The old 3-Month Commercial Paper Rate (CP3M) on FRED was discontinued in 1997. I would like to reconstruct this series in a reasonable fashion, so I can use it to analyze more recent events.
I was thinking of using some combination of 3-Month AA Financial Commercial Paper Rate (CPF3M) and 3-Month AA Nonfinancial Commercial Paper Rate (CPN3M), but I'm unsure how to weight them.
Any suggestions?