The Treasury curve in 2009

The zero curve on each of 250 trading days, at the two, ten and thirty year points.

0%1%2%3%4%5%Jan 2, 2009Dec 31, 2009Jan 2, 20092Y zero rate0.715%10Y zero rate3.048%30Y zero rate2.478%Jan 12, 20092Y zero rate0.583%10Y zero rate2.931%30Y zero rate2.688%Jan 21, 20092Y zero rate0.668%10Y zero rate3.225%30Y zero rate2.825%Jan 29, 20092Y zero rate0.837%10Y zero rate3.531%30Y zero rate3.317%Feb 6, 20092Y zero rate0.913%10Y zero rate3.658%30Y zero rate3.512%Feb 17, 20092Y zero rate0.781%10Y zero rate3.249%30Y zero rate3.355%Feb 25, 20092Y zero rate1.049%10Y zero rate3.559%30Y zero rate3.441%Mar 5, 20092Y zero rate0.887%10Y zero rate3.439%30Y zero rate3.358%Mar 13, 20092Y zero rate0.957%10Y zero rate3.427%30Y zero rate3.582%Mar 23, 20092Y zero rate0.879%10Y zero rate3.107%30Y zero rate3.701%Mar 31, 20092Y zero rate0.779%10Y zero rate3.125%30Y zero rate3.535%Apr 8, 20092Y zero rate0.904%10Y zero rate3.288%30Y zero rate3.560%Apr 17, 20092Y zero rate0.938%10Y zero rate3.414%30Y zero rate3.636%Apr 27, 20092Y zero rate0.863%10Y zero rate3.395%30Y zero rate3.726%May 5, 20092Y zero rate0.956%10Y zero rate3.626%30Y zero rate3.991%May 13, 20092Y zero rate0.853%10Y zero rate3.576%30Y zero rate4.046%May 21, 20092Y zero rate0.882%10Y zero rate3.820%30Y zero rate4.331%Jun 1, 20092Y zero rate0.978%10Y zero rate4.232%30Y zero rate4.548%Jun 9, 20092Y zero rate1.304%10Y zero rate4.357%30Y zero rate4.623%Jun 17, 20092Y zero rate1.169%10Y zero rate4.146%30Y zero rate4.481%Jun 25, 20092Y zero rate1.082%10Y zero rate4.006%30Y zero rate4.308%Jul 6, 20092Y zero rate0.942%10Y zero rate3.973%30Y zero rate4.399%Jul 14, 20092Y zero rate0.962%10Y zero rate3.969%30Y zero rate4.409%Jul 22, 20092Y zero rate0.981%10Y zero rate4.035%30Y zero rate4.487%Jul 30, 20092Y zero rate1.178%10Y zero rate4.096%30Y zero rate4.439%Aug 7, 20092Y zero rate1.311%10Y zero rate4.308%30Y zero rate4.615%Aug 17, 20092Y zero rate1.017%10Y zero rate3.920%30Y zero rate4.406%Aug 25, 20092Y zero rate1.040%10Y zero rate3.881%30Y zero rate4.268%Sep 2, 20092Y zero rate0.874%10Y zero rate3.726%30Y zero rate4.169%Sep 11, 20092Y zero rate0.894%10Y zero rate3.734%30Y zero rate4.245%Sep 21, 20092Y zero rate1.011%10Y zero rate3.874%30Y zero rate4.281%Sep 29, 20092Y zero rate0.957%10Y zero rate3.688%30Y zero rate4.052%Oct 7, 20092Y zero rate0.840%10Y zero rate3.552%30Y zero rate4.057%Oct 16, 20092Y zero rate0.965%10Y zero rate3.790%30Y zero rate4.309%Oct 26, 20092Y zero rate1.061%10Y zero rate3.940%30Y zero rate4.424%Nov 3, 20092Y zero rate0.923%10Y zero rate3.856%30Y zero rate4.418%Nov 12, 20092Y zero rate0.826%10Y zero rate3.856%30Y zero rate4.502%Nov 20, 20092Y zero rate0.749%10Y zero rate3.746%30Y zero rate4.453%Dec 1, 20092Y zero rate0.657%10Y zero rate3.632%30Y zero rate4.482%Dec 9, 20092Y zero rate0.737%10Y zero rate3.793%30Y zero rate4.599%Dec 17, 20092Y zero rate0.769%10Y zero rate3.839%30Y zero rate4.604%Dec 28, 20092Y zero rate1.079%10Y zero rate4.180%30Y zero rate4.824%Dec 31, 20092Y zero rate1.142%10Y zero rate4.171%30Y zero rate4.727%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2009.
TenorFirstLastChangeLowHigh
2Y0.715%1.142%+42.7 bp0.566%Jan 14, 20091.415%Jun 8, 2009
10Y3.048%4.171%+112.4 bp2.803%Jan 15, 20094.421%Jun 10, 2009
30Y2.478%4.727%+224.9 bp2.478%Jan 2, 20094.824%Dec 28, 2009

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.