Interpolated Yield Curve - I Curve

DEFINITION of 'Interpolated Yield Curve - I Curve'

A yield curve derived by using on-the-run treasuries. Because on-the-run treasuries are limited to specific maturities, the yield of maturities that lies between the on-the-run treasuries must be interpolated. This can be accomplished by a number of methodologies, including bootstrapping and regressions.

BREAKING DOWN 'Interpolated Yield Curve - I Curve'

Several different types of fixed-income securities trade at yield spreads to the I curve, making it an important benchmark.

For example, certain agency CMOs trade at a spread to the I curve at a spot on the curve equal to their weighted average lives. A CMO's weighted average life will most likely lie somewhere within the on-the-run treasuries, which makes the derivation of the I curve necessary.

RELATED TERMS
  1. On-The-Run Treasury Yield Curve

    The U.S. Treasury yield curve derived using on-the-run treasuries. ...
  2. Off-The-Run Treasury Yield Curve

    The U.S. Treasury yield curve derived using off-the-run treasuries. ...
  3. On-The-Run Treasuries

    The most recently issued U.S. Treasury bond or note of a particular ...
  4. Spot Rate Treasury Curve

    A yield curve constructed using Treasury spot rates rather than ...
  5. Yield Curve

    A line that plots the interest rates, at a set point in time, ...
  6. Off-The-Run Treasuries

    All Treasury bonds and notes issued before the most recently ...
Related Articles
  1. Markets

    Understanding The Treasury Yield Curve Rates

    Treasury yield curves are a leading indicator for the future state of the economy and interest rates.
  2. Managing Wealth

    How Bond Market Pricing Works

    Learn the basic rules that govern how bond prices are determined.
  3. Investing

    Trade Bond ETFs Using Yield Curves

    Different types of yield curves provide important insights for trading bond-based securities.
  4. Markets

    Will an Inverted Yield Curve Happen Again?

    Explore the causes of inverted yield curves, their frequency, their accuracy in forecasting recessions and whether this type of event can happen again.
  5. Markets

    U.S. Recession Without a Yield Curve Warning?

    The inverted yield curve has correctly predicted past recessions in the U.S. economy. However, that prediction model may fail in the current scenario.
  6. Markets

    Understanding Term Structure of Interest Rates

    The term structure of interest rates is a common method of valuing bonds.
  7. Markets

    How Bond Market Pricing Works

    Yield is the commonest measure used to determine a bond’s expected return. Yield-to-maturity and spot rates are the two primary yield measures.
  8. Investing

    The Impact Of An Inverted Yield Curve

    Find out what happens when short-term interest rates exceed long-term rates.
  9. Managing Wealth

    Interest Rates And Your Bond Investments

    By understanding the factors that influence interest rates, you can learn to anticipate their movement and profit from it.
  10. Investing

    Yield Curve

    Learn more about how this curve is used to predict changes in economic output and growth.
RELATED FAQS
  1. What is meant by off-the-run treasuries?

    Understand what is meant by off-the-run Treasuries, along with the key differences in yield that commonly occur between on- ... Read Answer >>
  2. What is the difference between the Daily Treasury Long-Term Rates and the Daily Treasury ...

    Find out more about the daily Treasury long-term rates, daily Treasury yield curve rates and the difference between these ... Read Answer >>
  3. Where on the Internet can I find yield curves over various periods?

    Find out where to locate reliable yield curve information on the Internet, including the U.S. Department of the Treasury ... Read Answer >>
  4. How can the yield curve help me make investment decisions?

    Learn about the yield curve, and discover why this chart is an important economic indicator. How do Treasury bond yields ... Read Answer >>
  5. What is the current yield curve and why is it important?

    Understand what the current yield curve represents, and learn how market analysts commonly interpret various changes in the ... Read Answer >>
  6. Why are the term structure of interest rates indicative of future interest rates?

    Learn why economists believe the term structure for interest rates reflects investor expectations for future interest rates ... Read Answer >>
Hot Definitions
  1. Dove

    An economic policy advisor who promotes monetary policies that involve the maintenance of low interest rates, believing that ...
  2. Cyclical Stock

    An equity security whose price is affected by ups and downs in the overall economy. Cyclical stocks typically relate to companies ...
  3. Front Running

    The unethical practice of a broker trading an equity based on information from the analyst department before his or her clients ...
  4. After-Hours Trading - AHT

    Trading after regular trading hours on the major exchanges. The increasing popularity of electronic communication networks ...
  5. Omnibus Account

    An account between two futures merchants (brokers). It involves the transaction of individual accounts which are combined ...
  6. Weighted Average Life - WAL

    The average number of years for which each dollar of unpaid principal on a loan or mortgage remains outstanding. Once calculated, ...
Trading Center