Borus Jungbacker, Siem Jan Koopman, and Michel van der Wel, "Smooth 
Dynamic Factor Analysis with Application to the U.S. Term Structure of 
Interest Rates", Journal of Applied Econometrics, Vol. 29, No. 1, 2014, 
pp. 65-90.

All data are in the file "UnsmFB_70-09.txt", an ASCII file in DOS
format that is zipped in the file jkv-data.zip. Unix/Linux users
should use "unzip -a".

This data set is for monthly time series of zero yields from the CRSP
unsmoothed Fama and Bliss (1987) forward rates. We refer to Diebold
and Li (2006) for a detailed discussion of the method that is used for
the creation of such a data set.

Our balanced panel data set consists of 17 maturities over the period
from January 1970 up to December 2009. We have $N=17$ yield series and
$n=480$ time series observations for each yield.

The maturities we analyse are 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48,
60, 72, 84, 96, 108 and 120 months. These are displayed in the first
row. The dates are in the first column : YYYYMMDD.

Source:

The data are constructed from the CRSP Monthly Treasury
Cross-Sectional File. The copyright for the raw data is with CRSP, the
Center for Research in Security Prices.  Booth School of Business, The
University of Chicago. Used with permission. All rights reserved. 
www.crsp.chicagobooth.edu