Risk Free Rate for UK and US
- Where can I find historical rates for U.S. treasury bills, notes, and bonds?
- Where can I find historical rates for UK Government bonds (Gilts, Treasury bills)?
- How can I find a historical risk free rate for different countries?
Note, finding a risk-free rate is complicated not just by the alternative sources available, but also because the risk-free rate required can depend on the context of its use.
- The most requested is 3 month Treasury bills, recommended by Thomson Reuters (Datastream) and many others. There is the most historical data for these. For example the UK, UKGBILL3 (monthly – base date Jan 1972) and UKTBTND (daily – base date 04 Jan 1985).
- Fama French benchmark factors are calculated using 1 month Treasury bills, but historical data can be limited. For example, the UK UKTBT1M on Datastream has a base date of 10 Mar 2000.
See also Risk Free Rate and Fama French factors – posted Jan 2013
- Bloomberg uses 10 year government bond rates as the risk-free rate in its Country Risk Premium (CRP) and related functions. (This makes it easier to handle countries that do not issue Treasury bills in a consistent fashion.)
(For those interested there is a paper “What is the riskfree rate?” on Damodaran Online.)
The last Risk Free Rate post was Nov 2009. These updates have been prompted by queries and also recent news. With the turmoil about the US credit downgrade at the beginning of this month, there is of course debate about what is the risk-free rate if there is a chance of a country defaulting. For example see:
- http://www.bbc.co.uk/news/business-14430643 - As the US loses AAA, where is a safe harbour?
So what to choose as a good estimate of the theoretical risk-free rate could get harder rather than easier.