The Treasury curve in 2008

The zero curve on each of 83 trading days, at the two, ten and thirty year points.

0%1%2%3%4%5%Sep 2, 2008Dec 31, 2008Sep 2, 20082Y zero rate2.246%10Y zero rate4.005%30Y zero rate4.290%Sep 4, 20082Y zero rate2.171%10Y zero rate3.904%30Y zero rate4.195%Sep 8, 20082Y zero rate2.265%10Y zero rate3.916%30Y zero rate4.188%Sep 10, 20082Y zero rate2.201%10Y zero rate3.910%30Y zero rate4.166%Sep 12, 20082Y zero rate2.230%10Y zero rate4.004%30Y zero rate4.269%Sep 16, 20082Y zero rate1.891%10Y zero rate3.745%30Y zero rate4.023%Sep 18, 20082Y zero rate1.843%10Y zero rate3.791%30Y zero rate3.974%Sep 22, 20082Y zero rate2.171%10Y zero rate4.135%30Y zero rate4.337%Sep 24, 20082Y zero rate2.038%10Y zero rate4.068%30Y zero rate4.263%Sep 26, 20082Y zero rate2.120%10Y zero rate4.159%30Y zero rate4.201%Sep 30, 20082Y zero rate2.003%10Y zero rate4.198%30Y zero rate4.134%Oct 2, 20082Y zero rate1.641%10Y zero rate4.044%30Y zero rate4.016%Oct 6, 20082Y zero rate1.419%10Y zero rate3.883%30Y zero rate3.772%Oct 8, 20082Y zero rate1.645%10Y zero rate4.176%30Y zero rate3.638%Oct 10, 20082Y zero rate1.608%10Y zero rate4.372%30Y zero rate3.587%Oct 15, 20082Y zero rate1.613%10Y zero rate4.611%30Y zero rate3.628%Oct 17, 20082Y zero rate1.562%10Y zero rate4.632%30Y zero rate3.700%Oct 21, 20082Y zero rate1.489%10Y zero rate4.440%30Y zero rate3.836%Oct 23, 20082Y zero rate1.454%10Y zero rate4.318%30Y zero rate3.650%Oct 27, 20082Y zero rate1.537%10Y zero rate4.439%30Y zero rate3.450%Oct 29, 20082Y zero rate1.491%10Y zero rate4.619%30Y zero rate3.562%Oct 31, 20082Y zero rate1.475%10Y zero rate4.754%30Y zero rate3.577%Nov 4, 20082Y zero rate1.271%10Y zero rate4.563%30Y zero rate3.415%Nov 6, 20082Y zero rate1.198%10Y zero rate4.460%30Y zero rate3.462%Nov 10, 20082Y zero rate1.182%10Y zero rate4.499%30Y zero rate3.797%Nov 13, 20082Y zero rate1.166%10Y zero rate4.476%30Y zero rate3.606%Nov 17, 20082Y zero rate1.094%10Y zero rate4.269%30Y zero rate3.854%Nov 19, 20082Y zero rate0.940%10Y zero rate3.960%30Y zero rate3.681%Nov 21, 20082Y zero rate0.925%10Y zero rate3.767%30Y zero rate3.421%Nov 25, 20082Y zero rate0.943%10Y zero rate3.696%30Y zero rate3.336%Nov 28, 20082Y zero rate0.808%10Y zero rate3.569%30Y zero rate3.148%Dec 2, 20082Y zero rate0.682%10Y zero rate3.310%30Y zero rate2.850%Dec 4, 20082Y zero rate0.585%10Y zero rate3.160%30Y zero rate2.759%Dec 8, 20082Y zero rate0.789%10Y zero rate3.363%30Y zero rate2.613%Dec 10, 20082Y zero rate0.666%10Y zero rate3.285%30Y zero rate2.524%Dec 12, 20082Y zero rate0.585%10Y zero rate3.212%30Y zero rate2.533%Dec 16, 20082Y zero rate0.402%10Y zero rate2.986%30Y zero rate2.538%Dec 18, 20082Y zero rate0.483%10Y zero rate2.621%30Y zero rate2.226%Dec 22, 20082Y zero rate0.637%10Y zero rate2.675%30Y zero rate2.306%Dec 24, 20082Y zero rate0.677%10Y zero rate2.716%30Y zero rate2.343%Dec 29, 20082Y zero rate0.556%10Y zero rate2.674%30Y zero rate2.357%Dec 31, 20082Y zero rate0.593%10Y zero rate2.835%30Y zero rate2.377%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2008.
TenorFirstLastChangeLowHigh
2Y2.246%0.593%-165.3 bp0.402%Dec 16, 20082.265%Sep 8, 2008
10Y4.005%2.835%-117.0 bp2.621%Dec 18, 20084.754%Oct 31, 2008
30Y4.290%2.377%-191.4 bp2.226%Dec 18, 20084.337%Sep 22, 2008

Rates are percent; the change column is basis points. A rise in yield is a fall in price, so the colours here describe the rate rather than a bondholder's return.

Month by month

Index levels before September 30, 2026 are back-tested. They were computed after the fact by applying the rules to historical data, which benefits from hindsight in the choice of rules, and an index cannot be invested in directly. Methodology v1.0 takes effect at that rebalance, when levels begin to be struck on the day; the rulebook is identical either way, and the version is published on every row.

A fitted curve is a fit, not a quote. Daily error averages 3.8 basis points across the history and reaches about 20 on the worst days, in December 2008, when the market was genuinely hard to fit one smooth curve to. Every curve page publishes its own fit error rather than burying it.

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Curves are fitted from public Treasury data and carry fit error; figures are not a record of trading, and an index cannot be invested in directly. No claim of compliance with the IOSCO Principles for Financial Benchmarks is made or implied. Not investment advice, not an offer, and not a recommendation to buy or sell any security.