gurkaynak-Sack-Wright (GSW) dataset is the Federal Reserve Board staff’s daily fitted US Treasury zero-coupon yield curve, estimated with the Svensson (1994) six-parameter forward-rate model and updated continuously. It is the standard source for continuously-compounded zero yields, par yields, and forward rates at maturities of 1 to 30 years, going back to 1961. This page is the distilled access recipe.

• Cost: free, no paywall, no key.
• Coverage: daily (business days), 1961-06-14 to present; longer maturities populate only as the sample lengthens. Short maturities start 1961-06-14, but the 15-year point begins 1971-11-15 and the 30-year point only 1985-11-25, so a deep-history long-maturity series is shorter than the headline 1961 start.
• Format: one CSV (feds200628.csv), about 16 MB, latest date at the bottom.
• Caveat: a staff research product, not an official statistical release; the whole history can be revised when the curve is re-estimated.
• Paper / home: FEDS working paper 2006-28 · https://www.federalreserve.gov/data/nominal-yield-curve.htm

Access

No key, direct CSV (the only access path needed)

https://www.federalreserve.gov/data/yield-curve-tables/feds200628.csv

import pandas as pd

url = "https://www.federalreserve.gov/data/yield-curve-tables/feds200628.csv"
# The real header (Date,BETA0,...) is on line 10; skip the 9-line preamble.
gsw = pd.read_csv(url, skiprows=9, parse_dates=["Date"], index_col="Date")

gsw["SVENY10"].dropna().tail()   # 10-year zero-coupon yield, percent, cont. comp.
term = gsw["SVENY10"] - gsw["SVENY02"]   # 10y-2y term spread

The companion releases use the same layout: the TIPS / real curve is feds200805.csv and the inflation-compensation series ship alongside it. Same skiprows trick applies.

Gotchas (the ones that bite pipelines)

The reason to read this page rather than the raw CSV. Verified against the live file on the date above.

• Nine-line preamble. The file opens with a disclaimer note, a blank line, a small legend table mapping each series to its mnemonic, and another blank line. The actual column header (Date,BETA0,...) is line 10, so read with skiprows=9 (or detect the Date header). A naive read_csv mis-parses the legend as data.
• Mnemonics are not obvious. SVENYxx = continuously-compounded zero-coupon yield at xx years; SVENPYxx = par yield (coupon-equivalent); SVENFxx = instantaneous forward rate; SVENnFmm = the n-year forward rate mm years ahead (e.g. SVEN1F09 is the one-year rate nine years out). All in percent.
• Continuously compounded, not bond-equivalent. SVENY zero yields are continuously compounded. To compare with a coupon Treasury quote use the SVENPY par yields or convert; mixing conventions silently biases spreads.
• Blanks are missing, not zero. Early in the sample the curve is fit only to about 7 years, so the 10-to-30-year columns are empty (NaN) for older dates. dropna() per maturity; never fill blanks with 0.
• The Svensson parameters are in the file. BETA0-BETA3, TAU1, TAU2 are the fitted parameters; you can reconstruct the yield at any maturity from them, but the 1-to-30-year grid is already tabulated, so you rarely need to.
• Staff product, revised without notice. The note at the top says so. For point-in-time / vintage work, archive the file with its download date; the series you pulled today may not match a pull next month.
• Business days only. No weekend or holiday rows; align to a trading calendar before merging with other daily series.

Mnemonics you actually need

Mnemonic	Meaning	Maturities	Unit
SVENYxx	Zero-coupon yield (continuously compounded)	01-30	percent
SVENPYxx	Par yield (coupon-equivalent)	01-30	percent
SVENFxx	Instantaneous forward rate	01-30	percent
SVENnFmm	n-year forward, mm years ahead	1F01, 1F04, 1F09 only	percent
BETA0..3, TAU1, TAU2	Svensson curve parameters	per day	mixed

Standard operations

• Term spreads: build from the zero curve (SVENY10 - SVENY02), not from coupon quotes, so the maturities are exact.
• Excess bond returns / Cochrane-Piazzesi: use the forward-rate columns (SVENFxx, SVENnFmm) directly rather than differencing yields.
• Monthly studies: resample to month-end (last business day); state the convention, since the file is daily.
• Always record the access date. Because the whole history is revised, an unstated download date is not reproducible.

Citation

Gurkaynak, Refet S., Brian Sack, and Jonathan H. Wright. 2007. “The U.S. Treasury Yield Curve: 1961 to the Present.” Journal of Monetary Economics 54(8): 2291-2304. Data maintained and updated by the Board of Governors of the Federal Reserve System; cite the release and your access date.