The Treasury curve in 2011

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

0%1%2%3%4%5%6%Jan 3, 2011Dec 30, 2011Jan 3, 20112Y zero rate0.616%10Y zero rate3.606%30Y zero rate4.679%Jan 11, 20112Y zero rate0.604%10Y zero rate3.622%30Y zero rate4.805%Jan 20, 20112Y zero rate0.645%10Y zero rate3.724%30Y zero rate4.910%Jan 28, 20112Y zero rate0.538%10Y zero rate3.572%30Y zero rate5.033%Feb 7, 20112Y zero rate0.785%10Y zero rate3.903%30Y zero rate5.002%Feb 15, 20112Y zero rate0.844%10Y zero rate3.839%30Y zero rate5.000%Feb 24, 20112Y zero rate0.717%10Y zero rate3.676%30Y zero rate4.982%Mar 4, 20112Y zero rate0.678%10Y zero rate3.719%30Y zero rate5.057%Mar 14, 20112Y zero rate0.593%10Y zero rate3.590%30Y zero rate5.010%Mar 22, 20112Y zero rate0.667%10Y zero rate3.557%30Y zero rate4.889%Mar 30, 20112Y zero rate0.786%10Y zero rate3.693%30Y zero rate4.854%Apr 7, 20112Y zero rate0.799%10Y zero rate3.822%30Y zero rate4.939%Apr 15, 20112Y zero rate0.704%10Y zero rate3.675%30Y zero rate4.768%Apr 26, 20112Y zero rate0.638%10Y zero rate3.579%30Y zero rate4.715%May 4, 20112Y zero rate0.585%10Y zero rate3.481%30Y zero rate4.666%May 12, 20112Y zero rate0.550%10Y zero rate3.428%30Y zero rate4.814%May 20, 20112Y zero rate0.514%10Y zero rate3.354%30Y zero rate4.746%May 31, 20112Y zero rate0.447%10Y zero rate3.267%30Y zero rate4.558%Jun 8, 20112Y zero rate0.384%10Y zero rate3.168%30Y zero rate4.549%Jun 16, 20112Y zero rate0.396%10Y zero rate3.131%30Y zero rate4.510%Jun 24, 20112Y zero rate0.333%10Y zero rate3.076%30Y zero rate4.697%Jul 5, 20112Y zero rate0.457%10Y zero rate3.403%30Y zero rate4.735%Jul 13, 20112Y zero rate0.360%10Y zero rate3.107%30Y zero rate4.694%Jul 21, 20112Y zero rate0.414%10Y zero rate3.233%30Y zero rate4.839%Jul 29, 20112Y zero rate0.343%10Y zero rate3.009%30Y zero rate4.644%Aug 8, 20112Y zero rate0.271%10Y zero rate2.573%30Y zero rate4.119%Aug 16, 20112Y zero rate0.192%10Y zero rate2.393%30Y zero rate4.029%Aug 24, 20112Y zero rate0.240%10Y zero rate2.443%30Y zero rate3.974%Sep 1, 20112Y zero rate0.175%10Y zero rate2.292%30Y zero rate3.844%Sep 12, 20112Y zero rate0.212%10Y zero rate2.069%30Y zero rate3.557%Sep 20, 20112Y zero rate0.169%10Y zero rate2.086%30Y zero rate3.516%Sep 28, 20112Y zero rate0.285%10Y zero rate2.162%30Y zero rate3.311%Oct 6, 20112Y zero rate0.302%10Y zero rate2.130%30Y zero rate3.136%Oct 17, 20112Y zero rate0.294%10Y zero rate2.323%30Y zero rate3.351%Oct 25, 20112Y zero rate0.265%10Y zero rate2.262%30Y zero rate3.468%Nov 2, 20112Y zero rate0.223%10Y zero rate2.138%30Y zero rate3.195%Nov 10, 20112Y zero rate0.231%10Y zero rate2.156%30Y zero rate3.284%Nov 21, 20112Y zero rate0.268%10Y zero rate2.069%30Y zero rate3.100%Nov 30, 20112Y zero rate0.248%10Y zero rate2.198%30Y zero rate3.206%Dec 8, 20112Y zero rate0.213%10Y zero rate2.087%30Y zero rate3.131%Dec 16, 20112Y zero rate0.222%10Y zero rate1.939%30Y zero rate2.989%Dec 27, 20112Y zero rate0.287%10Y zero rate2.118%30Y zero rate3.188%Dec 30, 20112Y zero rate0.241%10Y zero rate1.975%30Y zero rate3.028%
2Y zero rate10Y zero rate30Y zero rate
Zero rate first, last, low and high for each charted tenor across 2011.
TenorFirstLastChangeLowHigh
2Y0.616%0.241%-37.6 bp0.160%Sep 19, 20110.868%Feb 14, 2011
10Y3.606%1.975%-163.0 bp1.822%Sep 22, 20113.974%Feb 8, 2011
30Y4.679%3.028%-165.1 bp2.917%Oct 3, 20115.163%Feb 18, 2011

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.