A method of measuring the term structure of interest rates is developed which accomodates the tax dependence of an investors choice of securities. Empirical results are given for the British Government Securities Market over the period 1955-1975. Taxes were found to have a strong influence on the term structure. In particular the shape of the term structures was, on occasions, markedly different for different tax brackets. These results suggest that, at least for U.K. data, taxes be taken into account in both theoretical and empirical research on this topic.